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Reporting Standard ARS 320.1

Debt Securities Held

Objective of this Reporting Standard

This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 and outlines the overall requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s debt securities held. It should be read in conjunction with Reporting Form ARF 320.1 Debt Securities Held and the associated instructions (both of which are attached and form part of this Reporting Standard).

Authority

1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2. Data collected in Reporting Form ARF 320.1 Debt Securities Held (ARF 320.1) is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).

Application and commencement

3. This Reporting Standard applies to an authorised deposit-taking institution (ADI) as set out in the table below.

4. This Reporting Standard commences on 1 April 2018.

Information required

5. An ADI to which this Reporting Standard applies must provide APRA with the information required by ARF 320.1 for each reporting period.

Form and method of submission

6. The information required by this Reporting Standard must be given to APRA in electronic format, using the ‘Direct to APRA’ application or 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

7. Subject to paragraph 8, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each calendar month.

8. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the RBA or the ABS.

9. The information required by this Reporting Standard must be provided to APRA by 10 business days after the end of the reporting period to which it relates.

10. APRA may grant a relevant ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

11. All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

12. When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this Reporting Standard.

Interpretation

15. In this Reporting Standard:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) Australian-owned bank;

(ii) foreign subsidiary bank;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union; and

(vi) other ADI.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.

due date means the relevant due date under paragraph 9 or, if applicable, paragraph 10.

foreign ADI has the meaning in section 5 of the Banking Act 1959.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union or a foreign subsidiary bank but does not include Cairns Penny Savings & Loans Limited.

reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.

stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

16. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.

Debt Securities Held

Objective of this Reporting Standard

This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 and outlines the overall requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s debt securities held. It should be read in conjunction with Reporting Form ARF 320.1 Debt Securities Held and the associated instructions (both of which are attached and form part of this Reporting Standard).

Authority

1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2. Data collected in Reporting Form ARF 320.1 Debt Securities Held (ARF 320.1) is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).

Application and commencement

3. This Reporting Standard applies to an authorised deposit-taking institution (ADI) as set out in the table below.

4. This Reporting Standard commences on 1 April 2018.

Information required

5. An ADI to which this Reporting Standard applies must provide APRA with the information required by ARF 320.1 for each reporting period.

Form and method of submission

6. The information required by this Reporting Standard must be given to APRA in electronic format, using the ‘Direct to APRA’ application or 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

7. Subject to paragraph 8, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each calendar month.

8. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the RBA or the ABS.

9. The information required by this Reporting Standard must be provided to APRA by 10 business days after the end of the reporting period to which it relates.

10. APRA may grant a relevant ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

11. All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

12. When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this Reporting Standard.

Interpretation

15. In this Reporting Standard:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) Australian-owned bank;

(ii) foreign subsidiary bank;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union; and

(vi) other ADI.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.

due date means the relevant due date under paragraph 9 or, if applicable, paragraph 10.

foreign ADI has the meaning in section 5 of the Banking Act 1959.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union or a foreign subsidiary bank but does not include Cairns Penny Savings & Loans Limited.

reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.

stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

16. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.

Objective of this Reporting Standard

This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 and outlines the overall requirements for the provision of information to APRA relating to an authorised deposit-taking institution’s debt securities held. It should be read in conjunction with Reporting Form ARF 320.1 Debt Securities Held and the associated instructions (both of which are attached and form part of this Reporting Standard).

Authority

1. This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2. Data collected in Reporting Form ARF 320.1 Debt Securities Held (ARF 320.1) is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).

Application and commencement

3. This Reporting Standard applies to an authorised deposit-taking institution (ADI) as set out in the table below.

4. This Reporting Standard commences on 1 April 2018.

Information required

5. An ADI to which this Reporting Standard applies must provide APRA with the information required by ARF 320.1 for each reporting period.

Form and method of submission

6. The information required by this Reporting Standard must be given to APRA in electronic format, using the ‘Direct to APRA’ application or 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

7. Subject to paragraph 8, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each calendar month.

8. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the RBA or the ABS.

9. The information required by this Reporting Standard must be provided to APRA by 10 business days after the end of the reporting period to which it relates.

10. APRA may grant a relevant ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

11. All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

12. When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this Reporting Standard.

Interpretation

15. In this Reporting Standard:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) Australian-owned bank;

(ii) foreign subsidiary bank;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union; and

(vi) other ADI.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.

due date means the relevant due date under paragraph 9 or, if applicable, paragraph 10.

foreign ADI has the meaning in section 5 of the Banking Act 1959.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union or a foreign subsidiary bank but does not include Cairns Penny Savings & Loans Limited.

reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.

stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

16. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.

Class of ADI

Applicable

Australian-owned Bank

Yes

Foreign Subsidiary Bank

Branch of a Foreign Bank

Building Society

No

Credit Union

Other ADI

Information required

5. An ADI to which this Reporting Standard applies must provide APRA with the information required by ARF 320.1 for each reporting period.

Form and method of submission

6. The information required by this Reporting Standard must be given to APRA in electronic format, using the ‘Direct to APRA’ application or 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

7. Subject to paragraph 8, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each calendar month.

8. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:

(a) the particular circumstances of the ADI;

(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and

(c) the requirements of the RBA or the ABS.

9. The information required by this Reporting Standard must be provided to APRA by 10 business days after the end of the reporting period to which it relates.

10. APRA may grant a relevant ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.

11. All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.

Authorisation

12. When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.

Minor alterations to forms and instructions

13. APRA may make minor variations to:

(a) a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or

(b) the instructions to a form, to clarify their application to the form

without changing any substantive requirement in the form or instructions.

14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this Reporting Standard.

Interpretation

15. In this Reporting Standard:

AASB has the meaning in section 9 of the Corporations Act 2001.

ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.

Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.

branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.

building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.

business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.

class of ADI means each of the following:

(i) Australian-owned bank;

(ii) foreign subsidiary bank;

(iii) branch of a foreign bank;

(iv) building society;

(v) credit union; and

(vi) other ADI.

credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.

due date means the relevant due date under paragraph 9 or, if applicable, paragraph 10.

foreign ADI has the meaning in section 5 of the Banking Act 1959.

foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.

locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.

other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union or a foreign subsidiary bank but does not include Cairns Penny Savings & Loans Limited.

reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.

stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).

16. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.

Reporting Form ARF 320.1

Debt Securities Held

Instruction Guide

General directions and notes

Reporting entity

This form is to be completed by all Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other authorised deposit-taking institutions (ADIs) on a Domestic books basis.

The Domestic books of Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other ADIs 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; and
• include transactions with non-residents recorded on Australian books.

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

(a) special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;

(b) the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and

(c) the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI’s regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[1] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form ARF 110.0.1 Capital Adequacy (Level 1) and Reporting Form ARF 110.0.2 Capital Adequacy (Level 2).

2. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such exposures are to be reported as on-balance sheet assets in APRA’s regulatory reporting returns. In addition, these exposures must also be reported as a part of the ADI’s total securitised assets within Reporting Form ARF 120.2 Securitisation – Supplementary Items.

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. Australian-owned banks, foreign subsidiary banks, branches of foreign banks and other ADIs should submit the completed form to APRA within 10 business days after the end of the relevant reporting month.

Unit of measurement

Australian-owned banks, foreign subsidiary banks and branches of foreign banks are asked to complete the form in millions of Australian dollars rounded to one decimal place. Other ADIs 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 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).

The general requirements of AASB 121 for translation are:

1. foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date;[2]
2. foreign currency non-monetary items that are measured at historical cost in a foreign currency must be translated using the exchange rate at the date of the transaction;[3]
3. foreign currency non-monetary items that are measured at fair value will be translated at the exchange rate at the date when fair value was determined.

Transactions arising under foreign currency derivative contracts at the reporting date must be prepared in accordance with AASB 139 Financial Instruments: Recognition and Measurement (AASB 139). However, those foreign currency derivatives that are not within the scope of AASB 139 (e.g. some foreign currency derivatives that are embedded in other contracts) remain within the scope of AASB 121.

For APRA purposes equity items must be translated using the foreign currency exchange rate at the date of investment or acquisition. Post acquisition changes in equity are required to be translated on the date of the movement.

As foreign currency derivatives are measured at fair value, the currency derivative contracts are translated at the spot rate at the reporting date.

Exchange differences should be recognised in profit and loss in the period which they arise. For foreign currency derivatives, the exchange differences would be recognised immediately in profit and loss if the hedging instrument is a fair value hedge. For derivatives used in a cash flow hedge, the exchange differences should be recognised directly in equity.

The ineffective portion of the exchange differences in all hedges would be recognised in profit and loss; and

4. translation of financial reports of foreign operations.

A foreign operation is defined in AASB 121 as meaning an entity that is a subsidiary, associate, joint venture or branch of a reporting entity, the activities of which are based or conducted in a country or currency other than those of the reporting entity.

• Exchange differences relating to foreign currency monetary items that form part of the net investment of an entity in a foreign operation, must be recognised as a separate component of equity.
• Translation of financial reports should otherwise follow the requirements in AASB 121.

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 139, AASB 7 Financial Instruments: Disclosures and AASB 132 Financial Instruments: Disclosure and Presentation and any relevant prudential standards.

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) (ARF 320.0), 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 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 Sate, 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 (ARF 320.5)).

Exclude:

• short-term debt securities borrowed or purchased under resale agreements (these amounts should be reported in ARF 320.5); 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, bonds, debentures and unsecured notes;
• inflation-indexed bonds;
• floating rate notes 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); 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); and
• options, swaps, rights, warrants and other financial derivatives.

Reconciliation with ARF 320.0

Total debt securities held (market value)

The sum of:

• total short-term debt securities held (ARF 320.1 Debt Securities Held (ARF 320.1)); and
• total long-term debt securities held (ARF 320.1)

less the sum of:

• short-term debt securities held and issued by non-residents (ARF 320.1); and
• long-term debt securities held and issued by non-residents (ARF 320.1)

equals

the sum of:

• trading securities - debt securities (ARF 320.0); and
• investment securities - debt securities (ARF 320.0) adjusted from book value to market value.

Reporting entity

This form is to be completed by all Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other authorised deposit-taking institutions (ADIs) on a Domestic books basis.

The Domestic books of Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other ADIs 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; and
• include transactions with non-residents recorded on Australian books.

Securitisation deconsolidation principle

Except as otherwise specified in these instructions, the following applies:

1. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):

(a) special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;

(b) the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and

(c) the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI’s regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures[1] that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form ARF 110.0.1 Capital Adequacy (Level 1) and Reporting Form ARF 110.0.2 Capital Adequacy (Level 2).

2. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such exposures are to be reported as on-balance sheet assets in APRA’s regulatory reporting returns. In addition, these exposures must also be reported as a part of the ADI’s total securitised assets within Reporting Form ARF 120.2 Securitisation – Supplementary Items.

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. Australian-owned banks, foreign subsidiary banks, branches of foreign banks and other ADIs should submit the completed form to APRA within 10 business days after the end of the relevant reporting month.

Unit of measurement

Australian-owned banks, foreign subsidiary banks and branches of foreign banks are asked to complete the form in millions of Australian dollars rounded to one decimal place. Other ADIs 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 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).

The general requirements of AASB 121 for translation are:

1. foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date;[2]
2. foreign currency non-monetary items that are measured at historical cost in a foreign currency must be translated using the exchange rate at the date of the transaction;[3]
3. foreign currency non-monetary items that are measured at fair value will be translated at the exchange rate at the date when fair value was determined.

Transactions arising under foreign currency derivative contracts at the reporting date must be prepared in accordance with AASB 139 Financial Instruments: Recognition and Measurement (AASB 139). However, those foreign currency derivatives that are not within the scope of AASB 139 (e.g. some foreign currency derivatives that are embedded in other contracts) remain within the scope of AASB 121.

For APRA purposes equity items must be translated using the foreign currency exchange rate at the date of investment or acquisition. Post acquisition changes in equity are required to be translated on the date of the movement.

As foreign currency derivatives are measured at fair value, the currency derivative contracts are translated at the spot rate at the reporting date.

Exchange differences should be recognised in profit and loss in the period which they arise. For foreign currency derivatives, the exchange differences would be recognised immediately in profit and loss if the hedging instrument is a fair value hedge. For derivatives used in a cash flow hedge, the exchange differences should be recognised directly in equity.

The ineffective portion of the exchange differences in all hedges would be recognised in profit and loss; and

4. translation of financial reports of foreign operations.

A foreign operation is defined in AASB 121 as meaning an entity that is a subsidiary, associate, joint venture or branch of a reporting entity, the activities of which are based or conducted in a country or currency other than those of the reporting entity.

• Exchange differences relating to foreign currency monetary items that form part of the net investment of an entity in a foreign operation, must be recognised as a separate component of equity.
• Translation of financial reports should otherwise follow the requirements in AASB 121.

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 139, AASB 7 Financial Instruments: Disclosures and AASB 132 Financial Instruments: Disclosure and Presentation and any relevant prudential standards.

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) (ARF 320.0), 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 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 Sate, 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 (ARF 320.5)).

Exclude:

• short-term debt securities borrowed or purchased under resale agreements (these amounts should be reported in ARF 320.5); 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, bonds, debentures and unsecured notes;
• inflation-indexed bonds;
• floating rate notes 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); 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); and
• options, swaps, rights, warrants and other financial derivatives.

Reconciliation with ARF 320.0

Total debt securities held (market value)

The sum of:

• total short-term debt securities held (ARF 320.1 Debt Securities Held (ARF 320.1)); and
• total long-term debt securities held (ARF 320.1)

less the sum of:

• short-term debt securities held and issued by non-residents (ARF 320.1); and
• long-term debt securities held and issued by non-residents (ARF 320.1)

equals

the sum of:

• trading securities - debt securities (ARF 320.0); and
• investment securities - debt securities (ARF 320.0) adjusted from book value to market value.