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Flashcards in R1 Deck (21)
1

R1 charge reflects

Interest rate and default risk from fixed income instruments

2

Holding company RBC charge

0.225 * (Holding company value - carrying value of indirectly owned companies)

3

Upstream affiliate RBC charge

0.225 * carrying value of bonds

4

Insurance subsidiaries not subject to RBC

0.225 * book/ACV of bonds

5

RBC charge for "Other Non-Insurance Subsidiaries"

0.225 * book/ACV of bonds

6

RBC charge, investment affiliates

Same as if the parent owned the investments directly

7

RBC charge, unaffiliated bonds

Factor * book/ACV of bonds

8

Bond factor, Class 1 (guaranteed by US gov)

0

9

Bond factor, US government bonds not guaranteed

0.003

10

Bond factor, "Other Class 1"

0.003

11

Bond factor, Class 2

0.01

12

Bond factor, Class 3

0.02

13

Bond factor, Class 4

0.045

14

Bond factor, Class 5

0.1

15

Bond factor, Class 6

0.3

16

Bond size factor

Using non-US government bonds:
First 50 issuers, 250%
Next 50 issuers, 130%
Next 300 issuers, 100%
Rest, 90%

Factor = Weights/Issuers - 1

17

RBC charge, mortgage loans

0.05 * book/ACV

18

RBC charge, cash (and other short-term)

0.003 * book/ACV

19

RBC charge, admitted collateral loans

0.05 * book/ACV

20

RBC charge, RSAT

Factor of equivalent investment * annual statement value (from schedule DB); reduced by charge of component investment

21

RBC charge, mandatory convertible securities

max(0, charge for converted security - charge for original security); 50% to R1, 50% to R2