Financial Sector (Collection of Data) (reporting standard) determination No. 74 of 2023
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Tables 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.
Definitions
Terms in bold italics are defined in this Definitions section of these instructions.
A
Adjusted PML
This is the PML after allowing for the adjustment to the PML. This is automatically calculated as:PMLless:adjustment to the PML
Adjustment to the PML
For a Level 2 insurance group with an LMI that is no longer writing new business (i.e. in run-off), the sum insured is expected to decrease over the three-year scenario and it may be appropriate for an LMI in run-off to adjust its PML downwards. The methodology for adjusting an LMI’s PML in a run-off situation must be approved by APRA and documented in the LMI’s reinsurance management strategy.
Adjustments to LMI Concentration Risk Charge as approved by APRA
If APRA is of the view that the Standard Method for calculating the LMI Concentration Risk Charge component of the prescribed capital amount does not produce an appropriate outcome in respect of a Level 2 insurance group, or a Level 2 insurance group has used inappropriate judgement or estimation in calculating the LMI Concentration Risk Charge, APRA may adjust the LMI Concentration Risk Charge calculation for that Level 2 insurance group.
Allowable reinsurance
This is the lesser of available reinsurance and 60 per cent of the adjusted PML.
Available reinsurance
The methodology for calculating available reinsurance is detailed in Attachment A of GPS 116.
B
Basis for determination of H3 requirement
The Level 2 insurance group must select ‘gross’ if it has determined that the H3 requirement would be greater if it is based on the gross loss arising from the occurrence of a single event, when compared to the net loss arising from the occurrence of a single event.The Level 2 insurance group must select ‘net’ if it has determined that the H3 requirement would be greater if it is based on the net loss arising from the occurrence of a single event, when compared to the gross loss arising from the occurrence of a single event.
Basis for determination of H4 requirement
The Level 2 insurance group must select ‘gross’ if it has determined that the H4 requirement would be greater if it is based on the gross loss arising from the occurrence of a single event, when compared to the net loss arising from the occurrence of a single event.The Level 2 insurance group must select ‘net’ if it has determined that the H4 requirement would be greater if it is based on the net loss arising from the occurrence of a single event, when compared to the gross loss arising from the occurrence of a single event.
Basis for determination of NP VR
The Level 2 insurance group must enter ‘gross’ if it has determined that the NP VR would be greater, if it is based on the gross loss arising from the occurrence of a single event, than the net loss arising from the occurrence of a single event.The Level 2 insurance group must enter ‘net’ if it has determined that the NP VR would be greater, if it is based on the net loss arising from the occurrence of a single event, than the gross loss arising from the occurrence of a single event.
C
Commencement date of catastrophe reinsurance program
The Level 2 insurance group is required to report the commencement date of the catastrophe reinsurance program. Where the Level 2 insurance group has multiple inception dates for its catastrophe reinsurance program it must consult with APRA to determine the relevant commencement date.
E
End date of catastrophe reinsurance program
The Level 2 insurance group is required to report the end date of catastrophe reinsurance program. Where the Level 2 insurance group has multiple inception dates for its catastrophe reinsurance program it must consult with APRA to determine the relevant end date.
H
H3 aggregate offset
H3 aggregate offset is the amount of potential reinsurance recoverables from aggregate reinsurance cover. The Level 2 insurance group must not allow for any reinstatements of aggregate reinsurance cover unless these have been contractually agreed with the reinsurer(s). If reinstatements are included, the cost of reinstatement must be netted from the offset. The Level 2 insurance group must agree with APRA a methodology for the determination of this adjustment.This methodology may allow for any portion of paid and outstanding claims and premiums liabilities (PL) that contribute to the Level 2 insurance group’s retained losses for the purposes of the retention on any aggregate reinsurance cover, provided it does not result in a double-count between this offset and the PL offset.The total H3 aggregate offset is calculated as the sum of:first event;second event; andthird event.
H3 loss per event
The H3 loss per event is calculated for each H3 event as the sum of:single event loss from H3 event; andH3 reinstatement cost;less:H3 reinsurance recoverables;H3 aggregate offset; andH3 reinstatement premiums.
H3 reinstatement cost
The Level 2 insurance group is not required to determine a H3 reinstatement cost after the third event.H3 reinstatement cost is the cost (if any) of reinstating catastrophe reinsurance cover after the occurrence of the first two H3 losses. The cost (if any) must reflect the cost of reinstating reinsurance cover up to the size of the third event. In determining this cost, if the Level 2 insurance group does not have contractually agreed rates for the reinsurance cover, the Level 2 insurance group must estimate the cost based on the reinsurance market conditions that would prevail after the occurrence of the events. The amount must not be less than the full original cost of the cover, with no deduction for the expiry of time since the inception of the reinsurance arrangements unless the Level 2 insurance group is able to demonstrate to APRA that the amount materially overstates the cost that would prevail in the market after the occurrence of the events.The total H3 reinstatement cost is calculated as the sum of:first event; andsecond event.
H3 reinstatement premiums
H3 reinstatement premiums are applicable to Level 2 insurance groups that write reinsurance and may receive inwards reinstatement premiums from cedants as a result of the events that give rise to three H3 losses. H3 reinstatement premiums must only be included in NP HR if the reinsurance contract specifically stipulates that offsetting with the cedant will occur at the time of the payment of the reinsurance claim.The total H3 reinstatement premiums is calculated as the sum of:first event;second event; andthird event.
H3 reinsurance recoverables
H3 reinsurance recoverables are the level of potential reinsurance recoverables should there be the occurrence of three H3 losses over the catastrophe reinsurance program treaty year. H3 reinsurance recoverables must not include any amounts due from aggregate reinsurance cover.The total H3 reinsurance recoverables is calculated as the sum of:first event;second event; andthird event.
H3 requirement
The H3 requirement is calculated as the total over the three events for H3 loss per event.
H4 aggregate offset
H4 aggregate offset is the amount of potential reinsurance recoverables from aggregate reinsurance cover. The Level 2 insurance group must not allow for any reinstatements of aggregate reinsurance cover unless these have been contractually agreed with the reinsurer(s). If reinstatements are included, the cost of reinstatement must be netted from the offset. The Level 2 insurance group must agree with APRA a methodology for the determination of this adjustment.This methodology may allow for any portion of paid and outstanding claims and PL that contribute to the Level 2 insurance group’s retained losses for the purposes of the retention on any aggregate reinsurance cover, provided it does not result in a double-count between this offset and the PL offset.The total H4 aggregate offset is calculated as the sum of:first event;second event;third event; andfourth event.
H4 loss per event
The H4 loss per event is calculated for each H4 event as the sum of:single event loss from H4 event;H4 reinstatement cost;less:H4 reinsurance recoverables;H4 aggregate offset; andH4 reinstatement premiums.
H4 reinstatement cost
H4 reinstatement cost is the cost (if any) of reinstating catastrophe reinsurance cover after the occurrence of the first three H4 losses. The cost (if any) must reflect the cost of reinstating reinsurance cover up to the size of the fourth event. In determining this cost, if the Level 2 insurance group does not have contractually agreed rates for the reinsurance cover, the Level 2 insurance group must estimate the cost based on the reinsurance market conditions that would prevail after the occurrence of the events. The amount must not be less than the full original cost of the cover, with no deduction for the expiry of time since the inception of the reinsurance arrangements unless the Level 2 insurance group is able to demonstrate to APRA that the amount materially overstates the cost that would prevail in the market after the occurrence of the events.The total H4 reinstatement cost is calculated as the sum of:first event;second event; andthird event.
H4 reinstatement premiums
H4 reinstatement premiums are applicable to Level 2 insurance groups that write reinsurance and may receive inwards reinstatement premiums from cedants as a result of the events that give rise to three H4 losses. H4 reinstatement premiums must only be included in NP HR if the reinsurance contract specifically stipulates that offsetting with the cedant will occur at the time of the payment of the reinsurance claim.The total H4 reinstatement premiums is calculated as the sum of:first event;second event;third event; andfourth event.
H4 reinsurance recoverables
H4 reinsurance recoverables are the level of potential reinsurance recoverables should there be the occurrence of four H4 losses over the catastrophe reinsurance program treaty year. H4 reinsurance recoverables must not include any amounts due from aggregate reinsurance cover.The total H4 reinsurance recoverables is calculated as the sum of:first event;second event;third event; andfourth event.
H4 requirement
The H4 requirement is calculated as the total over the four events for H4 loss per event.
L
LMI Concentration Risk Charge
The LMI Concentration Risk Charge represents the net loss from the application of a prescribed three-year economic downturn scenario to any lenders mortgage insurance business. The determination of the LMI Concentration Risk Charge is based on the formulae and requirements set out in GPS 116.This is a derived item and is calculated as the greater of:total of adjusted PML multiplied by 10%; orthe sum of PML net of reinsurance and adjustments to LMI Concentration Risk Charge as approved by APRA less net premium liability deduction.
N
Natural perils horizontal requirement (NP HR)
The natural perils horizontal requirement (NP HR) is calculated as the greater of:H3 requirement; orH4 requirementless:PL offset.
Natural perils vertical requirement (NP VR)
The natural perils vertical requirement (NP VR) is calculated as the greater of:NP PML less NP reinsurance recoverables; orNet whole-of-portfolio loss;less:NP reinstatement premiumsplus:NP reinstatement costless:other adjustments.
Net premium liability deduction
In determining the LMI Concentration Risk Charge, this is the value of the deduction from the PML, allowed under GPS 116, for net PL of the LMI that relate to an economic downturn.
Net whole-of-portfolio loss
Net whole-of-portfolio loss is the net loss arising from the occurrence of a single event where that net loss is not less than the whole-of-portfolio annual net loss with a 0.5 per cent probability of occurrence.
NP PML
NP PML is the gross loss arising from the occurrence of a single event, where that loss is not less than the whole-of-portfolio annual loss with a 0.5 per cent probability of occurrence.
NP reinstatement cost
NP reinstatement cost is the cost (if any) of reinstating all catastrophe reinsurance cover relating to the reinsurance recoverables determined. In determining this cost, if the Level 2 insurance group does not have contractually agreed rates for the reinsurance cover, the Level 2 insurance group must estimate the cost based on current reinsurance market conditions. The amount must not be less than the full original cost of the cover with no deduction for the expiry of time since the inception of the reinsurance arrangements unless the Level 2 insurance group is able to demonstrate to APRA that the amount materially overstates the cost that would prevail.
NP reinstatement premiums
NP reinstatement premiums are applicable to Level 2 insurance groups that write reinsurance and may receive inwards reinstatement premiums from cedants as a result of the event that gives rise to its NP PML, or the net whole-of-portfolio loss. NP reinstatement premiums must only be included in NP VR if the reinsurance contract specifically stipulates that offsetting with the cedant will occur at the time of the payment of the reinsurance claim.
NP reinsurance recoverables
NP reinsurance recoverables is the level of potential reinsurance recoverables should there be the occurrence of the event that gives rise to NP PML. This amount must not include any amounts due from aggregate reinsurance cover.
O
OA PML
OA PML is the gross loss arising from the occurrence of a single event, such that the size of the loss has 0.5 per cent probability of occurrence. A Level 2 insurance group with exposures to accumulations of losses arising from a common dependent source or non-natural perils must determine OA PML.
OA reinstatement cost
OA reinstatement cost is the cost (if any) of reinstating all catastrophe reinsurance cover relating to OA reinsurance recoverables. In determining this cost, if the Level 2 insurance group does not have contractually agreed rates for the reinsurance cover, the Level 2 insurance group must estimate the cost based on the current reinsurance market conditions. The amount must not be less than the full original cost of the cover with no deduction for the expiry of time since the inception of the reinsurance arrangements unless the Level 2 insurance group is able to demonstrate to APRA that the amount materially overstates the cost that would prevail.
OA reinsurance recoverables
OA reinsurance recoverables is the level of potential reinsurance recoverables should there be occurrence of OA PML. This amount may include any amounts from aggregate reinsurance cover if the cover has reached its attachment point, or will as a result of OA PML.The reinsurance recoverables can then be applied until the cover has been exhausted by claims by the Level 2 insurance group or the date that the aggregate reinsurance treaty expires, whichever occurs first.
Other accumulations vertical requirement (OA VR)
The other accumulations vertical requirement (OA VR) is calculated as the sum of:OA PML; andOA reinstatement costless:PL adjustment to OA PML; andOA reinsurance recoverables.
Other adjustments
Other adjustments include potential reinsurance recoverables from aggregate reinsurance cover. Aggregate reinsurance cover is eligible to be considered for inclusion in the NP VR once the aggregate reinsurance cover has reached its attachment point, or will as a result of the occurrence of NP PML, or net whole-of-portfolio loss, as appropriate. The reinsurance recoverables from aggregate reinsurance cover must then be applied up until the cover has been exhausted by claims by the Level 2 insurance group or the date that the aggregate reinsurance treaty expires, whichever occurs first.
P
PL adjustment to OA PML
The Level 2 insurance group may reduce the OA PML for any losses included in the other accumulation scenario that is already specifically allowed for in the premiums liabilities of the Level 2 insurance group.
PL offset
PL offset is the portion of the premiums liability provision which relates to catastrophic losses (those that give rise to a relatively significant number of claims and occur no more frequently than every three months), as determined by the Group Actuary.
PML
PML represents the total PML across all loan types, coverage types and origination channels. The Level 2 insurance group must enter an amount for total PML. Total PML is then automatically allocated in the proportions of 25% to year one, 50% to year two and 25% to year three of the Prescribed Stress Scenario as required by GPS 116.
PML net of reinsurance
This is the PML after allowing for allowable reinsurance. It is calculated as:adjusted PMLless:allowable reinsurance
S
Single event loss from H3 event
The single event loss from the H3 event is the gross or net loss from the occurrence of a single event, where that loss is not less than the whole-of-portfolio annual (gross/net) loss with a 10 per cent probability of occurrence.
Single event loss from H4 event
The single event loss from the H4 event is the gross or net loss from the occurrence of a single event, where that loss is not less than the whole-of-portfolio annual loss with a 16.7 per cent probability of occurrence.
Specific instructions
Table 1: Insurance Concentration Risk Charge
Insurance concentration risk charge (ICRC)
The Level 2 insurance group is not required to report each component of the ICRC where the amount determined for one or more of the components is always expected to be materially lower than the amount determined for one or more of the other components.
Region/Approach
The Level 2 insurance group must enter the region used to determine the applicable component that produces the highest ICRC in item 7 below.
Units of measurement
Report values in whole Australian dollars (no decimal places).
Natural perils vertical requirement (NP VR)
Item 1
Natural perils vertical requirement (NP VR) is a derived item and is calculated as the greater of:item 1.2 less item 1.3; oritem 1.4;less:item 1.5plus:item 1.6less:item 1.7
Item 1.1
Report the basis for determination of NP VR value. The valid values are:gross; ornet
Item 1.2
Report the NP PML amount.The Level 2 insurance group must only report this item if the Level 2 insurance group has entered ‘gross’ in item 1.1.
Item 1.3
Report the NP reinsurance recoverables amount.The Level 2 insurance group must only report this item if the Level 2 insurance group has entered ‘gross’ in item 1.1.
Item 1.4
Report the Net whole-of-portfolio loss amount.The Level 2 insurance group must only report this item if the Level 2 insurance group has entered ‘net’ in item 1.1.
Item 1.5
Report the NP reinstatement premiums amount.
Item 1.6
Report the NP reinstatement cost amount.
Item 1.7
Report the other adjustments amount.
Natural perils horizontal requirement (NP HR)
Item 2
Natural perils horizontal requirement (NP HR) is a derived item and is calculated as the greater ofitem 2.3; oritem 2.4less:item 2.5.
Item 2.1
Report the commencement date of catastrophe reinsurance program amount.
Item 2.2
Report the end date of catastrophe reinsurance program amount.
H3 requirement
The following items relate to the H3 requirement.
Item 2.3
H3 requirement is a derived item and is calculated as the total over the three events (across columns 1 to 3) for:item 2.3.7
Item 2.3.1
Report the basis for determination of H3 requirement. The valid values are:gross; ornet
Item 2.3.2
Report the single event loss from H3 event amount.
The following columns are to be report for item 2.3.3 to item 2.3.7:
Column 1
Report the amount for the first event.
Column 2
Report the amount for the second event.
Column 3
Report the amount for the third event.
Item 2.3.3
Report the H3 reinsurance recoverables amount for each event.This item must only be reported if the Level 2 insurance group has selected ‘gross’ in item 2.3.1.The total H3 reinsurance recoverables is calculated as the sum across columns 1 to 3.
Item 2.3.4
Report the H3 aggregate offset amount for each event.The total H3 aggregate offset is calculated as the sum across columns 1 to 3.
Item 2.3.5
Report the H3 reinstatement premiums amount for each event.The total H3 reinstatement premiums is calculated as the sum across columns 1 to 3.
Item 2.3.6
Report the H3 reinstatement cost amount after the first and second events.The Level 2 insurance group is not required to determine a H3 reinstatement cost after the third event.The total H3 reinstatement cost is calculated as the sum across columns 1 and 2.
Item 2.3.7
H3 loss per event is a derived item and is calculated for each event as the sum of:item 2.3.2; anditem 2.3.6.less:item 2.3.3;item 2.3.4; anditem 2.3.5.The total H3 loss per event is calculated as the sum across columns 1 to 3.
H4 requirement
The following items relate to the H4 requirement.
Item 2.4
H4 requirement is a derived item and is calculated as the total over the four events (across columns 1 to 4) for:item 2.4.7
Item 2.4.1
Report the basis for determination of H4 requirement. The valid values are:gross; ornet
Item 2.4.2
Report the single event loss from H4 event amount.
The following columns are to be report for item 2.4.3 to item 2.4.7:
Column 1
Report the amount for the first event.
Column 2
Report the amount for the second event.
Column 3
Report the amount for the third event.
Column 4
Report the amount for the fourth event.
Item 2.4.3
Report the H4 reinsurance recoverables amount for each event.This item must only be reported if the Level 2 insurance group has selected ‘Gross’ in Item 2.4.1.The total H4 reinsurance recoverables is calculated as the sum across columns 1 to 4.
Item 2.4.4
Report the H4 aggregate offset amount for each event.The total H4 aggregate offset is calculated as the sum across columns 1 to 4.
Item 2.4.5
Report the H4 reinstatement premiums amount for each event.The total H4 reinstatement premiums is calculated as the sum across columns 1 to 4.
Item 2.4.6
Report the H4 reinstatement cost amount after the first, second and third events.The Level 2 insurance group is not required to determine a H4 reinstatement cost after the fourth event.The total H4 reinstatement cost is calculated as the sum across columns 1 to 3.
Item 2.4.7
H4 loss per event is a derived item and is calculated for columns 1 to 4 as the sum of:item 2.4.2; anditem 2.4.6.less:item 2.4.3;item 2.4.4; anditem 2.4.5.The total H4 loss per event is calculated as the sum across columns 1 to 4.
Item 2.5
Report the PL offset amount.
Other accumulations vertical requirement (OA VR)
Item 3
Other accumulations vertical requirement (OA VR) is a derived item and is calculated as the sum of:item 3.1; anditem 3.4less:item 3.2; anditem 3.3.
Item 3.1
Report the OA PML amount.
Item 3.2
Report the PL adjustment to OA PML amount.
Item 3.3
Report the OA reinsurance recoverables amount.
Item 3.4
Report the OA reinstatement cost amount.
LMI concentration risk charge
Item 4
LMI concentration risk charge is a derived item and is calculated as the greater of the:total of item 4.3 multiplied by 10%; orthe sum of item 4.6 and item 4.8 less item 4.7.
The following columns are to be reported (where applicable) for item 4.1 to item 4.8:
Column 1
Report the amount for year 1.
Column 2
Report the amount for year 2.
Column 3
Report the amount for year 3.
Column 4
Report the total amount.
Item 4.1
Report the total PML amount in column 4.The amounts in columns 1 to 3 respectively are calculated as:column 4 multiplied by 25%;column 4 multiplied by 50%; andcolumn 4 multiplied by 25%.
Item 4.2
Report the adjustment to the PML amount for year 2 and year 3.A reduction in PML is to be entered as a positive amount. Do not enter any other adjustments to PML in this field.
Item 4.3
Adjusted PML is a derived item and is calculated as:item 4.1less:item 4.2
Item 4.4
Report the available reinsurance amount for each year.Report the amount of available reinsurance for each of the three years of the prescribed stress scenario.
Item 4.5
Allowable reinsurance is a derived item and is calculated as the lesser of the:total of item 4.4; ortotal of item 4.3 multiplied by 60%
Item 4.6
PML net of reinsurance is a derived item and is calculated as:item 4.3less:item 4.5
Item 4.7
Report the net premium liability deduction amount. Report this item as a positive amount.
Item 4.8
Report the adjustments to LMI Concentration Risk Charge as approved by APRA amount.An increase in the LMI Concentration Risk Charge is to be reported as a positive amount.
Region / Approach
Item 5
Report the region / approach used to determine the applicable component that produces the highest Insurance Concentration Risk Charge.Where the Level 2 insurance group has used an approach agreed with APRA under GPS 116, enter 'APRA-agreed approach' in this field.
Part Specific instructions - Financial Sector (Collection of Data) (reporting standard) determination No. 74 of 2023 - Specific instructions | Zoe