| GRF_114_0: Asset Risk Charge (GEN) | ||||||||||||
| Effective date: 1 January 2013 | ||||||||||||
| Australian Business Number | Institution Name | |||||||||||
| Reporting Period | Scale Factor | |||||||||||
| Quarterly / Annual | Thousands of dollars no decimal place | |||||||||||
| Reporting Consolidation | ||||||||||||
| Licensed insurer | ||||||||||||
| Section 1: Asset Risk Charge calculation | ||||||||||||
| Adjusted pre-stress value - Total amount | Adjusted pre-stress value - Inside Australia amount | Impact on capital base | ||||||||||
| Real interest rates | Expected inflation | Currency | Equity | Property | Credit spreads | Default | ||||||
| RIR Upwards | RIR Downwards | INF Upwards | INF Downwards | CUR Upwards | CUR Downwards | |||||||
| 1. Items subject to stress | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | (12) |
| 1.1. Cash and liquid assets | ||||||||||||
| 1.2. Non-reinsurance receivables | ||||||||||||
| 1.2.1. Non-reinsurance recoveries | ||||||||||||
| 1.2.2. Net premiums receivable | ||||||||||||
| 1.2.3. Current tax assets | ||||||||||||
| 1.2.4. Other receivables | ||||||||||||
| 1.3. Investments | ||||||||||||
| 1.3.1. Interest rate investments | ||||||||||||
| 1.3.2. Equities | ||||||||||||
| 1.3.3. Property | ||||||||||||
| 1.3.4. Loans and advances | ||||||||||||
| 1.3.5. Indirect investments | ||||||||||||
| 1.4. Deferred tax assets | ||||||||||||
| 1.5. Derivatives | ||||||||||||
| 1.6. Investments in related entities | ||||||||||||
| 1.7. Other assets | ||||||||||||
| 1.8. Net outstanding claims liabilities | ||||||||||||
| 1.9. Adjusted net premiums liabilities | ||||||||||||
| 1.10. Deferred tax liabilities | ||||||||||||
| 1.11. Derivatives | ||||||||||||
| 1.12. Other liabilities | ||||||||||||
| 1.13. Reinsurance assets for default stress | ||||||||||||
| 1.13.1. Reinsurance recoverables on outstanding and paid claims | ||||||||||||
| 1.13.2. Deferred reinsurance expense | ||||||||||||
| 1.13.3. Other reinsurance assets | ||||||||||||
| 1.14. Off-balance sheet exposures | ||||||||||||
| 2. Impact on capital base | ||||||||||||
| 3. Risk charge components | ||||||||||||
| 4. Aggregated risk charge component | ||||||||||||
| 4.1. Impact of diversification | ||||||||||||
| 5. Less: Tax benefits deduction | ||||||||||||
| 6. Adjustments to Asset Risk Charge as approved by APRA | ||||||||||||
| Description | Transitional? | Amount | ||||||||||
| (1) | (2) | (3) | ||||||||||
| Yes | ||||||||||||
| No | ||||||||||||
| 7. Asset Risk Charge | ||||||||||||
| Section 2: Additional information | ||||||||||||
| 8. Assets fair values subject to credit spreads stress | ||||||||||||
| Grade 1 (Government) | Grade 1 (Other) | Grade 2 | Grade 3 | Grade 4 | Grade 5 | Grade 6 | Grade 7 | Total fair value by Asset | ||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | ||||
| 8.1. Bonds & other non-securitised assets | ||||||||||||
| 8.2. Structured / securitised assets | ||||||||||||
| 8.3. Re-securitised assets | ||||||||||||
| 8.4. Total fair value by grade | ||||||||||||
| 9. Assets fair values subject to credit spreads stress | ||||||||||||
| Grade 1 (Government) | Grade 1 (Other) | Grade 2 | Grade 3 | Grade 4 | Grade 5 | Grade 6 | Grade 7 | Total stressed value by Asset | ||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | ||||
| 9.1. Bonds & other non-securitised assets | ||||||||||||
| 9.2. Structured / securitised assets | ||||||||||||
| 9.3. Re-securitised asset | ||||||||||||
| 9.4. Total stressed assets by grade | ||||||||||||
| 10. Yields used in stress scenarios | ||||||||||||
| 10.1. Dividend yield used in determination of equity stress (%) | ||||||||||||
| 10.2. Rental yield used in determination of property stress (%) | ||||||||||||
| 10.3. Earnings yield used in determination of property stress (%) | ||||||||||||
