Specific instructions

The following provides guidelines to facilitate in the specific disclosure of listed equity related investments held by the Level 2 insurance group.

1. Listed equities

1.1 Total listed equities– Direct holdings

The information submitted in this form is used to calculate the part of the investment risk capital charge on listed equity investments for the Level 2 insurance group. Guidance on what is considered to be listed equity for the purposes of the prudential standards is outlined below.

Report the fair value of equity securities that are listed on a recognised exchange and held directly by the Level 2 insurance group.

Listed equities include:

• Preference shares;
• Securities (stock) lent or sold under repurchase agreements.

Exclude:

• Rights, options and warrants over listed equities. These are to be taken into account in calculating the derivative position.
• Securities borrowed or purchased under resale agreements.
• Subordinated Debt instruments. Such instruments are to be reported in GRF 300.0_G Statement of Financial Position (Level 2 Insurance Group).
• Units in listed or unlisted trusts as the investment capital charge calculated here is for equity investment securities only. Where the Level 2 insurance group elects to apply the look-through basis for a unit trust, then the relevant listed equity ‘look-through’ amount is to be reported in item 1.2 of this form. However, where the insurer has elected not to apply the look-through basis for the unit trust then the amount is to be reported in GRF 300.0_G Statement of Financial Position (Level 2 Insurance Group).

1.2 Total listed equities – Indirectly held – ‘Look-through’ basis

Report the amount of listed equities that are indirectly held through a listed or unlisted trust and where the Level 2 insurance group has elected to apply the ‘look-through’ basis. This amount should correspond with item 2.5.7.8 of GRF 300.0_G Statement of Financial Position (Level 2 Insurance Group).

1.3 Derivative position

Record the exposure to the notional value of equities via derivatives here.

Balances in derivative margin accounts, which hold deposits lodged with an exchange or clearing house as collateral to cover adverse movements in market prices, are to be reported in GRF 300.0_G Statement of Financial Position (Level 2 Insurance Group).

This form captures only the equity market risk component and the basis risk component for equity derivative positions. Where instruments are not traded on futures and options exchanges which are subject to daily mark-to-market and margin payments the counterparty risk component must be recorded on GRF 110.0_G Minimum Capital Requirement (Level 2 Insurance Group).