Financial Sector (Collection of Data) (reporting standard) determination No. 19 of 2018
Reporting Standard ARS 320.5 Securities Subject to Repurchase and Resale and Stock Lending and Borrowing
Financial Sector (Collection of Data) Act 2001
I, Alison Bliss, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) and subsection 33(3) of the Acts Interpretation Act 1901:
(a) REVOKE Financial Sector (Collection of Data) (reporting standard) determination No. 35 of 2008, including Reporting Standard ARS 320.5 Securities Subject to Repurchase and Resale and Stock Lending and Borrowing made under that Determination; and
(b) DETERMINE Reporting Standard ARS 320.5 Securities Subject to Repurchase and Resale and Stock Lending and Borrowing, in the form set out in the Schedule, which applies to the 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 shall begin to apply to those financial sector entities, and the revoked reporting standard shall cease to apply, on 1 April 2018.
This instrument commences on 1 April 2018.
Dated: 21 March 2018
[Signed]
Alison Bliss
General Manager
Data Analytics Division
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 ARS 320.5
Securities Subject to Repurchase and Resale and Stock Lending and Borrowing
Objective of this Reporting Standard
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001 and outlines the overall requirements for the provision of information to APRA relating to securities subject to repurchase and resale and stock lending and borrowing. It should be read in conjunction with Reporting Form ARF 320.5 Securities Subject to Repurchase and Resale and Stock Lending and Borrowing and the associated instructions (both of which are attached and form part of this Reporting Standard).
- This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
2. Data collected in Reporting Form ARF 320.5 Securities Subject to Repurchase and Resale and Stock Lending and Borrowing (ARF 320.5) is used by APRA for the purpose of prudential supervision. It may also be used by the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS).
Application and commencement
3. This Reporting Standard applies to an authorised deposit-taking institution (ADI) as set out in the table below.
Class of ADI | Applicable |
Australian-owned Bank | Yes |
Foreign Subsidiary Bank | Yes |
Branch of a Foreign Bank | Yes |
Building Society | No |
Credit Union | No |
Other ADI | Yes |
4. This Reporting Standard commences on 1 April 2018.
Information required
5. An ADI to which this Reporting Standard applies must provide APRA with the information required by ARF 320.5 for each reporting period.
Form and method of submission
6. The information required by this Reporting Standard must be given to APRA in electronic format, using the ‘Direct to APRA’ application or 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
7. Subject to paragraph 8, an ADI to which this Reporting Standard applies must provide the information required by this Reporting Standard for each quarter based on the financial year (within the meaning of the Corporations Act 2001) of the ADI.
8. APRA may, by notice in writing, change the reporting periods, or specified reporting periods, for a particular ADI, to require it to provide the information required by this Reporting Standard more frequently, or less frequently, having regard to:
(a) the particular circumstances of the ADI;
(b) the extent to which the information is required for the purposes of the prudential supervision of the ADI; and
(c) the requirements of the RBA or the ABS.
9. The information required by this Reporting Standard must be provided to APRA by 20 business days after the end of the reporting period to which it relates.
10. APRA may grant an ADI an extension of a due date in writing, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
11. All information provided by an ADI under this Reporting Standard must be subject to processes and controls developed by the ADI for the internal review and authorisation of that information. These systems, processes and controls are to assure the completeness and reliability of the information provided.
Authorisation
12. When an officer of an ADI submits information under this Reporting Standard using the D2A application, or other method notified by APRA, it will be necessary for the officer to digitally sign the relevant information using a digital certificate acceptable to APRA.
Minor alterations to forms and instructions
13. APRA may make minor variations to:
(a) a form that is part of this Reporting Standard, and the instructions to such a form, to correct technical, programming or logical errors, inconsistencies or anomalies; or
(b) the instructions to a form, to clarify their application to the form
without changing any substantive requirement in the form or instructions.
14. If APRA makes such a variation it must notify in writing each ADI that is required to report under this Reporting Standard.
Interpretation
15. In this Reporting Standard:
AASB has the meaning in section 9 of the Corporations Act 2001.
ADI means an authorised deposit-taking institution within the meaning of the Banking Act 1959.
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998.
Australian-owned bank means a locally incorporated ADI that assumes or uses the word ‘bank’ in relation to its banking business and is not a foreign subsidiary bank.
branch of a foreign bank means a ‘foreign ADI’ as defined in section 5 of the Banking Act 1959.
building society means a locally incorporated ADI that assumes or uses the expression ‘building society’ in relation to its banking business.
business days means ordinary business days, exclusive of Saturdays, Sundays and public holidays.
class of ADI means each of the following:
(i) Australian-owned bank;
(ii) foreign subsidiary bank;
(iii) branch of a foreign bank;
(iv) building society;
(v) credit union; and
(vi) other ADI.
credit union means a locally incorporated ADI that assumes or uses the expression ‘credit union’ in relation to its banking business and includes Cairns Penny Savings & Loans Limited.
due date means the relevant due date under paragraph 9 or, if applicable, paragraph 10.
foreign ADI has the meaning in section 5 of the Banking Act 1959.foreign subsidiary bank means a locally incorporated ADI in which a bank that is not locally incorporated has a stake of more than 15 per cent.
locally incorporated means incorporated in Australia or in a State or Territory of Australia, by or under a Commonwealth, State or territory law.
other ADI means an ADI that is not an Australian-owned bank, a branch of a foreign bank, a building society, a credit union or a foreign subsidiary bank but does not include Cairns Penny Savings & Loans Limited.
reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.
stake means a stake determined under the Financial Sector (Shareholdings) Act 1998, as if the only associates that were taken into account under paragraph (b) of subclause 10(1) of the Schedule to that Act were those set out in paragraphs (h), (j) and (l) of subclause 4(1).
16. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.
Reporting Form ARF 320.5
Securities Subject to Repurchase and Resale and Stock Lending and Borrowing
Instruction Guide
General directions and notes
Reporting entity
This form is to be completed by all Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other authorised deposit-taking institutions (ADIs) on a Domestic books basis.
The Domestic books of Australian-owned banks and foreign subsidiary banks, branches of foreign banks and other ADIs relates to the Australian books of the Australian ADI and has the following scope:
- is an unconsolidated report of the Australian licensed ADI's operations/transactions that are booked inside Australia;
- exclude offshore branches of the Australian licensed ADI from this reporting unit;
- exclude offshore banking units based overseas from this reporting unit;
- do not consolidate Australian and offshore controlled entities or associated entities that are not ADIs;
- include Australian based offshore banking units of the licensed ADI; and
- include transactions with non-residents recorded on Australian books.
Securitisation deconsolidation principle
Except as otherwise specified in these instructions, the following applies:
- Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that meets APRA’s operational requirements for regulatory capital relief under Prudential Standard APS 120 Securitisation (APS 120):
(a) special purpose vehicles (SPVs) holding securitised assets may be treated as non-consolidated independent third parties for regulatory reporting purposes, irrespective of whether the SPVs (or their assets) are consolidated for accounting purposes;
(b) the assets, liabilities, revenues and expenses of the relevant SPVs may be excluded from the ADI’s reported amounts in APRA’s regulatory reporting returns; and
(c) the underlying exposures (i.e. the pool) under such a securitisation may be excluded from the calculation of the ADI’s regulatory capital (refer to APS 120). However, the ADI must still hold regulatory capital for the securitisation exposures that it retains or acquires and such exposures are to be reported in Reporting Form ARF 120.1 Securitisation – Regulatory Capital. The risk-weighted assets (RWA) relating to such securitisation exposures must also be reported in Reporting Form ARF 110.0.1 Capital Adequacy (Level 1) and Reporting Form ARF 110.0.2 Capital Adequacy (Level 2).
2. Where an ADI (or a member of its Level 2 consolidated group) participates in a securitisation that does not meet APRA’s operational requirements for regulatory capital relief under APS 120, or the ADI undertakes a funding-only securitisation or synthetic securitisation, such exposures are to be reported as on-balance sheet assets in APRA’s regulatory reporting returns. In addition, these exposures must also be reported as a part of the ADI’s total securitised assets within Reporting Form ARF 120.2 Securitisation – Supplementary Items.
Reporting period
The form is to be completed as at the last day of the stated reporting quarter. Australian-owned banks, foreign subsidiary banks, branches of foreign banks and other ADIs should submit the completed form to APRA within 20 business days after the end of the relevant reporting quarter.
Unit of measurement
Australian-owned banks, foreign subsidiary banks and branches of foreign banks are asked to complete the form in millions of Australian dollars rounded to one decimal place. Other ADIs are asked to complete the form in whole Australian dollars (no decimal place).
Amounts denominated in foreign currency are to be converted to AUD in accordance with AASB 121 The Effects of Changes in Foreign Exchange Rates (AASB 121).
The general requirements of AASB 121 for translation are:
- foreign currency monetary items outstanding at the reporting date must be translated at the spot rate at the reporting date;
- foreign currency non-monetary items that are measured at historical cost in a foreign currency must be translated using the exchange rate at the date of the transaction;
- foreign currency non-monetary items that are measured at fair value will be translated at the exchange rate at the date when fair value was determined.
Transactions arising under foreign currency derivative contracts at the reporting date must be prepared in accordance with AASB 139 Financial Instruments: Recognition and Measurement (AASB 139). However, those foreign currency derivatives that are not within the scope of AASB 139 (e.g. some foreign currency derivatives that are embedded in other contracts) remain within the scope of AASB 121.
For APRA purposes equity items must be translated using the foreign currency exchange rate at the date of investment or acquisition. Post acquisition changes in equity are required to be translated on the date of the movement.
As foreign currency derivatives are measured at fair value, the currency derivative contracts are translated at the spot rate at the reporting date.
Exchange differences should be recognised in profit and loss in the period which they arise. For foreign currency derivatives, the exchange differences would be recognised immediately in profit and loss if the hedging instrument is a fair value hedge. For derivatives used in a cash flow hedge, the exchange differences should be recognised directly in equity.
The ineffective portion of the exchange differences in all hedges would be recognised in profit and loss; and
Timing
Report assets and liability positions as at the date of change of ownership.
Netting
Unless otherwise specifically stated, institutions are to comply with the prerequisite for netting outlined in Australian accounting standards AASB 139 and AASB 132 Financial Instruments: Disclosure and Presentation and AASB 7 Financial Instruments: Disclosures and any relevant prudential standards.
Term to maturity
References to term to maturity in this form are references to original term to maturity
Valuation and currency conversion
Closing balances should be reported at market price effective at the reference date. Where denominated in foreign currency, market values in foreign currency should be converted to AUD at the spot rate effective as at the reference date.
Basis of preparation
Unless otherwise specifically stated, institutions are to comply with Australian accounting standards regarding the measurement of asset, liability and equity items.
Specific instructions
Refer to the sector definitions in the Reporting Form ARF 320.0 Statement of Financial Position (Domestic Books) instructions as a general guide for reporting by sector. In particular, care should be taken in reporting debt securities that appear to be issued by State, Territory and local government (and therefore classified on this form as "Other debt securities"), which may actually be issued by central borrowing authorities. State central borrowing authorities have taken over almost all bond issuance for funding required by State, Territory and local governments.
Securities subject to repurchase and resale and stock lending and borrowing
Repurchase/Resale agreements (repos) are undertaken for the purposes of liquidity management, increasing income generated from a security, and/or to minimise the cost of borrowing. Securities lending tends to take place to cover "short" positions in a security, and/or to increase income generated from a security. Repos and securities lending are very similar, with only a very fine division between the two types of transactions. In both cases the arrangement involves the transfer of legal ownership of securities (debt or equity) between the original holder and "borrower", including the right for the "borrower" to on-sell the securities. However, in both transactions, the market risk on the security and right to holding gains (and losses) and income generated by the security remains with the original holder. Repos and securities lending both occur at a specified price with a commitment to repurchase the same or similar securities at a fixed price on a future date, which is specified in the contract or available on demand. Primarily the difference between repos and securities lending transactions is that securities lending involves the payment of a fee to the "lender" as an incentive to agree to the transaction as it generates an additional return on the security. The fee is independent of any income that may be earned on the security. Repo transactions however generate interest income for the "borrower" although in certain circumstances where the cash provider ("borrower") as a specific need for a security, the borrowing rate could fall to zero. Repos involve the provision of collateral and an exchange of cash whereas securities lending doesn't necessarily involve cash exchange or collateral.
Securities subject to repurchase and resale
Report all securities (debt and equity) held under resale agreements and due for repurchase at the end of the reference period by counterparty to the agreement. Report all securities at market value.
Separate repurchase/resale agreements, even when with the same counterparty, should not be netted against each other if they involve different security types.
Include:
Stock lending and borrowing
Report all securities (debt and equity) borrowed and lent at the end of the reference period by counterparty to the agreement. Report all securities at market value.
Securitisation exposures are defined in accordance with APS 120.
Monetary items are defined to mean units of currency held and assets and liabilities to be received or paid in a fixed or determinable number of units of currency. Spot rate means the exchange rate for immediate delivery.
Examples of non-monetary items include amounts prepaid for goods and services (e.g. prepaid rent); goodwill; intangible assets; physical assets; and provisions that are to be settled by the delivery of a non-monetary asset.