Division Synthetic exposure - Financial Sector (Collection of Data) (reporting standard) determination No. 42 of 2023 - Synthetic exposure

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.
6	Investment Asset Class Sector Type	Y	All filers	CashFixed IncomeEquityPropertyInfrastructureAlternativesCurrency Exposure	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.

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