Subdivision General directions and notes - Financial Sector (Collection of Data) determination No. 82 of 2005 - Reporting Standard ARS 320.1 (2005) - Debt Securities Held - General directions and notes | Zoe
Financial Sector (Collection of Data) determination No. 82 of 2005 - Reporting Standard ARS 320.1 (2005) - Debt Securities Held
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The Debt Securities Held form is to be completed by all locally incorporated banks, Foreign ADIs and Special Service Providers on a Domestic Books basis.
The Domestic books of the locally incorporated banks, Foreign ADIs and Special Service Providers relates to the Australian books of the Australian ADI and has the following scope:
Is an unconsolidated report of the Australian licensed ADI's operations/transactions that are booked inside Australia.
Exclude offshore branches of the Australian licensed ADI from this reporting unit.
Exclude offshore banking units based overseas from this reporting unit.
Do not consolidate Australian and offshore controlled entities or associated entities that are not ADIs.
Include Australian based offshore banking units of the licensed ADI.
Include transactions with non-residents recorded on Australian books.
Reporting period
The form is to be completed as at the last day of the reporting month. Net purchases should be reported for the reporting month up to and including the last day of the reporting month. Locally incorporated banks, Foreign ADIs and Special Service Providers should submit the completed form to APRA within 10 business days after the end of the relevant reporting month.
Unit of measurement
Banks are asked to complete the form in millions of Australian dollars rounded to one decimal place. Special Service Providers are asked to complete the form in whole Australian dollars (no decimal place).
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 1012 ‘Foreign Currency Translation’.
The general requirements of AASB 1012 for translation are:
Foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date.
Other items outstanding at the reporting date must not be retranslated subsequent to initial recognition of the transaction.
Monetary items are defined to mean money held and assets and liabilities that are to be received or paid in fixed or determinable amounts of money.
Monetary items arising under foreign currency derivative contracts at the reporting date must be translated as follows:
Where the exchange rate is fixed in the contract, at that fixed exchange rate; and
Where the exchange rate varies, at the spot rate at the reporting date.
Timing
Report assets and liabilities, and transactions in assets and liabilities as at the date of change of ownership.
Netting
Unless otherwise specifically stated, institutions are to comply with the prerequisite for netting outlined in Australian accounting standards AASB 1014 ‘Set-off and Extinguishment of Debt’ and AASB 1033 ‘Presentation and Disclosure of Financial Instruments’.
Term to maturity
References to term to maturity in this form are references to original term to maturity. Note that this approach differs from the treatment of debt securities (liabilities) on ARF 320.0 Statement of Financial Position (Domestic Books), which requires data on a residual maturity basis. This difference arises because the standards underlying this form are based on international statistical standards rather than accounting standards.
Valuation and currency conversion
Closing balances should be reported at market price effective at the reference date. Where denominated in foreign currency, market values in foreign currency should be converted to AUD at the spot rate effective as at the reference date.
For debt securities, the market price is the traded price quoted on the reference date. If the traded price does not take account of interest accrued up to the ex-coupon date but not yet payable, this interest accrued should be included. If the traded price is not available, other methods of approximation include (in order of preference):
Using a market rate of interest (yield to maturity), the net present value of the expected stream of future payments associated with the securities;
For unlisted securities, the price used to value securities for accounting or regulatory purposes;
For discount, deep discount or zero coupon securities, the issue price plus amortisation of the discount; or
Other mark to market method.
Net purchases is the net result of dealing in the securities, i.e. purchases less sales. Transactions should be reported at the transaction price in AUD, converted at the appropriate spot rate at the time of the transaction, before the addition or subtraction of transaction costs such as brokerage. Net purchases should include all financial transactions in debt securities, including any funds repaid by the issuer when a security held reaches maturity.
The market valuation of closing position and net purchases should include any interest accrued up to the ex-coupon date to reflect the total market value of the position or transaction.
Basis of preparation
Unless otherwise specifically stated, institutions are to comply with Australian accounting standards regarding the measurement of asset, liability and equity items.
Specific instructions
Refer to the sector definitions in the ARF 320.0 Statement of Financial Position (Domestic Books) instructions as a general guide for reporting by sector. In particular, care should be taken to determine whether debt securities that appear to be issued by State, territory and local government are actually issued by Central Borrowing Authorities. State central borrowing authorities have taken over almost all bond issuance for funding required by state, territory and local governments.
The items listed under Include and Exclude are examples and should not be taken as a complete list of items to be included or excluded.
Short term debt securities
Report all trading and investment securities with an original term to maturity less than or equal to than 1 year at market value.
Include:
Bills of Exchange, bank-accepted and other;
Certificates of deposits with an original term to maturity of 1 year or less;
Commercial paper including promissory notes and asset-backed commercial paper;
Treasury Notes;
Other short-term commercial or financial paper;
Short sold positions; and
Short-term debt securities (stock) lent or sold under repurchase agreements (these amounts should also be reported in ARF 320.5 Securities subject to Repurchase and Resale and Stock Lending and Borrowing).
Exclude:
Short-term debt securities borrowed or purchased under resale agreements (these amounts should be reported in ARF 320.5 Securities subject to Repurchase and Resale and Stock Lending and Borrowing); and
11am accounts and 24-hour money.
Short term debt securities: Bills of exchange - bank accepted and other
Report bills of exchange at market value.
Include:
Holdings of bills of exchange accepted by this ADI.
Short term debt securities: Non-residents
Report all trading and investment securities with an original term to maturity less than 1 year at market value.
Long term debt securities
Report all trading and investment securities with an original term to maturity of more than 1 year at market value. Report the net transactions during the month by sector of issuer (excluding transactions via repurchase/stock lending agreements).
Include:
Convertible notes prior to conversion;
Certificates of deposits with an original term to maturity of more than 1 year;
Government and semi-government inscribed stock;
Medium term notes (MTN), bonds, debentures and unsecured notes;
Inflation-indexed bonds;
Floating rate notes (FRN) and other floating-rate debt securities;
Asset-backed securities such as mortgage backed bonds;
Credit-linked notes and other debt securities with embedded financial derivatives;
Other long-term debt securities;
Securities (stock) lent or sold under repurchase agreements (these amounts should be reported in ARF 320.5 Securities subject to Repurchase and Resale and Stock Lending and Borrowing); and
Short sold positions as a negative asset against the appropriate debt security item.
Exclude:
Securities borrowed or purchased under resale agreements (these amounts should be reported in ARF 320.5 Securities subject to Repurchase and Resale and Stock Lending and Borrowing); and
Options, swaps, rights, warrants and other financial derivatives.
Reconciliation with ARF 320.0 Statement of Financial Position (Domestic Books)
Total debt securities held (market value)
The sum of:
Total short-term debt securities held (ARF 320.1 Debt Securities Held); and
Total long-term debt securities held (ARF 320.1 Debt Securities Held).
Less the sum of:
Short-term debt securities held and issued by non-residents (ARF 320.1 Debt Securities Held); and
Long-term debt securities held and issued by non-residents (ARF 320.1 Debt Securities Held).
Equals
The sum of:
Trading securities - Debt Securities (ARF 320.0 Statement of Financial Position (Domestic Books)); and
Investment securities - Debt Securities (ARF 320.0 Statement of Financial Position (Domestic Books)) adjusted from book value to market value.
Note on References to Accounting Standards
This Note is about references in these instructions to an accounting standard or accounting standards, e.g. where the instructions say that something must be done in accordance with a particular AASB or international accounting standard, or must be done in accordance with the accounting standards (however described) generally.
Where you see such a reference, you must read it as meaning the version of the accounting standard, or versions of the accounting standards, applying to reporting periods (within the meaning of the accounting standards) beginning immediately before 1 January 2005.
Accordingly, the new AASB standards for 2005 are not to be applied.
Similarly, a reference to principles or conventions (however described) governing an accounting procedure or treatment shall be taken to refer to principles or conventions applicable in relation to reporting periods (within the meaning of the accounting standards) that began immediately before 1 January 2005.