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Financial Sector (Collection of Data) (reporting standard) determination No. 7 of 2011 - GRS 300.0_G (2011) - Statement of Financial Position (Level 2 Insurance Group)
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Turn the raw legal text into a practical explanation grounded in Financial Sector (Collection of Data) (reporting standard) determination No. 7 of 2011 - GRS 300.0_G (2011) - Statement of Financial Position (Level 2 Insurance Group).
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 Australian accounting standards. For assets of an insurance group 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 GRF 141.0_G.
2.5.1 Listed trusts (excluding CMT) - 'without look-through'
Disclose the aggregate value of the investments in listed trusts.
Note: do not include holdings of cash management trusts. These are to be disclosed on the form under items 2.5.3 to 2.5.6.
Also do not include holdings in a trust where the Level 2 insurance group has chosen to apply the look-through basis. For the purposes of calculating the investment risk capital charge, a Level 2 insurance group may look-through the trust to its underlying asset where it has sufficient information to identify the underlying assets of the trust. The Level 2 insurance group’s share of the underlying assets of the trust is to be reported under item 2.5.7 of this form per type of asset.
2.5.2 Unlisted trusts (excluding CMT) - 'without look-through'
Disclose the aggregate value of the holdings that constitute investments in unlisted trusts.
Note: do not include holdings of cash management trusts. These are to be disclosed on the form under items 2.5.3 to 2.5.6.
Also do not include holdings in a trust where the Level 2 insurance group has chosen to apply the look-through basis. Where the look-through basis is used, the Level 2 insurance group’s share of the underlying assets of the trust is to be reported under item 2.5.7 of this form per type of asset.
2.5.3 Cash management trusts with a rating of grade 1 or 2
List the aggregate value of holdings in investment vehicles, which constitute cash management trusts that have a rating of grade 1 or 2. Refer to GPS 114 for details on counterparty rating grades.
2.5.4 Cash management trusts with a rating of grade 3
List the aggregate value of holdings in investment vehicles, which constitute cash management trusts that have a rating of grade 3. Refer to GPS 114 for details on counterparty rating grades.
2.5.5 Cash management trusts with a rating of grade 4
List the aggregate value of holdings in investment vehicles, which constitute cash management trusts that have a rating of grade 4. Refer to GPS 114 for details on counterparty rating grades.
2.5.6 Cash management trusts with a rating of grade 5
List the aggregate value of holdings in investment vehicles, which constitute cash management trusts that have a rating of grade 5. Refer to GPS 114 for details on counterparty rating grades.
2.5.7 Unit trusts (excluding CMT) on a look-through basis
If the Level 2 insurance group has sufficient information on the underlying assets of the trust, the Level 2 insurance group may apply the relevant Investment Capital Factors to the underlying assets of that trust rather than apply the Investment Capital Factors on the aggregate value of the trust.
Record the fair value of the Level 2 insurance group’s share in the underlying assets according to the type of the asset as detailed in GPS 114.
| Column | Asset | Investment Capital Factor |
|---|---|---|
| 2.5.7.1 | Assets with an investment risk charge of 0.5%:Cash (notes and coins)Debt obligations of:the Commonwealth Government;an Australian State or Territory government; orthe national government of a foreign country where: the security has a Grade 1 counterparty rating; or, if not rated, the long-term, foreign currency counterparty rating of that country is Grade 1Assets in respect of anticipated recoveries from the Commonwealth Government or from an Australian State or Territory governmentGST receivables (input tax credits) | 0.5% |
| 2.5.7.2 | Assets with an investment risk charge of 1%:Any debt obligation that matures or is redeemable in less than one year with a counterparty rating of Grade 1 or 2 (excluding subordinated debt and debt obligations of government dealt with specifically in this Table)Cash management trusts with a counterparty rating of Grade 1 or 2 | 1% |
| 2.5.7.3 | Assets with an investment risk charge of 2%:Any other debt obligation (that matures or is redeemable in one year or more) with a counterparty rating of Grade 1 or 2 (excluding subordinated debt and debt obligations of government dealt with specifically in this Table) | 2% |
| 2.5.7.4 | Assets with an investment risk charge of 4%:Any other debt obligation with a counterparty rating of Grade 3 (excluding subordinated debt)Cash management trusts with a counterparty rating of Grade 3 | 4% |
| 2.5.7.5 | Assets with an investment risk charge of 6%:Any other debt obligation with a counterparty rating of Grade 4 (excluding subordinated debt)Cash management trusts with a counterparty rating of Grade 4 | 6% |
| 2.5.7.6 | Assets with an investment risk charge of 8%:Any other debt obligation with a counterparty rating of Grade 5 (excluding unlisted subordinated debt)Cash management trusts with a counterparty rating of Grade 5Listed subordinated debt | 8% |
| 2.5.7.7 | Assets with an investment risk charge of 10%:Unlisted subordinated debt | 10% |
| 2.5.7.8 | Listed Equity:Listed equity instrumentsReport all equity securities at fair value. Include:Equity in listed companies, domestic and overseas; andSecurities (stock) lent or sold under repurchase agreements, where the transaction does not effectively result in the transfer of the rights of ownership of the securities.Exclude:Options and warrants, include these as Financial Derivatives on GRF 110.0 Minimum Capital Requirement (Level 2 Insurance Group) under 'Derivatives Activity and Risk Charge’; andSecurities borrowed or purchased under resale agreements, where the transaction does not effectively result in the transfer of the rights of ownership of the securities. |
Total ‘Unit trusts (excluding CMT) on a look-through basis’ is calculated automatically by the form and represents the sum of items 2.5.7.1 to 2.5.7.13.
| N/A – see GRF 141.0_G Listed Equity Holding and Risk Charge (Level 2 Insurance Group)s |
| 2.5.7.9 | Unlisted Equity:Unlisted equity instrumentsReport all equity securities at fair value. Include:Equity in unlisted companies, domestic and overseas; andSecurities (stock) lent or sold under repurchase agreements, where the transaction does not effectively result in the transfer of the rights of ownership of the securities.Exclude:Options and warrants, include these as Financial Derivatives on GRF 110.0_G Minimum Capital Requirement (Level 2 Insurance Group) under 'Derivatives Activity and Risk Charge’; andSecurities borrowed or purchased under resale agreements, where the transaction does not effectively result in the transfer of the rights of ownership of the securities. | 20% |
| 2.5.7.10 | Listed Property:Listed Property trusts | 16% |
| 2.5.7.11 | Unlisted Property:Direct holdings of real estateUnlisted Property trusts | 20% |
| 2.5.7.12 | Other – Listed:Other assets not assigned an Investment Capital Factor elsewhere in this Table (other than hybrid instruments with both equity and debt features – refer to Attachment A of GPS 114) | 16% |
| 2.5.7.13 | Other - Unlisted:Other assets not assigned an Investment Capital Factor elsewhere in this Table (other than hybrid instruments with both equity and debt features – refer to Attachment A of GPS 114) | 20% |