Reporting Form SRF 550.4

Margining and Risk Mitigation for Non-Centrally Cleared Derivatives

Instruction Guide

This instruction guide is designed to assist in the completion of Reporting Form SRF 550.4 Margining and Risk Mitigation for Non-Centrally Cleared Derivatives (SRF 550.4). This form collects information on margining practices in relation to non-centrally cleared derivative of RSEs. In completing this form RSE licensees should refer to Prudential Standard CPS 226 Margining and Risk Mitigation for Non-Centrally Cleared Derivatives (CPS 226).

General directions and notes

Reporting level

SRF 550.4 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 550.4 in accordance with the Australian Accounting Standards unless otherwise specified.

Amounts in SRF 550.4 are to be reported as whole dollars.

Items on SRF 550.4 must be reported as at the end of the reporting period.

Amounts denominated in foreign currency must be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates.

Items on SRF 550.4 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.

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 550.4, which may or may not be invested via an individually managed mandate.

Table 1: Margining and Risk Mitigation for Non-Centrally Cleared Derivatives

Instructions

For each counterparty, report the variation and initial margins and collateral posted and received for non-centrally cleared derivative transactions.

Table 2: Aggregate Month-End Average Notional Amount Of Non-Centrally Cleared Derivatives

Instructions

Report the total notional amount of outstanding non-centrally cleared derivative transactions for the margining group as at 31 March, 30 April and 31 May of the reporting year. The total notional amount is the aggregate of all outstanding non-centrally cleared derivative transactions across all entities within the margining group. Refer to CPS 226 for the definition of margining group. The calculation of the notional amounts must include physically settled foreign exchange forwards and swaps. Intra-group transactions (transactions between two counterparties within the same margining group) are excluded from the calculation unless otherwise required by APRA.

Report the values in this table in whole Australian dollars.