Document ID: chunk:federal_register_of_legislation:F2015L00579:body:0:p4
Version: federal_register_of_legislation:F2015L00579
Segment Type: other
Provision Reference: 
Character Range: 8247–11217

of the entity; and

       reporting period means a reporting period under subparagraph 8(a) or 8(b) or, if applicable, paragraph 9.

        LRF_117_0 Asset Concentration Risk Charge

These instructions must be read in conjunction with the general instruction guide.

Explanatory notes

Reporting materiality

Where the Appointed Actuary is of the view that asset concentration limits associated with the value of assets of the fund (VAF) determined for reinsurance asset exposures, are not relevant for reporting the asset exposures in the fund, the life company is not required to report the VAF. As an example, exposures in the fund may be significantly diversified such that they would be substantially under the limit expressed in terms of VAF. In these circumstances, the reporting of VAF used for asset concentration limits of reinsurance assets is optional.

However, there must be periodic assessments (no less frequent than once a year) in place so that the VAF is calculated and reported to APRA.

The stressed value of reinsurance assets for each reinsurance counterparty must be reported to APRA in Section 2 at the same time as the VAF used for asset concentration limits for reinsurance assets in Item 1.2. At other times the reporting of stressed reinsurance assets is optional if their value is below the Asset Concentration Risk Charge limit.

Instructions for specific items

    1.1.      VAF used for concentration limits of non-reinsurance assets

This is the value of the assets of the fund determined for the purpose of calculating asset concentration limits for non-reinsurance asset exposures in the fund. This must be equal to the total assets as reported in LRF 300.1 Statement of Financial Position (SF and SF Eliminations) (LRF 300.1).

    1.2.      VAF used for concentration limits for reinsurance assets

This is the adjusted value of the assets of the fund determined for the purpose of calculating asset concentration limits for reinsurance asset exposures in the fund.

This is calculated automatically as item 1.2.1 less item 1.2.2 plus item 1.2.3 less item 1.2.4.

     1.2.1.      LRF 300: Total assets

This is the total asset of the fund as reported in LRF 300.1.

     1.2.2.      Less: Gross policy liabilities ceded under reinsurance

This is the value of the gross policy liabilities expected to be recovered through reinsurance. The reported amount must be consistent with the reinsurance assets reported under LRF 300.1.

Where the reinsurance asset is a positive amount, the amount should be reported with a positive sign.

     1.2.3.      Stressed policy liabilities gross of reinsurance

This is the total value of stressed policy liabilities determined in accordance with Prudential Standard LPS 115 Capital Adequacy: Insurance Risk Charge (LPS 115), but gross of all expected reinsurance recoveries.

     1.2.4.      Less: Stressed policy liabilities net of reinsurance

This represents the total