Reporting Standard GRS 114.0

Asset Risk Charge

General instructions

Reporting tables

Tables described in this reporting standard list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.

Any specific combination of values in a table must not appear on more than one row in that table when reported.

Look-through treatment

For asset and liability items that have been treated on a look-through basis for the purpose of GPS 114, report the effective underlying exposures after adjustments for look-through as well as their resultant impacts on capital base respectively.

Derivative treatment

All items should be reported gross of impacts from derivatives. Report the fair value of open derivative positions under derivatives (liabilities) and derivatives (assets).

Assets subject to stress

Exclude from the calculation of Asset Risk Charge all components of assets that are either:

deducted from total assets for the purpose of determining the capital base; or

subject to the Asset Concentration Risk Charge.

Include investment receivable with the asset that generated the income.

Asset stress scenario

Insurers are not required to report the components of impact on capital base for asset stress scenarios where it is determined that those scenarios would improve the capital base (i.e. result in a zero-risk charge component) as at the end of the relevant reporting period.

Insurers must report all asset stress scenarios that would give rise to a positive risk charge component.

Application to Category C insurers

For Category C insurers, the Asset Risk Charge is to be applied only to the assets in Australia of the Category C insurer.

Definitions

Terms in bold italics are defined in this Definitions section of these instructions.

Adjusted pre-stress amount	This is the value of relevant items of the reporting insurer. Report amounts before the application of any designated asset stresses, net of the effect of any look-through adjustments and applying the fair value requirement outlined in Prudential Standard GPS 112 Capital Adequacy: Measurement of Capital and GPS 114.
Aggregated risk charge component	This is the aggregated result of applying the aggregation formula over risk charge components set out in GPS 114. The formula allows for the likelihood of the asset risk stress scenarios occurring simultaneously.
Amounts payable on reinsurance contracts held(Items subject to Asset Risk Charge type)	This is the value of amounts payable on reinsurance contracts held. This includes reinsurance premiums that are due to be paid, all unpaid instalment reinsurance premiums, reinsurer’s portion of recoveries and salvage, and commissions due to reinsurers. This also includes deposits withheld from reinsurers.For reinsurance contracts held, if there is a legal right of set-off within the underlying reinsurance contracts, report the amount after set-off against other amounts receivable from the reinsurer under that reinsurance contract. If the amount is a net receivable position from the reinsurer, report the amount under amounts receivable on reinsurance contracts held. If there is not a legal right of set-off, report the amount payable without set-off. Also refer to the definition of amounts receivable on reinsurance contracts held.Amounts payable on reinsurance contracts held is netted against reinsurance contract assets or added to reinsurance contract liabilities under AASB 17 Insurance Contracts (AASB 17).This must exclude any amount already allowed in insurance liabilities determined under Prudential Standard GPS 340 Insurance Liability Valuation (GPS 340) to avoid double counting.This amount must be consistent with amounts payable on reinsurance contracts held reported in Reporting Standard GRS 112.0 Determination of Capital Base (GRS 112.0).
Amounts receivable on reinsurance contracts held(Items subject to Asset Risk Charge type)	This is the value of amounts receivable on reinsurance contracts held. This includes reinsurance recoverables on paid claims.For reinsurance contracts held, if there is a legal right of set-off within the underlying reinsurance contracts, report the amount after set-off against other amounts payable to the reinsurer under that reinsurance contract. If the amount is a net payable position to the reinsurer, report the amount under amounts payable on reinsurance contracts held. If there is not a legal right of set-off, report the receivable amount without set-off. Also refer to the definition of amounts payable on reinsurance contracts held.Amounts receivable on reinsurance contracts held is netted against reinsurance contract liabilities or added to reinsurance contract assets under AASB 17.This must exclude any amount already allowed in insurance liabilities determined under GPS 340 to avoid double counting.This amount must be consistent with amounts receivable on reinsurance contracts held reported in GRS 112.0.
Assets subject to credit spreads stress type	This is the category of assets subject to credit spreads stress. The options are:bonds and other non-securitised assets;structured and securitised assets; andre-securitised assets.

Cash and cash equivalents(Items subject to Asset Risk Charge type)	This is the value, as at the relevant date, of notes and coins; deposits withdrawable or redeemable within 24 hours; and securities purchased under agreements to resell.
Claims payable(Items subject to Asset Risk Charge type)	This is the value of claims payable, which reflects claims due but not paid.For inwards reinsurance business, where there is a legal right of set-off within the underlying reinsurance contract, report under this item if the amount after set-off results in a net payable position to the cedant. If there is not a legal right of set-off, report the amount payable without set-off. Also refer to the definition of premiums receivable.Claims payable is netted against insurance contract assets or added to insurance contract liabilities under AASB 17.This must exclude any amount already allowed in insurance liabilities determined under GPS 340 to avoid double counting.This amount must be consistent with claims payable reported in GRS 112.0.
Counterparty grade	This is the classification applied to an investment or exposure as per the requirements of GPS 001. Assets guaranteed by an Australian state or territory government must be reported in the counterparty grade that applies after rating up one grade in accordance with GPS 114.
Credit spread fair value amount	This is the fair value of assets that are subject to credit spreads stress.
Credit spread stressed amount	This is the stressed value of assets that are subject to credit spreads stress.
Credit spreads stress(Stress scenario type)	This is the impact on an insurer's capital base of an increase in credit spreads and the risk of default and is calculated in accordance with GPS 114.This stress applies to interest bearing assets, including cash deposits and floating rate assets. Credit derivatives and zero-coupon instruments such as bank bills must also be included.
Currency downwards stress(Stress scenario type)	This is the impact on the capital base of downward changes in foreign currency exchange rates and is calculated in accordance with GPS 114.
Currency upwards stress(Stress scenario type)	This is the impact on an insurer's capital base of upward changes in foreign currency exchange rates and is calculated in accordance with GPS 114.
Current tax assets(Items subject to Asset Risk Charge type)	This is the value of current tax assets determined in accordance with Australian Accounting Standards.

Default stress(Stress scenario type)	This is the impact on an insurer's capital base of the risk of counterparty default and is calculated in accordance with GPS 114.It applies to reinsurance assets, over the counter derivatives, unpaid premiums and all other credit or counterparty exposures that have not been affected by the credit spreads stress. In accordance with GPS 114, only the central estimates of reinsurance assets are to be subject to default stress.
Deferred tax assets(Items subject to Asset Risk Charge type)	This is the value of tax benefits that may be recognised in future financial periods, as consistent with the asset risk scenario under consideration.
Deferred tax liabilities(Items subject to Asset Risk Charge type)	This is the value of taxes payable in future periods in respect of taxable temporary differences. The definition is interpreted consistently with Australian Accounting Standard AASB 112 - Income Taxes (AASB 112).
Derivatives (assets)(Items subject to Asset Risk Charge type)	This is the value of all open derivative positions reported as assets.
Derivatives (liabilities)(Items subject to Asset Risk Charge type)	This is the value of all open derivatives positions reported as liabilities.
Dividend yield used in determination of equity stress(Yields used in stress scenarios type)	This is the dividend yield of the ASX 200 index used in determining the reduction in equity asset values under the equity stress scenario.

Earnings yield used in determination of property stress(Yields used in stress scenarios type)	This is the average earnings yield before taxes used in determining the reduction in infrastructure asset values under the property stress scenario.
Equities (direct)(Items subject to Asset Risk Charge type)	This is the value, as at the relevant date, of equity securities and of subordinated debt securities. Equity securities are, as defined by the Australian Accounting Standards, contracts that evidence a residual interest in the assets of an entity after deducting all its liabilities. This includes equity securities lent or sold by the entity under repurchase agreements, where the transaction does not result in the transfer of the rights of ownership of the securities away from the entity to another party. Subordinated debt is a debt security where the claim to repayment ranks lower in priority to other claims.
Equity stress(Stress scenario type)	This is the impact on an insurer's capital base of a fall in equity and other asset values and is calculated in accordance with GPS 114.This stress applies to both listed and unlisted equity assets and to any other assets that are not considered in any of the other asset risk stresses. This stress also includes an increase to equity volatility.
Expected inflation downwards stress(Stress scenario type)	Expected inflation stress measures the impact on an insurer's capital base of changes to expected Consumer Price Index inflation rates. It also affects nominal interest rates.This item reports the impact on the capital base of the insurer arising from the application of the downward expected inflation stress and is calculated in accordance with GPS 114.
Expected inflation upwards stress(Stress scenario type)	Expected inflation stress measures the impact on an insurer's capital base of changes to expected Consumer Price Index inflation rates. It also affects nominal interest rates.This item reports the impact on the capital base of the insurer arising from the application of the upward expected inflation stress and is calculated in accordance with GPS 114.
Expected reinsurance recoveries(Items subject to Asset Risk Charge type)	This is the amount due to an insurer, or to an entity that carries on international business within a Level 2 insurance group, from a reinsurer that arises from the recognition of premiums liabilities referred to in the GI Prudential Standards (including GPS 340). This is distinguished from reinsurance recoverables.

GPS 340 net outstanding claims liabilities(Items subject to Asset Risk Charge type)	This is the value of the net outstanding claims liabilities determined in accordance with GPS 340.
GPS 340 net premium liabilities(Items subject to Asset Risk Charge type)	This is the value of the net premium liabilities determined in accordance with GPS 340.

Impact of diversification	This is calculated as the sum of the risk charge components used in calculating the aggregated risk charge component, less the aggregated risk charge component as set out in GPS 114.
Impact on capital base	This shows the impact on the capital base of each asset risk stress scenario as set out in GPS 114.This item is calculated for each stress scenario type as the sum of:cash and cash equivalentscurrent tax assetsinterest rate investments (direct)equities (direct)property (direct)loans (direct)indirect investmentsdeferred tax assetsderivatives (assets)investments in related entities (associates, joint ventures, subsidiaries)other assets subject to Asset Risk Chargedeferred tax liabilitiesderivatives (liabilities)other liabilities subject to Asset Risk Chargereinsurance recoverables on outstanding claimsexpected reinsurance recoveriesamounts receivable on reinsurance contracts heldother reinsurance assetsGPS 340 net outstanding claims liabilitiesGPS 340 net premium liabilitiespremiums receivablenon-reinsurance recoveries receivableother accounts receivable on insurance contracts issuedclaims payableamounts payable on reinsurance contracts heldother accounts payable on insurance contracts issuedoff-balance sheet exposures
Indirect investments(Items subject to Asset Risk Charge type)	This is the value of the net assets of unit trusts or managed investment schemes invested in by the reporting insurer, or mandates individually managed on behalf of the reporting insurer.
Interest rate investments (direct)(Items subject to Asset Risk Charge type)	This is the value of debt securities held by the reporting insurer as at the relevant date, plus the value of deposits and placements that have been classified by the reporting insurer as assets backing insurance liabilities for statutory reporting purposes. A debt security is a transferable instrument evidencing a relationship of indebtedness. It is characterised by having a definable return that is not based on the economic performance of the issuing entity.
Investments in related entities (associates, joint ventures, subsidiaries)(Items subject to Asset Risk Charge type)	This is the value of strategic investments or acquisitions of the reporting insurer.This includes investments in associates, joint ventures and subsidiaries from the AASB 17 balance sheet.This does not include investments that constitute assets backing general insurance liabilities.

Loans (direct)(Items subject to Asset Risk Charge type)	This is the value of loans. Loans include financial leases and mortgages, and are typically non-negotiable on the secondary market.

Non-reinsurance recoveries receivable(Items subject to Asset Risk Charge type)

This is the value of non-reinsurance recoveries on paid claims.Non-reinsurance recoveries receivable is netted against insurance contract liabilities or added to insurance contract assets under AASB 17.This must exclude any amount already allowed in insurance liabilities determined under GPS 340 to avoid double counting.This amount must be consistent with non-reinsurance recoveries receivable reported in GRS 112.0.

Off-balance sheet exposures(Items subject to Asset Risk Charge type)	This is the value of off-balance sheet exposures that are subject to the Asset Risk Charge.
Other accounts payable on insurance contracts issued(Items subject to Asset Risk Charge type)	Other accounts payable on insurance contracts issued reflects any other amounts due but not paid relating to insurance contracts. This may include (but is not limited to) levies, taxes, rebates, fees and commissions.Other accounts payable on insurance contracts issued is netted against insurance contract assets or added to insurance contract liabilities under AASB 17.This must exclude any amount already allowed in insurance liabilities determined under GPS 340 to avoid double counting.This amount must be consistent with other accounts payable on insurance contracts issued reported in GRS 112.0.
Other accounts receivable on insurance contracts issued(Items subject to Asset Risk Charge type)	Other accounts receivable on insurance contracts issued reflects any other amounts due but not received relating to insurance contracts. This may include (but is not limited to) levies, taxes, rebates, fees and commissions.Other accounts receivable on insurance contracts issued is netted against insurance contract liabilities or added to insurance contract assets under AASB 17.This must exclude any amount already allowed in insurance liabilities determined under GPS 340 to avoid double counting.This amount must be consistent with other accounts receivable on insurance contracts issued reported in GRS 112.0.
Other assets subject to Asset Risk Charge(Items subject to Asset Risk Charge type)	This is the value of the accounting assets that have not been reported elsewhere in:cash and cash equivalentscurrent tax assetsdeferred tax assetsderivatives (assets)investments in related entities (associates, joint ventures, subsidiaries)interest rate investments (direct)equities (direct)property (direct)loans (direct)indirect investmentsThis does not include assets in excess of the concentration limits set out in Prudential Standard GPS 117 Capital Adequacy: Asset Concentration Risk Charge or assets which are deducted from capital base such as surplus in defined benefit superannuation funds of which the reporting insurer is an employer-sponsor.Additionally, this excludes the following items from the AASB 17 balance sheet:insurance contract assets; andreinsurance contract assets.
Other liabilities subject to Asset Risk Charge(Items subject to Asset Risk Charge type)	This consists of all other accounting liabilities of the reporting insurer not separately reported under deferred tax liabilities or derivatives (liabilities).Additionally, this excludes the following items from the AASB 17 balance sheet:insurance contract liabilitiesreinsurance contract liabilities

Premiums receivable(Items subject to Asset Risk Charge type)	This is the value of unpaid premiums in relation to direct insurance business and inwards reinsurance business. Unpaid premiums include premiums that are due to be received, unpaid premiums available for collection, and premiums not yet available for collection. Insurers must include all unpaid instalment premiums.This amount includes unpaid premiums in relation to unclosed business. Unclosed business refers to business written close to the balance date where acceptance of risk is prior to the balance date but there is insufficient information to accurately identify the business. This includes insurance policies that have not been processed, but for which a reporting insurer is liable at the valuation date.Premiums should be gross of reinsurance and commissions, before profit share rebates, and inclusive of stamp duty, policy fees, loadings and discounts.For inwards reinsurance business, if there is a legal right of set-off within the underlying reinsurance contract, report the amount after set-off against other amounts payable to the cedant under that reinsurance contract. If the amount is a net payable position to the cedant, report the amount under claims payable. If there is not a legal right of set-off, report the amount receivable without set-off. Also refer to the definition of claims payable.Premiums receivable is netted against insurance contract liabilities or added to insurance contact assets under AASB 17.Premiums receivable must be reduced by the amount that is likely to become uncollectable in the future.This amount must be consistent with premiums receivable reported in GRS 112.0.
Property stress(Stress scenario type)	This is the impact on an insurer's capital base of changes in property and infrastructure asset values and must be calculated in accordance with GPS 114.
Property (direct)(Items subject to Asset Risk Charge type)	This is the value of property held by the reporting insurer, in accordance with the classification and measurement basis under the relevant Australian Accounting Standards.

Premiums receivable(Items subject to Asset Risk Charge type)

This is the value of unpaid premiums in relation to direct insurance business and inwards reinsurance business. Unpaid premiums include premiums that are due to be received, unpaid premiums available for collection, and premiums not yet available for collection. Insurers must include all unpaid instalment premiums.This amount includes unpaid premiums in relation to unclosed business. Unclosed business refers to business written close to the balance date where acceptance of risk is prior to the balance date but there is insufficient information to accurately identify the business. This includes insurance policies that have not been processed, but for which a reporting insurer is liable at the valuation date.Premiums should be gross of reinsurance and commissions, before profit share rebates, and inclusive of stamp duty, policy fees, loadings and discounts.For inwards reinsurance business, if there is a legal right of set-off within the underlying reinsurance contract, report the amount after set-off against other amounts payable to the cedant under that reinsurance contract. If the amount is a net payable position to the cedant, report the amount under claims payable. If there is not a legal right of set-off, report the amount receivable without set-off. Also refer to the definition of claims payable.Premiums receivable is netted against insurance contract liabilities or added to insurance contact assets under AASB 17.Premiums receivable must be reduced by the amount that is likely to become uncollectable in the future.This amount must be consistent with premiums receivable reported in GRS 112.0.

Property stress(Stress scenario type)

This is the impact on an insurer's capital base of changes in property and infrastructure asset values and must be calculated in accordance with GPS 114.

Property (direct)(Items subject to Asset Risk Charge type)

This is the value of property held by the reporting insurer, in accordance with the classification and measurement basis under the relevant Australian Accounting Standards.

Real interest rates downwards stress(Stress scenario type)	The real interest rates stress measures the impact on an insurer's capital base of downward changes in real interest rates. It also affects nominal interest rates.This item is calculated in accordance with GPS 114.
Real interest rates upwards stress(Stress scenario type)	The real interest rates stress measures the impact on an insurer's capital base of upward changes in real interest rates. It also affects nominal interest rates.This item is calculated in accordance with GPS 114.
Reinsurance recoverables on outstanding claims(Items subject to Asset Risk Charge type)	This is the value of the central estimate of reinsurance recoverables in relation to reinsurance contracts for outstanding claims. This item does not include amounts under reinsurance contracts that do not meet the reinsurance documentation test or governing law requirements under Prudential Standard GPS 230 Reinsurance Management (GPS 230).
Rental yield used in determination of property stress(Yields used in stress scenarios type)	This is the average rental yield for the property assets, based on current leases, and net of expenses.
Risk charge components	This item is calculated for each stress scenario type as the greater of zero and the impact on capital base amount.If the impact on capital base is less than zero then the risk charge component is equal to the absolute value of the impact on capital base.If the impact on capital base is greater than zero then the risk charge component is zero.

Stress scenario amount	This is the contribution of the relevant items towards the change in capital base under the stress scenario types.Specifications of the stresses are determined in accordance with GPS 114.
Stress scenario type	This consists of the stress scenarios that must be applied to individual items under GPS 114. The scenarios are:real interest rates upwards stress;real interest rates downwards stress;expected inflation upwards stress;expected inflation downwards stress;currency upwards stress;currency downwards stress;equity stress;property stress;credit spreads stress; anddefault stress.

Yields used in stress scenario percent	This is the percentage values of yields used in stress scenario type.
Yields used in stress scenario type	This consists of the types of yields used in stress scenario that must be applied to individual items under GPS 114. The yield types are:dividend yield used in determination of equity stress;rental yield used in determination of property stress; andearnings yield used in determination of property stress.

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