Division Table 3: Counterparty Grade - Financial Sector (Collection of Data) (reporting standard) determination No. 65 of 2023 - Table 3: Counterparty Grade

Table 3: Counterparty GradeTable 3: Counterparty Grade

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Turn the raw legal text into a practical explanation grounded in Financial Sector (Collection of Data) (reporting standard) determination No. 65 of 2023.

Specific instructions

Table 1: Adjusted Pre-Stress Amount

Reporting basis

Category A, B, D and E insurers should report the value of all relevant items within the balance sheet of the reporting insurer. Category C insurers should report the value of all relevant items inside Australia from the balance sheet of the reporting Category C insurer.

Report values before the application of any designated asset stresses, and net of the effect of any look-through adjustments.

Units of measurement

Report values in whole Australian dollars (no decimal places).

	Name	Valid values	Description
1	Items Subject To Asset Risk Charge Type	Accounting assets subject to stress: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 ChargeAccounting liabilities subject to stress:Deferred tax liabilitiesDerivatives (liabilities)Other liabilities subject to Asset Risk ChargeGPS 340 insurance liabilities subject to stress:GPS 340 net outstanding claims liabilitiesGPS 340 net premium liabilitiesCapital regulatory receivable adjustments subject to stress:Premiums receivableNon-reinsurance recoveries receivableOther accounts receivable on insurance contracts issuedCapital regulatory payable adjustments subject to stress:Claims payableAmounts payable on reinsurance contracts heldOther accounts payable on insurance contracts issuedGPS 340 reinsurance assets subject to default stress:Reinsurance recoverables on outstanding claimsAmounts receivable on reinsurance contracts heldExpected reinsurance recoveriesOther reinsurance assetsOff balance sheet exposures subject to stress:Off-balance sheet exposures	Report the items subject to Asset Risk Charge type.Items categorised under accounting assets subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract assets; andReinsurance contract assets.Items categorised under accounting liabilities subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract liabilities; andReinsurance contract liabilities.
2	Adjusted Pre-Stress Amount	Whole dollars	Report the adjusted pre-stress amount on a look-through fair value basis. Report the pre-stress amounts as positive values.

	Name	Valid values	Description
1	Items Subject To Asset Risk Charge Type	Accounting Assets subject to stress: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 ChargeAccounting liabilities subject to stress:Deferred tax liabilitiesDerivatives (liabilities)Other liabilities subject to Asset Risk ChargeGPS 340 insurance liabilities subject to stress:GPS 340 net outstanding claims liabilitiesGPS 340 net premium liabilitiesCapital regulatory receivable adjustments subject to stress:Premiums receivableNon-reinsurance recoveries receivableOther accounts receivable on insurance contracts issuedCapital regulatory payable adjustments subject to stress:Claims payableAmounts payable on reinsurance contracts heldOther accounts payable on insurance contracts issuedGPS 340 reinsurance assets subject to default stress:Reinsurance recoverables on outstanding claimsAmounts receivable on reinsurance contracts heldExpected reinsurance recoveriesOther reinsurance assetsOff balance sheet exposures subject to stress:Off-balance sheet exposures	Report the items subject to Asset Risk Charge type.Items categorised under accounting assets subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract assets; andReinsurance contract assets.Items categorised under accounting liabilities subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract liabilities; andReinsurance contract liabilities.
2	Stress Scenario Type	Real interest rates upwards stressReal interest rates downwards stressExpected inflation upwards stressExpected inflation downwards stressCurrency upwards stressCurrency downwards stressEquity stressProperty stressCredit spreads stressDefault stress	Report the stress scenario type.Default stress must be assigned to the data items under GPS 340 reinsurance assets subject to default stress.
3	Stress Scenario Amount	Whole dollars	Report the stress scenario amount.A negative number indicates a reduction in the capital base.Report decreases to assets and increases to liabilities as negative values.Report increases to assets and decreases to liabilities as positive values.

Name

Valid values

Description

Items Subject To Asset Risk Charge Type

Accounting Assets subject to stress: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 ChargeAccounting liabilities subject to stress:Deferred tax liabilitiesDerivatives (liabilities)Other liabilities subject to Asset Risk ChargeGPS 340 insurance liabilities subject to stress:GPS 340 net outstanding claims liabilitiesGPS 340 net premium liabilitiesCapital regulatory receivable adjustments subject to stress:Premiums receivableNon-reinsurance recoveries receivableOther accounts receivable on insurance contracts issuedCapital regulatory payable adjustments subject to stress:Claims payableAmounts payable on reinsurance contracts heldOther accounts payable on insurance contracts issuedGPS 340 reinsurance assets subject to default stress:Reinsurance recoverables on outstanding claimsAmounts receivable on reinsurance contracts heldExpected reinsurance recoveriesOther reinsurance assetsOff balance sheet exposures subject to stress:Off-balance sheet exposures

Report the items subject to Asset Risk Charge type.Items categorised under accounting assets subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract assets; andReinsurance contract assets.Items categorised under accounting liabilities subject to stress must exclude the following items from the AASB 17 balance sheet:Insurance contract liabilities; andReinsurance contract liabilities.

Stress Scenario Type

Real interest rates upwards stressReal interest rates downwards stressExpected inflation upwards stressExpected inflation downwards stressCurrency upwards stressCurrency downwards stressEquity stressProperty stressCredit spreads stressDefault stress

Report the stress scenario type.Default stress must be assigned to the data items under GPS 340 reinsurance assets subject to default stress.

Stress Scenario Amount

Whole dollars

Report the stress scenario amount.A negative number indicates a reduction in the capital base.Report decreases to assets and increases to liabilities as negative values.Report increases to assets and decreases to liabilities as positive values.

	Name	Valid values	Description
1	Assets Subject To Credit Spreads Stress Type	Bonds & other non-securitised assetsStructured / securitised assetsRe-securitised assets	Report the assets subject to credit spreads stress type.
2	Counterparty Grade Type	Grade 1 (Government)Grade 1 (Other)Grade 2Grade 3Grade 4Grade 5Grade 6Grade 7	Report the counterparty grade type.
3	Credit Spread Fair Value Amount	Whole dollars	Report the credit spread fair value amount.
4	Credit Spread Stressed Amount	Whole dollars	Report the credit spread stressed amount.

	Name	Valid values	Description
1	Yields Used In Stress Scenarios Type	Dividend yield used in determination of equity stressRental yield used in determination of property stressEarnings yield used in determination of property stress	Report the yields used in stress scenarios type.Dividend yield used in determination of equity stress is only required if the risk charge component for the equity stress is greater than zero.Rental yield used in determination of property stress is only required if the risk charge component for the property stress is greater than zero due to property assets. If rental yields and falls in value have been determined separately for each property asset, enter an estimate of the average rental yield for this item.Earnings yield used in determination of property stress is only required if the risk charge component for the property stress is greater than zero due to infrastructure assets.
2	Yields Used In Stress Scenarios Percent	Percentage	Report the yields used in stress scenarios percent.

Table 3: Counterparty GradeTable 3: Counterparty Grade

Get a plain-English read of Table 3: Counterparty Grade

Specific instructions

Table 1: Adjusted Pre-Stress Amount

Reporting basis

Units of measurement

Table 2: Impact on Capital Base

Reporting basis

Units of measurement

Table 3: Counterparty Grade

Reporting basis

Units of measurement

Table 4: Yields

Reporting basis

Units of measurement