This form must be completed on an annual basis by all trustees of Small APRA Funds (SAFs) and Single Member Approved Deposit Funds (SMADFs).
This form can be left blank as D2A recognises blanks as zeros; however it is still required to be submitted as part of the annual return. Trustees of superannuation entities holding Investments in PSTs that have a value of more than 5% of total assets, are required to report on SRF 220.0 Exposure Concentrations.
If a superannuation entity has no items to disclose, the form can be left blank as D2A recognises blanks as zeros; however it is still required to be submitted as part of the annual return.
Note: All forms included in the SRF 300 series should be submitted together as an annual return, not individually as separate forms.
Purpose
The large exposure form is required by APRA for the provision of information on concentrations in exposure of a superannuation entity. For example to the performance of a particular investment held by a superannuation entity, or a counterparty to which the superannuation entity has an exposure/investment with (i.e. moneys invested at call).
Exposures are only required to be reported in this form where the exposure is greater than 5% of the net market value of total assets reported in SRF 310.0 Statement of Financial Position in item 5 ‘Total assets’ of the superannuation entity. If there are more than 10 such exposures, only the largest 10 are required to be reported on this form. (Note: All exposures, whether of an asset or liability nature per item 1 of this form, are to be determined with reference to 5% of total assets).
Information reported in this form is prudentially important, as it forms part of APRA’s monitoring and analysis framework for a superannuation entity and the superannuation industry.
This Guide has been prepared to assist in the completion and lodgement of SRF 320.0 Exposure Concentrations. For ease of use, the Guide has been split into three main sections as follows:
Lodgement and validation of and changes to SRF 320.0 Exposure Concentrations;
General guidance – this guidance provides principles that should be applied to all items throughout SRF 320.0 Exposure Concentrations; and
Instruction guide for specific items – this guidance should be applied to the specific items which relate to each superannuation entity.
Lodgement and validation of SRF 320.0 Exposure Concentrations
Lodgement and authentication codes
This form must be completed and lodged to APRA by a corporate or natural ‘person’ (trustee director or administrator), and not by the superannuation entity as the entity is not a ‘person’.
Once SRF 320.0 Exposure Concentrations has been completed and submitted to APRA, an authentication code is generated in D2A from information entered into the form. The authentication code and date submitted appear in the footer of each page of the return (‘return’ equates to all 8 forms). Any change of information entered or resubmission of the return will result in a change to the authentication code. The authentication codes and date submitted should be used by auditors to determine that the four forms audited (SRF 300.0 Statement of Financial Performance, SRF 310.0 Statement of Financial Position, SRF 320.0 Exposure Concentrations and SRF 330.0 Transactions with Associated Parties) have been submitted.
A receipt indicating successful lodgement of the return will be provided via email. There may be a slight delay in a receipt being provided if the submission is made in the last week of October. Do not resubmit your return however, as the receipt will be generated.
Validation and calculation of totals
When data is entered into the form, the total balances (in the greyed out cells) will not be calculated automatically. The total items will only calculate when the form is validated. Clicking on the word 'validate' in the top left hand corner of the screen and selecting ‘OK’ will result in the total items being calculated and the validation rules appearing for review.
There are three types of validation rules as follows:
Warnings: Confirmation rules – this rule requires the user to provide confirmation that the data entered into an item is correct, for example that a negative number is correct and should not be positive. To provide confirmation the user should click the confirm box and provide a brief description in support of the item.
Note: Descriptions entered for warnings may not always appear if the return is validated more than once. There is no need to re-enter the description as D2A has saved this description and the comments will be lodged with the return.
Error: Mandatory rules – this indicates an error in an item, for example a description and a value must be included in a table. These errors must be corrected before the return can be lodged.
Cross form validations – this also indicates an error and must be corrected before the return can be lodged, for example Totals disclosed in SRF 310.1 Selected Disclosure of Investments must agree with the investments reported in item 3 ‘Investments’ on SRF 310.0 Statement of Financial Position.
Changes to SRF 320.0 Exposure Concentrations
As detailed above, any change of information entered or resubmission of the return will result in a change to the authentication code. SRF 320.0 Exposure Concentrations is one of the four forms which requires audit, with a copy of the audit report being provided to APRA together with the annual return. If an amendment is made to the return after the audit report relating to the return has been submitted to APRA, then a copy of the amended return must be:
Lodged with APRA; and
Forwarded to the auditor of the return. The auditor will then consider the magnitude and significance of the amendment to the returns in order to assess whether the audit report will have to be re-issued.
General guidance for completion of SRF 320.0 Exposure Concentrations
Important!
Report all disclosures rounded to the nearest thousand dollars. Do not use decimal numbers i.e. when dividing the value to obtain a rounded balance to the nearest thousand dollars, ensure that the figure is whole.
Important!
There is no materiality limit applied to the disclosure of amounts within SRF 320.0 Exposure Concentrations. All balances must be recorded. Amounts cannot be omitted based on materiality levels. Each superannuation entity should use its own judgement in grouping items into meaningful categories (where applicable).
Important!
Zeros are not required where there is no dollar value for an item. If there is no balance for an item, leave it blank, as D2A recognises blanks as zeros.
Important!
If a superannuation entity has a number of like investments in the same counterparty, then these should be reported in aggregate.
For example, if a superannuation entity holds a number of bank bills with the same counterparty, reporting in aggregate is acceptable, as opposed to reporting them individually.
Important!
A liability for accrued member benefits does not form part of an exposure concentration. All accrued benefits are excluded from SRF 320.0 Exposure Concentrations.
Scope
Include
The aggregate investment value exposure of the superannuation entity to a external investment manager or Pooled Superannuation Trusts (PST), Wholesale trusts, units in retail/public offer trusts, listed or unlisted trusts, corporations, and managed investment schemes for the purposes of this analysis.
There is no need to record the exposures to the Underlying assets/investments held through the intermediary.
A large exposure represents an investment in an individual listed corporation or an individual property. It does not include a large exposure to an asset class such as domestic equities, property, or an industry sector.
Exposures include claims and commitments of the superannuation entity recorded both on and off the balance sheet that are of the following nature:
(a) Credit exposures (i.e. exposure to a counterparty or related counterparties);
(b) Asset exposures that are not in the nature of a credit exposure (e.g. a direct property investment); and
(c) Exposures in the nature of a liability or obligation to a single party or related parties.
Where credit risk is unequivocally transferred to a third party by an irrevocable letter of credit or a direct guarantee, the exposure is to the third party.
In determining whether a group of counterparties are related, the reporting superannuation entity should treat:
Counterparties as related, where the superannuation entity knows that they are linked by cross guarantees, common ownership, ability to control, financial interdependency, or other connections which, in the superannuation entity’s assessment, identify the counterparties as representing a single risk; and
All exposures underwritten by the same guarantor as a single risk.
Exposures of the reporting superannuation entity to related parties must be included in the analysis.
Example of approach to aggregate exposure – single counterparty:
The following is provided as a brief example of the approach APRA expects to be adopted in calculating an exposure to a single counterparty to be determined for the purposes of this form.
A superannuation entity holds the following investments:
Listed equity securities of ABC Bank Limited;
‘Over the Counter’ derivative financial instruments with ABC Bank Limited;
Funds placed or deposited with ABC Bank Limited;
Holding of debt securities issued by or guaranteed by ABC Bank Limited;
Direct property investment in which ABC Bank Limited is a lessee of over 50% of the commercial property.
APRA expects the following exposures to be aggregated in calculating the aggregate counterparty exposure to ABC Bank Limited:
The net market value of ‘Over the Counter’ derivative financial instruments with ABC Bank Limited where the derivative positions with ABC Bank Ltd are in a net gain position to the reporting superannuation entity (i.e. the reporting superannuation entity stands to receive funds or securities from ABC Bank Limited to settle the derivative position);
The value of funds placed or deposited with ABC Bank Limited;
The net market value of the investment in debt securities issued by or guaranteed by ABC Bank Limited;
The value of listed equity securities of ABC Bank Limited held by the superannuation entity are not included in this aggregate calculation, as APRA considers it is unreasonable to extend the exposure concentration analysis to these type of holdings, even though the market value of such an investment would be adversely effected by a downgrading in the credit rating of ABC Bank Limited.
While the value of the superannuation entity’s holding of listed equity securities of ABC Bank Limited is not required to be aggregated as outlined above with other investments in ABC Bank Limited, the value of the holdings of listed equity securities of ABC Bank Limited will need to be individually reported in this form where the value of such a holding represents one of the 10 largest exposures of the superannuation entity.
Explanation of columns and line items
Important!
Exposure concentrations of investments should only be reported under SRF 320.0 Exposure Concentrations column (5) ‘Net market value’ if they represent greater than 5% of total assets calculated using SRF 310.0 Statement of Financial Position item 5 ‘Total assets’ i.e. each individual line item disclosed must be greater than 5% of total assets.
Important!
The total sum of SRF 320.0 Exposure Concentrations column (5) ‘Net market value’ must not exceed the total assets reported in SRF 310.0 Statement of Financial Position item 5 ‘Total assets’.
Type (description) of asset/exposure
The type (description) of on-balance sheet exposures is determined from the generic headings listed in the statement of financial position. Where none of the headings are applicable please provide a brief description:
(i) Securities purchased under agreement to resell
(ii) Receivables
Investment income receivables;
Contributions; and
Other (provide a description).
(iii) Investments
Placements, deposits, loans and debt securities;
Equity securities of listed corporations and units in listed unit trusts;
Equity securities of unlisted corporations, units in unlisted private trusts and interests in ventures;
Direct holdings of property:
Which is not completed;
Which is completed;
Investment and/or insurance policies held in statutory fund of life companies;
Investments in Pooled Super Trusts;
Investments in unlisted retail/public offer unit trusts;
Investments in wholesale trusts; and
Investments in leased assets.
(iv) Direct holdings of derivative financial instruments
(v) Borrowings
Securities sold under agreements to repurchase; and
Other.
(vi) Total Payables and Creditors
(vii) Members benefits payable
Example reporting for column (1) and (2) below
Type (description of exposure)(1)
Name of Entity/Counterparty (where applicable)(2)
equity securities of listed corporations and units in listed unit trusts
XYZ Limited
Placements, Loans and debt securities
George Smith
Property holdings
Acme Hotels
Name of entity/counterparty (where applicable)
Where applicable, provide the name of the entity or counterparty for each exposure listed.
ABN (where applicable)
Where the exposure is to an entity, provide the Australian Business Number (ABN) of that entity. When there is no ABN for the entity in question, leave this field blank.
Completion of the ABN fields is not mandatory to lodge returns. If the ABN is not recorded in the superannuation entities’ system, or is not known, leave the ABN blank. A Warning confirmation validation rule in D2A will request confirmation that the investment entity has not applied for an ABN. Tick the box as confirmation and enter the comment that ABN is not known.
Externally managed exposure
Where appropriate select “Y” for yes or “N” for no in this column for each exposure listed. For the purposes of this form, “Externally Managed Exposure” means an asset or investment in a Pooled Superannuation Trusts (PST), Wholesale trusts, units in retail/public offer trusts, listed or unlisted trusts, corporations, and managed investment schemes.
Net market/fair value
Report the net market value of each large exposure as at the end of the financial year (report the net fair value if there is no net market value available).
Report exposures in descending order with the largest exposures listed first.
For this item, report asset exposures as a positive number and liability exposures as a negative number.
Related party to the entity
For the purposes of this form a related party of the superannuation entity includes an exposure(s) with the following categories. Input “Yes” where the exposure is with a related party, otherwise input “No”.
(A) Trustee of the reporting superannuation entity
This selection will be applicable where the exposure is between the reporting superannuation entity and the Trustee of the reporting superannuation entity.
For the purpose of this section, trustee of the reporting superannuation entity includes:
A corporate trustee;
A director of the corporate trustee;
An individual acting as a trustee rather than a corporate trustee; and
The spouse of a Trustee, or a spouse of a director of the corporate trustee of the reporting superannuation entity.
(B) Trustee or director of a group entity of the approved trustee
This selection will be applicable where the exposure between the reporting superannuation entity and directors of an entity that is part of the consolidated group economic entity of the approved trustee. This includes exposures with the following directors who are not also a trustee or a director of the corporate trustee of the reporting superannuation entity (where they are such exposures are to be recorded under point A above):
Directors of the parent entity(s) of the approved trustee;
Directors of subsidiaries of the parent entity of the approved trustee.
(C) Group entities of the consolidated group economic entity
This selection will be applicable where the exposure between the reporting superannuation entity and an entity that is part of the consolidated group economic entity to which the approved trustee belongs. This will include the following group entities:
The parent entity(s) of the approved trustee;
Controlled entities of the parent entity(s) of the approved trustee; and
Joint ventures or associates of the parent entity(s) of the approved trustee.
Do not include transactions that are reported in item D.
(D) A related entity of the trustee or a of director of the corporate trustee, of the superannuation entity and that entity is not a group entity
This selection will be applicable where the exposure between the reporting superannuation entity and an entity that is related to a trustee or a director of the corporate trustee of the reporting superannuation entity, but that entity is NOT part of the consolidated group economic entity to which the approved trustee belongs. This does not include entities that are listed in point (C).
An entity that is related to a Trustee, or a director of the corporate trustee of the reporting superannuation entity is to be interpreted as including:
The trustee, or director of the corporate trustee of the reporting superannuation entity, is a director of that entity/business;
The spouse of a trustee, or the spouse of a director of the corporate trustee of the reporting superannuation entity, is a director of that entity/business.
(E) Subsidiary, associate or joint venture of the reporting superannuation entity
This selection will be applicable where the exposure between the reporting superannuation entity and any subsidiaries, associates or joint ventures of the reporting superannuation entity.
APRA Counterparty rating grade
Report in this column where applicable, the APRA rating grade of a large counterparty exposure of the superannuation entity (i.e. report ratings 1 to 6 where applicable). The table below lists the APRA rating grade and the corresponding common rating grades from rating agencies.
If a rating grade is unknown or not available use rating grade 6. Where investment managers cannot confirm their ratings a rating grade 6 should also be used.
Classification of rating grade of counterparty
The APRA counterparty grades set out in the table below are to be used in classifying the rating grade for the purposes of this form. This table discloses the corresponding counterparty ratings of a number of rating agencies and the general classification APRA will apply to these ratings. The superannuation entity should request these rating grades directly from the counterparty (i.e. the other party with whom the transaction is being made) or investment manager, and should not rely on consumer rating agencies which rate collective investments.
APRA Classification
Standard & Poor’s
Moody’s
AM Best
Fitch
1
AAA
Aaa
A++
AAA
2
AA+AAAA-
Aa1Aa2Aa3
A+
AA+AAAA-
3
A+AA-
A1A2A3
AA-
A+AA-
4
BBB+BBBBBB-
Baa1Baa2Baa3
B++
BBB+BBBBBB-
5
BB+ or below
Ba1 or below
B+ or below
BB+ or below
6
Unrated
Unrated
Unrated
Unrated
Where the superannuation entity has investments with multiple rating from two or more of the rating agencies in the table above, the superannuation entity should consistently apply the rating of a single agency wherever possible. For example, a superannuation entity may have a number of counterparties that are rated by S&P and Fitch. In this case the entity should use a single agency that will be consistently applied whenever the individual ratings conflict.
The ratings in the above table from the respective rating agencies are generally consistent with long term rating/debt securities. Where superannuation entities invest in counterparties/securities that have only been issued with short term counterparty rating, then superannuation entities should attempt to match these ratings into the above grades.
Unknown rating grade
If a rating grade is unknown or not available use rating grade 6. Where investment managers cannot confirm their ratings a rating grade 6 should also be used.