Document ID: chunk:federal_register_of_legislation:F2023L00570:front:0:p6
Version: federal_register_of_legislation:F2023L00570
Segment Type: other
Provision Reference: 
Character Range: 13427–16502

items that have been treated on a look-through basis for the purpose of GPS 114, report the effective underlying exposures after adjustments for look-through as well as their resultant impacts on capital base respectively.

Derivative treatment

All items should be reported gross of impacts from derivatives. Report the fair value of open derivative positions under derivatives (liabilities) and derivatives (assets).

Assets subject to stress

Exclude from the calculation of Asset Risk Charge all components of assets that are either:

     * deducted from total assets for the purpose of determining the capital base; or
     * subject to the Asset Concentration Risk Charge.

Include investment receivable with the asset that generated the income.

Asset stress scenario

Level 2 insurance groups are not required to report the components of impact on capital base for asset stress scenarios where it is determined that those scenarios would improve the capital base (i.e. result in a zero-risk charge component) as at the end of the relevant reporting period.

Level 2 insurance groups must report all asset stress scenarios that would give rise to a positive risk charge component.

Tax benefit

Unlike Level 1 insurers, Level 2 insurance groups can rely on tax benefits of other entities within the Level 2 insurance group. However, a Level 2 insurance group cannot recognise tax benefits whose value is contingent on the tax benefits being used by entities outside the Level 2 insurance group.

Currency stress

Level 2 insurance groups must make all consolidation adjustments for intra-group arrangements before applying the currency stress.

Default stress

Level 2 insurance groups must make all consolidation adjustments for intra-group arrangements before applying the default stress.

International business

A Level 2 insurance group may use a best endeavours basis to determine the identification of asset or counterparty exposures for international business. The best endeavours basis must use information held by entities within the Level 2 insurance group, or otherwise publicly available information, in a manner consistent with the group's documented credit risk management policies.

A Level 2 insurance group may use accounting records to derive values for the following data items for international business (subject to meeting Prudential Standard GPS 340 Insurance Liability Valuation (GPS 340) requirements):
    * Reinsurance recoverables on outstanding claims;
    * Expected reinsurance recoveries;
    * Other reinsurance assets;
    * GPS 340 net outstanding claims liabilities; and
    * GPS 340 net premium liabilities.
The Level 2 insurance group must remove regulatory receivables and payables from the accounting records and separately report these data items. The Level 2 insurance group may use a best endeavours basis for the removal.

Definitions

Terms in bold italics are defined in this Definitions section of these instructions.

A
Adjusted pre-stress amount                        This is the value of relevant