Document ID: chunk:federal_register_of_legislation:F2023L00725:front:0:p7
Version: federal_register_of_legislation:F2023L00725
Segment Type: other
Provision Reference: 
Character Range: 16596–19425

(reinsurer) is decreased due to its failure. A Level 2 insurance group must also consider whether there is a change in the ACRC (either an increase in an existing ACRC or a new ACRC) due to a decrease in capital base from the failure of the reinsurer reported in name of counterparty (reinsurer).

Total impact on Asset Risk Charge (after aggregation formula)  Report the change in the Asset Risk Charge due to the failure of the reinsurer reported in name of counterparty (reinsurer). The amount reported must be after the aggregation formula in Prudential Standard GPS 114 Capital Adequacy: Asset Risk Charge is applied. A Level 2 insurance group may estimate this by applying the percentage of the aggregated risk charge components to the sum of the risk charge components on Reporting Standard GRS 114.0 Asset Risk Charge or Reporting Standard GRS 114.0.G Asset Risk Charge for a Level 2 insurance group. In addition, a Level 2 insurance group may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome.

Total impact on capital base                                   Report the decrease in capital base, after tax where applicable, due to the failure of the reinsurer reported in name of counterparty (reinsurer). This accounts for changes resulting from the loss of the reinsurer on a Level 2 insurance group's net outstanding claims liabilities and net premiums liability. This will include any change in the OCL surplus / deficit and PL surplus / deficit.

Total impact on Insurance Concentration Risk Charge            Report the increase in the Insurance Concentration Risk Charge (ICRC) due to the failure of the reinsurer reported in name of counterparty (reinsurer). This must consider the impact on each component of the ICRC (if applicable) and the current ICRC of the insurer. A Level 2 insurance group may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome.

Total impact on Insurance Risk Charge                          Report the increase in Insurance Risk Charge due to the failure of the reinsurer reported in name of counterparty (reinsurer). This takes into account the impact on the OCL and PL risk charges as a result of the impact of a reinsurer failure on the net outstanding claims provisions and net premiums liabilities. A Level 2 insurance group may use simplifying assumptions as long as those assumptions do not have a material impact on the overall capital coverage outcome.

Total impact on Operational Risk Charge                        Report the increase in the Operational Risk Charge due to the failure of the reinsurer reported in name of counterparty (reinsurer). A Level 2 insurance group may use simplifying assumptions as long as those