Document ID: chunk:federal_register_of_legislation:F2023L00591:reg:13:p4
Version: federal_register_of_legislation:F2023L00591
Segment Type: reg
Provision Reference: reg 13 (pt 4/5)
Character Range: 36847–39903

relevant market capitalisation where the investment strategy adopted predominantly pursues a portfolio of stocks with a micro, small, mid or large market capitalisation (relative to the country in which the stocks are listed); or by the market capitalisation classification in which the security falls in relative to the country in which the stocks are listed.

This may be determined by reference to the market capitalisation indices produced by commercial index providers. For example, if the majority (over 80% by market cap) of stocks held are included in a micro market capitalisation indices produced by commercial index providers, report the portfolio as Equity Listed Micro Cap.

Report Investment Modified Duration Number for the 'Fixed Income' asset class sector exposures within the 'Fixed Income', 'Fixed Income Excluding Credit' and 'Credit' strategic sector allocations.

Synthetic exposure
Where a derivative is held for the purpose of either gaining or reducing exposure to an underlying asset class:

      * report the synthetic exposure in column 14 against the underlying asset class sector type;
      * report the effective exposure in column 13 which comprises the physical securities, synthetic exposures and the market value of the derivatives; and
      * report the corresponding cash offset value (i.e., inverse of the notional principal value of the derivative) in columns 13 and 14 of the relevant strategic sector type under the Cash asset class sector type and Cash Offset Derivatives Investment Asset Class Characteristic 2 Type.

Where a derivative is held for the purposes of hedging currency risk:

      * report the market value of the foreign currency (FX) derivative against the asset class sector type the FX derivative is related to in column 13;
      * where the market value of the FX derivative is not allocated to a particular asset class sector type report against the 'Cash' asset class sector type and Cash Foreign Exchange Derivative Contracts Investment Asset Class Characteristic 2 Type in column 13, report the actual currency hedging level against the investment exposure hedged as a percentage in column 15.
      * the notional principal value of the FX derivative does not need to be reported in SRF 550.0 table 2.

Where a derivative is held for the purposes of adjusting interest rate risk:

      * for each investment exposure whose modified duration is altered using derivatives, report in column 17 the modified duration for that investment exposure after the derivative adjustment; and
      * report the market value of the derivative apportioned on an asset weighted basis against each reported combination of investment exposures whose modified duration is altered by the derivative. The notional principal value of the derivative does not need to be reported in SRF 550 table 2.

Column  Field name                                              Unique identifier  Applicable to  Valid values                                                                               Description