Reporting Form SRF 550.1

Investments and Currency Exposure

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.1 Investments and Currency Exposure (SRF 550.1). This form collects information relating to the investments and currency exposures of registrable superannuation entities.

General directions and notes

Reporting level

SRF 550.1 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.

Reporting basis and unit of measurement

Report all items on SRF 550.1 in accordance with the Australian Accounting Standards.

Amounts in SRF 550.1 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 550.1 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period as specified.

Certain items in SRF 550.1 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.[\[7\]](#_ftn7) [\[8\]](#_ftn8)

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

Table 1: Investments

Report data as at the end of the reporting period.

APRA-look through basis

Where Directly Held is reported as the investment type (column 1), report on a non-APRA-look through basis. Where Indirectly Held is reported as the investment type (column 1), report on an APRA-look through basis, with reference to the investments underlying and investment vehicle.

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 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 are available, report this information. If not available, report based on best available or report ‘not available’.

An RSE licensee is to submit a revised form by the reporting date:

where information 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 of the RSE. For each investment, report the investment vehicle type, the listing type and domicile type of the investment vehicle. 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.

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 1 column 12 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. The apportionment will enable the net asset value of the indirectly held investment to be reported in table 1 column 12.

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 1 column 14).

For Investment Vehicle Type ‘International domicile’ and Investment Domicile Type ‘international domicile’, report the proportion of the investment which is currency hedged in Table 1 Column 14. Blanks are taken as unhedged.

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 investment international economy type is not known, report investment domicile type as ‘Not Applicable’.

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 13 against the underlying asset class sector type;
• report the effective exposure in column 12 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 12 and 13 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 12;
• 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 12, report the actual currency hedging level against the investment exposure hedged as a percentage in column 14.
• the notional principal value of the FX derivative does not need to be reported in SRF 550.1 table 1.

Where a derivative is held for the purposes of adjusting interest rate risk:

• 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 550.1 table 1.

Table 2: Currency exposure

Report data as at the end of the reporting period.

The value of investments reported in table 2 column 2 must be calculated 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.