Part Specific instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 70 of 2008 - GRS 140.4 (2008) - Investments - Indirectly Held by Insurer and Risk Charge - Specific instructions | Zoe
Financial Sector (Collection of Data) (reporting standard) determination No. 70 of 2008 - GRS 140.4 (2008) - Investments - Indirectly Held by Insurer and Risk Charge
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Turn the raw legal text into a practical explanation grounded in Financial Sector (Collection of Data) (reporting standard) determination No. 70 of 2008 - GRS 140.4 (2008) - Investments - Indirectly Held by Insurer and Risk Charge.
The following provides guidelines to facilitate the specific disclosure of information requested by this form for the reporting insurer.
Table 1
List all investments of the reporting insurer in investment vehicles, which will include holdings in the following:
individually managed mandates;
units in wholesale trusts;
units in retail/public offer unit trusts;
managed investment schemes; and
cash management trusts.
Include holdings in listed and unlisted trusts and related entities of the reporting insurer.
Exception:
If the units are held in a related/controlled entity of the insurer (i.e. a dedicated investment management entity for the Insurer), the Insurer may apply to APRA to have such entities approved as part of its Extended Licensed Entity (ELE). This is set out in GPS 114. Once approved by APRA this will allow the insurer to look through the legal structures involved and to consolidate the balance sheet of the related entity with its own for the purposes of determining the Investment Risk Capital Charge. If the insurer has an approved ELE, the underlying individual securities/investments supporting the units held by the licensed insurer are to be disclosed in the investment returns.
Name and ABN
Use the full name of the investment vehicle as identified in the investment deed. Also disclose the Australian Business Number (ABN). Where there is no identifier associated with the investment vehicle leave this field blank.
Related Party
Disclose “yes” or “no” if the investment vehicle is a related party of the reporting insurer. For this purpose related entity has the meaning as set out above.
Closing Value
Report the value of the holdings as at the end of the reporting date for each investment vehicle.
Table 2. Aggregate holdings in indirect investment vehicles classified into the following:
Where the reporting Insurer has disclosed investments in table 1 in the form, the aggregate holdings must be disclosed as required by this table.
Total Funds
Disclose the aggregate balance for each investment listed in Table 1.
Investment Capital Factor %
This column discloses the appropriate investment capital factor for the asset type in accordance with GPS 114.
Investment Risk Charge
This column will calculate the appropriate investment risk charge in accordance with GPS 114.
Row headings of Table 2:
Listed trusts (excluding CMT) – without look-through
Disclose the aggregate value of the holdings that constitute investments in listed trusts.
Note: do not include holdings of cash management trusts. These are to be disclosed on this form under point 3 to 6 (see below).
Also do not include holdings in a trust where the insurer has chosen to apply the look-through basis. For the purposes of calculating the investment risk capital charge, an insurer may look-through the trust to its underlying asset where it has sufficient information to identify the underlying assets of the trust. The insurer’s share of the underlying assets of the trust is to be reported under item 7 of this form per type of asset.
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 point 3 (see below).
Also do not include holdings in a trust where the insurer has chosen to apply the look-through basis. For the purposes of calculating the investment risk capital charge, an insurer may look-through the trust to its underlying asset where it has sufficient information to identify the underlying assets of the trust. The insurer’s share of the underlying assets of the trust is to be reported under item 7 of this form per type of asset.
Cash Management Trusts with Prudential 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 detail on counterparty rating grades.
Cash Management Trusts with Prudential 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 detail on counterparty rating grades.
Cash Management Trusts with Prudential Rating of Grade 4 or unrated
List the aggregate value of holdings in investment vehicles, which constitute cash management trusts that have a rating of grade 4 or are unrated. Refer to GPS 114 for detail on counterparty rating grades.
Cash Management Trusts with Prudential 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 detail on counterparty rating grades.
Unit Trusts on a look-through basis
If the insurer has sufficient information on the underlying assets of the trust, the insurer 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 insurer’s share in the underlying assets depending on the type of the asset in accordance with GPS 114.
Column
Asset
Investment Capital Factor
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%
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%
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%
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%
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%
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%
7.7
Assets with an investment risk charge of 10%:Unlisted subordinated debt
10%
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 160.0 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.
N/A – see GRF 140.1 Investments – Direct Equity Holdings and Risk Charge
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 160.0 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%
7.10
Listed Property Trust:Listed Property trusts
16%
7.11
Unlisted Property Trust:Direct holdings of real estateUnlisted Property trusts
20%
7.12
Other - ListedOther 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%
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%
Total holdings in indirect investment vehicles
This item is automatically calculated by the form and represents the sum of item 1 to 7.13.
Total holdings in indirect investment vehicles representing policyholder funds
Disclose the aggregate balance of investments disclosed in Table 1 that are designated as representing policyholders funds, where the insurer has established the investment management mandates along these terms to reflect the different cashflow/risk and return requirements of shareholders funds from policyholders/technical reserves.
Policyholders funds is also referred to as technical reserves/funds. Use of the term does not imply ownership of these funds by policyholders, like under life insurance.
Total holdings in indirect investment vehicles representing shareholder funds
Disclose the aggregate balance of investments disclosed in Table 1 that are designated as representing shareholders funds, where the insurer has established the investment management mandates along these terms to reflect the different cashflow/risk and return requirements of shareholders funds from policyholders/technical reserves.
Aggregate holdings representing exposure to the following asset classes:
This disclosure is separate from disclosure requirements contained in point 1 – 7 of this table. The aggregate value of the holdings disclosed in Table 1 must also be disclosed in accordance to the nature of the market exposure of the underlying assets (i.e. fixed interest related, equity related, property related). If the units are held in a diversified or balanced trust, the investment holding is to be disclosed in accordance with the fund’s advised asset allocation. The values reported need to be separated according to whether the holdings represent policyholder funds or shareholder funds.
Total investment risk charge
This item is automatically calculated by the form.