Reporting Form SRF 550.3

Derivative Transactions

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.3 Derivative Transactions (SRF 550.3). This form collects information on the derivative transactions of RSEs.

General directions and notes

Reporting level

SRF 550.3 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

As the valuation basis for assets and liabilities in the System of National Accounts 2008 (SNA 2008) is market prices, items on SRF 550.3 must be reported as market prices.[9] Do not net off disposal costs when recording market prices of assets. Where market prices are not available, items on SRF 550.3 may be reported as careful estimates.[10]

Items on SRF 550.3 are to be reported on a gross basis except where otherwise indicated.

Items on SRF 550.3 are to be reported on a non-look through basis, except in respect of exclusively held internal trusts or wholly owned investment (non-trading) subsidiaries. A look through basis is where information about the underlying investments in an investment vehicle must be reported.

Items on SRF 550.3 are to be reported on an unconsolidated basis except where otherwise indicated. Only assets held in internal trusts or wholly-owned investment (non-trading) subsidiaries are to be consolidated into the appropriate asset class. In national accounting, consolidation refers to the elimination of transactions which occur between two transactors belonging to the same institutional sector or subsector. In a commercial accounting sense, this process is applied to entities where a parent/subsidiary relationship exists.

Report derivatives distinct from the corresponding contract that is being hedged. Do not use hedge accounting on SRF 550.3.

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 to APRA.

Note: for the major currencies, an RSE licensee may use the exchange rates available from the Reserve Bank of Australia (RBA), which is available on the RBA website: http://www.rba.gov.au/statistics/historical-data.html.

Amounts in SRF 550.3 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 550.3 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period as specified.

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 550.3, which may or may not be invested via an individually managed mandate, including internal trusts.

Table 1: Derivative Transactions

Instructions

For reporting of opening and closing positions, “gross” means do not offset contracts:

In an asset position with contracts in a liability position; or
In different types of derivative instruments (e.g. an option with a swap); or
In different derivative exposures (e.g. an interest rate contract with a foreign exchange contract); or
With different counterparties (e.g. a derivative with a financial institution and a derivative with a private trading enterprise).

The opening and closing positions in each row must be on the same side (i.e. if a positive figure is reported in Column 12, a positive figure or zero must be reported in Column 15).

For each combination of Derivative Exposure Type, Derivative Type, Counterparty, Derivative Contract Type, report the principal amount only once. Report the principal amount in the same row as the derivative closing position market value.

For the purposes of ABS reporting (including SRF 550.3), if the contract opens and closes on the same side, report:

A net cash receipt as a negative transaction; and
A net cash payment as a positive transaction.

If the RSE licensee is unable to allocate transactions by side (e.g. in the case of a netting agreement that is difficult to unwind for reporting purposes, or derivatives that switch sides during the quarter and there is uncertainty as to the position the derivative is in at the time the settlement is received) report:

A net cash receipt as a negative transaction on the asset (gross positive) side; and
A net cash payment as a positive transaction on the liability (gross negative) side.