Financial Sector (Collection of Data) (reporting standard) determination No. 102 of 2013 - GRS 460.1 - Exposure Analysis by Reinsurance Counterparty
1Financial Sector (Collection of Data) (reporting standard) determination No. 102 of 2013 - GRS 460.1 - Exposure Analysis by Reinsurance Counterparty
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Financial Sector (Collection of Data) (reporting standard) determination No. 102 of 2013
Reporting Standard GRS 460.1 Exposure Analysis by Reinsurance Counterparty
Financial Sector (Collection of Data) Act 2001
I, Charles Littrell, delegate of APRA, under paragraph 13(1)(a) of the Financial Sector (Collection of Data) Act 2001 (the Act) DETERMINE Reporting Standard GRS 460.1 Exposure Analysis by Reinsurance Counterparty, 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 on 31 December 2013.
This instrument commences on 31 December 2013.
Dated: 13 December 2013
[Signed]
Charles Littrell
Executive General Manager
Policy, Statistics and International
Interpretation
In this Determination:
APRA means the Australian Prudential Regulation Authority.
financial sector entity has the meaning given in section 5 of the Act.
Schedule
Reporting Standard GRS 460.1 Exposure Analysis by Reinsurance Counterparty comprises the 12 pages commencing on the following page.
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Reporting Standard GRS 460.1
Exposure Analysis by Reinsurance Counterparty
Objective of this Reporting Standard
This Reporting Standard sets out the requirements for the provision of information to APRA relating to a general insurer’s exposures to reinsurance counterparties.
It includes Form GRF 460.1 Exposure Analysis by Reinsurance Counterparty and associated specific instructions and must be read in conjunction with the general instruction guide.
Authority
This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.
Purpose
Information collected in Form GRF 460.1 Exposure Analysis by Reinsurance Counterparty (GRF 460.1) is used by APRA for the purposes of prudential supervision.
Application and commencement
This Reporting Standard applies to all general insurers authorised under the Insurance Act 1973 (insurers).
This Reporting Standard applies for reporting periods ending on or after 31 December 2013.
Information required
An insurer to which this Reporting Standard applies must provide APRA with the information required by GRF 460.1 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 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 insurer to which this Reporting Standard applies must provide the information required by this Reporting Standard in respect of each financial year of the insurer.
If, having regard to the particular circumstances of an insurer, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by paragraph 7, APRA may change the reporting periods, or specify reporting periods, for the particular insurer.
The information required by this Reporting Standard must be provided to APRA:
(a) within the time stated in Reporting Standard GRS 001 Reporting Requirements (GRS 001); or
(b) in the case of information provided in accordance with paragraph 8, within the time specified by APRA.
APRA may grant an insurer an extension of a due date, in which case the new due date for the provision of the information will be the date on the notice of extension.
Quality control
All information provided by an insurer under this Reporting Standard must be subject to systems, processes and controls developed by the insurer for the internal review and authorisation of that information. It is the responsibility of the Board and senior management of the insurer to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.
As a result of Insurance (exemption) determination No. 2 of 2013, the Appointed Auditor of an insurer is not ordinarily required to audit, or provide a certificate in relation to, information provided by the insurer under this Reporting Standard.
Authorisation
When an officer or agent of an insurer 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 insurer’s behalf, the insurer 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 insurer who submits the information under this Reporting Standard for, or on behalf of, the insurer must be authorised by either:
(a) the Principal Executive Officer of the insurer; or
(b) the Chief Financial Officer of the insurer.
Variations
APRA may vary the reporting requirements of GRF 460.1 in relation to an insurer.
Interpretation
In this Reporting Standard:
(a) unless the contrary intention appears, words and expressions have the meanings given to them in Prudential Standard GPS 001 Definitions (GPS 001); and
(b) Appointed Auditor means an auditor appointed under paragraph 39(1)(a) of the Insurance Act;
APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998;
Chief Financial Officer means the chief financial officer of the insurer, by whatever name called;
financial year means the financial year (within the meaning in the Corporations Act 2001) of the insurer;
general instruction guide refers to the general instruction guide set out in Attachment A of GRS 001;
insurer means a general insurer within the meaning of section 11 of the Insurance Act;
Principal Executive Officer means the principal executive officer of the insurer, by whatever name called, and whether or not he or she is a member of the governing board of the insurer; and
reporting period means a period mentioned in paragraph 7 or, if applicable, paragraph 8.
Where this Reporting Standard provides for APRA to exercise a power or discretion, this power or discretion is to be exercised in writing.
GRF_460_1: Exposure analysis by Reinsurance Counterparty
Australian Business Number
Institution Name
Reporting Period
Scale Factor
Reporting Consolidation
Annual
Thousands of dollars no decimal place
Level 1 / Level 2
Impact on capital base and prescribed capital amount
Name of counterparty (reinsurer)
Reinsurer identifier
Counterparty group name
APRA counterparty grade
Counterparty domicile
Group domicile
Total impact on capital base
Total impact on Insurance Risk Charge
Total impact on Insurance Concentration Risk Charge
Total impact on Asset Risk Charge (after aggregation formula)
Total impact on Asset Concentration Risk Charge
Total impact on Operational Risk Charge
Total impact on prescribed capital amount
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)
Reporting Form GRF 460.1
Exposure Analysis by Reinsurance Counterparty
Instructions
These instructions assist completion of Reporting Form GRF 460.1 Exposure Analysis by Reinsurance Counterparty (GRF 460.1). GRF 460.1 collects information relating to the impact on the capital base and each component of the prescribed capital amount of a regulated institution due to a reinsurance counterparty failure. Information reported in GRF 460.1 is primarily required for prudential purposes.
These instructions must be read in conjunction with the general instruction guide.
Audit matters
As a result of Insurance (exemption) determination No. 2 of 2013, the Appointed Auditor of a general insurer is not required to audit, or provide a certificate in relation to, information provided by a general insurer under Reporting Standard GRS 460.1 Exposure Analysis by Reinsurance Counterparty. Under Prudential Standard GPS 310 Audit and Related Matters (GPS 310), the Group Auditor of a Level 2 insurance group is not required to provide a limited assurance review in relation to information provided by the parent entity of a Level 2 insurance group under Reporting Standard GRS 460.1 Exposure Analysis by Reinsurance Counterparty (Level 2 Insurance Group). APRA, however, may exercise its power under GPS 310 to require the Appointed Auditor or Group Auditor to undertake a special purpose review of the systems, processes and controls surrounding the completion of GRF 460.1 and Reporting Form GRF 460.1_G Exposure Analysis by Reinsurance Counterparty (G) (GRF 460.0_G), or the data contained within GRF 460.1 and GRF 460.1_G.
Supplementary information
The regulated institution must ensure that any underlying calculations and assumptions used to complete GRF 460.1 are made available to APRA upon request from the regulated institution’s APRA responsible supervisor.
Reporting Level
GRF 460.1 must be completed by all general insurers.
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.
Reporting Practice Guide GRPG 460 Reinsurance Counterparty Data Collection provides guidance to assist regulated institutions in completing GRF 460.1. Regulated institutions are permitted to use simplifying assumptions where those assumptions do not have a material impact on the resulting capital coverage of the regulated institution.
Exposure Analysis by Reinsurance Counterparty
Report individual counterparties on GRF 460.1 where the failure of that counterparty results in a five per cent change in capital coverage of the regulated institution when compared to the capital coverage at the end of the financial year.
For the purposes of this reporting form, failure means that the counterparty will no longer meet their obligation to the regulated institution. This means that the regulated institution makes no recovery from on-balance sheet reinsurance assets and the reinsurer is not replaced on any of its previous or current reinsurance programs.
Reporting basis: report balances for Columns 7 to 13 as at the end of the financial year.
Unit of measurement: report amounts in Columns 7 to 13 as thousands of dollars.
Report each counterparty as a separate line item.For each counterparty report the Name of counterparty (reinsurer) in column 1, the Reinsurer identifier in column 2, the Counterparty group name in column 3, the APRA counterparty grade in column 4, the Counterparty domicile in column 5, the Group domicile in column 6, the Total impact on capital base, in column 7, the Total impact on Insurance Risk Charge in column 8, the Total impact on Insurance Concentration Risk Charge in column 9, the Total impact on Asset Risk Charge (after aggregation formula) in column 10, the Total impact on Asset Concentration Risk Charge in column 11, the Total impact on Operational Risk Charge in column 12 and the Total impact on prescribed capital amount in column 13.
Name of counterparty (reinsurer)
The legal name of the counterparty to the reinsurance exposure. Where relevant, use the name of counterparty as stated on the reinsurer identifier list.
Reinsurer identifier
The unique identifier for the counterparty reported in column 1. Where relevant, the reinsurer identifier must be reported as stated on the reinsurer identifier list. If the reinsurer is not on the reinsurer identifier list, report the reinsurer identifier as ‘unassigned’.
Counterparty group name
The name of the group to which the counterparty to the reinsurance exposure belongs. If the counterparty to the reinsurance exposure does not belong to a group, leave this column blank. Where relevant, the counterparty group name must be reported as stated on the reinsurer identifier list. If the counterparty group name is not on the reinsurer identifier list, report the counterparty group name as per these instructions.
APRA counterparty grade
The counterparty grade of 1 to 7 in accordance with Prudential Standard GPS 001 Definitions (GPS 001).
Counterparty domicile
For a subsidiary, the domicile is where the counterparty is legally incorporated. For a branch, the domicile is where the counterparty (branch) is located. Where relevant, the counterparty domicile must be reported as stated on the reinsurer identifier list. If the counterparty is not on the reinsurer identifier list, report the domicile using the domiciles in Appendix 1.
Group domicile
The domicile where the group owning the counterparty is legally incorporated. If the counterparty does not belong to a group, leave this column blank. Where relevant, the group domicile must be reported as stated on the reinsurer identifier list. If the group is not on the reinsurer identifier list, report the group domicile using the domiciles listed in Appendix 1.
Total impact on capital base
Report the decrease in capital base, after tax where applicable, due to the failure of the reinsurer reported in column 1. This takes into account changes as a result of the loss of the reinsurer on a regulated institution’s net outstanding claims liabilities and net premiums liability. This will include any change in the OCP surplus/deficit and PL surplus/deficit. Amounts reported for this item must be equal to or less than zero.
Total impact on Insurance Risk Charge
Report the increase in Insurance Risk Charge due to the failure of the reinsurer reported in column 1. This takes into account the impact on the OCP and PL risk charges as a result of the impact of a reinsurer failure on the net outstanding claims provisions and net premiums liabilities. A regulated institution may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome. Amounts reported for this item must be equal to or greater than zero.
Total impact on Insurance Concentration Risk Charge
Report the increase in the Insurance Concentration Risk Charge (ICRC) due to the failure of the reinsurer reported in column 1. This must consider the impact on each component of the ICRC (if applicable) and the current ICRC of the insurer. A regulated institution may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome. Amounts reported for this item must be equal to or greater than zero.
Total impact on Asset Risk Charge (after aggregation formula)
Report the change in the Asset Risk Charge due to the failure of the reinsurer reported in column 1. The amount reported must be after the aggregation formula in Prudential Standard GPS 114 Capital Adequacy: Asset Risk Charge is applied. A regulated institution may estimate this by applying the percentage of the aggregated risk charge components to the sum of the risk charge components on Reporting Form GRF 114.0 Asset Risk Charge or Reporting Form GRF 114.0_G Asset Risk Charge (G) for a Level 2 insurance group. In addition, a regulated institution may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome. Report an increase in the Asset Risk Charge as a positive amount and a decrease as a negative amount.
Total impact on Asset Concentration Risk Charge
Report the change in the Asset Concentration Risk Charge (ACRC) due to the failure of the reinsurer reported in column 1. A regulated institution must consider whether any existing ACRC due to the reinsurer reported in column 1 is decreased due to its failure. A regulated institution must also consider whether there is a change in the ACRC (either an increase in an existing ACRC or a new ACRC) due to a decrease in capital base from the failure of the reinsurer reported in column 1. Report an increase in the ACRC as a positive amount and a decrease as a negative amount.
Total impact on Operational Risk Charge
Report the increase in the Operational Risk Charge due to the failure of the reinsurer reported in column 1. A regulated institution may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome. Amounts reported for this item must be equal to or greater than zero.
Total impact on prescribed capital amount
Report the total change in prescribed capital amount due to the failure of the reinsurer reported in column 1. The total change in the prescribed capital amount is the change in the each component of the prescribed capital amount reported in columns 8 to 12 after applying the aggregation benefit in accordance with Prudential Standard GPS 110 Capital Adequacy. Amounts reported for this item must be equal to or less than the sum of columns 8 to 12 due to the increase in the aggregation benefit.
Glossary of additional terms
Capital coverage
This is the regulated institution’s capital base, determined under Prudential Standard GPS 112 Capital Adequacy: Measurement of Capital, divided by its prescribed capital amount, determined under Prudential Standard GPS 110 Capital Adequacy.
Asset concentration risk charge (ACRC)
This is the risk charge determined under Prudential Standard GPS 117 Capital Adequacy: Asset Concentration Risk Charge.
Asset risk charge
This is the risk charge determined under Prudential Standard GPS 114 Capital Adequacy: Asset Risk Charge.
Insurance concentration risk charge (ICRC)
This is the risk charge determined under Prudential Standard GPS 116 Capital Adequacy: Insurance Concentration Risk Charge.
Insurance risk charge
This is the risk charge determined under Prudential Standard GPS 115 Capital Adequacy: Insurance Risk Charge.
OCP surplus/deficit
This is the net outstanding claims liabilities determined under Australian Accounting Standard AASB 1023 General Insurance Contracts (AASB 1023) in surplus or deficit to the net outstanding claims liabilities determined under Prudential Standard GPS 320 Actuarial and Related Matters (GPS 320).
Operational risk charge
This is the risk charge determined under Prudential Standard GPS 118 Capital Adequacy: Operational Risk Charge.
PL surplus/deficit
This is the net premiums liabilities determined under AASB 1023 in surplus or deficit to the net premiums liabilities determined under GPS 320.
Reinsurer identifier list
This is a list of reinsurers which includes the name of the counterparty, counterparty domicile, counterparty group name and group domicile that must be used for reporting on GRF 460.0 and GRF 460.0_G. The list is located on APRA’s website.
Interpretation
For the purposes of these instructions:
Appointed Auditor is defined in GPS 001;
general insurer means a general insurer authorised under the Insurance Act 1973;
Group Auditor is defined in GPS 001;
regulated institution is defined in GPS 001 as a collective term for general insurers and Level 2 insurance groups; and
Level 2 insurance group is defined in Attachment D of GPS 001.
Appendix 1: Country list
The following country list must be used when reporting any values for columns 8 and 9.
If the country cannot be identified, report the relevant ‘residual’ region listed in the table (for example, US Pacific Islands). If the residual region cannot be identified, report ‘unallocated’.
Country/Grouping
Code
Afghanistan
AF
Albania
AL
Algeria
DZ
Andorra
AD
Angola
AO
Argentina
AR
Armenia
AM
Aruba
AW
Australia
AU includes Christmas Islands, Cocos Islands, Norfolk Islands, Heard and McDonald Islands, Territory of Ashmore and Cartier Islands and Territory of Coral Sea Islands
Austria
AT
Azerbaijan
AZ
Bahamas
BS
Bahrain
BH
Bangladesh
BD
Barbados
BB
Belarus
BY
Belgium
BE
Belize
BZ
Benin
BJ
Bermuda
BM
Bhutan
BT
Bolivia
BO
Bosnia and Herzegovina
BA
Botswana
BW
Brazil
BR
British Overseas Territories
1W includes British Antarctic Territory, British Indian Ocean Territory, Chagos, Pitcairn Islands, South Georgia and South Sandwich Islands
Brunei
BN
Bulgaria
BG
Burkina Faso
BF
Burundi
BI
Cambodia
KH
Cameroon
CM
Canada
CA
Cape Verde
CV
Cayman Islands
KY
Central African Republic
CF
Chad
TD
Chile
CL
China
CN
Colombia
CO
Comoros Islands
KM
Congo
CG
Congo Democratic Republic
CD
Consortium Banks
1G
Costa Rica
CR
Cote d'Ivoire
CI
Croatia
HR
Cuba
CU
Cyprus
CY
Czech Republic
CZ
Denmark
DK excludes Faeroe Islands and Greenland
Djibouti
DJ
Dominica
DM
Dominican Republic
DO
Ecuador
EC
Egypt
EG
El Salvador
SV
Equatorial Guinea
GQ
Eritrea
ER
Estonia
EE
Ethiopia
ET
Faeroe Islands
FO
Falkland Islands
FK
Fiji
FJ
Finland
FI includes Aland Islands
France
FR includes French Guiana, French Southern Territories, Guadeloupe, Martinique, Mayotte, Monaco, Reunion and St. Pierre and Miquelon
French Polynesia
PF includes Society Archipelago, Tuamotu-Gambier Islands, Marquesas, Australes Archipelago
Gabon
GA
Gambia
GM
Georgia
GE
Germany
DEincludes the European Central Bank
Ghana
GH
Gibraltar
GI
Greece
GR
Greenland
GL
Grenada
GD
Guatemala
GT
Guernsey
GG
Guinea
GN
Guinea-Bissau
GW
Guyana
GY
Haiti
HT
Honduras
HN
Hong Kong SAR
HK
Hungary
HU
Iceland
IS
India
IN
Indonesia
ID
International organisations
1C except the BIS which is included under Switzerland, and the ECB which is included under Germany
Iran
IR
Iraq
IQ
Ireland
IE
Isle of Man
IM
Israel
IL
Italy
IT
Jamaica
JM
Japan
JP
Jersey
JE
Jordan
JO
Kazakhstan
KZ
Kenya
KE
Kiribati
KIR
Kuwait
KWT
Kyrgyz Republic
KGZ
Laos
LAO
Latvia
LV
Lebanon
LB
Lesotho
LS
Liberia
LR
Libya
LY
Liechtenstein
LI
Lithuania
LT
Luxembourg
LU
Macau SAR
MO
Macedonia
MK
Madagascar
MG
Malawi
MW
Malaysia
MY includes Labuan International Offshore Financial Centre
Maldives
MV
Mali
ML
Malta
MT
Marshall Islands
MH
Mauritania
MR
Mauritius
MU
Mexico
MX
Micronesia
FM
Moldova
MD
Mongolia
MN
Montenegro
ME
Morocco
MA
Mozambique
MZ
Myanmar
MM
Namibia
NA
Nauru
NR
Nepal
NP
Netherlands
NL
Netherlands Antilles
AN includes Bonaire, Curacao, Saba, St. Eustatius and St. Maarten
New Caledonia
NC
New Zealand
NZ includes Cook Islands, Minor Islands, Niue, Ross Dependency and Tokelau
Nicaragua
NI
Niger
NE
Nigeria
NG
North Korea
KP
Norway
NO includes Bouvet Islands, Svalbard and Jan Mayen Islands
Official Monetary Authorities
1D
Oman
OM
Pakistan
PK
Palau
PW
Palestinian Territory
PS
Panama
PA includes Panama Canal Zone
Papua New Guinea
PG
Paraguay
PY
Peru
PE
Philippines
PH
Poland
PL
Portugal
PT includes the Azores and Madeira
Qatar
QA
Residual Africa and Middle East
2W includes Western Sahara
Residual Asia and Pacific
2O
Residual developed countries
2R
Residual Europe
2B
Residual Latin America and Caribbean
2H
Residual offshore centres
2N
Romania
RO
Russia
RU
Rwanda
RW
Samoa
WS
San Marino
SM
Sao Tome and Principe
ST
Saudi Arabia
SA
Senegal
SN
Serbia
RS
Seychelles
SC
Sierra Leone
SL
Singapore
SG
Slovakia
SK
Slovenia
SI
Solomon Islands
SB
Somalia
SO
South Africa
ZA
South Korea
KR
Spain
ES includes Balearic Islands, Canary Islands and Ceuta and Melilla
Sri Lanka
LK
St. Helena
SH includes Ascension, Gough and Tristan Da Cunha
St. Lucia
LC
St. Vincent
VC includes the Grenadines
Sudan
SD
Suriname
SR
Swaziland
SZ
Sweden
SE
Switzerland
CH includes Bank for International Settlements
Syria
SY
Taiwan, China
TW
Tajikistan
TJ
Tanzania
TZ
Thailand
TH
Timor Leste
TL
Togo
TG
Tonga
TO
Trinidad and Tobago
TT
Tunisia
TN
Turkey
TR
Turkmenistan
TM
Turks and Caicos
TC
Tuvalu
TV
Uganda
UG
Ukraine
UA
Unallocated
5M
United Arab Emirates
AE
United Kingdom
GB excludes Guernsey, Isle of Man and Jersey
United States
US includes American Samoa, Guam, Midway Islands, Northern Mariana Islands, Puerto Rico, US Virgin Islands and Wake Islands
Uruguay
UY
US Pacific Islands
PU includes Carolines, Howland and Baker, Kingman Reef, Palmyra and Jarvis and Johnston
Uzbekistan
UZ
Vanuatu
VU
Vatican
VA
Venezuela
VE
Vietnam
VN
Wallis and Futuna
WF
West Indies UK
1Z includes Anguilla, Antigua and Barbuda, British Virgin Islands, Montserrat and St. Christopher/St. Kitts - Nevis