GRF_114_0_G: Asset Risk Charge (G)
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Effective date: 1 January 2013
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Australian Business Number
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Institution Name
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Reporting Period
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Scale Factor
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Semi-annual / Annual
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Thousands of dollars no decimal place
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Reporting Consolidation
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Level 2 insurance group
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Section 1: Asset Risk Charge calculation
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Adjusted pre-stress value - Total amount
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Impact on capital base
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Real interest rates
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Expected inflation
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Currency
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Equity
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Property
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Credit spreads
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Default
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RIR Upwards
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RIR Downwards
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INF Upwards
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INF Downwards
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CUR Upwards
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CUR Downwards
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1. Items subject to stress
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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(7)
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(8)
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(9)
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(10)
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(11)
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1.1. Cash and liquid assets
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1.2. Non-reinsurance receivables
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1.2.1. Non-reinsurance recoveries
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1.2.2. Net premiums receivable
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1.2.3. Current tax assets
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1.2.4. Other receivables
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1.3. Investments
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1.3.1. Interest rate investments
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1.3.2. Equities
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1.3.3. Property
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1.3.4. Loans and advances
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1.3.5. Indirect investments
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1.4. Deferred tax assets
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1.5. Derivatives
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1.6. Total other investments
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1.7. Other assets
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1.8. Net outstanding claims liabilities
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1.9. Adjusted net premiums liabilities
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1.10. Deferred tax liabilities
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1.11. Derivatives
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1.12. Other liabilities
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1.13. Reinsurance assets for default stress
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1.13.1. Reinsurance recoverable on outstanding and paid claims
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1.13.2. Deferred reinsurance expense
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1.13.3. Other reinsurance assets
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1.14. Off-balance sheet exposures
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2.
Impact on capital base
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3.
Risk charge components
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4. Aggregated risk charge component
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4.1. Impact of diversification
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5.
Less: Tax benefits deduction
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6.
Adjustments to Asset Risk Charge as approved by
APRA
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Description
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Transitional?
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Amount
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(1)
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(2)
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(3)
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7. Asset Risk Charge
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Section 2: Additional information
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8. Assets fair values subject to credit spreads stress
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Grade 1 (Government)
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Grade 1 (Other)
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Grade 2
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Grade 3
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Grade 4
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Grade 5
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Grade 6
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Grade 7
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Total fair value by Asset
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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(7)
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(8)
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(9)
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8.1. Bonds & other non-securitised assets
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8.2. Structured / securitised assets
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8.3. Re-securitised assets
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8.4.
Total fair value by Grade
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9. Stressed asset values post credit spreads stress
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Grade 1 (Government)
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Grade 1 (Other)
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Grade 2
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Grade 3
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Grade 4
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Grade 5
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Grade 6
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Grade 7
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Total stressed value by Asset
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(1)
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(2)
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(3)
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(4)
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(5)
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(6)
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(7)
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(8)
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(9)
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9.1. Bonds & other non-securitised assets
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9.2. Structured / securitised assets
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9.3. Re-securitised assets
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9.4.
Total stressed assets by Grade
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10. Yields used in stress scenarios
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10.1. Dividend yield used in determination of equity stress (%)
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10.2. Rental yield used in determination of property stress (%)
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10.3. Earnings yield used in determination of property stress (%)
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