HRS 117.0 - Asset Concentration Risk Charge

Commonwealth Coat of Arms of Australia

Reporting Standard HRS 117.0

Asset Concentration Risk Charge

Objective of this Reporting Standard

This Reporting Standard sets out the requirements for the provision of information to APRA relating to a private health insurer’s Asset Concentration Risk Charge.

It includes associated specific instructions and must be read in conjunction with Prudential Standard HPS 117 Capital Adequacy: Asset Concentration Risk Charge (HPS 117).

Authority

This Reporting Standard is made under section 13 of the Financial Sector (Collection of Data) Act 2001.

Purpose

2. The information reported to APRA under this Reporting Standard is used by APRA for the purpose of prudential supervision including assessing compliance with capital standards.

Application and commencement

3. This Reporting Standard applies to all private health insurers. This Reporting Standard applies for reporting periods ending on or after 1 July 2023.

Information required

4. A private health insurer must provide APRA with the information required by this Reporting Standard for each reporting period.

Method of submission

5. The information required by this Reporting Standard must be given to APRA:

(a) in electronic format using an electronic method available on APRA’s website; or

(b) by a method notified by APRA prior to submission.

Reporting periods and due dates

6. Subject to paragraph 7, a private health insurer must provide the information required by this Reporting Standard:

(a) in respect of each calendar quarter (i.e. the periods ending 30 September, 31 December, 31 March and 30 June); and

(b) in respect of each year ending 30 June.

7. If, having regard to the particular circumstances of a private health insurer, APRA considers it necessary or desirable to obtain information more or less frequently than as provided by subparagraph 6(a) or 6(b), APRA may, by notice in writing, change the reporting periods, or specify reporting periods, for the particular private health insurer.

8. The information required by this Reporting Standard must be provided to APRA:

(a) in the case of quarterly information, within 28 calendar days after the end of the reporting period to which the information relates;

(b) in the case of annual information, by 30 September each year; or

9. APRA may, in writing, grant a private health insurer an extension of a due date, in which case the new due date will be the date on the notice of extension.

Note: For the avoidance of doubt, if the due date for a particular reporting period falls on a day other than a usual business day, a private health insurer is nonetheless required to submit the information required no later than the due date.

Quality control

10. All information provided by a private health insurer under this Reporting Standard must be subject to systems, processes and controls developed by the private health insurer for the internal review and authorisation of that information. It is the responsibility of the Board and senior management of the private health insurer to ensure that an appropriate set of policies and procedures for the authorisation of information submitted to APRA is in place.

Annual audit requirements

11. The information submitted for the purposes of paragraph 8(b) is to be subject to external audit to ensure consistency with the private health insurer’s statutory financial accounts and faithful application of the capital standards.

12. Audit certification and opinion must be provided to APRA by 30 September each year.

13. If a private health insurer received a qualified auditor’s report for a health benefits fund, the general fund, or the private health insurer for the year previous to the year for which the report is provided, the report for the year for which the report is provided must state whether the auditor has examined the issues identified and is satisfied that the private health insurer has taken the appropriate steps to rectify the matters raised in the previous report.

14. The auditor’s report must:

(a) state details of the program adopted to carry out the audit; and

(b) include the name of, and be signed by, the auditor who takes responsibility for the accuracy of the report.

Authorisation

15. A person who submits the information required under this Reporting Standard must be suitably authorised by an officer of the private health insurer.

Variations

16. APRA may, in writing, vary the reporting requirements of this Reporting Standard in relation to a private health insurer.

Interpretation

17. In this Reporting Standard:

(a) unless the contrary intention appears, words and expressions have the meanings given to them in Prudential Standard HPS 001 Definitions (HPS 001); and

(b) the following definitions are applicable:

APRA means the Australian Prudential Regulation Authority established under the Australian Prudential Regulation Authority Act 1998;

capital standards means the prudential standards which relate to capital adequacy as defined in HPS 001;

officer has the same meaning as in the Act;

private health insurer has the same meaning as in the Act;

reporting period means a period mentioned in paragraph 6 or, if applicable, paragraph 7; and

the Act means the Private Health Insurance (Prudential Supervision) Act 2015.

18. Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting or Auditing Standard is a reference to the instrument as in force from time to time.

Reporting Standard HRS 117.0

Asset Concentration Risk Charge

General Instructions

Reporting tables

Tables described in this reporting form list each of the data fields required to be reported. The data fields are listed sequentially in the column order that they will appear in the reported data set. Constraints on the data that can be reported for each field have also been provided.

Any specific combination of values in the table must not appear on more than one row in that table when reported.

Definitions

Terms highlighted in bold italics indicate that the definition is provided in these instructions.

Adjustment for cumulative exposures amount	For reinsurance exposures only, this is the adjustment for cumulative exposures that needs to be made in line with Prudential Standard HPS 117 Capital Adequacy: Asset Concentration Risk Charge (HPS 117).
Asset Concentration Risk Charge limit amount	For reinsurance exposures this means the appropriate asset concentration limit as specified in HPS 117 for reinsurance exposures to Grade 5, 6 and 7 counterparties or Grade 4 counterparties belonging to the same group. For non-reinsurance exposures this means the appropriate Asset Concentration Risk Charge limit as specified in HPS 117.
Asset Concentration Risk Charge long term limit amount	This means the appropriate Asset Concentration Risk Charge limit amount for long-term exposures to unrelated parties that are part of an APRA-regulated group as per HPS 117. For exposures categorised as 'unrelated party (APRA-regulated group)', this is the fair value of the exposure to long-term assets, net of provision for doubtful debts and after amounts that are deducted from the capital base. Long term exposures are those assets with a residual maturity of greater than one year.
Asset Concentration Risk Charge long term net exposure amount	This means the fair value of the exposure to long-term assets, net of provision for doubtful debts and after amounts that are deducted from the capital base. Long term exposures are those assets with a residual maturity of greater than one year.
Asset Concentration Risk Charge net exposure amount	This means the fair value of the exposure, net of provision for doubtful debts and any regulatory adjustments to capital base related to this exposure, that is subject to an Asset Concentration Risk Charge. Reinsurance exposures regulatory adjustments would consist of reinsurance assets not subjected to an executed and legally binding contract.
Asset exposure category after eligible credit support	For reinsurance exposures that are covered by eligible credit support, report the counterparty grade grouping as: Grade 4; or Grade 5, 6 or 7. For non-reinsurance exposures, categorise the exposure into one of the following in accordance with HPS 117: related party (APRA-regulated group); unrelated party (APRA-regulated group); or other.

Counterparty grade type	This means the classification applied to the exposure as per Prudential Standard HPS 001 Definitions (HPS 001).
Counterparty group name	This is the name of the group to which the counterparty to the exposure belongs.
Counterparty name	This is the name of the counterparty to the exposure.
Counterparty grade after eligible credit support	This means the counterparty grade type related to exposures that are covered by collateral or guarantee.

Eligible credit support applied

The means whether the reinsurance or non-reinsurance exposure is covered by an eligible collateral, guarantee, or letter of credit, indicate whether the insurer has applied the eligible credit support to calculate the asset concentration risk charge.

Possible values are:

yes; and
no.

Exposure subject to Asset Concentration Risk Charge

For reinsurance exposures only: This is the total exposure that is subject to the Asset Concentration Risk Charge. This item is calculated at the level of each counterparty group name as the sum of:

Asset Concentration Risk Charge net exposure amount; and
adjustment for cumulative exposures amount.

General fund

(Private health insurer fund type)

General fund has the same meaning as in HPS 001.

Health benefits fund

(Private health insurer fund type)

Health benefits fund has the same meaning as in the Act.

Name of provider of eligible credit support

This means the name of the entity providing the collateral or guarantee where the insurer holds collateral against the asset or if the asset has been guaranteed.

Non-reinsurance Asset Concentration Risk Charge

This represents the Asset Concentration Risk Charge for non-reinsurance exposures and is the sum of the Asset Concentration Risk Charges for each non-reinsurance exposure category.

This is the excess (if any) of the net exposure amount over and above the respective Asset Concentration Risk Charge limit and is calculated as the greater of:

Asset Concentration Risk Charge net exposure amount less Asset Concentration Risk Charge limit amount; and
Asset Concentration Risk Charge long term net exposure amount less Asset Concentration Risk Charge long term limit amount,

subject to a floor of zero.

Off-balance sheet large exposure amount	This represents the fair value of the exposure, net of provision for doubtful debts, recognised off-balance sheet.
On-balance sheet large exposure amount	This represents the fair value of the exposure, net of provision for doubtful debts, recognised on-balance sheet.

Private health insurer fund type

Means health benefits fund or general fund.

Reinsurance Asset Concentration Risk Charge

This represents the Asset Concentration Risk Charge for reinsurance exposures and is the sum of the Asset Concentration Risk Charges for reinsurance exposures across all counterparty grades.

This is the excess (if any) of the net exposure amount over and above the respective Asset Concentration Risk Charge limit and is calculated as exposure subject to Asset Concentration Risk Charge less Asset Concentration Risk Charge limit amount, subject to a floor of zero.

Related party

This means the type of relationship of the counterparty to the insurer. This can take the values of:

parent;
controlled entity;
associate / joint venture; or
other related party.

Total large exposure amount

This represents the fair value of the exposure, net of provision for doubtful debts, and includes both on-balance sheet and off-balance sheet amounts.

This is calculated as the sum of:

on-balance sheet large exposure amount; and
off-balance sheet large exposure amount.

Specific instructions

Table 1: Large Exposures

Reporting threshold

This section is to be completed for each exposure to an asset, a counterparty or a group of counterparties that is greater than 10 per cent of the capital base of the health benefits or general fund. Where the aggregate exposure to a group of related counterparties is over the 10 per cent threshold, report the exposure to each individual counterparty separately, even if the individual exposure is less than the threshold.

Collateral and guarantees

For exposures that are supported by collateral, guarantees or letters of credit (eligible credit support):

If the exposure is covered by more than one collateral / guarantee / letter of credit, split the original exposure into multiple rows for each eligible credit support applicable.
If the eligible credit support provided does not cover the full value of the exposure, split the original exposure into multiple rows: one for the part that is covered, and one for the part that remains uncovered.

Units of measurement

Report values in whole Australian dollars.

	Name	Valid values	Description
1	Private Health Insurer Fund Type	Health benefits fund General fund	Report the private health insurer fund type.
2	Private Health Insurer Fund Name	Free text	Report the name of the private health insurer fund. This is in the event an insurer has multiple health benefits funds. In the event an insurer has only one health benefits fund, its name should be the same as the insurer. For the general fund, report the same name as the insurer.
3	Counterparty Name	Free text	Report the counterparty name.
4	Counterparty Group Name	Free text	Report the counterparty group name. Where the counterparty does not belong to a group, enter the counterparty name.
5	Counterparty ACN, ABN or ARBN	9 digit valid ACN, 11 digit valid ABN or 9 digit valid ARBN	Report the counterparty ACN, ABN or ARBN. Report the ACN of the reported counterparty. In cases where a counterparty does not have an ACN but it does have an ABN or an ARBN, report the ABN or ARBN. Input the number without spaces. If a counterparty does not have an ACN, ABN, or ARBN leave the column blank.
6	Reinsurance Or Non-Reinsurance Exposure Type	Reinsurance Non-reinsurance Combination of multiple exposures	Report the reinsurance or non-reinsurance exposure type.
7	Reinsurance Or Non-Reinsurance Exposure Type Description	Free text	Describe the reinsurance or non-reinsurance exposure type.
8	Non-APRA Authorised Reinsurer Indicator	Yes No	Indicate whether the counterparty is a non-APRA authorised reinsurer.
9	Related Party Type	Parent Controlled entity Associate / Joint venture Other related party Not applicable	Report the related party. If exposure is not to a related party, report as Not applicable.
10	Counterparty Grade Type	Grade 1 Grade 2 Grade 3 Grade 4 Grade 5 Grade 6 Grade 7	Report the counterparty grade type.
11	Name Of Provider Of Eligible Credit Support	Free text	Report the name of provider of eligible credit support. If no eligible credit support is provided, report Not applicable.
12	Counterparty Grade After Eligible Credit Support	Grade 1 Grade 2 Grade 3 Grade 4 Grade 5 Grade 6 Grade 7 Not applicable	Report the counterparty grade after eligible credit support. If no eligible credit support is provided, report Not applicable.
13	On-Balance Sheet Large Exposure Amount	Whole dollars	Report the on-balance sheet large exposure amount.
14	Off-Balance Sheet Large Exposure Amount	Whole dollars	Report the off-balance sheet large exposure amount.

Table 2: Asset Concentration Risk Charge - Reinsurance Exposures

Reporting threshold

This section is to be completed for each exposure to a group of related counterparties that will trigger an Asset Concentration Risk Charge limit amount as specified in HPS 117.

Reinsurance exposures

Reinsurance exposures must be reported in the following order for each group of related counterparties:

Combine all exposures to Grade 5 and below; and
Combine all exposures to Grade 4.

Units of measurement

Report values in whole Australian dollars.

	Name	Valid values	Description
1	Private Health Insurer Fund Type	Health benefits fund General fund	Report the private health insurer fund type.
2	Private Health Insurer Fund Name	Free text	Report the name of the private health insurer fund. This is in the event an insurer has multiple health benefits funds. In the event an insurer has only one health benefits fund, its name should be the same as the insurer. For the general fund, report the same name as the insurer.
3	Counterparty Group Name	Free text	Report the counterparty group name.
4	Eligible Credit Support Applied Indicator	Yes No	Report the eligible credit support applied indicator.
5	Asset Exposure Category After Eligible Credit Support	Grade 4 Grade 5, 6 or 7	Report the asset exposure category after eligible credit support.
6	Asset Concentration Risk Charge Net Exposure Amount	Whole dollars	Report the asset concentration risk charge net exposure amount.
7	Asset Concentration Risk Charge Limit Amount	Whole dollars	Report the asset concentration risk charge limit amount.
8	Adjustment For Cumulative Exposures Amount	Whole dollars	Report the adjustment for cumulative exposures amount. This applies to reinsurance exposures only.

Table 3: Asset Concentration Risk Charge - Non-Reinsurance Exposures

Reporting threshold

This section is to be completed for each exposure to a group of related counterparties that will trigger an Asset Concentration Risk Charge limit amount as specified in HPS 117.

Units of measurement

Report values in whole Australian dollars.

	Name	Valid values	Description
1	Private Health Insurer Fund Type	Health benefits fund General fund	Report the private health insurer fund type.
2	Private Health Insurer Fund Name	Free text	Report the name of the private health insurer fund. This is in the event an insurer has multiple health benefits funds. In the event an insurer has only one health benefits fund, its name should be the same as the insurer. For the general fund, report the same name as the insurer.
3	Counterparty Group Name	Free text	Report the counterparty group name.
4	Eligible Credit Support Applied Indicator	Yes No	Report the eligible credit support applied indicator.
5	Asset Exposure Category After Eligible Credit Support Type	Related party (APRA-regulated group) Unrelated party (APRA-regulated group) Other	Report the asset exposure category after eligible credit support.
6	Asset Concentration Risk Charge Net Exposure Amount	Whole dollars	Report the asset concentration risk charge net exposure amount.
7	Asset Concentration Risk Charge Long Term Net Exposure Amount	Whole dollars	Report the asset concentration risk charge long term net exposure amount.
8	Asset Concentration Risk Charge Limit Amount	Whole dollars	Report the asset concentration risk charge limit amount.
9	Asset Concentration Risk Charge Long Term Limit Amount	Whole dollars	Report the asset concentration risk charge long term limit amount. This applies to non-reinsurance exposures only.