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Download Reporting Form SRF 536.0 Repurchase Agreements Instructions
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Transcript
DRAFT September 2012 Reporting Form SRF 536.0 Repurchase Agreements Instructions These instructions assist completion of Reporting Form SRF 536.0 Repurchase Agreements (SRF 536.0). SRF 536.0 collects information on repurchase agreements of an RSE. Information reported in SRF 536.0 is collected for prudential, publication and statistical purposes. Information reported in SRF 536.0 is also required for the purposes of the Australian Bureau of Statistics. Reporting level SRF 536.0 must be completed for each RSE (excluding SAFs and SMADFs). Interpretation For the purposes of these instructions: AASB means the Australian Accounting Standards Board; RSE means registrable superannuation entity as defined in section 10 of the SIS Act; RSE licensee means a constitutional corporation, body corporate, or group of individual trustees, that holds an RSE licence granted under section 29D of the SIS Act; Small APRA Fund (SAF) means a superannuation entity that is a regulated superannuation fund within the meaning of the SIS Act that has fewer than five members; SESCA means Australian Bureau of Statistics Standard Economic Sector Classifications of Australia, 2008; Single Member Approved Deposit Fund (SMADF) means a superannuation entity that is an approved deposit fund within the meaning of the SIS Act and has only one member; and SIS Act means Superannuation Industry (Supervision) Act 1993. Specific instructions Report all items as at the end of the reporting period. Report the fair value, within the meaning given in AASB 13 Fair Value Measurement, in thousands of dollars for all items unless otherwise specified. Report all items in accordance with the Australian Accounting Standards unless otherwise SRF 536.0 Instructions - 1 DRAFT September 2012 specified. Terms highlighted in bold italics indicate that the definition is provided in these instructions. Additional definitions are provided at the end of these instructions. Securities subject to repurchase and resell and security 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/borrowing tends to take place to cover ‘short’ positions in a security, and/or to increase income generated from a security. Repos and securities lending/borrowing 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. In both transactions, the market risk on the security and the right to holding gains (and losses) and income generated by the security remains with the original holder. Repos and securities lending/borrowing 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/borrowing transactions is that securities lending/borrowing involves the payment of a fee to the ‘lender’ as incentive to agree to the transaction as the fee 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’) has 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/borrowing doesn’t necessarily involve cash exchange or collateral. Debt securities purchased under agreements to resell and security borrowing by issuer Item 1 collects information about debt securities purchased under agreements to resell and borrowed, by issuer of the debt security and counterparty to the agreement. Item 1 Report the total debt securities purchased under agreement to resell and security borrowing in item 1.13 as the sum of debt securities purchased under agreement to resell or borrowed from a: Reserve Bank of Australia in item 1.1, bank in item 1.2, other authorised deposittaking institution in item 1.3, registered financial corporation in item 1.4, life company in item 1.5, registrable superannuation entity in item 1.6, general or health insurance company in item 1.7, state and territory central borrowing authority in item 1.8, securitiser in item 1.9, other financial institution in item 1.10, other corporation in item 1.11 and non-resident in item 1.12. Report the issuer of debt securities as: Commonwealth government in column 1, state and territory central borrowing authority in column 2, SRF 536.0 Instructions - 2 DRAFT September 2012 bank in column 3, the portion of debt securities issued by a bank that are covered bonds in column 4, securitiser in column 5 and other resident issuer in column 6. Equity securities purchased under agreements to resell and security borrowing by issuer Item 2 collects information about the equity securities purchased under agreements to resell and borrowed by issuer of the equity security and counterparty to the agreement. Item 2 Report the total equity securities purchased under agreement to resell and security borrowing in item 2.13 as the sum of equity securities purchased under agreement to resell or borrowed from a: Reserve Bank of Australia in item 2.1, bank in item 2.2, other authorised deposittaking institution in item 2.3, registered financial corporation in item 2.4, life company in item 2.5, registrable superannuation entity in item 2.6, general or health insurance company in item 2.7, state and territory central borrowing authority in item 2.8, securitiser in item 2.9, other financial institution in item 2.10, other corporation in item 2.11 and non-resident in item 2.12. Report other financial institution reported in column 10 as total securities in column 13 minus the sum of total equity securities purchased under agreement to resell or borrowed from a: trading enterprise owned by the Australian Commonwealth government reported in column 1, listed trading enterprise reported in column 2, unlisted trading enterprise reported in column 3, bank reported in column 4, other authorised deposit-taking institution reported in column 5, life company reported in column 6, general or health insurance company reported in column 7, listed investment company reported in column 8, unlisted investment company reported in column 9, other resident reported in column 11 and non-resident reported in column 12. Debt securities sold under agreements to resell and security lending by issuer and security lending Item 3 collects information about debt securities sold under agreements to resell and loaned by the issuer of the debt security and counterparty to the agreement. Item 3 Report the total debt securities sold under agreement to repurchase and security lending in item 3.13 as the sum of debt securities purchased under agreement to resell or loaned from a: Reserve Bank of Australia in item 3.1, bank in item 3.2, other authorised deposit-taking institution in item 3.3, registered financial corporation in item 3.4, life company in item 3.5, registrable superannuation entity in item 3.6, general or health insurance company in item 3.7, state and territory central borrowing authority in item 3.8, securitiser in item 3.9, other financial institution in item 3.10, other corporation in item 3.11 and non-resident SRF 536.0 Instructions - 3 DRAFT September 2012 in item 3.12. Report the issuer of debt securities as: Commonwealth government in column 1, state and territory central borrowing authority in column 2, bank in column 3, the portion of debt securities issued by a bank that are covered bonds in column 4, securitiser in column 5 and other resident issuer in column 6. Equity securities sold under agreements to resell and security lending by issuer Item 4 collects information about equity securities sold under agreements to resell and loaned by issuer of the equity security and counterparty to the agreement. Item 4 Report the total equity securities purchased under agreement to resell and security lending in item 4.13 as the sum of equity securities purchased under agreement to resell or loaned from the Reserve Bank of Australia in item 4.1, bank in item 4.2, other authorised deposit-taking institution in item 4.3, registered financial corporation in item 4.4, life company in item 4.5, registrable superannuation entity in item 4.6, general or health insurance company in item 4.7, state and territory central borrowing authority in item 4.8, securitiser in item 4.9, other financial institution in item 4.10, other corporation in item 4.11 and non-resident in item 4.12. Report other financial institution reported in column 10 as total securities in column 13 minus the sum of total equity securities sold under agreement to resell and security lending from a: trading enterprise owned by the Australian Commonwealth government reported in column 1, listed trading enterprise reported in column 2, unlisted trading enterprise reported in column 3, bank reported in column 4, other authorised deposit-taking institution reported in column 5, life company reported in column 6, general or health insurance company reported in column 7, listed investment company reported in column 8, unlisted investment company reported in column 9, other resident reported in column 11 and non-resident reported in column 12. Glossary of additional items Reserve Bank Represents the public financial corporation with responsibility for monetary policy, issuing banknotes, holding Australia’s international of Australia reserves and providing banking services to the Commonwealth. Bank Represents an authorised deposit-taking institution that is classified as a 'bank', which is a corporation, in relation to which an authority under s. 9(3) is in force and which holds a consent under s. 66 of the Banking Act 1959 to use the word 'bank'. Includes: development banks and foreign banks licensed to operate in Australia. Excludes: merchant banks and SRF 536.0 Instructions - 4 DRAFT September 2012 non-resident banks. Other authorised deposit-taking institution Represents a corporation, in relation to which an authority under s. 9(3) of the Banking Act 1959 is in force, but which does not hold a consent under s. 66 to use the word 'bank'. Registered financial corporation Represents a corporation that has registered under the Financial Sector Collection of Data Act 2001 (FSCOD Act) and which is categorised as a registered entity within the meaning given in the FSCOD Act. Includes: money market corporations (i.e. merchant banks), pastoral finance companies, finance companies and general financiers (other); and cash management trusts. Excludes: intra group financiers Life company Represents a body corporate that is registered under the Life Insurance Act 1995 to carry on life insurance business in Australia. Represents a registrable superannuation entity or an exempt public sector Registrable superannuation superannuation scheme within the meaning given in s. 10(1) of the SIS Act. entity General health insurance company or Represents a body corporate that is authorised under the Insurance Act 1973 to carry on insurance business in Australia or a corporation that provides health insurance. State and territory central borrowing authority Represents a central borrowing authority, established by a state and territory government within Australia. Central borrowing authorities primarily provide finance for public corporations and notional institutional units and other units owned or controlled by the government. Reference: SESCA, 2008. Securitiser Represents a financial vehicle that issues asset-backed securities (i.e. securities consisting of units which pool various types of assets such as residential mortgages, commercial property loans and credit card debt, and package them as collateral backing for bonds or short-term debt securities, which are then sold to investors). Other issuer Represents an institutional unit that is not otherwise identified as a Commonwealth government, State and territory central borrowing authority, bank or securitiser. Other financial Represents a financial institution that is not otherwise: Reserve Bank of Australia, bank, other authorised deposit-taking institution, registered institution financial corporation, life insurance company, registrable superannuation entity, general or health insurance company, state or territory central borrowing authority or securitiser. Includes: economic development corporations owned by governments; co-operative housing societies; investment companies; and common funds including cash common funds. Excludes: non-resident enterprises. SRF 536.0 Instructions - 5 DRAFT September 2012 Non-resident Represents an individual, business or other organisation domiciled in a country other than in Australia. Includes: foreign branches and foreign subsidiaries of Australian enterprises; and residents of Norfolk Island and other external territories of Australia. Excludes: Australian branches or subsidiaries of an overseas company. Commonwealth government Represents a public sector unit controlled by the Government of the Commonwealth of Australia. Includes: Government units, Public financial corporations, Public non-financial corporations and local governments (and controlled entities) of the Christmas and Cocos Keeling Islands. Reference: SESCA 2008. Covered bond Represents a bond, note or other debenture issued by an authorised deposit-taking institution (ADI), liabilities to the holders of which are recoverable from the ADI; and secured by assets beneficially owned by a covered bond special purpose vehicle. Reference: Banking Act 1959, s. 26. Trading enterprise owned by the Australian Commonwealth government Represents a business owned 50 per cent or more by the Australian Commonwealth Government or controlled by the Australian Commonwealth Government through legislation, decree or regulation. Includes: a business which produces goods or non-financial services for sale at market prices. Excludes: government departments; and government-owned financial institutions. Listed trading Represents a business, which is listed on an Australian or an international stock exchange, which produce goods or non-financial enterprise services for sale at market prices. Unlisted trading enterprise Represents a business, which is not listed on an Australian or an international stock exchange, which produce goods or non-financial services for sale at market prices. Listed investment company Represents a business, which is listed on an Australian or an international stock exchange, which provides exposure to a diversified portfolio of investments (including, but not limited to, Australian shares, international shares, private equity or specialist sectors) on behalf of their investors. Unlisted investment company Represents a business, which is not listed on an Australian or an international stock exchange, which provides exposure to a diversified portfolio of investments (including, but not limited to, Australian shares, international shares, private equity or specialist sectors) on behalf of their investors. Other resident Represents an institutional unit that has a centre of economic interest within the economic territory of Australia (as evidenced by the location of the unit’s principal residence or place of location). SRF 536.0 Instructions - 6