Document ID: chunk:federal_register_of_legislation:F2015L00579:body:0:p7
Version: federal_register_of_legislation:F2015L00579
Segment Type: other
Provision Reference: 
Character Range: 16349–19303

support applied?

If the exposure is covered by eligible credit support, indicate whether the fund has applied the eligible credit support to calculate the Asset Concentration Risk Charge.

   (3)      Type of exposure after eligible credit support

This column reports the category of exposure where the eligible credit support held replaces the underlying asset exposure for the purposes of calculating the Asset Concentration Risk Charge.

An appropriate asset exposure category is to be selected from the drop down list.

   (4)      Net exposure

This column reports the fair value of the exposure (except for reinsurance exposures, see below), net of provision for doubtful debts and any regulatory adjustments to capital base related to this exposure, that is subject to the Asset Concentration Risk Charge.

For reinsurance exposures, the stressed value of reinsurance assets is used instead of fair value. The stressed value of a reinsurance asset is the amount by which the stressed policy liabilities of the fund (as determined under LPS 115) would increase, if the stressed policy liabilities were determined gross of that particular reinsurance exposure. The stressed value of reinsurance assets, summed across all exposures, may not necessarily be the same as the difference between Item 1.2.3 and Item 1.2.4.

   (5)      Asset Concentration Risk Charge limit

This column reports the appropriate asset concentration limit as per LPS 117 including Attachment A for each asset exposure.

The determination of asset concentration limits are to account for any cumulative exposures through different classes of assets to a single counterparty or a counterparty group as per paragraph 19 of LPS 117.

   (6)      Asset Concentration Risk Charge

This column reports the excess (if any) of the net exposure amount over and above their respective asset concentration limits.

This column is calculated automatically as column (4) less column (5), subject to a floor of zero.

Section 3: Totals and risk charges Instructions for specific items
    4.             Aggregate of excess exposures subjected to asset concentration risk charge

This is the aggregation of all the asset exposures in excess of their respective asset concentration risk limits.

This is calculated automatically as the sum of item 4.1 to item 4.8.

    4.1.      Bank bills or assets guaranteed by OS provincial government whose currency the fund liabilities are denominated

This is the total amount of bank bill exposures, or the total amount of assets which are guaranteed by an overseas provincial government in the country in whose currency the liabilities of this statutory, benefit or general fund are denominated, which are in excess of the determined asset concentration limits.

This is calculated automatically as the sum of the totals in Section 2, Column (6) where the exposure is category (a) in Section 2, Column (3).

    4.2.      Bank deposits

This