Life Insurance Asset Account - Excel

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Life Insurance Asset Account - Excel Powered By Docstoc
					       A                                               B                                     C                                                           D

1    Life Insurance Quantitative Impact Study - DRAFT VERSION
2
3
4                Preliminary Information
 5
 6               Institution Name
 7               Scale Factor                                                                      Thousands of dollars (or percentage where relevant)
 8               Reporting Period
 9               Statutory Fund
10               Investment-Linked Statutory Fund
11
12
13               Capital Summary
14
15         1.0 Capital Base                                                                                                0
16
17
18         2.0 Prescribed Capital Amount
19
20         2.1 Correlation Factor                                                                                       50%
21
22         2.2   Insurance Risk Capital Charge                                                                             0
23         2.3   Asset Risk Capital Charge                                                                                 0
24         2.4   Asset Concentration Risk Charge                                                                           0
25         2.5   Operational Risk Capital Charge                                                                           0
26
27         2.6 Less: Aggregation Benefit                                                                                   0
28
29         2.7 Less: Tax Adjustments
30         2.8 Additional Capital Charge for Discretionary Business
31
32         2.9 Prescribed Capital Amount                                                                                   0
33
34
35         3.0 Surplus Assets                                                                                              0
36

37         4.0 Operational Risk Capital Charge held in Friendly Society's Management Fund
38
39
40               Worksheet Formatting Notes
41
42               Cell description                                                                                   Example
43
44               Data input required from insurer                                                                      1,000
45
46               Intermediate calculation peformed by spreadsheet                                                      1,000
47
48               High level output calculated by spreadsheet                                                           1,000
49
50               Parameter specified by APRA                                                                            50%
51
52               Cell is to be ignored                                                      #N/A
53
54
          A                                               B                                  C                                                           D                      E

  1   Capital Base - DRAFT VERSION
  2
  3
 4                  Preliminary Information
 5
 6                  Institution Name                                                                                       0
 7                  Scale Factor                                                                 Thousands of dollars (or percentage where relevant)
 8                  Reporting Period                                                                                  1/0/1900
 9                  Statutory Fund                                                                                         0
 10                 Investment-Linked Statutory Fund                                                                       0
 11
 12
 13           1.0 Total Assets
 14
 15                                                                                  Australian Business                                          Overseas Business       Total Business
 16           1.1 Total Gross Assets (including gross policy liabilities ceded)                                                                                                             0
 17           1.2 Less : Gross policy liabilities ceded                                                                                                                                     0
 18           1.3 Total Assets (net of reinsurance)                                                                            0                                      0                     0
 19
 20
 21           2.0 Total Liabilities
 22
 23                                                                                  Australian Business                                          Overseas Business       Total Business
 24           2.1   Gross Policy Liabilities                                                                                                                                                0
 25           2.2   Policy Owners Retained Profits                                                                                                                                          0
 26           2.3   Non-Policy Liabilities                                                                                                                                                  0
 27           2.4   Less : Gross policy liabilities ceded                                                                      0                                      0                     0
 28           2.5   Total Liabilities (net of reinsurance)                                                                     0                                      0                     0
 29
 30
 31           3.0 Life Insurance Act Net Assets                                                                                0                                      0                     0
 32
 33
 34           4.0 Inadmissible Assets
 35                                                                                    Total Business
 36           4.1   Goodwill and Other Intangible Assets
 37           4.2   Deferred Tax Assets Net of Deferred Tax Liabilities
 38           4.3   Defined Benefit Superannuation Fund Surplus
 39           4.4   Holdings in Joint Ventures, Associated and Subsidiary Entities
 40           4.5   Alignment to Fair Value
 41           4.6   Other Inadmissible Assets
 42
 43           4.7 Total Inadmissible Assets                                                                                    0




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          A                                           B                                    C                                        D                       E                            F                      G                    H                    I

 46           5.0 Policy Liabilities plus Policy Owners Retained Profits - Detail
 47                                                                                                     Australian Business                                      Overseas Business                                  Total Business
 48                                                                                 Gross Reinsurance                         Net Reinsurance       Gross Reinsurance         Net Reinsurance           Gross Reinsurance      Net Reinsurance
 49               F1 - Education                                                                                                                                                                                           0                   0
 50               F2 - Investment Account                                                                                                                                                                                  0                   0
 51               F3 - Annuity & Superannuation                                                                                                                                                                            0                   0
 52               F4 - Risk                                                                                                                                                                                                0                   0
 53               F5 - Prepaid Funeral                                                                                                                                                                                     0                   0
 54               F6 - Investment Linked                                                                                                                                                                                   0                   0
 55               L1 - Conventional Participating                                                                                                                                                                          0                   0
 56               L2 - Participating Investment Account                                                                                                                                                                    0                   0
 57               L3 - Annuity with Longevity Risk                                                                                                                                                                         0                   0
 58               L4S - Individual Lump Sum Risk - Stepped Premium                                                                                                                                                         0                   0
 59               L4L - Individual Lump Sum Risk - Level Premium                                                                                                                                                           0                   0
 60               L5S - Individual Disability Income Insurance - Stepped Premium                                                                                                                                           0                   0
 61               L5L - Individual Disability Income Insurance - Level Premium                                                                                                                                             0                   0
 62               L6 - Group Lump Sum Risk                                                                                                                                                                                 0                   0
 63               L7 - Group Disability Income Insurance                                                                                                                                                                   0                   0
 64               L8 - Non-participating Investment Policy                                                                                                                                                                 0                   0
 65               L9 - Annuity without Longevity Risk                                                                                                                                                                      0                   0
 66               L10 - Other                                                                                                                                                                                              0                   0
 67
 68           5.1 Total                                                                                              0                          0                       0                           0                     0                   0
 69                                                                                                                                                                         Validation Check (=0)                         0
 70
 71
 72           6.0 Adjusted Policy Liabilities
 73                                                                                                     Australian Business                                      Overseas Business                                  Total Business
                                                                                                                                                                                                                                                   6.1 RFBEL > BETV
 74                                                                                 Gross Reinsurance                         Net Reinsurance       Gross Reinsurance         Net Reinsurance           Gross Reinsurance      Net Reinsurance
 75               F1 - Education                                                                                                                                                                                           0                   0
 76               F2 - Investment Account                                                                                                                                                                                  0                   0
 77               F3 - Annuity & Superannuation                                                                                                                                                                            0                   0
 78               F4 - Risk                                                                                                                                                                                                0                   0
 79               F5 - Prepaid Funeral                                                                                                                                                                                     0                   0
 80               F6 - Investment Linked                                                                                                                                                                                   0                   0
 81               L1 - Conventional Participating                                                                                                                                                                          0                   0
 82               L2 - Participating Investment Account                                                                                                                                                                    0                   0
 83               L3 - Annuity with Longevity Risk                                                                                                                                                                         0                   0
 84               L4S - Individual Lump Sum Risk - Stepped Premium                                                                                                                                                         0                   0
 85               L4L - Individual Lump Sum Risk - Level Premium                                                                                                                                                           0                   0
 86               L5S - Individual Disability Income Insurance - Stepped Premium                                                                                                                                           0                   0
 87               L5L - Individual Disability Income Insurance - Level Premium                                                                                                                                             0                   0
 88               L6 - Group Lump Sum Risk                                                                                                                                                                                 0                   0
 89               L7 - Group Disability Income Insurance                                                                                                                                                                   0                   0
 90               L8 - Non-participating Investment Policy                                                                                                                                                                 0                   0
 91               L9 - Annuity without Longevity Risk                                                                                                                                                                      0                   0
 92               L10 - Other                                                                                                                                                                                              0                   0
 93
 94           6.2 Total                                                                                              0                          0                       0                           0                     0                   0




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          A                                              B                                          C              D   E
 97           7.0 Adjusted Non-Policy Liabilities
 98                                                                                           Total Business
                  Non-Policy Liabilities (excluding eligible approved subordinated debt and
 99           7.1 seed capital)
                  Adjusted Non-Policy Liabilities (excluding eligible approved
 100          7.2 subordinated debt and seed capital)
 101
 102
 103          8.0 Total Adjusted Liabilities and Inadmissible Assets                                           0
 104
 105
 106          9.0 Capital Base                                                                                 0




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        A                                      B                                            C                                        D                       E                            F                              G                                H                  I

  1   Insurance Risk Capital Charge - DRAFT VERSION
  2
  3
  4          Preliminary Information
  5
  6         Institution Name                                                                                  0
  7         Scale Factor                                                            Thousands of dollars (or percentage where relevant)
  8         Reporting Period                                                                              1/0/1900
  9         Statutory Fund                                                                                    0
 10         Investment-Linked Statutory Fund                                                                  0
 11
 12
 13     1.0 Margins - Before Diversification
 14
 15     1.1 Assumptions                                                                      1.1 Liability future stress (%)                                1.2 Liability random stress (%)                                 1.3 Liability event stress (%)
 16                                                                              1.1.1 Gross Reinsurance                  1.1.2 Net Reinsurance   1.2.1 Gross Reinsurance        1.2.2 Net Reinsurance        1.3.1 Gross Reinsurance            1.3.2 Net Reinsurance
 17         Insured lives mortality
 18         TPD incidence rates
 19         Trauma incidence rates
 20         Income Protection claims incidence rates
 21         Income Protection claims termination rates
 22         GSC claims incidence rates
 23         GSC claims termination rates
 24         Group Life mortality
 25         Group TPD incidence
 26
 27                                                                                     1.4 Termination value future stress (%)                         1.5 Termination value random stress (%)                        1.6 Termination value event stress (%)
 28                                                                              1.4.1 Gross Reinsurance               1.4.2 Net Reinsurance      1.5.1 Gross Reinsurance        1.5.2 Net Reinsurance        1.6.1 Gross Reinsurance          1.6.2 Net Reinsurance
 29         RBNA - Death
 30         RBNA - TPD
 31         RBNA - Trauma
 32         RBNA - Income Protection
 33         IBNR - Death
 34         IBNR - TPD
 35         IBNR - Trauma
 36         IBNR - Income protection
 37         CICP - Income Protection
 38
 39
 40     2.0 Diversification Factor
 41
 42
 43     2.1 Prescribed Correlation Matrix
 44                                                                                 Mortality - Future                     Mortality - Random        Mortality - Event            Morbidity - Future            Morbidity - Random                Morbidity - Event      Longevity
 45         Mortality - Future                                                           100%                                      0%                      0%                           50%                             0%                              0%                 -25%
 46         Mortality - Random                                                              0%                                    100%                     0%                            0%                             0%                              0%                  0%
 47         Mortality - Event                                                               0%                                     0%                     100%                           0%                             0%                              0%                  0%
 48         Morbidity - Future                                                             50%                                     0%                      0%                          100%                             0%                              0%                  0%
 49         Morbidity - Random                                                              0%                                     0%                      0%                            0%                           100%                              0%                  0%
 50         Morbidity - Event                                                               0%                                     0%                      0%                            0%                             0%                             100%                 0%
 51         Longevity                                                                     -25%                                     0%                      0%                            0%                             0%                              0%                 100%




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        A                                       B                                                    C                                    D                              E                              F                              G                              H                              I                         J              K
 53          Impacts of Stresses
 54
 55          Net Liabilities                                                                                                                                                                                                 2.3 Impacts of stresses
                                                                                 2.2 Net of Reinsurance Liabilities (before
             APRA Product Group
 56                                                                                              stresses)                     2.3.1 Mortality - Future       2.3.2 Mortality - Random       2.3.3 Mortality - Event        2.3.4 Morbidity - Future       2.3.5 Morbidity - Random       2.3.6 Morbidity - Event       2.3.7 Longevity
 57          F1 - Education
 58          F2 - Investment Account
 59          F3 - Annuity & Superannuation
 60          F4 - Risk
 61          F5 - Prepaid Funeral
 62          F6 - Investment Linked
 63          L1 - Conventional Participating
 64          L2 - Participating Investment Account
 65          L3 - Annuity with Longevity Risk
 66          L4S - Individual Lump Sum Risk - Stepped Premium
 67          L4L - Individual Lump Sum Risk - Level Premium
 68          L5S - Individual Disability Income Insurance - Stepped Premium
 69          L5L - Individual Disability Income Insurance - Level Premium
 70          L6 - Group Lump Sum Risk
 71          L7 - Group Disability Income Insurance
 72          L8 - Non-participating Investment Policy
 73          L9 - Annuity without Longevity Risk
 74          L10 - Other
 75          Total                                                                                                        0                               0                              0                             0                               0                              0                             0                     0
 76
 77
 78     2.4 Stress                                                                                Impacts
 79         Mortality - Future                                                                                            0
 80         Mortality - Random                                                                                            0
 81         Mortality - Event                                                                                             0
 82         Morbidity - Future                                                                                            0
 83         Morbidity - Random                                                                                            0
 84         Morbidity - Event                                                                                             0
 85         Longevity                                                                                                     0
 86         Total                                                                                                         0
 87
 88    2.4.1 Diversification Factor                                                                                  #DIV/0!
 89
 90
 91          Net Termination Values                                                                                                                                                                                          2.6 Impacts of stresses

             APRA Product Group                                                  2.5 Net of Reinsurance Termination Values
  92                                                                                           (before stresses)               2.6.1 Mortality - Future       2.6.2 Mortality - Random       2.6.3 Mortality - Event        2.6.4 Morbidity - Future       2.6.5 Morbidity - Random       2.6.6 Morbidity - Event       2.6.7 Longevity
  93         F1 - Education
  94         F2 - Investment Account
  95         F3 - Annuity & Superannuation
  96         F4 - Risk
  97         F5 - Prepaid Funeral
  98         F6 - Investment Linked
  99         L1 - Conventional Participating
 100         L2 - Participating Investment Account
 101         L3 - Annuity with Longevity Risk
 102         L4S - Individual Lump Sum Risk - Stepped Premium
 103         L4L - Individual Lump Sum Risk - Level Premium
 104         L5S - Individual Disability Income Insurance - Stepped Premium
 105         L5L - Individual Disability Income Insurance - Level Premium
 106         L6 - Group Lump Sum Risk
 107         L7 - Group Disability Income Insurance
 108         L8 - Non-participating Investment Policy
 109         L9 - Annuity without Longevity Risk
 110         L10 - Other
 111         Total                                                                                                        0                               0                              0                             0                               0                              0                             0                     0
 112
 113
 114    2.7 Stress                                                                                Impacts
 115        Mortality - Future                                                                                            0
 116        Mortality - Random                                                                                            0
 117        Mortality - Event                                                                                             0
 118        Morbidity - Future                                                                                            0
 119        Morbidity - Random                                                                                            0
 120        Morbidity - Event                                                                                             0
 121        Longevity                                                                                                     0
 122        Total                                                                                                         0
 123
 124   2.7.1 Diversification Factor                                                                                  #DIV/0!




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                     L                                                       M                                        N                                 O                            P                          Q                      R                        S                       T                      U              V
 55                                     Gross Liabilities                                                                                                                                                        2.9 Impacts of stresses
                                                                                                          2.8 Gross of Reinsurance                                           2.9.2 Mortality -                                  2.9.4 Morbidity -       2.9.5 Morbidity -       2.9.6 Morbidity -
                                        APRA Product Group
 56                                                                                                      Liabilities (before stresses)       2.9.1 Mortality - Future            Random              2.9.3 Mortality - Event         Future                 Random                    Event             2.9.7 Longevity
 57                                     F1 - Education
 58                                     F2 - Investment Account
 59                                     F3 - Annuity & Superannuation
 60                                     F4 - Risk
 61                                     F5 - Prepaid Funeral
 62                                     F6 - Investment Linked
 63                                     L1 - Conventional Participating
 64                                     L2 - Participating Investment Account
 65                                     L3 - Annuity with Longevity Risk
 66                                     L4S - Individual Lump Sum Risk - Stepped Premium
 67                                     L4L - Individual Lump Sum Risk - Level Premium
 68                                     L5S - Individual Disability Income Insurance - Stepped Premium
 69                                     L5L - Individual Disability Income Insurance - Level Premium
 70                                     L6 - Group Lump Sum Risk
 71                                     L7 - Group Disability Income Insurance
 72                                     L8 - Non-participating Investment Policy
 73                                     L9 - Annuity without Longevity Risk
 74                                     L10 - Other
 75                                     Total                                                                                            0                               0                       0                         0                        0                       0                       0                     0
 76
 77
 78                              2.10 Stress                                                                       Impacts
 79                                   Mortality - Future                                                                                 0
 80                                   Mortality - Random                                                                                 0
 81                                   Mortality - Event                                                                                  0
 82                                   Morbidity - Future                                                                                 0
 83                                   Morbidity - Random                                                                                 0
 84                                   Morbidity - Event                                                                                  0
 85                                   Longevity                                                                                          0
 86                                   Total                                                                                              0
 87
 88                             2.10.1 Diversification Factor                                                                    #DIV/0!
 89
 90
 91                                     Gross Termination Values                                                                                                                                                 2.12 Impacts of stresses
                                                                                                          2.11 Gross of Reinsurance
                                        APRA Product Group                                               Termination Values (before                                          2.12.2 Mortality -                                 2.12.4 Morbidity -      2.12.5 Morbidity -      2.12.6 Morbidity -
  92                                                                                                              stresses)                  2.12.1 Mortality - Future           Random              2.12.3 Mortality - Event         Future                 Random                   Event             2.12.7 Longevity
  93                                    F1 - Education
  94                                    F2 - Investment Account
  95                                    F3 - Annuity & Superannuation
  96                                    F4 - Risk
  97                                    F5 - Prepaid Funeral
  98                                    F6 - Investment Linked
  99                                    L1 - Conventional Participating
 100                                    L2 - Participating Investment Account
 101                                    L3 - Annuity with Longevity Risk
 102                                    L4S - Individual Lump Sum Risk - Stepped Premium
 103                                    L4L - Individual Lump Sum Risk - Level Premium
 104                                    L5S - Individual Disability Income Insurance - Stepped Premium
 105                                    L5L - Individual Disability Income Insurance - Level Premium
 106                                    L6 - Group Lump Sum Risk
 107                                    L7 - Group Disability Income Insurance
 108                                    L8 - Non-participating Investment Policy
 109                                    L9 - Annuity without Longevity Risk
 110                                    L10 - Other
 111                                    Total                                                                                            0                               0                       0                         0                        0                       0                       0                     0
 112
 113
 114                              2.13 Stress                                                                      Impacts
 115                                   Mortality - Future                                                                                0
 116                                   Mortality - Random                                                                                0
 117                                   Mortality - Event                                                                                 0
 118                                   Morbidity - Future                                                                                0
 119                                   Morbidity - Random                                                                                0
 120                                   Morbidity - Event                                                                                 0
 121                                   Longevity                                                                                         0
 122                                   Total                                                                                             0
 123
 124                            2.13.1 Diversification Factor                                                                    #DIV/0!




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        A                                         B                                         C                                     D                             E                             F                              G                              H                         I                            J                             K                               L
 127    3.0 Insurance Risk Capital Charge
 128
 129         APRA Product Group                                                                 3.1 Adjusted Liabilities                                            3.2 Stressed Liabilities                                   3.3 Stressed Termination Values                            3.4 Prudent Liabilities                                  3.5 Insurance Risk Capital Charge
 130                                                                             3.1.1 Gross Reinsurance                 3.1.2 Net Reinsurance       3.2.1 Gross Reinsurance         3.2.2 Net Reinsurance        3.3.1 Gross Reinsurance          3.3.2 Net Reinsurance   3.4.1 Gross Reinsurance        3.4.2 Net Reinsurance       3.5.1 Gross Reinsurance           3.5.2 Net Reinsurance
 131         F1 - Education                                                                                      0                               0                                                                                                                                                  0                             0                             0                               0
 132         F2 - Investment Account                                                                             0                               0                                                                                                                                                  0                             0                             0                               0
 133         F3 - Annuity & Superannuation                                                                       0                               0                                                                                                                                                  0                             0                             0                               0
 134         F4 - Risk                                                                                           0                               0                                                                                                                                                  0                             0                             0                               0
 135         F5 - Prepaid Funeral                                                                                0                               0                                                                                                                                                  0                             0                             0                               0
 136         F6 - Investment Linked                                                                              0                               0                                                                                                                                                  0                             0                             0                               0
 137         L1 - Conventional Participating                                                                     0                               0                                                                                                                                                  0                             0                             0                               0
 138         L2 - Participating Investment Account                                                               0                               0                                                                                                                                                  0                             0                             0                               0
 139         L3 - Annuity with Longevity Risk                                                                    0                               0                                                                                                                                                  0                             0                             0                               0
 140         L4S - Individual Lump Sum Risk - Stepped Premium                                                    0                               0                                                                                                                                                  0                             0                             0                               0
 141         L4L - Individual Lump Sum Risk - Level Premium                                                      0                               0                                                                                                                                                  0                             0                             0                               0
 142         L5S - Individual Disability Income Insurance - Stepped Premium                                      0                               0                                                                                                                                                  0                             0                             0                               0
 143         L5L - Individual Disability Income Insurance - Level Premium                                        0                               0                                                                                                                                                  0                             0                             0                               0
 144         L6 - Group Lump Sum Risk                                                                            0                               0                                                                                                                                                  0                             0                             0                               0
 145         L7 - Group Disability Income Insurance                                                              0                               0                                                                                                                                                  0                             0                             0                               0
 146         L8 - Non-participating Investment Policy                                                            0                               0                                                                                                                                                  0                             0                             0                               0
 147         L9 - Annuity without Longevity Risk                                                                 0                               0                                                                                                                                                  0                             0                             0                               0
 148         L10 - Other                                                                                         0                               0                                                                                                                                                  0                             0                             0                               0
 149                                                                                                                                                                                                                                                                                                0                             0
 150    3.6 Total Insurance Risk Capital Charge                                                                                                                                                                                                                                                                                                                0                                0




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                    N                                 O
 127
 128                      Reconciliation purposes
 129 Lapse and Expense Stresses (net Diversified Combined Stresses (net
 130          reinsurance)                      reinsurance)
 131             #DIV/0!                           #DIV/0!
 132             #DIV/0!                           #DIV/0!
 133             #DIV/0!                           #DIV/0!
 134             #DIV/0!                           #DIV/0!
 135             #DIV/0!                           #DIV/0!
 136             #DIV/0!                           #DIV/0!
 137             #DIV/0!                           #DIV/0!
 138             #DIV/0!                           #DIV/0!
 139             #DIV/0!                           #DIV/0!
 140             #DIV/0!                           #DIV/0!
 141             #DIV/0!                           #DIV/0!
 142             #DIV/0!                           #DIV/0!
 143             #DIV/0!                           #DIV/0!
 144             #DIV/0!                           #DIV/0!
 145             #DIV/0!                           #DIV/0!
 146             #DIV/0!                           #DIV/0!
 147             #DIV/0!                           #DIV/0!
 148             #DIV/0!                           #DIV/0!
 149
 150




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Asset Concentration Risk Capital Charge - DRAFT VERSION

         Preliminary Information
         Institution Name                                                               0
         Scale Factor                                               Thousands of dollars (or percentage where
         Reporting Period                                                           1/0/1900
         Statutory Fund                                                                 0
         Investment-Linked Statutory Fund                                               0


  1.0 Non-reinsurance Assets

   1.1 VASF (gross of reinsurance)                                                    0

   1.2   Individual non-reinsurance asset
   1.3   Counterparty grade
   1.4   Exposure
   1.5   Limit
   1.6   Excess over limit                                                            0                     0   0   0   0   0   0   0

  1.7 Non-reinsurance Asset Concentration Risk Charge                                 0


  2.0 Reinsurance Assets

   2.1 VASF (net of reinsurance plus stressed reinsurance assets)                     0

   2.2   Name of reinsurer/retrocessionaire
   2.3   Individual reinsurance asset
   2.4   Counterparty grade
   2.5   Exposure
   2.6   Limit
   2.7   Excess over limit                                                            0                     0   0   0   0   0   0   0

  2.8 Reinsurance Asset Concentration Risk Charge                                     0


  3.0 Asset Concentration Risk Charge                                                 0
0   0   0   0   0   0   0




0   0   0   0   0   0   0
        A                               B                                               C                                                      D                             E                                 F                                  G                                               H
  1   Asset Risk Capital Charge - DRAFT VERSION
  2
  3
  4          Preliminary Information
 5
 6           Institution Name                                                                                         0
 7           Scale Factor                                                                   Thousands of dollars (or percentage where relevant)
 8           Reporting Period                                                                                    1/0/1900
 9           Statutory Fund                                                                                           0
 10          Investment-Linked Statutory Fund                                                                         0
 11
 12
 13      1.0 Real Interest Rates
                                                                                                      1.1 Assets and liabilities affected                                                                                                          1.2 Change in value due to change in real yields
 14
 15                                                                                1.1.1 Value                                   1.1.2 Modified duration (years)                                                                               1.2.1 Up                                      1.2.2 Down
 16          Assets                                                                                                                                                                (Increase)/decrease in assets
 17          Liabilities                                                                                                                                                           Increase/(decrease) in liabilities
 18                                                                                                                                                                                Capital charge                                                                        0                                         0
 19
 20      2.0 Expected Inflation
                                                                                                      2.1 Assets and liabilities affected                                                                                                  2.2 Change in value due to change in CPI inflation expectations
 21
 22                                                                                2.1.1 Value                                   2.1.2 Modified duration (years)                                                                               2.2.1 Up                                      2.2.2 Down
 23          Assets                                                                                                                                                                (Increase)/decrease in assets
 24          Liabilities                                                                                                                                                           Increase/(decrease) in liabilities
 25                                                                                                                                                                                Capital charge                                                                        0                                         0
 26
 27      3.0 Currency
 28                                                                     3.1 Assets and liabilities affected                                                                                                                              3.2 Change in value due to change in Australian dollar exchange rate
 29                                                                                  Value                                                                                                                                                3.2.1 Appreciation                              3.2.2 Depreciation

             Assets and liabilities denominated in foreign currencies                                                                                                              All foreign currencies where AUD rise is adverse to
 30          for which AUD rise is adverse to capital base                                                                                                                         capital base
 31          Assets                                                                                                                                                                   (Increase)/decrease in assets                                                                             #N/A
 32          Liabilities                                                                                                                                                              Increase/(decrease) in liabilities                                                                        #N/A
 33

             Assets and liabilities denominated in foreign currencies                                                                                                              All foreign currencies where AUD fall is adverse to
 34          for which AUD fall is adverse to capital base                                                                                                                         capital base
 35          Assets                                                                                                                                                                   (Increase)/decrease in assets                             #N/A
 36          Liabilities                                                                                                                                                              Increase/(decrease) in liabilities                        #N/A
 37
 38                                                                                                                                                                                Capital charge                                                                        0                                         0
 39




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        A                                 B                                            C                     D             E                                F                                       G                                               H
 40      4.0 Volatility
 41                                                                    4.1 Assets and liabilities affected                                                                                     4.2 Change in value due to change in volatility assumptions
 42                                                                                 Value                                                                                                        4.2.1 Up                                        4.2.2 Down
                                                                                                                                 (Increase)/decrease in assets due to interest rate
 43          Assets affected by interest rate volatility                                                                         volatility
 44          Assets affected by equity volatility                                                                                (Increase)/decrease in assets due to equity volatiilty

 45          Assets affected by currency volatility                                                                              (Increase)/decrease in assets due to currency volatility
                                                                                                                                 Increase/(decrease) in liabilities due to interest rate
 46          Liabilities affected by interest rate volatility                                                                    volatility
                                                                                                                                 Increase/(decrease) in liabilities due to equity
 47          Liabilities affected by equity volatility                                                                           volatiilty
                                                                                                                                 Increase/(decrease) in liabilities due to currency
 48          Liabilities affected by currency volatility                                                                         volatility
 49                                                                                                                              Capital charge                                                                            0                                     0
 50
 51      5.0 Equity
 52                                                                    5.1 Assets and liabilities affected
 53                                                                                 Value                                                                                                   5.2 Change in value
 54          Listed equity assets                                                                                                Decrease in listed equity assets
 55          Other assets                                                                                                        Decrease in other assets
 56          Liabilities                                                                                                         (Decrease in liabilities)
 57                                                                                                                              Capital charge                                                                            0
 58
 59      6.0 Property
 60
 61                                                                    6.1 Assets and liabilities affected
 62                                                                                 Value                                                                                                   6.2 Change in value
 63          Property assets                                                                                                     Decrease in property assets
 64          Infrastructure assets                                                                                               Decrease in Infrastructure assets
 65          Liabilities                                                                                                         (Decrease in liabilities)
 66                                                                                                                              Capital charge                                                                            0
 67




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        A                               B                                              C                                                      D                              E                                 F                                    G                 H
 68      7.0 Credit Spreads
 69
 70                                                                                                  7.1 Assets and liabilities affected                                                                                                    7.2 Change in value
 71          Bonds & other non-securitised assets                                 7.1.1 Value                                    7.1.2 Modified duration (years)                   Bonds & other non-securitised assets
 72            Grade 1                                                                                                                                                               Grade 1
 73            Grade 2                                                                                                                                                               Grade 2
 74            Grade 3                                                                                                                                                               Grade 3
 75            Grade 4                                                                                                                                                               Grade 4
 76            Grade 5                                                                                                                                                               Grade 5
 77            Grade 6                                                                                                                                                               Grade 6
 78            Grade 7                                                                                                                                                               Grade 7
 79                                                                                                                                                                                Subtotal                                                                       0
 80
 81          Structured or securitised assets                                                                                                                                      Structured or securitised assets
 82             Grade 1                                                                                                                                                               Grade 1
 83             Grade 2                                                                                                                                                               Grade 2
 84             Grade 3                                                                                                                                                               Grade 3
 85             Grade 4                                                                                                                                                               Grade 4
 86             Grade 5                                                                                                                                                               Grade 5
 87             Grade 6                                                                                                                                                               Grade 6
 88             Grade 7                                                                                                                                                               Grade 7
 89                                                                                                                                                                                Subtotal                                                                       0
 90
 91          Liabilities                                                                                                                                                           (Decrease in liabilities)
 92
 93                                                                                                                                                                                Capital Charge                                                                 0
 94
 95      8.0 Default Risk
                                                                       8.1 Assets and liabilities affected
 96
 97                                                                                  Value                                                                                                                                                  8.2 Change in value
             Reinsurance assets, over the counter derivatives and                                                                                                                  Reinsurance assets, over the counter derivatives and
             other credit exposures not considered elsewhere in the                                                                                                                other credit exposures not considered elsewhere in the
  98         default module or the credit spreads module                                                                                                                           default module or the credit spreads module
  99            Grade 1                                                                                                                                                               Grade 1
 100            Grade 2                                                                                                                                                               Grade 2
 101            Grade 3                                                                                                                                                               Grade 3
 102            Grade 4                                                                                                                                                               Grade 4
 103            Grade 5                                                                                                                                                               Grade 5
 104            Grade 6                                                                                                                                                               Grade 6
 105            Grade 7                                                                                                                                                               Grade 7
 106                                                                                                                                                                               Subtotal                                                                       0
 107
 108         Other unsecured items                                                                                                                                                 Other unsecured items
 109         Loans to directors of the insurer                                                                                                                                     Loans to directors of the insurer
 110         Loans to directors of related bodies corporate                                                                                                                        Loans to directors of related bodies corporate
             Loans to a parent or related company that are not on                                                                                                                  Loans to a parent or related company that are not on
 111         commerical terms                                                                                                                                                      commerical terms
 112         Loans to employees exceeding $1,000                                                                                                                                   Loans to employees exceeding $1,000
 113         Unpaid premiums overdue less than 6 months                                                                                                                            Unpaid premiums overdue less than 6 months
 114         Other unpaid premiums                                                                                                                                                 Other unpaid premiums
 115                                                                                                                                                                               Subtotal                                                                       0
 116
 117         Liabilities                                                                                                                                                           (Decrease in liabilities)
 118
 119                                                                                                                                                                               Capital Charge                                                                 0
 120
 121
 122




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        A                                  B                                           C                                                D                                             E                                            F                                                  G                                         H
 123     9.0   Economic Assumptions
                                                                                                                               9.1 Australia                                                                                                              9.2 Foreign currency with largest liability exposure
 124
 125                        Yield curve (forward rates)              9.1.1 Risk free Interest Rate (% p.a.)         9.1.2 Expected CPI Inflation Rate (% p.a.)         9.1.3 Real Interest Rate (% p.a.)         9.2.1 Risk free Interest Rate (% p.a.)           9.2.2 Expected CPI Inflation Rate (% p.a.)     9.2.3 Real Interest Rate (% p.a.)
 126                                                         1
 127                                                         2
 128                                                         3
 129                                                         4
 130                                                         5
 131                                                         6
 132                                                         7
 133                                                         8
 134                                                         9
 135                                                        10
 136                                                        15
 137                                                        20
 138                                                        25
 139                                                        30
 140
 141
 142                                                                          9.3 Dividend Yield
 143           ASX 200 (% p.a.)
 144
 145                                                                           9.4 Rental Yield
 146           Property (% p.a.)
 147
 148
 149
 150    10.0   Correlation Matrix
 151
 152                                                                                  RIR                                              INF                                          CUR                                          VOL                                                EQY                                       PROP
 153           Direction                                                             down                                             down                                          down                                          up
 154           RIR                                                                                              1                                                0.2                                         0                                              0                                              0.2                                         0.2
 155           INF                                                                                            0.2                                                  1                                         0                                            0.2                                              0.4                                         0.4
 156           CUR                                                                                              0                                                  0                                         1                                            0.4                                              0.6                                         0.2
 157           VOL                                                                                              0                                                0.2                                       0.4                                              1                                              0.8                                         0.2
 158           EQY                                                                                            0.2                                                0.4                                       0.6                                            0.8                                                1                                         0.4
 159           PROP                                                                                           0.2                                                0.4                                       0.2                                            0.2                                              0.4                                           1
 160           CSP                                                                                            0.2                                                0.2                                       0.4                                            0.6                                              0.8                                         0.2
 161
 162
 163
 164    11.0   Asset Risk Capital Charge
 165
 166           Summary - by module                                                    Up                                             Down
 167           Real Interest Rates                                                                             0                                                  0
 168           Expected Inflation                                                                              0                                                  0
 169           Currency                                                                                        0                                                  0
 170           Volatility                                                                                      0                                                  0
 171           Equity                                                                                          0                      #N/A
 172           Property                                                                                        0                      #N/A
 173           Credit Spreads                                                                                  0                      #N/A
 174           Default Risk                                                          #N/A                                                                         0
 175
 176           Sum of capital charges                                                                          0
 177           Asset Risk Capital Charge                                                                       0
 178
 179




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 152           CSP
 153
 154                     0.2
 155                     0.2
 156                     0.4
 157                     0.6
 158                     0.8
 159                     0.2
 160                       1
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     A                                       B                                            C                                          D                             E                            F                           G
1   Operational Risk Capital Charge - DRAFT VERSION
2
3
4      Preliminary Information
5
6      Institution Name                                                                                          0
7      Scale Factor                                                                    Thousands of dollars (or percentage where relevant)
8      Reporting Period                                                                                     1/0/1900
9      Statutory Fund                                                                                            0
10     Investment-Linked Statutory Fund                                                                          0
11
12
13     APRA Product Group
14                                                                                                           For Non-investment Linked Products                                                                     For All Products
15 1.0 Gross reinsurance                                                                                         1.1 Annual Premium Income                                                                  1.2 Adjusted Policy Liabilities
16                                                                      1.1.1 Latest 12 Months                   1.1.2 Prior 12 Months                1.1.3 Material Change       1.2.1 At Reporting Date     1.2.2 Prior 12 Months
17     F1 - Education                                                                                                                                                         0                             0
18     F2 - Investment Account                                                                                                                                                0                             0
19     F3 - Annuity & Superannuation                                                                                                                                          0                             0
20     F4 - Risk                                                                                                                                                              0                             0
21     F5 - Prepaid Funeral                                                                                                                                                   0                             0
22     F6 - Investment Linked                                                                                                                                                 0                             0
23     L1 - Conventional Participating                                                                                                                                        0                             0
24     L2 - Participating Investment Account                                                                                                                                  0                             0
25     L3 - Annuity with Longevity Risk                                                                                                                                       0                             0
26     L4S - Individual Lump Sum Risk - Stepped Premium                                                                                                                       0                             0
27     L4L - Individual Lump Sum Risk - Level Premium                                                                                                                         0                             0
28     L5S - Individual Disability Income Insurance - Stepped Premium                                                                                                         0                             0
29     L5L - Individual Disability Income Insurance - Level Premium                                                                                                           0                             0
30     L6 - Group Lump Sum Risk                                                                                                                                               0                             0
31     L7 - Group Disability Income Insurance                                                                                                                                 0                             0
32     L8 - Non-participating Investment Policy                                                                                                                               0                             0
33     L9 - Annuity without Longevity Risk                                                                                                                                    0                             0
34     L10 - Other                                                                                                                                                            0                             0
35 1.3 Total                                                                                                   0                                  0                           0                             0                             0
36
                                         H
                        1
                        2
                        3
                         4
                         5
                         6
                         7
                         8
                         9
                         10
                         11
                         12
                         13
   For All Products      14
                         15
Adjusted Policy Liabilities
                         16 1.2.3 Material Change
                         17                         0
                         18                         0
                         19                         0
                         20                         0
                         21                         0
                         22                         0
                         23                         0
                         24                         0
                         25                         0
                         26                         0
                         27                         0
                         28                         0
                         29                         0
                         30                         0
                         31                         0
                         32                         0
                         33                         0
                         34                         0
                         35                         0
                         36
    A                               B                                                     C                         D
37
38 2.0 OPERATIONAL RISK CAPITAL CHARGE
39
40 2.1 Prescribed Factors for QIS                                                                       3.00%           0.25%
41
       APRA Product Group
42 2.2                                                                  2.2.1 Operational Risk Capital Charge
43     F1 - Education                                                                                           0
44     F2 - Investment Account                                                                                  0
45     F3 - Annuity & Superannuation                                                                            0
46     F4 - Risk                                                                                                0
47     F5 - Prepaid Funeral                                                                                     0
48     F6 - Investment Linked                                                                                   0
49     L1 - Conventional Participating                                                                          0
50     L2 - Participating Investment Account                                                                    0
51     L3 - Annuity with Longevity Risk                                                                         0
52     L4S - Individual Lump Sum Risk - Stepped Premium                                                         0
53     L4L - Individual Lump Sum Risk - Level Premium                                                           0
54     L5S - Individual Disability Income Insurance - Stepped Premium                                           0
55     L5L - Individual Disability Income Insurance - Level Premium                                             0
56     L6 - Group Lump Sum Risk                                                                                 0
57     L7 - Group Disability Income Insurance                                                                   0
58     L8 - Non-participating Investment Policy                                                                 0
59     L9 - Annuity without Longevity Risk                                                                      0
60     L10 - Other                                                                                              0
61 2.3 Total Operational Risk Capital Charge                                                                    0
62

				
DOCUMENT INFO
Description: Life Insurance Asset Account document sample