Financial Sector (Collection of Data) (reporting standard) determination No. 73 of 2006 - Reporting Standard GRS 140.4 (2007) Investments - Indirectly Held by Insurer and Risk Charge
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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 110 Capital Adequacy. 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.
Row headings of Table 2:
Listed trusts
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 the form under point 3 to 6 (see below).
Unlisted trusts
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).
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 110 Capital Adequacy 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 110 Capital Adequacy 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 110 Capital Adequacy 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 110 Capital Adequacy for detail on counterparty rating grades.
Aggregate holdings representing exposure to the following asset classes:
This disclosure is separate from disclosure requirements contained in point 1 – 6 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.
Column Headings of Table 2:
Represent Policyholders 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.
Represent Shareholders 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.
Total Funds
This is automatically calculated by the form and represents the total indirect investments for each classification detailed above.
Investment Capital Factor %
This column discloses the appropriate investment capital factor for the asset type in accordance with GPS 110 Capital Adequacy.
Investment Risk Charge
This column will calculate the appropriate investment risk charge in accordance with GPS 110 Capital Adequacy.
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