Document ID: chunk:federal_register_of_legislation:F2023L00673:body:0:p12
Version: federal_register_of_legislation:F2023L00673
Segment Type: other
Provision Reference: 
Character Range: 29739–32825

are not limited to:
(a)          basis;
(b)          gap;
(c)          price;
(d)          parameter estimation; and
(e)          variation in any assumptions (mortality, lapses, annuitisation, etc.).
9.             The costs referred to in paragraph 7(d)(ii) above include, but are not limited to:
(a)          transaction, margin (opportunity costs associated with margin requirements); and
(b)          administration.
10.         APRA may require a life company to adopt a value for E specified by APRA in writing if APRA is satisfied that the value of E adopted by the company is not appropriate.
11.         The Asset Concentration Risk Charge and the Operational Risk Charge apply to statutory funds with liabilities for variable annuities in addition to the capital requirement calculated under this Attachment.

Attachment B - Combined stress scenario adjustment
     1. The combined stress scenario adjustment must be calculated from a single scenario in which all of the asset risk and insurance risk stresses are applied. The stresses must be modified by multiplying them by diversification factors.
     2. The combined stress scenario adjustment must be calculated as:
(a)          the capital charge for the single scenario;
(b)          less the Insurance Risk Charge;
(c)          less the Asset Risk Charge;
(d)          plus the aggregation benefit.
    The combined stress scenario adjustment cannot be less than zero.
3.             The capital charge for the single scenario is the reduction in the capital base in this scenario.
4.             The stressed policy liabilities for the single scenario are defined in the same way as for the Insurance Risk Charge.
5.             The insurance risk stresses for the single scenario must be the adjusted stress margins[8] used in determining the Insurance Risk Charge, multiplied by the 'aggregation diversification factor' between insurance risks and asset risks.
6.             The aggregation diversification factor must be calculated as the sum of:
(a)          the Insurance Risk Charge;
(b)          plus the Asset Risk Charge;
(c)          less the aggregation benefit
    divided by the sum of the Insurance Risk Charge and the Asset Risk Charge.
7.             The asset risk stresses for the single scenario must be the stresses used in determining the Asset Risk Charge, multiplied by both the aggregation diversification factor and an 'asset risk diversification factor'. The asset risk diversification factor is calculated as the Asset Risk Charge divided by the sum of the capital charges for the seven asset risk stresses. For the stresses that apply in two directions, the capital charge for the direction that determines the overall amount of the Asset Risk Charge must be used.
8.             For the purpose of deducting deferred tax assets net of deferred tax liabilities from the capital base, these amounts must be adjusted to include all additional tax assets and liabilities accruing over the 12 months following the reporting date.
9.             The taking of discretionary management