Financial Sector (Collection of Data) (reporting standard) determination No. 42 of 2023
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This instruction guide is designed to assist in the completion of Reporting Form SRF 550.0 Asset Allocation (SRF 550.0). This form collects information relating to the asset allocation and investments of registrable superannuation entities.
General directions and notes
Reporting level
SRF 550.0 must be completed for each investment option within an RSE, defined benefit RSE, PST or ERF excluding the following:
investment options which are permitted to be aggregated in Table 3 of Reporting Form SRF 605.0 RSE Structure (SRF 605.0);
investment options which solely underlie defined benefits;
investment options which are reported on SRF 605.0 under investment option category Annuity; and
investment options which solely underlie products with the Superannuation Product Category Type of ‘Insurance Only’ or ‘Whole of Life or Endowment’.
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.
Reporting basis and unit of measurement
Report all items on SRF 550.0 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 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 submitted to APRA.
Amounts in SRF 550.0 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 550.0 must be reported as at the end of the reporting period.
Division Instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 42 of 2023 - Instructions | Zoe
Certain items in SRF 550.0 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.[\[5\]](#_ftn5) [\[6\]](#_ftn6)
These instructions specify 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
Table 1: Strategic asset allocation
APRA-look through basis
Report table 1 the strategic asset allocation regardless of how investments are made.
Instructions
Strategic sector
Report the benchmark allocation to each strategic sector set as part of the board approved strategic asset allocation, reporting ‘Not Applicable’ for strategic subsector, strategic subsector domicile type, strategic subsector listing type and strategic subsector international economy type. Where the investment option is managed on a dynamic asset allocation basis and a benchmark asset allocation has been adopted, report the allocation in column 10. Where the investment option does not have asset allocation ranges, and thus no lower or upper benchmarks, leave column 11 and column 12 blank.
Where the listing is not specified when setting the strategic asset allocation, report investment strategic sector listing type as ‘Not Specified’. Report investment strategic sector listing type as ‘Not Applicable’ for asset class type ‘Cash’.
Where the investment domicile is not specified when setting the strategic asset allocation, report investment strategic sector domicile type as ‘Not Specified’.
Report investment strategic sector international economy type as ‘Not Applicable’ for investment strategic sector domicile type ‘Australian Domicile’. Where the investment strategic sector international economy type is not specified, report investment strategic sector domicile type as ‘Not Specified’.
Where the investment option type is Separately Managed Account or Managed Discretionary Account, report the asset allocation of the model portfolio.
Strategic subsector
Report the benchmark allocation to each subsector allocation on an additional row for each combination of strategic sector and strategic subsector, with the subsector information reported in columns 6 to 9 and the information of the strategic sector to which it underlies reported in columns 1 to 5. The sum of the benchmark allocations reported for each strategic subsector should equal the benchmark allocation for the relevant strategic sector.
For example, where the strategic sector:
a) listing type, domicile type and international economy type are ‘Not Specified’, or
b) allocation within the reported strategic sector includes other strategic sectors e.g. ‘Alternatives’ includes allocation to ‘Infrastructure’ or ‘Fixed Income’ includes allocation to both ‘Fixed Income Excluding Credit’ and ‘Credit’,
report an asset allocation target at the reporting date to the strategic subsector, strategic subsector listing type, strategic subsector domicile type and strategic subsector international economy type for each strategic subsector approved by the board, committee or individual with investment delegations under the investment governance framework of the RSE licensee. If ‘Currency Exposure’ is reported for strategic sector, do not report a strategic subsector allocation.
Currency exposure and currency hedging ratio
Report either a benchmark allocation to currency exposure or currency hedging ratios, with the approach determined by referent to the RSE licensee’s investment strategy:
a) If currency exposure targets are set at the investment option level, report the benchmark currency exposure in column 10 using ‘Currency Exposure’ as the strategic sector. The investment benchmark allocation (%) to ‘Currency Exposure’ is treated separately and does not contribute to the total benchmark allocations of the investment option.
b) If currency exposure targets or hedging ratios are set at the asset class level, report a currency hedging ratio (%) in column 13 where investment domicile type ‘International Domicile’ is reported in column 4. Where investment domicile type ‘Not Specified’ is reported in column 4 and currency hedging targets are set at an asset class level or investment option level, report the investment currency hedging ratio (%) in column 13 as the target level of currency hedging for any internationally domiciled assets within that allocation.
The table below summarises the reporting approach for different scenarios for reporting currency exposure or currency hedging ratios:
Set at an asset class level
Set at an option level
RSE licensee sets a currency hedging target
Report the applicable hedging ratio for each International Domicile or Not Specified Domicile asset class in table 1 column 13.
Report the hedging ratio (same number) for each row of International Domicile asset class and ‘Not Specified’ domicile in table 1 column 13.
RSE licensee sets a currency exposure target
Report the applicable hedging ratio for each International Domicile or Not Specified Domicile asset class in table 1 column 13.
Report the currency exposure target for the investment option in table 1 column 10.
Where investment option level currency exposure is not reported in SRF 550.0 table 1 column 10, and the RSE licensee targets a fully hedged international exposure, the RSE licensee must report 100 per cent in SRF 550.0 table 1 column 13.
Column
Field name
Unique identifier
Applicable to
Valid values
Description
1
Investment Option Identifier
Y
All filers
No more than 20 alpha-numeric characters (with no special characters)
Report the investment option identifier. The investment option identifier must correspond to an investment option identifier reported in SRF 605.0.
2
Investment Strategic Sector Type
Y
All filers
CashFixed IncomeFixed Income Excluding CreditCreditEquityPropertyInfrastructureAlternativesGrowth AlternativesDefensive AlternativesCurrency Exposure
Report the strategic sector of the investment.
3
Investment Strategic Sector Listing Type
Y
All filers
ListedUnlistedNot SpecifiedNot Applicable
Report the listing type of the strategic sector of the investment.
4
Investment Strategic Sector Domicile Type
Y
All filers
Australian DomicileInternational DomicileNot SpecifiedNot Applicable
Report the domicile type of the strategic sector of the investment.
5
Investment Strategic Sector International Economy Type
Report the international economy type of the strategic subsector of the investment.
10
Investment Benchmark Allocation Percent
All filers
Percentage to 2 decimal places
Report the benchmark allocation (%) of the investment.
11
Investment Benchmark Allocation Lower Percent
All filers
Percentage to 2 decimal places
Report the benchmark allocation lower (%) of the investment.
12
Investment Benchmark Allocation Upper Percent
All filers
Percentage to 2 decimal places
Report the benchmark allocation upper (%) of the investment.
13
Investment Currency Hedging Ratio Percent
All filers
Percentage to 2 decimal places
Report the currency hedging ratio (%) of the investment.
Table 2: Actual asset allocation
APRA-look through basis
For directly held investments: report Table 2 on a non-APRA-look through basis.
For indirectly held investments: report Table 2 on an APRA-look though basis.
When reporting on an APRA-look through basis, information about the underlying investments in an investment vehicle must be reported. Investments in investment vehicles must be allocated to each combination of asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type, international economy type and listing type represented in the underlying investments.
When reporting the relevant asset class sector type of investments on an APRA-look through basis, an RSE licensee must seek information about the actual holdings of the first non-connected entity - investments and identify the asset class sector type(s) of these holdings. For example, the cash position in an equity portfolio must be reported as cash.
When the investment vehicle is an investment vehicle - connected entity, report on an APRA-look through basis: e.g. obtain information to classify the investment by all characteristics in Table 2.
When the investment vehicle is an investment vehicle - non-connected entity, report each combination of asset class sector type, domicile type, international economy type and listing type. Where information on asset class characteristic 1, asset class characteristic 2, asset class characteristic 3 and synthetic exposure are available, report this information. If not available, report based on best available or report ‘not available’.
Where the investment options characteristics reported under SRS 605.0 are Investment Option Type of Listed Investment Company, Exchange Traded Product, or Investment Option Management Type of ' externally managed - non-connected entity’ and Investment Option Strategy Type of ' Non-connected entity’:
If data on the strategic sector type, strategic sector listing type, strategic sector domicile type and strategic sector international economy type of the investment are not available, report based on best available or report ‘not available’.
If data on asset class characteristic 1, asset class characteristic 2, asset class characteristic 3 of the investment are not available, report based on best available or report ‘not available’.
Where the investment option type is Separately Managed Account or Managed Discretionary Account, report the asset allocation of the model portfolio.
An RSE licensee is to submit a revised form by the reporting date:
where information was reported as ‘not available’ in the immediately preceding reporting period and the information becomes available during this reporting period; or
where information was reported on a best available basis in the immediately preceding reporting period and a material difference is identified during this reporting period.
Instructions
Report the value of investments held in respect of each investment option. For each investment, report the strategic sector, and the listing type, domicile type and international economy type of the strategic sector which the investment is allocated to. Report the asset class sector type, asset class characteristic 1, asset class characteristic 2, asset class characteristic 3, domicile type, international economy type and listing type of the investment according to the relevant look-through basis above.
Investments in investment vehicles must be allocated to each investment asset class sector type, investment asset class characteristic 1 type, investment asset class characteristic 2 type, investment asset class characteristic 3 type, investment listing type, investment domicile type and investment international economy type represented in the underlying investment.
Exchange traded funds (ETFs) and listed trusts are to be allocated to the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’. Include equity ETFs and listed equity trusts with investment asset class sector type as ‘Equity’. Include non-equity ETFs and listed trusts in the investment asset class sector type of the underlying asset with investment listing type as ‘Listed’. For example, report investment asset class sector type for fixed income ETFs as ‘Fixed Income’, commodity ETFs as ‘Alternatives’, listed property trusts as ‘Property’ and listed infrastructure trusts as ‘Infrastructure’.
For investments in connected diversified property investment vehicles or unlisted direct property assets, report asset class characteristic 1 using either property development or property established.
For investments in connected diversified infrastructure investment vehicles or unlisted direct infrastructure assets, report asset class characteristic 1 using either infrastructure development or infrastructure established.
Alternative strategy funds are to be allocated to the investment asset class sector type ‘Alternatives’ with the strategy classified under investment asset class characteristic 2. Commodities are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Commodities’. Other alternative assets are to be allocated to the investment asset class sector type ‘Alternatives’ with investment asset class characteristic 2, as ‘Alternatives Other’.
The value of investments reported in Table 2, column 13 must be calculated on an effective exposure basis as the sum of the value of all physical assets (having applied APRA-look through) together with the equivalent asset position of the derivative instruments.
When reporting indirectly held investments, apportion the value of the market exposure of any derivative contracts within the indirectly held investment to the asset class sector type(s) and asset class characteristics to which the derivatives relate. If derivative contracts are used within an indirectly held investment to hedge currency exposure, report the percentage of the indirectly held investment’s net asset exposure that is currency hedged (refer to Table 2, column 15).
The proportion of the investment which is currency hedged must be reported at the same level that it is implemented.
If the RSE licensee implements currency hedging at asset class level, report the proportion of the investment which is currency hedged in Table 2, column 15.
If an RSE licensee implements currency hedging at an investment option level, report:
the value of the pre-hedging currency exposure in Table 2, column 13 using Currency Exposure as the strategic sector and the asset class sector type (In these instances, the value of the Currency Exposure is treated separately and does not contribute to the total value of the investment option.)
report the currency hedged (%) for the investment option in table 2 column 15 and
report the currency hedged (%) for each investment with Investment Domicile Type ‘international’ in table 2 column 15.
Where the listing is not specified when setting the strategic asset allocation, report investment strategic sector listing type as ‘Not Specified’. Report investment strategic sector listing type as ‘Not Applicable’ for asset class type ‘Cash’.
Where the investment strategic sector domicile is not specified, report investment strategic sector domicile type as ‘Not Specified’.
Report investment strategic sector international economy type as ‘Not Applicable’ for investment strategic sector domicile type ‘Australian Domicile’. Where the investment strategic sector international economy type is not specified, report investment strategic sector domicile type as ‘Not Specified’.
Where the investment listing is not known, report investment listing type as ‘Not Applicable’.
Where the investment domicile is not known, report investment domicile type as ‘Not Applicable’. Investment domicile is the domicile of the assets identified when applying the APRA-look through requirements, not the domicile of the investment vehicle.
Report investment international economy type as ‘Not Applicable’ for investment domicile type ‘Australian Domicile’. Where the international economy type is not known, report investment domicile type as ‘Not Applicable’.
Classify listed equity investments by the relevant market capitalisation where the investment strategy adopted predominantly pursues a portfolio of stocks with a micro, small, mid or large market capitalisation (relative to the country in which the stocks are listed); or by the market capitalisation classification in which the security falls in relative to the country in which the stocks are listed.
This may be determined by reference to the market capitalisation indices produced by commercial index providers. For example, if the majority (over 80% by market cap) of stocks held are included in a micro market capitalisation indices produced by commercial index providers, report the portfolio as Equity Listed Micro Cap.
Report Investment Modified Duration Number for the ‘Fixed Income’ asset class sector exposures within the ‘Fixed Income’, ‘Fixed Income Excluding Credit’ and ‘Credit’ strategic sector allocations.
Synthetic exposure
Where a derivative is held for the purpose of either gaining or reducing exposure to an underlying asset class:
report the synthetic exposure in column 14 against the underlying asset class sector type;
report the effective exposure in column 13 which comprises the physical securities, synthetic exposures and the market value of the derivatives; and
report the corresponding cash offset value (i.e., inverse of the notional principal value of the derivative) in columns 13 and 14 of the relevant strategic sector type under the Cash asset class sector type and Cash Offset Derivatives Investment Asset Class Characteristic 2 Type.
Where a derivative is held for the purposes of hedging currency risk:
report the market value of the foreign currency (FX) derivative against the asset class sector type the FX derivative is related to in column 13;
where the market value of the FX derivative is not allocated to a particular asset class sector type report against the ‘Cash’ asset class sector type and Cash Foreign Exchange Derivative Contracts Investment Asset Class Characteristic 2 Type in column 13, report the actual currency hedging level against the investment exposure hedged as a percentage in column 15.
the notional principal value of the FX derivative does not need to be reported in SRF 550.0 table 2.
Where a derivative is held for the purposes of adjusting interest rate risk:
for each investment exposure whose modified duration is altered using derivatives, report in column 17 the modified duration for that investment exposure after the derivative adjustment; and
report the market value of the derivative apportioned on an asset weighted basis against each reported combination of investment exposures whose modified duration is altered by the derivative. The notional principal value of the derivative does not need to be reported in SRF 550 table 2.
Column
Field name
Unique identifier
Applicable to
Valid values
Description
1
Investment Option Identifier
Y
All filers
No more than 20 alpha-numeric characters (with no special characters)
Report the investment option identifier. The investment option identifier must correspond to an investment option identifier reported in SRF 605.0.
2
Investment Strategic Sector Type
Y
All filers
CashFixed IncomeFixed Income Excluding CreditCreditEquityPropertyInfrastructureAlternativesGrowth AlternativesDefensive AlternativesCurrency ExposureNot Available
Report the strategic sector of the investment.
3
Investment Strategic Sector Listing Type
Y
All filers
ListedUnlistedNot SpecifiedNot ApplicableNot Available
Report the listing type of the strategic sector of the investment.
4
Investment Strategic Sector Domicile Type
Y
All filers
Australian DomicileInternational DomicileNot SpecifiedNot ApplicableNot Available
Report the domicile type of the strategic sector of the investment.
5
Investment Strategic Sector International Economy Type
Y
All filers
Emerging MarketsDeveloped MarketsNot SpecifiedNot ApplicableNot Available
Report the international economy type of the strategic sector of the investment.
Report the asset class sector type of the investment.
7
Investment Asset Class Characteristic 1 Type
Y
All filers
Consult appendix A for valid values for the asset class sector type selected in column 6.
Report the asset class characteristic 1 of the investment.
8
Investment Asset Class Characteristic 2 Type
Y
All filers
Consult appendix A for valid values for the asset class sector type selected in column 6.
Report the asset class characteristic 2 of the investment.
9
Investment Asset Class Characteristic 3 Type
Y
All filers
Consult appendix A for valid values for the asset class sector type selected in column 6.
Report the asset class characteristic 3 of the investment.
10
Investment Listing Type
Y
All filers
ListedUnlistedNot Applicable
Report the listing type of the investment.
11
Investment Domicile Type
Y
All filers
Australian DomicileInternational DomicileNot Applicable
Report the domicile type of the investment.
12
Investment International Economy Type
Y
All filers
Emerging MarketsDeveloped MarketsNot Applicable
Report the international economy type of the investment.
13
Investment Option Value Amount
All filers
Whole dollars
Report the value of the investment.
14
Investment Option Synthetic Exposure Amount
All filers
Whole dollars
Report the synthetic exposure of the investment.
15
Investment Currency Hedged Percent
All filers
Percentage to 2 decimal places
Report the currency hedged (%) of the investment.
16
Investment Gearing Proportion Percent
All filers
Percentage to 2 decimal places
Report the gearing proportion as the total gearing in all investment vehicles in the look through chain. Borrowings of investments that are not investment vehicles (eg borrowings of a listed security) are not required to be reported.
17
Investment Modified Duration Number
All filers
To 2 decimal places
Modified duration must be reported if the strategic sector type of the investment is Fixed Income, Fixed Income Excluding Credit or Credit and the asset class sector type is Fixed Income. Where modified duration cannot be determined for each applicable combination of asset class and characteristics, report the portfolio modified duration for the strategic sector to which the investment exposure belongs. Report the annualised modified duration number to 2 decimal places.