Document ID: chunk:federal_register_of_legislation:F2023L00640:body:0:p12
Version: federal_register_of_legislation:F2023L00640
Segment Type: other
Provision Reference: 
Character Range: 31961–35141

the cover has been exhausted by claims by the Level 2 insurance group or the date that the aggregate reinsurance treaty expires, whichever occurs first.

Other accumulations vertical requirement (OA VR)  The other accumulations vertical requirement (OA VR) is calculated as the sum of:

                                                      * OA PML; and
                                                      * OA reinstatement cost

                                                  less:

                                                      * PL adjustment to OA PML; and
                                                      * OA reinsurance recoverables.

Other adjustments                                 Other adjustments include potential reinsurance recoverables from aggregate reinsurance cover. Aggregate reinsurance cover is eligible to be considered for inclusion in the NP VR once the aggregate reinsurance cover has reached its attachment point, or will as a result of the occurrence of NP PML, or net whole-of-portfolio loss, as appropriate. The reinsurance recoverables from aggregate reinsurance cover must then be applied up until the cover has been exhausted by claims by the Level 2 insurance group or the date that the aggregate reinsurance treaty expires, whichever occurs first.

P

PL adjustment to OA PML  The Level 2 insurance group may reduce the OA PML for any losses included in the other accumulation scenario that is already specifically allowed for in the premiums liabilities of the Level 2 insurance group.

PL offset                PL offset is the portion of the premiums liability provision which relates to catastrophic losses (those that give rise to a relatively significant number of claims and occur no more frequently than every three months), as determined by the Group Actuary.

PML                      PML represents the total PML across all loan types, coverage types and origination channels. The Level 2 insurance group must enter an amount for total PML. Total PML is then automatically allocated in the proportions of 25% to year one, 50% to year two and 25% to year three of the Prescribed Stress Scenario as required by GPS 116.

PML net of reinsurance   This is the PML after allowing for allowable reinsurance. It is calculated as:

                             * adjusted PML

                         less:

                             * allowable reinsurance

S

Single event loss from H3 event  The single event loss from the H3 event is the gross or net loss from the occurrence of a single event, where that loss is not less than the whole-of-portfolio annual (gross/net) loss with a 10 per cent probability of occurrence.

Single event loss from H4 event  The single event loss from the H4 event is the gross or net loss from the occurrence of a single event, where that loss is not less than the whole-of-portfolio annual loss with a 16.7 per cent probability of occurrence.

Specific instructions

Table 1: Insurance Concentration Risk Charge

Insurance concentration risk charge (ICRC)

The Level 2 insurance group is not required to report each component of the ICRC where the amount determined for