Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2021
Derivatives and CounterpartiesDerivatives and Counterparties
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This instruction guide is designed to assist in the completion of Reporting Form SRF 550.2 Derivatives and Counterparties (SRF 550.2). This form collects information on the derivative exposures of RSEs and counterparties to these exposures.
General directions and notes
Reporting level
SRF 550.2 must be completed for each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF).
Reporting tables
Tables described in this reporting form list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.
The Unique identifier column indicates which field or fields form the primary key of the table. Where a field has ‘Y’ in the Unique identifier column, this denotes that this field forms part of the primary key for the table. A blank cell in the Unique identifier column means that the field does not form part of the primary key for the table. Any specific combination of values in the fields that form the primary key of a table must not appear on more than one row in that table when reported.
Information required
An RSE licensee must complete SRF 550.2 in respect of each reporting period ending on or after 30 June 2022.
Reporting basis and unit of measurement
Report all items on SRF 550.2 in accordance with the Australian Accounting Standards.
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 may 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 must use the same exchange rates across all returns to APRA.
Amounts in SRF 550.2 are to be reported as whole dollars. Percentages are to be reported as an unconverted number to two decimal places. For example, 12.34 per cent is to be reported as 0.1234.
Items on SRF 550.2 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period as specified.
Items on SRF 550.2 are to be reported on a non-look through basis. A look through basis is where information about the underlying investments in an investment vehicle must be reported.
Part Derivatives and Counterparties - Financial Sector (Collection of Data) (reporting standard) determination No. 16 of 2021 - Derivatives and Counterparties | Zoe
These instructions specify the reporting basis, unit of measurement and look through basis that applies to each item.
Definitions
Terms highlighted in bold italics indicate that the definition is provided in Reporting Standard SRS 101.0 Definitions for Superannuation Data Collections (SRS 101.0).
Specific instructions
Report only directly held investments in derivative financial instruments on SRF 550.2, which may or may not be invested via an individually managed mandate.
Do not report indirectly held investments in derivative financial instruments on SRF 550.2.
Table 1: Derivative financial instruments
Report columns 1 to 12 as at the end of the reporting period. Report column 13 with respect to transactions that occurred during the reporting period.
Instructions
For each combination of exposure type, derivative type, counterparty name, counterparty rating grade, type of counterparty and contract type report the principal amount in column 9, the gross positive market value in column 10, the gross negative market value in column 11, the derivatives net market value in column 12, and the derivatives net transactions in column 13.
Banking InstitutionsReserve Bank Of Australia (RBA)Other Financial InstitutionsNon Financial Institutions
Report the type of counterparty.
7
Counterparty Other Description Text
All filers
Free text
Report the description of the counterparty where Other Financial Institutions or Non Financial Institutions is selected as the type of counterparty.
8
Derivative Contract Type
Y
All filers
OptionsForwardsFuturesSwapsOther
Report the contract type.
9
Derivative Principal Amount
All filers
Whole dollars
Report the principal amount of the derivatives.
10
Derivative Gross Positive Market Value Amount
All filers
Whole dollars
Report the gross positive market value of the derivatives.
11
Derivative Gross Negative Market Value Amount
All filers
Whole dollars
Report the gross negative market value of the derivatives.
12
Derivative Net Market Value Amount
All filers
Whole dollars
Report the derivatives net market value of the derivatives.
13
Derivative Net Transactions Amount
All filers
Whole dollars
Report the derivatives net transactions during the period.
Table 2: Derivative collateral and counterparties
Report Table 2 as at the end of the reporting period.
Table 2.1 Value of assets of the RSE that are pledged to secure derivative positions
Report the value of assets of the RSE that are pledged to secure derivative positions as at the end of the reporting period.
Column
Field name
Unique identifier
Applicable to
Valid values
Description
1
Assets Pledged To Secure Derivative Positions Amount
All filers
Whole dollars
Report the value of assets of the RSE that are pledged to secure derivative positions.
Table 2.2 Directly held over the counter derivatives
Report net collateral pledged to secure over the counter derivative contracts as at the end of the reporting period for each counterparty for over the counter derivatives reported in Table 1.
Instructions
For each combination of counterparty name, counterparty identifier and collateral type report the net collateral pledged to secure positions with the counterparty.
Where collateral is received from the counterparty, then this amount should be negative. Where collateral is posted (or pledged) to the counterparty, then this amount should be positive.
Column
Field name
Unique identifier
Applicable to
Valid values
Description
1
Counterparty Name Text
Y
All filers
Free text
Report the name of the counterparty to the transaction.
2
Counterparty Identifier
Y
All filers
Free text
Report the counterparty identifier.
3
Collateral Type
Y
All filers
CashSecuritiesOtherMultiple
Report the collateral type.
4
Collateral Net Pledged To Secure Derivative Positions Amount
All filers
Whole dollars
Report the net collateral pledged to secure positions with the counterparty.