Financial Sector (Collection of Data) (reporting standard) determination No. 83 of 2013 - SRS 534.0 - Derivative Financial Instruments
1Financial Sector (Collection of Data) (reporting standard) determination No. 83 of 2013 - SRS 534.0 - Derivative Financial Instruments
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Financial Sector (Collection of Data) (reporting standard) determination No. 83 of 2013
Reporting Standard SRS 534.0 Derivative Financial Instruments
Financial Sector (Collection of Data) Act 2001
I, Steven John Davies, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) DETERMINE Reporting Standard SRS 534.0 Derivative Financial Instruments, in the form set out in the Schedule, which applies to financial sector entities to the extent provided in paragraph 3 of the reporting standard.
Under section 15 of the Act, I DECLARE that the reporting standard applies to those financial sector entities on and after 1 July 2014.
This instrument commences on the date of registration on the Federal Register of Legislative Instruments.
Dated: 3 June 2013
[signed]
Steven John Davies
General Manager
Statistics
Interpretation
In this Determination:
APRA means the Australian Prudential Regulation Authority.
financial sector entity has the meaning given by section 5 of the Act.
Schedule
Reporting Standard SRS 534.0 Derivative Financial Instruments comprises the 15 pages commencing on the following page.
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Reporting Standard SRS 534.0
Derivative Financial Instruments
Objective of this Reporting Standard
This Reporting Standard sets out the requirements for the provision of information to APRA relating to derivative financial instruments of a registrable superannuation entity.
It includes Form SRF 534.0 Derivative Financial Instruments and associated specific instructions and must be read in conjunction with Prudential Standard SPS 530 Investment Governance.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Form SRF 534.0 Derivative Financial Instruments (SRF 534.0) is used by APRA for the purposes of prudential supervision and publication, including assessing compliance with Prudential Standard SPS 530 Investment Governance. It may also be used by the Australian Bureau of Statistics.
Application and commencement
This Reporting Standard applies to each registrable superannuation entity (RSE) licensee (RSE licensee) in respect of each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF) within its business operations.
This Reporting Standard applies for reporting periods ending on or after 1 July 2014.
Information required
An RSE licensee to which this Reporting Standard applies must provide APRA with the information required by SRF 534.0 in respect of each reporting period.
Forms and method of submission
The information required by this Reporting Standard must be given to APRA in electronic format using the ‘Direct to APRA’ application or, where ‘Direct to APRA’ is not available, by a method notified by APRA, in writing, prior to submission.
Note: the ‘Direct to APRA’ application software (also known as ‘D2A’) may be obtained from APRA.
Reporting periods and due dates
Subject to paragraph 8, an RSE licensee to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each year of income of each RSE, defined benefit RSE, PST or ERF within its business operations.
If, having regard to the particular circumstances of an RSE, defined benefit RSE, PST or ERF, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by paragraph 7, APRA may, by notice in writing, change the reporting periods for the particular RSE, defined benefit RSE, PST or ERF.
The information required by this Reporting Standard must be provided to APRA:
(a) for reporting periods ending on or after 1 July 2014 but before 1 July 2015 – within four months after the end of the year of income to which the information relates;
(b) for reporting periods ending on or after 1 July 2015 – within three months after the end of the year of income to which the information relates; and
(c) in the case of information provided in accordance with paragraph 8, within the time specified by notice in writing.
APRA may grant, in writing, an RSE licensee an extension of a due date with respect to one or more RSEs, defined benefit RSEs, PSTs or ERFs within its business operations, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
The information provided by an RSE licensee under this Reporting Standard must be the product of systems, procedures and internal controls that have been reviewed and tested by the RSE auditor of the RSE, defined benefit RSE, PST or ERF to which the information relates.[2] This will require the RSE auditor to review and test the RSE licensee’s systems, procedures and internal controls designed to enable the RSE licensee to report reliable information to APRA. This review and testing must be done on:
(a) an annual basis or more frequently if necessary to enable the RSE auditor to form an opinion on the reliability and accuracy of information; and
(b) at least a limited assurance engagement consistent with professional standards and guidance notes issued by the Auditing and Assurance Standards Board as may be amended from time to time, to the extent that they are not inconsistent with the requirements of SPS 310.
All information provided by an RSE licensee under this Reporting Standard must be subject to systems, processes and controls developed by the RSE licensee for the internal review and authorisation of that information. It is the responsibility of the Board and senior management of the RSE licensee to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.
Authorisation
When an officer or agent of an RSE licensee provides the information required by this Reporting Standard using the ‘Direct to APRA’ software, it will be necessary for the officer or agent to digitally sign the relevant information using a digital certificate acceptable to APRA.
If the information required by this Reporting Standard is provided by an agent who submits using the ‘Direct to APRA’ software on the RSE licensee’s behalf, the RSE licensee must:
(a) obtain from the agent a copy of the completed form with the information provided to APRA; and
(b) retain the completed copy.
An officer or agent of an RSE licensee who submits the information under this Reporting Standard for, on behalf of, the RSE licensee must be authorised by either:
(a) the Chief Executive Officer of the RSE licensee; or
(b) the Chief Financial Officer of the RSE licensee.
Variations
APRA may, by written notice to an RSE licensee, vary the reporting requirements of SRF 534.0 in relation to that RSE licensee or one or more RSEs, defined benefit RSEs, PSTs or ERFs within that RSE licensee’s business operations.
Interpretation
In this Reporting Standard:
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998;
Chief Executive Officer means the chief executive officer of the RSE licensee, by whatever name called, and whether or not he or she is a member of the Board of the RSE licensee[3];
Chief Financial Officer means the chief financial officer of the RSE licensee, by whatever name called;
defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;
due date means the relevant date under paragraph 9 or, if applicable, paragraph 10;
eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act and, in relation to the period between 1 July 2013 and 31 December 2013, includes an existing ERF within the meaning given in section 391 of the SIS Act;
pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;
reporting period means a period mentioned in paragraph 7(a) or 7(b) or, if applicable, paragraph 8;
RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[4];
RSE auditor means an auditor appointed by the RSE licensee to perform functions under this Reporting Standard;
RSE licensee has the meaning given in section 10(1) of the SIS Act;
SIS Act means Superannuation Industry (Supervision) Act 1993; and
year of income has the meaning given in section 10(1) of the SIS Act.
SRF 534.0: Derivative Financial Instruments
Australian Business Number
Institution Name
Reporting Period
Scale Factor
Reporting Consolidation
Directly held derivative financial instruments
Exposure type
Derivative type
Contract type
Holding type
Purpose
Principal amount
Number of contracts
Gross positive market value
Gross negative market value
Cumulative gains/losses
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
Interest rate
Exchange traded
Option
Bought
Hedging underlying exposures
Foreign exchange
Over the counter
Forwards or futures or swaps
Sold
Portfolio rebalancing
Credit risk
Other
Gaining exposure to an investment class
Equity
Other purpose
Commodity
Other
1.1. Total directly held derivative financial instruments
2. Value of assets of the RSE that are pledged to secure derivative positions
3. Details of net exposure
Gross market value
Accounting standards offset
Net amount
Bankruptcy or default offset
Net exposure
(1)
(2)
(3)
(4)
(5)
2.3.3.1. Derivative assets
3.2. Derivative liabilities
4. Details of directly held over the counter derivatives
Counterparty name
Counterparty rating grade
Exposure type
Holding type
Principal amount
Gross positive market value
Gross negative market value
Net exposure
Assets pledged to secure positions
Cash to cover
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
Grade 1
Interest rate
Bought
Grade 2
Foreign exchange
Sold
Grade 3
Credit risk
Grade 4
Equity
Grade 5
Commodity
Grade 6
Other
Grade 7
4.4.1. Total directly held over the counter derivatives
5. Movements in directly held derivative financial instruments
Investment income
5.2. Unrealised gains/losses
5.3. Realised gains/losses
5.4. Total gains/losses
Reporting Form SRF 534.0
Derivative Financial Instruments
Instructions
These instructions assist completion of Reporting Form SRF 534.0 Derivative Financial Instruments (SRF 534.0). SRF 534.0 collects information on derivative financial instruments of a registrable superannuation entity (RSE). Information reported in SRF 534.0 is required primarily for prudential, publication and statistical purposes. Information reported in SRF 534.0 is also required for the purposes of the Australian Bureau of Statistics.
Reporting level
SRF 534.0 must be completed for each RSE, defined benefit RSE, pooled superannuation trust (PST) and eligible rollover fund (ERF).
Reporting basis and unit of measurement
Report all items on SRF 534.0 in accordance with the Australian Accounting Standards unless otherwise specified.
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 is free to 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 should attempt to use the same exchange rates across all returns to APRA.
Items on SRF 534.0 must be reported as at the end of the reporting period or with respect to transactions that occurred during the reporting period. Report information with respect to transactions occurred during the reporting period on a year to date basis, rather than for the individual quarter alone.
Items on SRF 534.0 are to be reported as thousands of dollars and whole numbers.
Items on SRF 534.0 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 and unit of measurement that applies to each item.
Specific instructions
Terms highlighted in bold italics indicate that the definition is provided in these instructions. Additional definitions are provided at the end of these instructions.
Report only directly held investments in derivative financial instruments on SRF 534.0, which may or may not be invested via an individually managed mandate. An individually managed mandate represents an asset portfolio managed by an investment manager in accordance with a formal agreement.
Do not report indirectly held investments in derivative financial instruments on SRF 534.0; report them instead on Reporting Form SRF 530.0 Investments as indirectly held investments.
Directly held derivative financial instruments
Item 1 collects information about the notional principal amount (principal amount) and market value of an RSE’s directly held investments in derivative financial instruments and the purpose for the investment by derivative contract type.
Reporting basis: report item 1 column 6 to column 10 inclusive as at the end of the reporting period.
Unit of measurement: report column 6 and column 8 to column 10 inclusive as thousands of dollars; report column 7 as a whole number.
Item 1
Report, for each combination of exposure type, derivative type, contract type, holding type and purpose: the exposure type in column 1, derivative type in column 2, contract type in column 3, holding type in column 4, purpose in column 5, principal amount in column 6, number of contracts in column 7, gross positive market value in column 8, gross negative market value in column 9 and cumulative gains/losses in column 10.Item 1.1 is a derived item. Report the total directly held derivative financial instruments in item 1.1 as the totals of column 6 to column 10 inclusive reported in item 1.The exposure types are: interest rate contract, foreign exchange contract, credit risk contract, equity contract, commodity contract and other.The derivative types are: exchange traded and over the counter.The contract types are: option, forward or futures or swaps and ‘other’.The holding types are: bought and sold.The purposes are: hedging underlying exposure, portfolio rebalancing, gaining exposure to an asset class and ‘other’.Where a contract involves multiple exposures, report each exposure as a separate line.Example: a foreign exchange AUD/USD forward contract to buy $1 million AUD at 0.995 would result in a bought position on AUD and a sold position on USD with one position having positive market value and one having negative market value (depending on the forward rate relative to the spot rate). This must be reported as two lines to indicate the gross positions in both directions.
Directly held
Represents investments made by the RSE in its own name. Includes: investments held by a custodian in trust for the RSE.
Principal amount
Represents the face value of a financial instrument.
Number of contracts
Represents the number of derivative contracts underlying the exposure.
Gross positive market value
Represents the aggregate amount of all exposures with a positive market value.
Gross negative market value
Represents the aggregate amount of all exposures with a negative market value.
Cumulative gains/losses
Represents the cumulative change in value since the holding was established.
Assets pledged to secure derivative positions
Item 2 collects information about the value of assets held in the RSE that are pledged to secure derivative positions.
Reporting basis: report item 2 as at the end of the reporting period
Unit of measurement: report item 2 as thousands of dollars.
Item 2
Report the market value of assets pledged to secure derivative positions.
Assets pledged to secure derivative positions
Represents cash or assets pledged or lodged with an entity to support derivative positions as collateral.
Details of net exposure
Item 3 collects additional information about derivative assets and derivative liabilities.
Reporting basis: report item 3 as at the end of the reporting period
Unit of measurement: report item 3 as thousands of dollars.
Item 3
Report the value of derivative assets in item 3.1 and the value of derivative liabilities in item 3.2.Item 3.1 column 3 is a derived item. Report the net amount of derivative assets in item 3.1 column 3 as gross market value of derivative assets reported in item 3.1 column 1 minus accounting standards offset in item 3.1 column 2. The net amount of derivative assets reported in item 3.1 column 3 must equal the value of derivative assets reported in item 4 of Reporting Form SRF 320.0 Statement of Financial Position.Item 3.1 column 5 is a derived item. Report net exposure of derivative assets in item 3.1 column 5 as net amount of derivative assets in item 3.1 column 3 minus bankruptcy or default offset in item 3.1 column 4.Item 3.2 column 3 is a derived item. Report the net amount of derivative liabilities in item 3.2 column 3 as gross market value of derivative liabilities reported in item 3.2 column 1 minus accounting standards offset in item 3.2 column 2. The net amount of derivative liabilities reported in item 3.2 column 3 must equal the value of derivative liabilities reported in item 14 of Reporting Form SRF 320.0 Statement of Financial Position.Item 3.2 column 5 is a derived item. Report net exposure of derivative liabilities in item 3.2 column 5 as net amount of derivative liabilities in item 3.2 column 3 minus bankruptcy or default offset in item 3.2 column 4.
Assets
Represents as a resource: (a) controlled by an entity as a result of past events; and (b) from which future economic benefits are expected to flow to the entity. Reference: Australian Accounting Standards.
Liabilities
Represents a present obligation of the entity arising from past events, the settlement of which is expected to result in an outflow from the entity of resources embodying economic benefits. Reference: Australian Accounting Standards.
Accounting standards offset
Represents the value of derivatives that qualify to be offset against the gross fair value of derivatives, in accordance with the eligibility criteria set out in the accounting standards. Reference: Australian Accounting Standards.
Bankruptcy or default offset
Represents amount available to be offset under the bankruptcy or insolvency laws of Australia. The bankruptcy or insolvency law governs the insolvency of the counterparties. Reference: Australian Accounting Standards.
Directly held over the counter derivatives
Item 4 collects detail information about over the counter derivative contract for the ten largest counterparties by principal amount.
Reporting basis: report item 4 column 5 to column 10 inclusive as at the end of the reporting period.
Unit of measurement: report item 4 column 5 to column 10 inclusive as thousands of dollars.
Item 4
Report item 4 for each of the ten largest counterparties based on the aggregate principal amount of all over the counter derivatives with that counterparty.Report each combination of counterparty name, counterparty credit rating, exposure type and holding type on a separate line.For each combination of counterparty name, counterparty credit rating, exposure type and holding type report: the name of the counterparty in column 1, the counterparty credit rating in column 2, the exposure type in column 3, the holding type in column 4, principal amount in column 5, the gross positive market value in column 6, the gross negative market value in column 7, the net exposure in column 8, assets pledged to secure derivative positions in column 9 and cash to cover in column 10.Item 4.1 is a derived item. Report the total directly held derivative financial instruments in item 4.1 as the totals of column 5 to column 10 inclusive reported in item 4.The exposure types are: interest rate contract, foreign exchange contract, credit risk contract, equity contract, precious metal contract and ‘other’.The holding types are: bought and sold.The counterparty credit ratings are: grade 1, grade 2, grade 3, grade 4, grade 5, grade 6, grade 7 and ‘not applicable’.
Counterparty
Represents the entity with which an investment is being transacted.
Cash to cover
Represents the amount of cash required to close or realise the derivative contract.
Movements in directly held derivative financial instruments
Item 5 collects income and gains/losses from direct investments in derivative financial instruments.
Reporting basis: report item 5.1 to item 5.4 inclusive with respect to transactions that occurred during the reporting period.
Unit of measurement: report item 5 as thousands of dollars.
Item 5
Report, for all directly held derivative financial instruments, investment income in item 5.1, unrealised gains / losses in item 5.2 and realised gains / losses in item 5.3.Item 5.4 is a derived item. Report the total gains/losses in item 5.4 as the sum of unrealised gains / losses reported in item 5.2 and realised gains / losses reported in item 5.3.
Investment income
Represents gross revenue in the form of income or distributions from investments. Includes: interest, dividends, rental income, trust distributions.
Unrealised gains/losses
Represents changes in the value of investments as a result of remeasurement changes in the market value of investments. Includes: impairment charges and provisions.
Realised gains/losses
Represents changes in the value of investments as a result of closing or disposal of investments.
Glossary of additional items
Derivative type
Exchange traded derivative
Represents a standardised derivative contract transacted on a recognised stock exchange, subject to daily mark-to-market and margin settlements.
Over the counter derivative
Represents a derivative contract transacted between individual counterparties outside a recognised stock exchange, with contract details negotiated by those parties.
Exposure type
Interest rate contract
Represents a contract that transfers the interest rate risk on an underlying asset from one party to another.
Foreign exchange contract
Represents a contract that transfers the exchange rate risk on an underlying asset from one party to another. Includes: gold contracts
Credit risk contract
Represents a contract that transfers the credit risk of an underlying asset from one party to another.
Equity contract
Represents a contract that transfers the equity risk on an underlying equity security from one party to another. Excludes: credit risk on an underlying equity security
Commodity contract
Represents a contract that transfers the precious metal price risk on an underlying precious metal from one party to another. Excludes: gold contracts
Contract type
Option
Represents a contract that provides the holder with the right, but not the obligation, to buy or sell a specific amount of the underlying asset at an agreed price, on or before a specific future date.
Forward or future or swaps
Represents agreements to exchange a predetermined amount of an underlying asset financial instrument at a specified future date and at a predetermined price, or exchange predetermined obligations, generally a series of cash flows on differing terms.
Holding type
Bought
Represents where the entity is the holder of the contract.
Sold
Represents where the entity is the seller of the contract.
Purpose type
Hedging underlying exposure
Represents using a derivative financial instrument to reduce the risk of adverse price movements in an investment asset.
Portfolio rebalancing
Represents using a derivative financial instrument to restore the position of an asset class or investment within an asset allocation range.
Gaining exposure to an investment class
Represents using a derivative financial instrument to invest in an asset class.
Counterparty credit ratings
The counterparty grades are used in classifying the credit rating of debt investments. An RSE licensee must directly request credit grades from the counterparty or investment manager, and must not rely on consumer rating agencies which rate collective investments.
Where an RSE has investments with multiple ratings from two or more rating agencies, the RSE licensee must consistently apply the lowest rating of a single agency whenever the individual ratings conflict.
The counterparty credit ratings used in these instructions are generally consistent with long term rating/debt securities. Where an RSE invests in counterparties/securities that have only been issued with a short term counterparty credit rating, the RSE licensee must use the most closely matched counterparty credit rating.
Grade 1
Represents a rating of Standard & Poor's AAA, Moody's Aaa, AM Best aaa, Fitch AAA
Grade 2
Represents a rating of Standard & Poor's AA+, AA, AA-; Moody's Aa1, Aa2, Aa3; AM Best aa+, aa, aa-; Fitch AA+, AA, AA
Grade 3
Represents a rating of Standard & Poor's A+, A, A-; Moody's A1, A2, A3; AM Best a+, a, a-; Fitch A+, A, A-
Grade 4
Represents a rating of Standard & Poor's BBB+, BBB, BBB-; Moody's Baa1, Baa2, Baa3; AM Best bbb+, bbb, bbb-; Fitch BBB+, BBB, BBB-
Grade 5
Represents a rating of Standard & Poors BB+, BB, BB-; Moodys Ba1, Ba2, Ba3; AM Best bb+, bb, bb-; Fitch BB+, BB, BB-
Grade 6
Represents a rating of Standard & Poor's B+, B, B-; Moody’s B1, B2, B3; AM Best b+, b, b-; Fitch B+, B, B-
Grade 7
Represents a rating of Standard & Poor's CCC or below; Moody’s Caa or below; AM Best b or below; Fitch CCC or below; unrated.
Interpretation
For the purposes of these instructions:
defined benefit RSE means an RSE that is a defined benefit fund within the meaning given in Prudential Standard SPS 160 Defined Benefit Matters;
eligible rollover fund (ERF) has the meaning given in section 10(1) of the SIS Act and, in relation to the period between 1 July 2013 and 31 December 2013, includes an existing ERF within the meaning given in section 391 of the SIS Act;
pooled superannuation trust (PST) has the meaning given in section 10(1) of the SIS Act;
RSE means a registrable superannuation entity as defined in section 10(1) of the SIS Act that is not a defined benefit RSE, PST, ERF, small APRA fund or single member approved deposit fund[5];
RSE licensee has the meaning given in section 10(1) of the SIS Act;
SIS Act means Superannuation Industry (Supervision) Act 1993; and
SIS Regulations means Superannuation Industry (Supervision) Regulations 1994.
[1] For the purposes of this Reporting Standard, an ‘RSE licensee’s business operations’ includes all activities as an RSE licensee (including the activities of each RSE of which it is the licensee), and all other activities of the RSE licensee to the extent that they are relevant to, or may impact on, its activities as an RSE licensee. For the avoidance of doubt, if the RSE licensee is trustee of more than one RSE, defined benefit RSE, PST or ERF, the RSE licensee must separately provide the information required by the form for each RSE, defined benefit RSE, PST or ERF within its business operations.
[2] Refer also to Prudential Standard SPS 310 Audit and Related Matters (SPS 310).
[3] Refer to Prudential Standard SPS 510 Governance.
[4] For the purposes of this Reporting Standard, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.
[5] For the purposes of these instructions, ‘small APRA fund’ means a superannuation entity that is a regulated superannuation fund, within the meaning of the SIS Act, which has fewer than five members and ‘single member approved deposit fund’ means a superannuation entity that is an approved deposit fund, within the meaning of the SIS Act, and has only one member.