Financial Sector (Collection of Data) (reporting standard) determination No. 11 of 2015 - SRS 530.0 - Investments
1Financial Sector (Collection of Data) (reporting standard) determination No. 11 of 2015 - SRS 530.0 - Investments
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Financial Sector (Collection of Data) (reporting standard) determination No. 11 of 2015
Reporting Standard SRS 530.0 Investments
Financial Sector (Collection of Data) Act 2001
I, Charles Littrell, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:
(a) REVOKE Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2014, including Reporting Standard SRS 530.0 Investments made under that Determination; and
(b) DETERMINE Reporting Standard SRS 530.0 Investments, in the form set out in the Schedule, which applies to the financial sector entities to the extent provided in paragraph 3 of the reporting standard.
Under section 15 of the Act, I DECLARE that the reporting standard shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on 1 July 2015.
This instrument commences on the date of registration on the Federal Register of Legislative Instruments.
Dated: 24 June 2015
[Signed]
Charles Littrell
Executive General Manager
Policy, Statistics and International Division
Interpretation
In this Determination:
APRA means the Australian Prudential Regulation Authority.
financial sector entity has the meaning given by section 5 of the Act.
Schedule
Reporting Standard SRS 530.0 Investments comprises the 27 pages commencing on the following page.
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Reporting Standard SRS 530.0
Investments
Objective of this Reporting Standard
This Reporting Standard sets out the requirements for the provision of information to APRA relating to the asset allocation and investments of registrable superannuation entity.
It includes Form SRF 530.0 Investments and associated specific instructions and must be read in conjunction with Prudential Standard SPS 530 Investment Governance.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Form SRF 530.0 Investments (SRF 530.0) is used by APRA for the purposes of prudential supervision and publication, including assessing compliance with Prudential Standard SPS 530 Investment Governance.
Application and commencement
This Reporting Standard applies to each registrable superannuation entity (RSE) licensee (RSE licensee) in respect of each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF) within its business operations.[1]
This Reporting Standard applies for reporting periods ending on or after 1 July 2015.
Information required
An RSE licensee to which this Reporting Standard applies must provide APRA with the information required by SRF 530.0 in respect of each reporting period.
Forms and method of submission
The information required by this Reporting Standard must be given to APRA in electronic format using the ‘Direct to APRA’ application or, where ‘Direct to APRA’ is not available, by a method notified by APRA, in writing, prior to submission.
Note: the ‘Direct to APRA’ application software (also known as ‘D2A’) may be obtained from APRA.
Reporting periods and due dates
Subject to paragraph 8, an RSE licensee to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each RSE, defined benefit RSE, PST or ERF within its business operations (the entity), for:
(a) each quarter based on the year of income of the entity; and
(b) each year of income of the entity.
If, having regard to the particular circumstances of an RSE, defined benefit RSE, PST or ERF, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by paragraph 7(a) or 7(b), APRA may, by notice in writing, change the reporting periods for the particular RSE, defined benefit RSE, PST or ERF.
The information required by this Reporting Standard must be provided to APRA:
(a) in the case of quarterly information:
(i) for reporting periods ending on or after 1 July 2015 but before 1 July 2017 – within 35 calendar days after the end of the quarter to which the information relates[2]; and
(ii) for reporting periods ending on or after 1 July 2017 – within 28 calendar days after the end of the quarter to which the information relates;
(b) in the case of annual information, within three months after the end of the year of income to which the information relates; and
(c) in the case of information provided in accordance with paragraph 8, within the time specified by notice in writing.
APRA may grant, in writing, an RSE licensee an extension of a due date with respect to one or more RSEs, defined benefit RSEs, PSTs or ERFs within its business operations, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
The information provided by an RSE licensee under this Reporting Standard must be the product of systems, procedures and internal controls that have been reviewed and tested by the RSE auditor of the RSE, defined benefit RSE, PST or ERF to which the information relates.[3] This will require the RSE auditor to review and test the RSE licensee’s systems, procedures and internal controls designed to enable the RSE licensee to report reliable information to APRA. This review and testing must be done on:
(a) an annual basis or more frequently if necessary to enable the RSE auditor to form an opinion on the reliability and accuracy of information; and
(b) at least a limited assurance engagement consistent with professional standards and guidance notes issued by the Auditing and Assurance Standards Board as may be amended from time to time, to the extent that they are not inconsistent with the requirements of SPS 310.
All information provided by an RSE licensee under this Reporting Standard must be subject to systems, processes and controls developed by the RSE licensee for the internal review and authorisation of that information. It is the responsibility of the Board and senior management of the RSE licensee to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.
Authorisation
When an officer or agent of an RSE licensee provides the information required by this Reporting Standard using the ‘Direct to APRA’ software, it will be necessary for the officer or agent to digitally sign the relevant information using a digital certificate acceptable to APRA.
If the information required by this Reporting Standard is provided by an agent who submits using the ‘Direct to APRA’ software on the RSE licensee’s behalf, the RSE licensee must:
(a) obtain from the agent a copy of the completed form with the information provided to APRA; and
(b) retain the completed copy.
An officer or agent of an RSE licensee who submits the information under this Reporting Standard for, on behalf of, the RSE licensee must be authorised by either:
(a) the Chief Executive Officer of the RSE licensee; or
(b) the Chief Financial Officer of the RSE licensee.
Variations
APRA may, by written notice to an RSE licensee, vary the reporting requirements of SRF 530.0 in relation to that RSE licensee or one or more RSEs, defined benefit RSEs, PSTs or ERFs within that RSE licensee’s business operations.
Interpretation
In this Reporting Standard:
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998;
Chief Executive Officer means the chief executive officer of the RSE licensee, by whatever name called, and whether or not he or she is a member of the Board of the RSE licensee[4];
Chief Financial Officer means the chief financial officer of the RSE licensee, by whatever name called;
defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;
due date means the relevant date under paragraph 9 or, if applicable, paragraph 10;
eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act;
pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;
reporting period means a period mentioned in paragraph 7(a) or 7(b) or, if applicable, paragraph 8;
RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[5];
RSE auditor means an auditor appointed by the RSE licensee to perform functions under this Reporting Standard;
RSE licensee has the meaning given in section 10(1) of the SIS Act;
SIS Act means Superannuation Industry (Supervision) Act 1993;
SIS Regulations means Superannuation Industry (Supervision) Regulations 1994; and
year of income has the meaning given in section 10(1) of the SIS Act.
These instructions assist completion of Reporting Form SRF 530.0 Investments (SRF 530.0). SRF 530.0 collects information on the asset allocation and manner of investments of a registrable superannuation entity (RSE). Information reported in SRF 530.0 is required primarily for prudential, publication and statistical purposes.
Reporting level
SRF 530.0 must be completed for each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF).
Reporting basis and unit of measurement
Report all items on SRF 530.0 in accordance with the Australian Accounting Standards unless otherwise specified.
Assets and liabilities denominated in currencies other than AUD are to be converted to AUD using the mid-point rate (of market buying and selling spot quotations) effective as at the end of the reporting period. An RSE licensee is free to use those AUD exchange rates that it judges to be a representative closing mid-market rate as at the end of the reporting period. However, to ensure consistency across related returns and to assist in the reconciliation between these returns, an RSE licensee should attempt to use the same exchange rates across all returns to APRA.
Items on SRF 530.0 must be reported as at the end of the reporting period.
Items on SRF 530.0 are to be reported as thousands of dollars, a percentage or a whole number. Report percentages as a whole number to one decimal place, i.e. 10 per cent is to be reported as 10.0.
Certain items in SRF 530.0 are to be reported on an APRA-look through basis. Reporting on an APRA-look through basis means:
(a) where the ultimate investment is held directly by the RSE licensee, reporting that investment;
(b) where the ultimate investment is held by a person connected with the RSE licensee, reporting that investment; and
(c) where the ultimate investment is not held by the RSE licensee or a person connected with the RSE licensee, reporting the most proximate investment, of a person connected with the RSE licensee, to the ultimate investment.[6]
These instructions specify the unit of measurement and APRA-look through basis that applies to each item.
Specific instructions
Terms highlighted in bold italics indicate that the definition is provided in these instructions. Additional definitions are provided at the end of these instructions.
Do not report directly held investments in derivative financial instruments on SRF 530.0; report them instead on Reporting Form SRF 534.0 Derivative Financial Instruments.
Where the relevant organisation does not have an ABN, leave the ABN field blank e.g. where the organisation is domiciled in an overseas jurisdiction.
Total investments
Item 1 collects the domicile of investments and the extent of individually managed mandates within total investments.
Unit of measurement: report item 1 in thousands of dollars.
APRA-look through basis: report item 1 on a non APRA-look through basis.
Item 1
Item 1.1 column 1 is a derived item. Report the value of total investments in item 1.1 column 1 as the sum of:the value of total directly held investments reported in item 2.1; andthe value of total indirectly held investments reported in item 3.1.Item 1.1 column 1 must equal total investments reported in item 2 on Reporting Form SRF 320.0 Statement of Financial Position.Item 1.1 column 2 is a derived item. Report the portion of total investments that is domicile type Australia domicile in item 1.1 column 2 as the sum of:the value of total directly held investments reported in item 2 column 9 where domicile type in item 2 column 2 is reported as Australia domicile; andthe value of total indirectly held investments reported in item 3 column 8 where investment vehicle domicile type in item 3 column 2 is reported as Australia domicile.Item 1.1.1 column 1 is a derived item. Report the portion of total investments that is invested via an individually managed mandate in item 1.1.1 column 1 as the sum of:the value of total directly held investments which are individually managed mandates reported in item 2.1; andthe value of total indirectly held investments which are individually managed mandates reported in item 3.1.Item 1.1.1 column 2 is a derived item. Report the portion of total investments that is invested via an individually managed mandate that is domicile type Australia domicile in item 1.1.1 column 2 as the sum of:the value of total directly held investments which are individually managed mandates reported in item 2 column 11 where domicile type in item 2 column 2 is reported as Australia domicile; andthe value of total indirectly held investments which are individually managed mandates reported in item 3 column 10 where investment vehicle domicile type in item 3 column 2 is reported as Australia domicile.
Investments
Represents the purchase of a financial product or other item of value with an expectation of favourable future returns. Excludes: derivative assets, derivative liabilities and property, plant and equipment.
Individually managed mandate
Represents an asset portfolio managed by an investment manager in accordance with a formal agreement. Excludes: derivative assets and derivative liabilities.
Directly held
Represents investments made by the RSE in its own name. Includes: investments held by a custodian in trust for the RSE.
Indirectly held
Represents an investment made via an investment vehicle.
Directly held investments by type
Item 2 collects the asset class, domicile, listing, fixed income type, currency and term, mortgage and international economy type for directly held investments.
Unit of measurement: report column 9 and column 11 in thousands of dollars; report column 10 as a percentage.
APRA-look through: report item 2 on a non APRA-look through basis.
Item 2
Report directly held investments in item 2. Indirectly held investments must be reported in item 3.Report, for each combination of asset class type, asset domicile type, asset listing type, fixed income type, fixed income currency type, fixed income term, mortgage type and international economy type: the asset class type in column 1, the asset domicile type in column 2, the asset listing type in column 3, the fixed income type in column 4, the fixed income term in column 5, the fixed income currency type in column 6, the mortgage type in column 7, the international economy type in column 8 and the value of the investment in column 9, the proportion of the investment which is currency hedged in column 10 and the portion of the investment which is invested via individually managed mandates in column 11.Item 2.1 is a derived item. Report total directly held investments in item 2.1 as the sum of values reported in item 2 column 9 and column 11 respectively.The asset class types are: cash, fixed income, equity, property, infrastructure, commodities and ‘other’.The asset domicile types are: Australia domicile, international domicile and ‘not applicable’. Where the domicile is not known, report domicile type as ‘not applicable’.The asset listing types are: listed, unlisted and ‘not applicable’. Report asset listing type as ‘not applicable’ for asset class type ‘cash’. Where the asset listing is not known, report asset listing type as ‘not applicable’.The fixed income types are: Government debt, non Government debt, mortgage debt, credit and ‘not applicable’. Fixed income types are only applicable to the asset class type fixed income. For asset class type fixed income, where the fixed income type is not known, report fixed income type as ‘not applicable’.The fixed income terms are: short term, long term and ‘not applicable’. Fixed income terms are only applicable to the asset class type fixed income. For asset class type fixed income, where the fixed income term is not known, report fixed income term as ‘not applicable’.The fixed income currency types are: Australian dollars, other currency and ‘not applicable’. Fixed income currency types are only applicable to the asset class type fixed income. For asset class type fixed income, where the fixed income currency is not known, report fixed income currency as ‘not applicable’.The mortgage types are: residential mortgage, commercial mortgage and ‘not applicable’. Mortgage types are only applicable to the fixed income type mortgage debt. For the fixed income type mortgage debt, where the mortgage type is not known, report mortgage type as ‘not applicable’.The international economy types are: emerging markets, developed markets and ‘not applicable’. International economy types are only applicable to the asset domicile type international domicile. For the asset domicile type international domicile, where the international economy type is not known, report international economy type as ‘not applicable’.An investment is to be reported as asset class type ‘other’ for reasons including, but not limited to, (a) an RSE licensee does not have sufficient information about an investment to classify it into one or more asset classes; or (b) an investment is in a different category than the relevant combinations of: asset class type, domicile type, listing type, fixed income type, fixed income term, fixed income currency type, mortgage type and international economy type.Exclude from asset class type ‘other’ investments in multi-asset class investment vehicles such as cash management trust, life company guaranteed, life company investment linked, life company other, listed retail trust, pooled superannuation trust, unlisted retail trust and wholesale trust. Investments in these investment vehicles must be allocated to each asset class, domicile, listing, fixed income, fixed income term, fixed income currency, mortgage and international economy type represented in the underlying investment.Examples of other investments include: hedge funds, mezzanine debt, convertible debt.Examples of listed equity investments include: common shares, preference shares. Exchange traded funds (ETFs) and listed trusts are to be allocated to the asset class of the underlying asset. Include equity ETFs, and listed equity trusts in listed equity. Exclude non-equity ETFs and listed trusts such as: fixed income ETFs, commodity ETFs, listed property trusts and listed infrastructure trusts.Examples of unlisted equity investments include: venture capital, private equity.Examples of commodities include: precious metals, agricultural natural resources, energy, livestock, commodity ETFs, exchange traded commodities (ETCs).
Currency hedged
Represents where derivative financial instruments are used to reduce the risk of adverse currency movements.
Indirectly held investments by type
Item 3 collects the investment vehicle, domicile of investment vehicle, asset class, asset domicile, asset listing, fixed income type and fixed income currency for indirectly held investments.
Unit of measurement: report column 8 and column 10 in thousands of dollars; report column 9 as a percentage.
APRA-look through: report item 3 on an APRA-look through basis, with reference to the investments underlying an investment vehicle. Investments in investment vehicles must be allocated to each combination of asset class type, asset domicile type, asset listing, fixed income and fixed income currency type represented in the underlying investments.
Item 3
Report indirectly held investments in item 3. Directly held investments must be reported in item 2.Report, for each combination of investment vehicle type, investment vehicle domicile type, asset class type, asset domicile type, asset listing type, fixed income type, fixed income currency type: the investment vehicle type in column 1, the domicile of the investment vehicle in column 2, the asset class type in column 3, the asset domicile type in column 4, the asset listing type in column 5, the fixed income type in column 6, the fixed income currency type in column 7, the value of the investment in column 8, the proportion of the investment which is currency hedged in column 9 and the portion of the investment which is invested via individually managed mandates in column 10.If currency hedging is implemented at option level, the same percentage must be reported for all international asset classes within the option. Likewise, if currency hedging is implemented at asset class level, reporting must reflect the hedging ratio for that particular asset class.When apportioning the value of indirectly held investments between asset class types, apportion using asset valuations based on Australian Accounting Standards. If this information is not available, apportion the value of indirectly held investments using the effective exposure of assets.Item 3.1 is a derived item. Report total indirectly held investments in item 3.1 as the sum of values reported in item 3 column 8 and column 10 respectively.The investment vehicle types are: cash management trust, life company guaranteed, life company investment linked, life company other, listed retail trust, pooled superannuation trust, unlisted retail trust, wholesale trust and ‘other indirect investment’.The investment vehicle domicile types are: Australia domicile, international domicile and ‘not applicable’. Where the domicile is not known, report domicile type as ‘not applicable’.The asset class types are: cash, fixed income, equity, property, infrastructure, commodities and ‘other’.The asset domicile types are: Australia domicile, international domicile and ‘not applicable’. Where the domicile is not known, report domicile type as ‘not applicable’.The asset listing types are: listed, unlisted and ‘not applicable’. Report asset listing type as ‘not applicable’ for asset class type ‘cash’. Where the asset listing is not known, report asset listing type as ‘not applicable’.The fixed income types are: Government debt, non Government debt, mortgage debt, credit and ‘not applicable’. Fixed income types are only applicable to the asset class type fixed income. For asset class type fixed income, where the fixed income type is not known, report fixed income type as ‘not applicable’.The fixed income currency types are: Australian dollars, other currency and ‘not applicable’. Fixed income currency types are only applicable to the asset class type fixed income. For asset class type fixed income, where the fixed income currency is not known, report fixed income currency as ‘not applicable’.Investments in investment vehicles must be allocated to each combination of asset class type, asset domicile type, asset listing type, fixed income type and fixed income currency type represented in the underlying investments.An investment must be reported as asset class type ‘other’ for reasons including, but not limited to, (a) an RSE licensee does not have sufficient information about an investment to classify it into the specified asset classes; or (b) an investment is in a different category than the required combinations of: asset class type, domicile type, listing type, fixed income type and currency.Exclude from asset class type ‘other’ an investment in a multi-asset class investment vehicle including, but not limited to: cash management trust, life company guaranteed, life company investment linked, life company other, listed retail trust, pooled superannuation trust, unlisted retail trust and wholesale trust. Investments in these investment vehicles must be allocated to each asset class, domicile, listing type, fixed income type and currency represented in the underlying investment.Examples of other investments include: hedge funds, mezzanine debt, convertible debt.Examples of listed equity investments include: common shares, preference shares. ETFs and listed trusts are to be allocated to the asset class of the underlying asset. Include equity ETFs, and listed equity trusts in listed equity. Exclude non-equity ETFs and listed trusts such as: fixed income ETFs, commodity ETFs, listed property trusts and listed infrastructure trusts.Examples of unlisted equity investments include: venture capital, private equity.Examples of commodities include: precious metals, agricultural natural resources, energy, livestock, commodity ETFs, ETCs.
Effective exposure
Represents the sum of the value of all physical assets together with the equivalent asset position of the derivative instruments. The equivalent asset position of a derivative is the dollar amount of the underlying physical asset that needs to be held to generate the same return as holding the derivative.
Other investments
Item 4 collects the investments classified as asset class type ‘other’.
Unit of measurement: for item 4.1, item 4.2 and item 4.3, report column 2 in thousands of dollars.
APRA-look through: For item 4.1, item 4.2 and item 4.3, report column 2 to column 5 inclusive on a non APRA-look through basis.
Item 4
For each investment classified as asset class type ‘other’ in item 2 or item 3, report the investment on a separate line in item 4.1, item 4.2 or item 4.3 as relevant.If the RSE licensee has sufficient information to classify the investment into an asset class, but the asset class is not cash, fixed income, equity, property, infrastructure or commodities, report the investment in item 4.1.If the RSE licensee has information about the investment but inadequate to classify the investment into any asset class, report the investment in item 4.2.If the RSE licensee does not have sufficient information about the investment, report the investment in item 4.3.For item 4.1, item 4.2 and item 4.3, report the name of the investment in column 1, the value of the investment in column 2, the manner of investment in column 3, the investment vehicle type in column 4 and the domicile type of the investment in column 5.For item 4.1, report the name of the other asset class in column 6.For item 4.2, report details of the reason that the investment is classified as ‘other’ in column 6.The manners of investment are: directly held and indirectly held.The investment vehicle types are: cash management trust, life company guaranteed, life company investment linked, life company other, listed retail trust, pooled superannuation trust, unlisted retail trust, wholesale trust, ‘other indirect investment’ and ‘not applicable’.The domicile types are: Australia domicile, international domicile and ‘not applicable’. Where directly held is reported in item 4.1, item 4.2 or item 4.3 column 3 the domicile type reported in column 5 refers to the domicile of the assets; where indirectly held investments is reported in item 4.1, item 4.2 or item 4.3 column 3 the domicile type reported in column 5 refers to the domicile of the investment vehicle.The sum of the total value reported in item 4.1 column 2, item 4.2 column 2 and item 4.3 column 2 must equal the sum of item 2 column 9 and item 3 column 8 where the asset class type is reported as ‘other’.Examples of asset class type ‘other’ include: hedge funds, mezzanine debt, convertible debt.
Listed illiquid investments
Item 5 collects listed investments, directly held and indirectly held, that are illiquid.
Unit of measurement: report item 5.1 and item 5.2 column 4 as thousands of dollars; report item 5.2 column 5 and item 5.2 column 6 as whole numbers.
APRA-look through basis: report item 5.1 and item 5.2 on a non APRA-look through basis; for directly held investments report if the investment is illiquid and for indirectly held investments report if the investment vehicle is illiquid.
Item 5
Do not report information about directly held investments that are unlisted or investments in unlisted investment vehicles in item 4. Report in item 4 information about listed investments or investments in listed investment vehicles where these investments have become illiquid.Examples of reasons for a listed investment becoming illiquid are: an equity that is suspended from trading, an equity that has a trading halt for more than 30 days, a listed trust that is closed to redemption, a listed trust that has a redemption period of more than 30 days.Item 5.1 is a derived item. Report the value of total listed illiquid investments in item 5.1 as the sum of the values reported in item 5.2 column 4.Report the details of each listed illiquid investment in item 5.2. For each investment report the name of the investment in column 1, the ABN of the investment in column 2.If the listed illiquid investment is an associate of the RSE licensee or RSE, report ‘yes’; otherwise, report ‘no’ in column 3.Report the value of the listed illiquid investment in column 4, the number of investment options in the RSE that are invested in the investment in column 5, the number of diversified options in the RSE that are invested in the investment in column 6 and the exposure type in column 7.The exposure types are: ‘MySuper product’ if any MySuper product in the RSE are exposed to the investment; ‘defined benefit interests’ if any defined benefit interests in the RSE are exposed to the investment, ‘MySuper product and defined benefit interest’ if both MySuper product and defined benefit interests in the RSE are exposed to the investment and ‘neither’ if neither MySuper product or defined benefit interests in the RSE are exposed to the investment.
ABN
Represents a unique public identifier issued to an entity registered in the Australian Business Register to be used in dealings with government. A company registered under the Corporations Act 2001 or a business entity carrying on an enterprise in Australia is entitled to an ABN.
Illiquid investment
Represents an investment which cannot be redeemed within 30 days.
Investment option
Represents an investment option to which the requirements in s. 52(6) of the SIS Act apply.
Diversified option
Represents an investment option that invests in multiple assets across multiple asset classes.
MySuper product
Represents a MySuper product that has been authorised by APRA under s. 29T, s. 29TA or s. 29TB of the SIS Act.
Defined benefit interests
Represents a member interest that is a defined benefit interest or a defined benefit pension. Reference: SIS Regulations, r. 1.03AA, r. 9.04E.
Details of hedge fund investments
Item 6 collects each investment in a hedge fund.
Unit of measurement: report item 6 column 4 and item 6 column 5 as thousands of dollars.
APRA-look through basis: report item 6 on a non APRA-look through basis.
Item 6
The information in item 6 refers to terminology and categories used in the Open Protocol Enabling Risk Aggregation Standards.Where an RSE licensee has made an active decision to invest in a hedge fund, report each investment in a hedge fund on a separate line in item 6.For each investment report the name of the investment in column 1, the ABN of the investment in column 2.If the hedge fund is an associate of the RSE licensee or RSE, report ‘yes’; otherwise, report ‘no’ in column 3.Report the value of the investment in column 4, the value of the assets of the hedge fund in column 5, the primary hedge fund investment strategy type in column 6, the primary hedge fund asset class type in column 7, primary instruments type in column 8, primary hedge fund investment style type in column 9, primary hedge fund trading strategy type in column 10, primary hedge fund market exposure type in column 11 and primary holding period type in column 12.The primary hedge fund investment strategy types are: activist, convertible bond arbitrage, credit distressed, credit long or short, equity long or short, equity market neutral, event driven, fixed income arbitrage, global macro, managed futures or commodity trading advisor, risk arbitrage, volatility arbitrage, ‘multi strategy’ and ‘other’. ‘Multi strategy’ is a combination of two or more primary investment strategy types.The primary hedge fund asset class types are: equity, fixed income, sovereign rates, convertible bonds, commodities, real assets, currencies, insurance, ‘multi asset’ and ‘other’. ‘Multi asset’ is a combination of two or more primary hedge fund asset class types.The primary instrument types are: securities, derivatives, physical assets, securities and physical assets, securities and derivatives, derivatives and physical assets; and securities, derivatives and physical assets.The primary hedge fund investment style types are: systematic, discretionary top down, discretionary bottom up, ‘discretionary unspecified’ and ‘multiple’. ‘Discretionary unspecified’ investment style is a combination of discretionary top down and discretionary bottom up. ‘Multiple’ investment style is a combination of two or more primary investment style types. Where the primary investment style type is not known, report primary investment style type as ‘not applicable’The primary hedge fund trading strategy types are: directional, relative value and ‘multiple’. ‘Multiple’ is a combination of directional and relative value trading strategy types. Where the primary trading strategy type is not known, report primary trading strategy type as ‘not applicable’The primary hedge fund market exposure types are: long only, short only, long bias, short bias, variable bias, neutral and ‘multiple’. ‘Variable market exposure bias’ is a combination of long bias and short bias. ‘Multiple’ is a combination of two or more primary market exposure types.The primary holding period types are: more than 24 months, more than 12 months and less than or equal to 24 months, more than 9 months and less than or equal to 12 months, more than 6 months and less than or equal to 9 months, more than 3 months and less than or equal to 6 months, more than 1 month and less than or equal to 3 months, more than 1 week and less than or equal to 1 month, less than or equal to 1 week and ‘multiple’. ‘Multiple’ is a combination of two or more primary holding period types.
Hedge fund
Represents a collective investment that displays a combination of the following characteristics: (a) borrowing and leverage restrictions, which are typically included in collective-investment-schemes-related regulation, are not applied, may use high levels of leverage; (b) significant performance fees (often in the form of a percentage of profits) are paid to the manager in addition to an annual management fee; (c) investors are typically permitted to redeem their interests periodically (e.g. quarterly, semi-annually or annually); (d) significant ‘own’ funds are often invested by the managers; (e) derivatives are used, often for speculative purposes, and there is an ability to short sell securities; and (f) more diverse risks or complex underlying products are involved.
Glossary of additional terms
Asset class types
Cash
Represents cash on hand and demand deposits, as well as cash equivalents. Cash equivalents represent short-term, highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value. Reference: Australian Accounting Standards.
Fixed income
Represents a loan, placement or debt security. Loans are financial assets that are created when a creditor lends funds directly to a debtor, and are evidenced by documents that are non negotiable. Placements are liabilities of entities not described as authorised deposit-taking institutions, e.g. State treasuries. Debt securities are securities which represent borrowed funds which must be repaid by the issuer with defined terms including the notional amount (amount borrowed), an identifiable return and maturity/renewal date. Includes: short and long-term debt securities.
Equity
Represents an ownership interest in a business, trust or partnership. Includes: common shares, preference shares and units. Excludes: units in property trusts, units in infrastructure trusts.
Property
Represents an investment in real estate where the earnings and capital value are dependent on cash flows generated by the property through sale or rental income.
Infrastructure
Represents the basic physical systems of a country, state or region including transportation, communication, utilities, and public institutions.
Commodities
Represents natural resources that are either grown or extracted from the ground and are often used as inputs in the production of other goods or services.
Domicile type
Australian domicile
Represents investments issued in Australia.
International domicile
Represents investments issued outside Australia.
Asset listing type
Listed
Represents financial instrument that is traded through an Australian or international stock exchange.
Unlisted
Represents financial instrument that is not traded through an Australian or international stock exchange.
Fixed income type
Government debt
Represents a debt security issued by a federal, state, territory or local governments, or corporations owned or controlled by a federal, state, territory or local government.
Non Government debt
Represents a debt security issued by a corporation that is not owned or controlled by a federal, state, territory or local government.
Mortgage debt
Represents a debt security where specific mortgage assets are provided as collateral.
Credit
Represents a loan, a placement or a debt security where specific non-mortgage assets are provided as collateral.
Fixed income term
Short term
Represents a security with an original term to maturity of one year or less.
Long term
Represents a security with an original term to maturity of more than one year.
Fixed income currency type
Australian dollars
Represents an investment denominated in Australian dollars.
Other currency
Represents an investment denominated in a currency other than Australian dollars.
Mortgage type
Residential mortgage
Represents loans for the construction or purchase of residential dwellings.
Commercial mortgage
Represents loans for the construction or purchase of commercial buildings or other business real estate.
International economy type
Emerging markets
Represents developing countries and transition economies as defined by the United Nations Conference on Trade and Development under the economic groupings classification.
Developed markets
Represents developed economies as defined by the United Nations conference on Trade and Development under the economic groupings classification. Excludes: Australia.
Manner of investment
Directly held
Represents investments made by the RSE in its own name. Includes: investments held by a custodian in trust for the RSE.
Indirectly held
Represents an investment made via an investment vehicle.
Investment vehicles
Cash management trust
Represents a unit trust which is governed by a trust deed which generally confines its investments (as authorised by the trust deed) to financial securities available through the short-term money market. Cash management trusts issue units in the trust that are redeemable by the unit holder on demand.
Life company guaranteed
Represents the provision of benefits payable under an investment account contract, where an investment account contract is a contract within the meaning given in s. 14 (2) of the Life Insurance Act 1995.
Life company investment linked
Represents the provision of benefits payable under an investment-linked contract, where an investment-linked contract is a contract within the meaning given in s. 14 (4) of the Life Insurance Act 1995.
Life company other
Represents any investment in a life company that does not otherwise fall into the definition of ‘life company guaranteed’ or ‘life company investment linked’.
Listed retail trust
Represents a collective investment vehicle with units on issue listed on an Australian or an international stock exchange which provides exposure to a diversified portfolio of investments and can be accessed by retail clients, at low entry levels, as defined in the Corporations Act 2001.
Pooled superannuation trust
Represents a type of collective investment trust where an investment manager invests the assets of superannuation funds, approved deposit funds and other pooled superannuation trusts. Excludes: unitised investments with life companies where the original or primary investment is an insurance or investment policy.
Unlisted retail trust
Represents a collective investment vehicle that is not listed on an Australian or international stock exchange, provides exposure to a diversified portfolio of investments and can be accessed by retail clients, at low entry levels, as defined in the Corporations Act 2001.
Wholesale trust
Represents a collective investment vehicle that provides exposure to a diversified portfolio of investments and can be accessed by wholesale clients only, at high entry levels, as defined in the Corporations Act 2001.
Primary hedge fund investment strategy type
Activist
Represents an investment strategy that involves taking large positions in corporations and using the ownership to participate in the management of the corporation.
Convertible bond arbitrage
Represents an investment strategy that takes advantage of relative discrepancies in prices between convertible bonds and corresponding equity securities.
Credit distressed
Represents an investment strategy that invests in fixed income securities of corporations facing bankruptcy or severe financial distress.
Credit long/short
Represents an investment strategy invested in fixed income securities that uses market movements, trends or inconsistencies when picking securities, and hedges long positions with short sales of fixed income securities or derivatives.
Equity long/short
Represents an investment strategy invested in equity securities that uses market movements, trends or inconsistencies when picking securities, and hedges long positions with short sales of equity securities or derivatives.
Equity market neutral
Represents an investment strategy invested in equity securities that aims for little or no correlation to overall market exposure.
Event driven
Represents an investment strategy that finds investment opportunities in corporate transactional events such as consolidations, acquisitions, recapitalisations, bankruptcies and liquidations.
Fixed income arbitrage
Represents an investment strategy invested in fixed income securities that takes advantage of relative discrepancies in price between securities.
Global macro
Represents an investment strategy that takes sizeable positions in equity, fixed income or currency markets in anticipation of global macroeconomic events.
Managed futures / Commodity Trading Advisor
Represents an investment strategy employed by a Commodity Trading Advisor which involves investing in commodity market futures, options and swaps.
Risk arbitrage
Represents an investment strategy that involves buying and selling the equity securities of two or more merging corporations to take advantage of discrepancies between acquisition prices and market prices.
Volatility arbitrage
Represents an investment strategy that takes advantage of discrepancies in the implied volatility in option pricing.
Primary hedge fund asset class type
Fixed income
Represents a loan, placement or debt security. Loans are financial assets that are created when a creditor lends funds directly to a debtor, and are evidenced by documents that are non negotiable. Placements are liabilities of entities not described as authorised deposit-taking institutions, e.g. State government treasuries. Debt securities are securities which represent borrowed funds which must be repaid by the issuer with defined terms including the notional amount (amount borrowed), an identifiable return and maturity/renewal date. Includes: short and long-term debt securities.
Equity
Represents an ownership interest in a business, trust or partnership. Includes: common shares, preference shares and units. Excludes: units in property trusts, units in infrastructure trusts.
Sovereign rate
Represents a fixed income security issued by a national government.
Convertible bond
Represents a fixed income security that the holder can convert into common shares in the issuing corporation or cash of equal value, at an agreed-upon price.
Commodities
Represents natural resources that are either grown or extracted from the ground and are often used as inputs in the production of other goods or services.
Real asset
Represents a physical or tangible asset that has value. Includes: precious metals, property and oil.
Currency
Represents a generally accepted form of money, including coins and paper notes, which is issued by a government and circulated within an economy.
Insurance
Represents a contract in which an individual or entity receives financial protection or reimbursement against losses as a result of a specified event from an insurer.
Primary instrument type
Security
Represents a financial instrument that represents an ownership in the equity of a corporation or a creditor relationship with a borrower.
Derivatives
Represents a financial instrument which is a contract between two or more parties where the price is dependent on or derived from one or more underlying assets.
Physical assets
Represents an item of economic, commercial or exchange value that has a tangible or material existence. Includes: precious metals, property, plant and equipment and oil.
Primary hedge fund investment style type
Systematic
Represents an investment style based on mathematical models and executed by software with limited human involvement beyond the programming and updating of the software.
Discretionary top down
Represents an investment style carried out by investment managers who identify and select investments based on broad economic factors.
Discretionary bottom up
Represents an investment style carried out by investment managers who identify and select investments based on analysis of individual securities.
Primary hedge fund trading strategy type
Directional
Represents a trading strategy that uses market movements, trends or inconsistencies when picking investments.
Relative value
Represents a trading strategy that takes advantage of relative discrepancies in price between financial instruments.
Primary hedge fund market exposure type
Long
Represents when the holder of the position owns the financial instrument.
Short
Represents when the holder of the position has sold financial instruments that are not currently owned.
Long bias
Represents a market exposure that aims to take advantage of increasing market prices.
Short bias
Represents a market exposure that aims to take advantage of declining market prices.
Market neutral
Represents when there is little or no exposure to market fluctuations.
Interpretation
For the purposes of these instructions:
defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;
eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act;
the most proximate investment means the closest investment, in the relevant chain of investments, to the ultimate investment[7];
person connected with an RSE licensee has the meaning in subsection 13(4C) of the Financial Sector (Collection of Data) Act 2001, namely:
(a) a related body corporate of the RSE licensee; or
(b) a custodian in relation to assets, or assets derived from assets, of the RSE licensee's RSEs, and in relation to the RSE licensee or a related body corporate of the RSE licensee; or
(c) a person who, under a contract or other arrangement with:
(i) the RSE licensee; or
(ii) a related body corporate of the RSE licensee; or
(iii) a custodian in relation to assets, or assets derived from assets, of the RSE licensee's RSEs, and in relation to the RSE licensee or a related body corporate of the RSE licensee;
invests assets, or assets derived from assets, of the RSE licensee's RSEs;
pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;
RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[8];
RSE licensee has the meaning given in section 10(1) of the SIS Act;
SIS Act means Superannuation Industry (Supervision) Act 1993;
SIS Regulations means Superannuation Industry (Supervision) Regulations 1994; and
ultimate investment means an investment of assets, or assets derived from assets, of an RSE of an RSE licensee excluding an investment in an interposed entity.
[1] For the purposes of this Reporting Standard, an ‘RSE licensee’s business operations’ includes all activities as an RSE licensee (including the activities of each RSE of which it is the licensee), and all other activities of the RSE licensee to the extent that they are relevant to, or may impact on, its activities as an RSE licensee. For the avoidance of doubt, if the RSE licensee is trustee of more than one RSE, defined benefit RSE, PST or ERF, the RSE licensee must separately provide the information required by the form for each RSE, defined benefit RSE, PST or ERF within its business operations.
[2] For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, an RSE licensee is nonetheless required to submit the information required no later than the due date.
[3] Refer also to Prudential Standard SPS 310 Audit and Related Matters (SPS 310).
[4] Refer to Prudential Standard SPS 510 Governance.
[5] For the purposes of this Reporting Standard, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.
[6] Subsection 13(4B) of the Financial Sector (Collection of Data) Act 2001 means that a contract between the RSE licensee or a person connected with the RSE licensee such as a related body corporate or relevant custodian (the first party), and a person connected with the RSE licensee (the second party), under which assets or assets derived from assets of the registrable superannuation entity are invested, is taken to include (1) a term requiring the first party to notify the second party that the assets are or are derived from a registrable superannuation entity, and (2) a term requiring the second party, if so notified, to provide the information required by this reporting standard of which they are aware.
[7] For example, if an RSE licensee invests in a managed investment scheme, the responsible entity of which is unrelated to the RSE licensee, the responsible entity will still be ‘a person connected with the RSE licensee’, under paragraph (c) of the definition of that term. If the managed investment scheme in turn invests in a private equity vehicle, the trustee of which is not in any way related to the RSE licensee, the trustee of the private equity vehicle will not be a person connected with the RSE licensee. If the private equity vehicle has invested exclusively in shares, the shares will be the ultimate investment. The most proximate investment of a person connected with the RSE licensee will be the managed investment scheme’s investment in the private equity vehicle. Accordingly, the managed investment scheme’s investment in the private equity vehicle must be reported.
[8] For the purposes of these instructions, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.