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.
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 |
|
|
-- |
0.0500 |
| 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) ]
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)
ACC = Asset Concentration Charge (exclude class 01, class 06)
