Financial Sector (Collection of Data) (reporting standard) determination No. 20 of 2009 - GRS 141.0_G (2009) - Listed Equity Holdings and Risk Charge
Look-through basisLook-through basis
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Look-through basis
GPS 111 allows the Level 2 insurance group to apply the Investment Capital Factors to the underlying assets of the trust rather than to the overall value of its holdings in the trust. This is known as the ‘look-through’ basis. This treatment is different to the requirements of the Australian accounting standards. For assets of an insurer or its ELE held under a trust (other than a cash management trust), the Level 2 insurance group may apply the Investment Capital Factors applicable to the underlying assets (including derivatives) of the trust, if the Level 2 insurance group has information on the underlying assets.
APRA may require a Level 2 insurance group to apply different Investment Capital Factors to different components of a hybrid instrument (with both equity and debt features such as embedded derivatives).
Where the Level 2 insurance group has elected to apply the look-through basis to calculate the investment risk capital charge and the underlying assets of the trust includes listed equities, then the investment capital charge associated with the Level 2 insurance group’s share of the listed equities are to be calculated in this form.
Investment capital factor %
This column discloses the appropriate investment capital factor for the asset type in accordance with GPS 111.
Investment risk charge
This column will calculate the appropriate investment risk charge in accordance with GPS 111.