3. Credit support received

GPS 114 outlines the treatment of eligible collateral and guarantees as risk mitigants.

The capital charge for Investment Risk may be reduced where the Level 2 insurance group holds certain types of collateral against an asset, or where the asset has been guaranteed, as a means of reducing risk.

This section of the form requires Level 2 insurance groups to report the rebate which can be used to reduce the investment capital charge calculated in other forms. Accordingly, the fair value of the Level 2 insurance group’s investments is to be entered in other forms for the calculation of investment risk charge without adjusting for any guarantee or eligible collateral.

This section of the form is divided into two parts:

• Eligible Collateral Provided to the Level 2 insurance group; and

• Guarantees Provided to the Level 2 insurance group.