Document ID: chunk:federal_register_of_legislation:F2023L00591:reg:17:p4
Version: federal_register_of_legislation:F2023L00591
Segment Type: reg
Provision Reference: reg 17 (pt 4/5)
Character Range: 56873–59834

the asset class sector type(s) and asset class characteristics to which the derivatives relate. The apportionment will enable the net asset value of the indirectly held investment to be reported in table 1 column 12.

If derivative contracts are used within an indirectly held investment to hedge currency exposure, report the percentage of the indirectly held investment's net asset exposure that is currency hedged (refer to table 1 column 14).

For Investment Vehicle Type 'International domicile' and Investment Domicile Type 'international domicile', report the proportion of the investment which is currency hedged in Table 1 Column 14. Blanks are taken as unhedged.

Where the investment listing is not known, report investment listing type as 'Not Applicable'.

Where the investment domicile is not known, report investment domicile type as 'Not Applicable'. Investment domicile is the domicile of the assets identified when applying the APRA-look through requirements, not the domicile of the investment vehicle.
Report investment international economy type as 'Not Applicable' for investment domicile type 'Australian Domicile'. Where the investment international economy type is not known, report investment domicile type as 'Not Applicable'.

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 13 against the underlying asset class sector type;
      * report the effective exposure in column 12 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 12 and 13 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 12;
      * 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 12, report the actual currency hedging level against the investment exposure hedged as a percentage in column 14.
      * the notional principal value of the FX derivative does not need to be reported in SRF 550.1 table 1.

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

      * 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