Adjusted policy liabilities ceded (reinsurance assets)

(Items subject to Asset Risk Charge type)

This is the difference between the adjusted policy liabilities (gross of reinsurance) and the adjusted policy liabilities (net of reinsurance). The adjusted policy liabilities are determined in accordance with Prudential Standard LPS 112 Capital Adequacy: Measurement of Capital (LPS 112).

Adjusted policy liabilities (net of reinsurance) - exclude discretionary component

(Items subject to Asset Risk Charge type)

This is the amount of adjusted policy liabilities (net of reinsurance) determined in accordance with LPS 112.

This excludes the discretionary component of adjusted policy liabilities.

This amount is net of additional tax benefits / (liabilities) recognised from liability adjustments. This amount must be reduced by the value of all tax effects associated with liability adjustments. Adjusted pre-stress amount of deferred tax assets and deferred tax liabilities must be increased by the tax effects. This reporting approach is consistent with the Reporting Standard LRS 112 Determination of Capital Base (LRS 112).

Adjusted pre-stress amount

This is the value of all relevant items of the reporting fund. This amount should be reported before the application of any designated asset stresses, net of the effect of any look-through adjustments and applying the fair value requirements outlined in LPS 112 and LPS 114.

Aggregated risk charge component

This is the aggregated result of applying the aggregation formula over risk charge components in accordance with LPS 114. The formula allows for the likelihood of the asset risk stress scenarios occurring simultaneously.

Assets deducted from capital base

(Items subject to Asset Risk Charge type)

This is the value of assets that have been deducted from assets not supporting investment-linked liabilities for the purpose of determining the fund's capital base (other than deferred tax assets).

These will not be subject to the asset risk stresses.

Assets not supporting investment-linked liabilities

This is the fair value of all assets not supporting investment-linked liabilities.

This item is calculated as the sum of:

• cash;
• investment property;
• listed equities;
• unlisted equities;
• non-indexed interest-bearing securities;
• indexed interest-bearing securities;
• loans;
• other investment assets (exclude derivative financial instruments);
• current tax assets;
• deferred tax assets;
• derivative financial instruments (assets);
• premiums receivable;
• reinsurance recoveries receivable;
• other accounts receivable;
• other non-investment assets; and
• adjusted policy liabilities ceded (reinsurance assets) (for the calculation of default stress only).

This item (hence the asset components outlined above) must exclude:

• assets supporting investment-linked liabilities;
• assets deducted from capital base; and
• assets subject to Asset Concentration Risk Charge.

Assets subject to Asset Concentration Risk Charge

(Items subject to Asset Risk Charge type)

This is the value of assets in excess of their respective asset concentration limits and therefore is subject to asset concentration risk charge.

These will not be subject to the asset risk stresses.

Assets subject to credit spreads stress type

This is the category of assets subject to credit spreads stress. The options are:

• bonds and other non-securitised assets;
• structured and securitised assets; and
• re-securitised assets.

Assets supporting investment-linked liabilities

This is the fair value of assets supporting investment-linked policies that do not have performance guarantees. The asset risk stresses are not applied to these assets or their associated adjusted policy liabilities.

Cash

(Items subject to Asset Risk Charge type)

This is the amount of the cash assets which includes any cash at call up to 30 days as well as any cash held with non-bank financial institutions.

Note that this item does not include negotiable certificates of deposits, which should be reported under non-indexed interest-bearing securities or indexed interest bearing securities.

Claims payable

(Items subject to Asset Risk Charge type)

This is the amount related to claims due but not yet paid which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17 Insurance Contracts (AASB 17).

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with claims payable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Counterparty grade

This is the classification applied to an investment or exposure as per the requirements of LPS 001. Assets guaranteed by an Australian state or territory government must be reported in the counterparty grade that applies after rating up one grade in accordance with LPS 114.

Credit spread fair value amount

This is the fair value of assets that are subject to the credit spreads stress.

Credit spread stressed amount

This is the stressed value of assets that are subject to the credit spreads stress.

Credit spreads stress

(Stress scenario type)

This is the impact on the fund's capital base of an increase in credit spreads and the risk of default and is calculated in accordance with LPS 114.

This stress applies to interest-bearing assets, including cash deposits and floating rate assets. Credit derivatives and zero-coupon instruments such as bank bills must also be included. This stress also applies to liabilities whose value depends on the illiquidity premium.

Currency downwards stress

(Stress scenario type)

This is the impact on the fund's capital base of downward changes in foreign currency exchange rates and is calculated in accordance with LPS 114.

Currency upwards stress

(Stress scenario type)

This is the impact on the fund's capital base of upward changes in foreign currency exchange rates and is calculated in accordance with LPS 114.

Current tax assets

(Items subject to Asset Risk Charge type)

This is the value of current tax assets determined in accordance with Australian Accounting Standards.

Current tax liabilities

(Items subject to Asset Risk Charge type)

This is the value of current tax liabilities determined in accordance with Australian Accounting Standards.

Default stress

(Stress scenario type)

This is the impact on a fund's capital base of the risk of counterparty default and is calculated in accordance with LPS 114.

It applies to reinsurance assets, over the counter derivatives, unpaid premiums and all other credit or counterparty exposures that have not been affected by the credit spreads stress.

Deferred tax assets

(Items subject to Asset Risk Charge type)

This is the value of deferred tax assets determined in accordance with Australian Accounting Standards.

Adjusted pre-stress amounts of deferred tax assets must be increased by the value of tax effects associated with liability adjustments. This reporting approach is consistent with LRS 112.

For stress scenario amount, this includes tax benefits arising from the application of the asset risk stresses, all of which would be recognised as admissible. 

Deferred tax liabilities

(Items subject to Asset Risk Charge type)

This is the value of deferred tax liabilities determined in accordance with Australian Accounting Standards.

Adjusted pre-stress amounts of deferred tax liabilities must be increased by the value of tax effects associated with liability adjustments. This reporting approach is consistent with LRS 112.

For stress scenario amount, this includes tax liabilities arising from the application of the asset risk stresses.

Derivative financial instruments (assets)

(Items subject to Asset Risk Charge type)

This is the value of all open derivative positions reported as assets.

Derivative financial instruments (liabilities)

(Items subject to Asset Risk Charge type)

This is the value of all open derivatives positions reported as liabilities.

Discretionary component of adjusted policy liabilities (net of reinsurance)

(Items subject to Asset Risk Charge type)

This is the amount by which the adjusted policy liabilities would reduce if:

• future bonuses and discretionary additions were set to zero;
• policy owner retained profits, investment fluctuation reserves and unallocated surplus were set to zero; and
• surrender values were reduced to minimum termination values (or contractual minimum surrender values if greater).

Dividend yield used in determination of equity stress (%) percent

(Yields used in stress scenarios type)

This is the dividend yield of the ASX 200 index used in determining the reduction in equity asset values under the equity stress scenario.

Earnings yield used in determination of property stress percent

(Yields used in stress scenarios type)

This is the average earnings yield before taxes used in determining the reduction in infrastructure asset values under the property stress scenario.

Equity stress

(Stress scenario type)

This is the impact on the fund's capital base of a fall in equity and other asset values and is calculated in accordance with LPS 114.

This stress applies to both listed and unlisted equity assets and to any other assets that are not considered in other asset risk stresses. This stress also includes an increase to equity volatility.

Expected inflation downwards stress

(Stress scenario type)

Expected inflation stress measures the impact on the fund's capital base of downward changes to expected Consumer Price Index inflation rates. It also affects nominal interest rates.

This item reports the impact on the capital base of the fund arising from the application of the downward expected inflation stress and is calculated in accordance with LPS 114.

Expected inflation upwards stress

(Stress scenario type)

Expected inflation stress measures the impact on the fund's capital base of upward changes to expected Consumer Price Index inflation rates. It also affects nominal interest rates.

This item reports the impact on the capital base of the fund arising from the application of the upward expected inflation stress and is calculated in accordance with LPS 114.

Impact of diversification

This item must be calculated as the sum of the risk charge components used in calculating the aggregated risk charge component, less the aggregated risk charge component as set out in LPS 114.

Impact on capital base

This shows the impact on the capital base of each asset risk stress scenario as set out in LPS 114.

This item is calculated for each stress scenario type as the sum of:

• assets not supporting investment-linked liabilities;
• liabilities excluding adjusted policy liabilities;
• adjusted policy liabilities (net of reinsurance) - exclude discretionary component;
• discretionary component of adjusted policy liabilities (net of reinsurance);
• off-balance sheet exposures;
• seed capital; and
• Tier 2 Capital.

Indexed interest-bearing securities

(Items subject to Asset Risk Charge type)

This is the amount of all interest-bearing securities held that are indexed.

Investment property

(Items subject to Asset Risk Charge type)

This is the amount of the investment property assets which includes properties acquired or held which is available for sale as well as infrastructure assets, after allowance for accumulated depreciation.

Owner-occupied property should be reported as other non-investment assets.

Liabilities excluding adjusted policy liabilities

This is the value of liabilities of the fund and is calculated as the sum of:

• current tax liabilities;
• deferred tax liabilities;
• derivative financial instruments (liabilities);
• subordinated debt;
• claims payable;
• reinsurance premiums payable;
• other accounts payables; and
• other liabilities.

This does not include any amount recognised as Tier 2 Capital and seed capital.

Liability adjustments

This is the difference between the adjusted policy liabilities determined in accordance with LPS 112 and net life contract liabilities after adjusting for accounts receivable and accounts payable. This item includes any tax effects.

Net life contract liabilities is the sum of the insurance, reinsurance and investment contract liabilities (net of insurance and reinsurance assets) disclosed in the statutory accounts.

Life company fund

This means the type of life company fund. Possible types are:

• statutory fund;
• shareholder fund;
• benefit fund; and
• management fund.

Listed equities

(Items subject to Asset Risk Charge type)

This is the value of equity interests in companies listed on the ASX or overseas exchange, after allowance for look-through (if applicable).

This also includes equities held within Australia and overseas, which are not treated differently for the purpose of determining Asset Risk Charge.

Loans

(Items subject to Asset Risk Charge type)

This is the value of loans. Loans include financial leases and mortgages, and are typically non-negotiable on the secondary market.

Non-indexed interest-bearing securities

(Items subject to Asset Risk Charge type)

This is the amount of all interest-bearing securities held that are not indexed.

Off-balance sheet exposures

This is the value of off-balance sheet exposures that are subject to the Asset Risk Charge. This is calculated as the sum of:

• total off-balance sheet assets; and
• total off-balance sheet liabilities.

Other accounts payable

This is the amount related to other amounts due but not yet paid which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17. This may include (but is not limited to) rebates, fees and commissions.

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with other accounts payable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Other accounts receivable

This is the amount related to other amounts due but not yet received which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17.  This may include (but is not limited to) rebates, fees and commissions.

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with other accounts receivable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Other investment assets (exclude derivative financial instruments)

(Items subject to Asset Risk Charge type)

This is the value of all other investment assets not specifically categorised as:

• cash;
• investment property;
• listed equities;
• unlisted equities;
• non-indexed interest-bearing securities;
• indexed interest-bearing securities; or
• loans.

Other liabilities

(Items subject to Asset Risk Charge type)

This consists of all liabilities excluding adjusted policy liabilities not specifically categorised as:

• current tax liabilities;
• deferred tax liabilities;
• derivative financial instruments (liabilities);
• subordinated debt;
• claims payable;
• reinsurance premiums payable; or
• other accounts payables.

Other non-investment assets

(Items subject to Asset Risk Charge type)

This is the value of all non-investment assets not categorised as:

• current tax assets;
• deferred tax assets;
• derivative financial instruments (assets);
• premiums receivable;
• reinsurance recoveries receivable; or
• other accounts receivable.

Premiums receivable

(Items subject to Asset Risk Charge type)

This is the amount related to insurance premiums due but not yet received which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17.

Premiums should be gross of reinsurance and commissions, before profit share rebates, and inclusive of stamp duty, policy fees, loadings and discounts. This definition is consistent with the definition of premium defined in Reporting Standard LRS 750 Claims and Disputes (LRS 750.0). Life companies may use approximate methods to report this item if premiums which meet the outlined definition are not readily available (corresponding adjustments also need to be made in other accounts receivable or other accounts payable).

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with premiums receivable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Property stress

(Stress scenario type)

This is the impact on a fund's capital base of changes in property and infrastructure asset values and is calculated in accordance with LPS 114.

Real interest rates downwards stress

(Stress scenario type)

Real interest rates stress measures the impact on a fund's capital base of downward changes in real interest rates. It also affects nominal interest rates.

This item is calculated in accordance with LPS 114.

Real interest rates upwards stress

(Stress scenario type)

Real interest rates stress measures the impact on a fund's capital base of upward changes in real interest rates. It also affects nominal interest rates.

This item is calculated in accordance with LPS 114.

Reinsurance premiums payable

This is the amount related to reinsurance premiums due but not yet paid which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17.

Premiums should be gross of commissions, before profit share rebates, and inclusive of stamp duty, policy fees, loadings and discounts. This definition is consistent with the definition of premium defined in LRS 750.0. Life companies may use approximate methods to report this item if premiums which meet the outlined definition are not readily available (corresponding adjustments also need to be made in other accounts receivable or other accounts payable).

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with reinsurance premiums payable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Reinsurance recoveries receivable

(Items subject to Asset Risk Charge type)

This is the amount related to reinsurance recoveries due but not yet received which has been recognised within insurance and reinsurance contract liabilities and assets reported on the balance sheet under AASB 17.

Life companies must exclude any amount already allowed in adjusted policy liabilities to avoid double counting.

This amount must be consistent with reinsurance recoveries receivable reported in LRS 112.0 as a component of liability adjustment (gross of tax effect).

This item must not be reported as a component of other asset and liability items including adjusted policy liability related items reported in this Reporting Standard.

Rental yield used in determination of property stress percent

(Yields used in stress scenarios type)

This is the average rental yield for the property assets based on current leases and net of expenses.

Risk charge components

This item is calculated for each stress scenario type as the greater of zero and the impact on capital base amount.

If the impact on capital base is less than zero then the risk charge component is equal to the absolute value of the impact on capital base.

If the impact on capital base is greater than zero then the risk charge component is zero.

Seed capital

(Items subject to Asset Risk Charge type)

This is the value of seed capital that has been transferred from the management fund of a friendly society to its benefit fund.

Stress scenario amount

This the contribution of the relevant items towards the change in capital base under stress scenario type.

Specifications of the stresses are determined in accordance with LPS 114.

Stress scenario type

This consists of the stress scenarios that must be applied to individual items subject to Asset Risk Charge type under LPS 114. The scenarios are:

• real interest rates upwards stress;
• real interest rates downwards stress;
• expected inflation upwards stress;
• expected inflation downwards stress;
• currency upwards stress;
• currency downwards stress;
• equity stress;
• property stress;
• credit spreads stress; and
• default stress.

Subordinated debt

(Items subject to Asset Risk Charge type)

This is the value of the subordinated debt that has been issued by the fund.

This must exclude any subordinated debt recognised as Tier 2 Capital. This amount must be reported under Tier 2 Capital.

Tier 2 Capital

Tier 2 Capital includes components of capital that, to varying degrees, fall short of the quality of Tier 1 Capital but nonetheless contribute to the overall strength of the fund and its capacity to absorb losses.

Total off-balance sheet assets

This is the impact on capital base from the changes in off-balance sheet assets under the respective asset risk stress scenarios, to the extent that the off-balance sheet assets affect the on-balance sheet assets and liabilities.

Total off-balance sheet liabilities

This is the impact on capital base from the changes in off-balance sheet liabilities under the respective asset risk stress scenarios, to the extent that the off-balance sheet assets affect the on-balance sheet assets and liabilities.

Unlisted equities

(Items subject to Asset Risk Charge type)

This is the value of equity interests in companies not listed on any stock exchange, after allowance for look-through (if applicable).

This also includes equities held within Australia and overseas, which are not treated differently for the purpose of determining Asset Risk Charge.

1

Life Company Fund Type

• Statutory fund
• Shareholder fund
• Benefit fund
• Management fund

Report life company fund.

2

Life Company Fund Name

Free text

Report the name of life company fund.

3

Items Subject to Asset Risk Charge Type

AASB balance sheet-related - Assets supporting investment-linked liabilities:

• Assets supporting investment-linked liabilities

AASB balance sheet-related - Assets not supporting investment-linked liabilities:

• Cash
• Investment property
• Listed equities
• Unlisted equities
• Non-indexed interest-bearing securities
• Indexed interest-bearing securities
• Loans
• Other investment assets (exclude derivative financial instruments)
• Current tax assets
• Deferred tax assets
• Derivative financial instruments (assets)
• Premiums receivable
• Reinsurance recoveries receivable
• Other accounts receivable
• Other non-investment assets

Other asset items related to Asset Risk Charge:

• Adjusted policy liabilities ceded (reinsurance assets)
• Assets deducted from capital base
• Assets subject to Asset Concentration Risk Charge

AASB balance sheet-related – Liabilities excluding adjusted policy liabilities:

• Current tax liabilities
• Deferred tax liabilities
• Derivative financial instruments (liabilities)
• Subordinated debt
• Claims payable
• Reinsurance premiums payable
• Other accounts payable
• Other liabilities

LPS 112 adjusted policy liabilities:

• Adjusted policy liabilities (net of reinsurance) - exclude discretionary component
• Discretionary component of adjusted policy liabilities (net of reinsurance)

Tier 2 capital and seed capital:

• Tier 2 Capital
• Seed capital

Report the items subject to Asset Risk Charge type.

4

Adjusted Pre-Stress Amount

Whole dollars

Report adjusted pre-stress amounts.

1

Life Company Fund Type

• Statutory fund
• Shareholder fund
• Benefit fund
• Management fund

Report life company fund.

2

Life Company Fund Name

Free text

Report the name of life company fund.

3

Items Subject to Asset Risk Charge Type

AASB balance sheet-related - Assets not supporting investment-linked liabilities:

• Cash
• Investment property
• Listed equities
• Unlisted equities
• Non-indexed interest-bearing securities
• Indexed interest-bearing securities
• Loans
• Other investment assets (exclude derivative financial instruments)
• Current tax assets
• Deferred tax assets
• Derivative financial instruments (assets)
• Premiums receivable
• Reinsurance recoveries receivable
• Other accounts receivable
• Other non-investment assets

Other asset items related to Asset Risk Charge:

• Adjusted policy liabilities ceded (reinsurance assets)

AASB balance sheet-related – Liabilities excluding adjusted policy liabilities:

• Current tax liabilities
• Deferred tax liabilities
• Derivative financial instruments (liabilities)
• Subordinated debt
• Claims payable
• Reinsurance premiums payable
• Other accounts payables
• Other liabilities

LPS 112 adjusted policy liabilities:

• Adjusted policy liabilities (net of reinsurance) - exclude discretionary component
• Discretionary component of adjusted policy liabilities (net of reinsurance)

Tier 2 capital and seed capital:

• Tier 2 Capital
• Seed capital

Off balance sheet exposures:

• Total off-balance sheet assets
• Total off-balance sheet liabilities

Report the items subject to Asset Risk Charge type.

4

Stress Scenario Type

• Real interest rates upwards stress
• Real interest rates downwards stress
• Expected inflation upwards stress
• Expected inflation downwards stress
• Currency upwards stress
• Currency downwards stress
• Equity stress
• Property stress
• Credit spreads stress
• Default stress

Report stress scenario type.

Default stress must be assigned to adjusted policy liabilities (net of reinsurance) - exclude discretionary component.

5

Stress Scenario Amount

Whole dollars

Report stress scenario amount, the contribution of the relevant items towards the change in capital base under the scenario considered. 

A negative number indicates a reduction in the capital base. Report negative values for decreases to assets and increases to liabilities.

Report positive values for increases to assets and decreases to liabilities.

If there are items subject to Asset Risk Charge type not impacted by stress scenario type, report nil.

For adjusted policy liabilities ceded (reinsurance assets), only report the impact of default stress.

For default stress relating to reinsurance assets, report it under adjusted policy liabilities ceded (reinsurance assets) and not under adjusted policy liabilities (net of reinsurance) - exclude discretionary component.

1

Life Company Fund Type

• Statutory fund
• Shareholder fund
• Benefit fund
• Management fund

Report life company fund.

2

Life Company Fund Name

Free text

Report the name of life company fund.

3

Assets Subject To Credit Spreads Stress Type

• Bonds & other non-securitised assets
• Structured / securitised assets
• Re-securitised assets

Report assets subject to credit spreads stress type.

4

Counterparty Grade Type

• Grade 1 (Government)
• Grade 1 (Other)
• Grade 2
• Grade 3
• Grade 4
• Grade 5
• Grade 6
• Grade 7

Report counterparty grade type.

5

Credit Spread Fair Value Amount

Whole dollars

Report credit spread fair value amount.

6

Credit Spread Stressed Amount

Whole dollars

Report credit spread stressed amount.

1

Life Company Fund Type

• Statutory fund
• Shareholder fund
• Benefit fund
• Management fund

Report life company fund.

2

Life Company Fund Name

Free text

Report the name of life company fund.

3

Dividend Yield Used In Determination Of Equity Stress Percent

Percentage

Report dividend yield used in determination of equity stress percent.

This item is only required if the risk charge component for the equity stress is greater than zero.

4

Rental Yield Used In Determination Of Property Stress Percent

Percentage

Report rental yield used in determination of property stress percent.

This item is only required if the risk charge component for the property stress is greater than zero.

If rental yields and falls in value have been determined separately for each property asset, an estimate of the average rental yield should be entered for this item.

5

Earnings Yield Used In Determination Of Property Stress Percent

Percentage

Report earnings yield used in determination of property stress percent.

This item is only required if the risk charge component for the property stress is greater than zero due to infrastructure assets.