timed out BattleActs100

RBC Charges (R1 & R2 - Fixed Income & Equity Asset Risk)

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Calculate the R1 RBC charge for fixed income assets and the R2 charge for equity assets.

  current score:
0.000

R1 total RBC charge
   basic charge
   BSC (Bond Size Charge)
   ACC (Asset Concentration Charge)
R2 total RBC charge
   basic charge
   ACC (Asset Concentration Charge)
Fixed Income Investments
item amount amount
(TOP 10)
# issuers RBC
factor
cash & equivalents 138,600 55,400 140 0.0030
mortgage bonds / coll. loans 0.0500
U.S. government 0
class 01 unaffiliated bonds 0.0030
class 02 unaffiliated bonds 0.0100
class 03 unaffiliated bonds 0.0200
class 04 unaffiliated bonds 0.0450
class 05 unaffiliated bonds 0.1000
class 06 unaffiliated bonds 0.3000
Equity Investments
item amount amount
(TOP 10)
# issuers RBC
factor
OAU 1 Common Stock 138,600 55,400 -- 0.1500
Schedule BA assets -- 0.2000
real estate -- 0.1000
class 01 unaffiliated Prfd. Stck. -- 0.0030
class 02 unaffiliated Prfd. Stck. -- 0.0100
class 03 unaffiliated Prfd. Stck. -- 0.0200
class 04 unaffiliated Prfd. Stck. -- 0.0450
class 05 unaffiliated Prfd. Stck. -- 0.1000
class 06 unaffiliated Prfd. Stck. -- 0.3000
   1 OAU = Other Admitted Unaffiliated (Common Stock)


R1

=   basic charge   +   BSC   +   ACC

            basic charge
=   SUM [ (asset values subject to basic charge) x (RBC factor) ]
            BSC
=   BSF   x   (total R1 charges for bonds subject to BSF charge)
            ACC
=   SUM [ (asset values subject to ACC for TOP 10 issuers) x (RBC factor) ]

R2

=   basic charge   +   ACC

            basic charge
=   SUM [ (asset values subject to basic charge) x (RBC factor) ]
            ACC
=   SUM [ (asset values subject to ACC for TOP 10 issuers) x (RBC factor) ]

BSF

# of issuers weights
first 50 2.5
next 50 1.3
next 300 1.0
> 400 0.9

Solution:
R1
   basic charge
   BSC
       BSF
   ACC
   BSC = Bond Size Charge (exclude cash, mortgage bonds / collateral loans, government bonds)
   BSF = Bond Size Factor
   ACC = Asset Concentration Charge (exclude cash, government bonds, class 01, class 06)

R2
   basic charge
   ACC
   ACC = Asset Concentration Charge (exclude class 01, class 06)