Appendix A: Reportable Exposure Illustration

This appendix illustrates the approach to identify the reportable exposures that will be the basis for the measurement of exposures and in applying materiality in reporting for SRF 553.0 and SRF553.1. Internally managed assets are reported on a look through basis.

In the diagram below, the term ‘vehicle’ is used to refer to any form of structure that holds the assets. It refers to pooled funds, assets held in trust structures, managed investment schemes, and any other structures that pool assets together and for which ownership is determined. Vehicles can either be ‘internal vehicles’ which are created by the RSE licensee and/or its connected entity, or ‘external vehicles’ which are created by non-connected entities (e.g. external investment managers) that hold assets managed on behalf of the RSE licensee and/or its connected entities. Connected entity has its meaning under section 10(1) of the SIS Act.

For internally managed investments, the reportable exposure of the RSE, defined benefit RSE or PST applies is at the asset level. The size of the reportable exposure is the aggregate value to the same asset across all internally managed investments. For example, the reportable exposure to Asset 1 (e.g. ABC shares) is measured as the sum of the exposure to Asset 1 held directly (in scenario 1) and the exposure to Asset 1 held by Vehicle B. Report the reportable exposures separately where the investments are held at different internal vehicles.

For externally managed investments other than those under mandate in Scenarios 6-8, the reportable exposure is at the vehicle level. The reportable exposure is measured, and materiality applied at the vehicle level. Vehicles with greater than 80% allocation to listed or liquid unlisted are reported in SRF 553.0 while vehicles that hold at least 20% investment in unlisted assets are reported in SRF 553.1

For externally managed investments that are under mandate, the reportable exposures are the investments held under the mandate.

A diagram of reporting exposures for each RSE, Defined benefit RSE or PST separated into Internally Managed Investment Options and Externally Managed Options. Internally Managed Investment Options are separated into Internally and Externally Managed Investments. The reportable exposure for internally managed investments is at the asset level. The reportable exposure for externally managed investments is at the vehicle level.

A key for the above diagram explaining which colours or markings represent: Reportable Exposure, Underlying Investments, externally managed investment options, and scenarios.

The scenarios outlined in the diagram will be reported in the following tables in SRF 553.0 and SRF 553.1.