How To Calculate The Value Of Assets And Liabilities After A Currency Exchange Rate Shock

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1 Financial Services Authority QIS4 Input data required to complete the spreadsheet Part 1 Solo Firms including Key Data items to be provided 1. This note is to be read in conjunction with the set of instructions provided by CEIOPS for completion of the spreadsheet and the QIS4 specification document. 2. The relevant input data should be entered into the cells that are coloured blue in the spreadsheet. Key data items are highlighted in bold in the instructions below Data should be provided in the spreadsheet in either Thousands of Euros or Millions of Euros (depending on which is more suitable for each firm). Appropriate currency conversion factors can be found on the same section of the FSA website as this note. Step 1 General information 4. Please complete Section 1, ie Rows 5-18, of Tab I.General with general information about the participating firm Step 2 Insurance Provisions Life business {Tab I.Life} 5. Please enter in the blue cells in Rows (gross of reinsurance) and Rows (net of reinsurance) of Tab I.Life the relevant data about the current provisions from the 2007 year end balance sheet, for all long-term insurance policies in the relevant risk group (ie for the with-profit, linked, non-profit and reinsurance accepted risk groups respectively), and for each segment (ie covering principally death, survivorship, disability or savings as explained at paragraph 7 below). 6. Please enter in the blue cells in Rows (gross of reinsurance) and Rows (net of reinsurance) of Tab I.Life the relevant data about the QIS4 best estimate provisions, for all long-term insurance policies in the relevant risk group (ie for the with-profit, linked, non-profit and reinsurance accepted risk groups respectively) and for each segment (ie covering principally death, survivorship, disability or savings). Note: the QIS4 risk margins within the provisions are calculated at a later stage (see Step 5) 1 You may also like to refer to the illustrative examples on the FSA website for a life firm and a non-life firm. These show in bold the figures that need to be input, and in italics the figures that would be useful if available.

2 7. As examples of this segmentation, (a) annuities in payment would be classified as policies covering survivorship, (b) term assurances would be classified as policies covering death, (c) PHI/CI and LTC policies would be classified as policies covering disability, and (d) endowment, pension (providing a cash sum on retirement), and whole-life polices would be classified as policies covering savings. 8. The risk group entitled Health (long-term) is not relevant for most UK firms as it relates to a type of health business written principally in some other European countries. (PHI policies should normally be included in Tab III.A.3). Consequently, Column E of Section 1 (and Section 4.1) of Tab I.Health and Non-Life (and the corresponding Tab XII.B.Health long term) should not normally be completed by UK firms. 9. Please enter in Row 70 of Tab I.Life the estimated value of future bonuses on the QIS4 basis. This figure is needed to assess the maximum size of the reduction for profit sharing in the SCR. 10. Please enter in Row 71 of Tab I.Life the annual expenses in relation to linked business that are needed to assess the SCR operational risk component for linked business (see TS.VII.B.2). 11. Please enter the data in Rows (ie Section 3) of Tab I.Life that is needed for the calculation of the MCR (see TS.XV.E.1). (i) The data in Rows should correspond to the data entered in Rows of Tab I.Life. (ii) The data in Row 81 should be the annual expenses in relation to wholesale (including group pension) fund management business. 12. Data, where applicable, on the amount of QIS4 best estimate provisions, net of reinsurance, for supplementary non-life insurance contracts (see TS.II.E.7 and TS.XV.F.1-2) should be entered in Rows of Tab I.Life. 13. Information, where available, on the size of the QIS4 best estimate provisions, gross of reinsurance, should be entered in Rows of Tab I.Life for those classes of policy for which a positive surrender value would be payable 2. Secondly, the sum of the corresponding surrender values for those policies should be shown in Rows of Tab I.Life. Thirdly, the sum of the QIS4 best estimate provisions, gross of reinsurance for those classes of policy for which no surrender value would be payable, should be entered in Rows of Tab I.Life. 14. The remaining information in Rows of Tab I.Life, relating to hedgeable and non-hedgeable risks and obligations, is not essential to the calculations in the spreadsheet, and can be entered, if available, at a later stage. Non-Life business {TabI.Health and Non-Life} 2 This may include for simplicity recently written policies for which no surrender value is yet payable

3 15. Please enter in the blue cells in Rows (direct business, gross of reinsurance) and Rows (reinsurance accepted, gross of retrocessions) and Rows (direct business, gross of reinsurance) and Rows (reinsurance accepted, net of retrocessions), of Tab I.Health and Non-Life, the relevant data about the current provisions from the 2007 year end balance sheet (as included in the FSA returns), for each relevant line of non-life business. Please see also the separate note entitled Non Life Business Segmentation for guidance on how to map the various risk groups (ass used to complete the FSA returns) onto each line of business as set out in the QIS4 specification (paragraph TS.II.E.1). 16. Please enter in the blue cells in Rows (gross of reinsurance) and Rows (net of reinsurance) of Tab I.Health and Non-Life the relevant data about the QIS4 best estimate provisions, for each relevant line of non-life business. Please see also the separate note entitled Non Life Business Segmentation for guidance on how to map the various risk groups onto each line of business set out in the QIS4 specification (paragraph TS.II.E.1). Note: the QIS4 risk margins within the provisions are calculated at a later stage (see Step 5) 17. Please enter in Cell D41 of Tab I.Health and Non-Life the total provisions, gross of reinsurance, for all health business, which is needed for the calculation of the SCR operational risk charge component. 18. Firms may enter in Rows data and information about their own estimates of the standard deviations for premium and reserve risk, applying the methodology in Annex SCR 2 in TS.XVII.D of the specification, and then select in row 11 whether (or not) this data is to be utilised for the calculation of the SCR component for underwriting risk. 19. The historical premium and loss ratio figures in Rows and Rows of Tab I.Health and Non-Life are only required in QIS4 from those firms that wish to apply their own firm specific data to evaluate the SCR premium risk sub-component in the standard approach calculation (see paragraphs TS.XIII.B of the specification). 20. The information about the geographical distribution of outstanding claims (ie the best estimate QIS4 provisions, net of reinsurance) in Section 5 of Tab I.Health and Non-Life is only required from firms that wish to apply the geographical diversification factor for non-life underwriting risk as defined in paragraph TS.XIII.B of the specification. 21. The remaining information in Rows of Tab I. Health and Non-Life relating to hedgeable and non-hedgeable risks and obligations, is not essential to the calculations in the spreadsheet, and can be entered, if available, at a later stage. 22. The risk group entitled Health (long-term) is not relevant for most UK firms as it relates to a type of health business written principally in some other European countries. Consequently, Column E of Section 1 of Tab I.Health and Non-Life (and the

4 corresponding Tab XII.B.Health long term), Rows 47-48, and Rows of Tab I. Health and Non-Life should not normally be completed by UK firms. 23. Similarly, we would expect most UK firms to classify employer liability policies as third-party liability, rather than accident and health, and therefore not to complete the input data for Workers compensation in Tab I.Accident and Health or I.Scenarios (and the corresponding Tab XII.D Workers compensation). Step 3 {Tab I. Premiums} 23. Please enter in Rows 13-35, Columns D-G, of Tab I. Premiums the total premiums received in the last financial year for each line of business. 3 The gross earned premiums are needed for the calculation of the operational risk component. The written and earned premiums for non-life business are needed for the calculation of the SCR component in respect of underwriting risk. 24. Please enter in Rows 13-35, Columns K-L of Tab I. Premiums the total expected premiums in the next financial year. This information is only essential for non-life firms, and is utilised in the calculation of the SCR underwriting risk component. 25. Please enter in Cell E37 of Tab I. Premiums the total earned premiums, gross of reinsurance, for all health business, which is needed for the calculation of the SCR operational risk charge component. 26. Data, where applicable, on the written premiums received, net of reinsurance, for supplementary non-life insurance contracts (See TS.II.E.7 and TS.XV.F.1-2) should be entered in Rows 19-35, Column J, of Tab I. Premiums. This is needed for the calculation of the MCR. 27. The information about the geographical distribution of written and expected premiums (net of reinsurance) in Section 2 of Tab I. Premiums is only required from firms that wish to apply the geographical diversification factor for non-life underwriting risk as defined in paragraph TS.XIII.B of the specification. Step 4 Effect of scenarios for Calculation of SCR {Tab I.Scenarios} Note: Non-life firms should enter the same figure for the effect of each scenario assuming a corresponding change in future bonuses as for the effect assuming no change in future bonus (the input sheet is preset with appropriate formulae to achieve this) Interest rate risk Please enter in Cells D21 and D23 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the 3 For life firms, the earned premiums should be the same as the written premiums 4 There are Helper tabs available on the CEIOPS website to assist with the calculation of the revised values of assets and liabilities following these interest rate shocks

5 interest rate shock increase and decrease (as defined in TS.IX.B) respectively. A reduction in this net asset value should be entered as a negative figure. 29. Life firms should also enter in Cells E21 and E23 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following these interest rate shocks. 30. The value of assets less liabilities that are sensitive to changes in interest rates (eg fixed interest securities, technical provisions and loan capital see TS.IX.B.1) should be entered in cell E19 of Tab I.Scenarios. 31. Data, where available, may also be entered by life firms in Cells F21 and F23 of tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Please state in Cell D28 of Tab I.Scenarios whether the criteria for application of a simplification for interest rate risk are satisfied, and in Cell D29 of Tab I.Scenarios approach should be entered in Cells F26, F27 and D27 of Tab I.Scenarios. Equity risk 33. Please enter in Cells D35 and G35 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the equity shock for global and other equities (as defined in TS.IX.C.9) respectively, and applying Option 1 in TS.XVII.C to determine the equity shock to be applied to participations. A reduction in this net asset value should be entered as a negative figure. 34. Life firms should also enter in Cells E35 and H35 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following these equity shocks. 35. Please enter in Cells D41 and G41 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the equity shock for global and other equities (as defined in TS.IX.C.9) respectively, and applying Option 2 in TS.XVII.C 5 to determine the equity shock to be applied to participations. A reduction in this net asset value should be entered as a negative figure. 36. Life firms should also enter in Cells E41 and H41 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following these equity shocks. 37. The value of assets less liabilities that are sensitive to changes in the value of global and other equities should be entered in Cells E33 and H33 of Tab I.Scenarios. 38. Data, where available, may also be entered by life firms in Cells F35 and I35, and D41 and F41, of Tab I.Scenarios for the change in the value of assets less liabilities, 5 If firms wish to apply Option 3, then they should complete the spreadsheet with data taken from a consolidation of the solo firm with its participations, and save this as a separate set of input data, or on a separate spreadsheet

6 allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Please state in Cell D50 of Tab I.Scenarios whether the criteria for application of a simplification for equity risk are satisfied, and in Cell D51 of Tab I.Scenarios whether this simplification has been used. If so, the results of applying this simplified approach should be entered in Cells D48 and D49 of Tab I.Scenarios. 40. If firms wish to apply the equity dampener approach proposed by the French Tresor, and as described in TS.IX.C.21-25, then they may complete Cells D44 46 of Tab I.Scenarios. They should then explain in the questionnaire why they believe this duration approach is a suitable methodology to provide 99.5% confidence that assets will cover liabilities in 12 months time. Property risk 41. Please enter in Cells D57 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the property shock (as defined in TS.IX.D). A reduction in this net asset value should be entered as a negative figure. 42. Life firms should also enter in Cell E57 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this property shock. 43. The value of assets less liabilities that are sensitive to changes in the value of property should be entered in Cells D55 of Tab I.Scenarios. 44. Data, where available, may also be entered by life firms in Cell F57 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Currency risk 45. Please enter in Cells D63 and D65 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the currency exchange rate shock increase and decrease (as defined in TS.IX.E) respectively. A reduction in this net asset value should be entered as a negative figure. 46. Life firms should also enter in Cells E63 and E65 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following these currency exchange rate shocks. 47. Please state in cells H61 and I61 of Tab I.Scenarios whether the lower currency shocks were applied for the Danish krone and other currencies, as suggested in TX.IX The value of assets less liabilities that are sensitive to changes in currency values relative to UK should be entered in cell E61 of Tab I.Scenarios.

7 49. Data, where available, may also be entered by life firms in Cells F63 and F65 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Credit Spread risk 50. Please enter in Cells D70 I77 and D83 F85 of Tab I.Scenarios the relevant data for bonds, structured products and credit derivatives. 51. Life firms should also enter in Cells E88 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this credit spread shock. 52. Life firms with unit-linked business should enter in Cell D80 of Tab I.Scenarios the effect on the non-unit reserves for these linked policies of the credit spread shock (see TS.IX.F.9). 53. Data, where available, may also be entered by life firms in Cell F88 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Please state in Cell D92 of Tab I.Scenarios whether the criteria for application of a simplification for credit spread risk are satisfied, and in Cell D93 of Tab I.Scenarios approach should be entered in Cells D90 and D91 of Tab I.Scenarios. Concentration risk Please enter in Cell D97 of TabI.Scenarios the results of the calculations (in TS.IX.G) for market concentration risk, ignoring any changes in future bonuses. 56. Life firms should also enter in Cell E97 of Tab I.Scenarios the results of the calculations (in TS.IX.G) for market concentration risk, allowing for the corresponding change in future bonuses that could be made following the presumed change in volatility and/or default level of concentrated assets. 57. Data, where available, may also be entered by life firms in Cell F97 of Tab I.Sceanrios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Counterparty default risk Please enter in Cell D103 of TabI.Scenarios the results of the calculations (in TS.X.A) for counterparty default risk, ignoring any changes in future bonuses. 6 There are Helper Tabs available on the CEIOPS website to assist with these calculations

8 59. Life firms should also enter in Cell E103 of Tab I.Scenarios the results of the calculations (in TS.X.A) for counterparty default risk, allowing for the corresponding change in future bonuses that could be made following the presumed default of counterparties. 60. Data, where available, may also be entered by life firms in Cell F103 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Please enter in Cell D104 of TabI.Scenarios the results of the calculations (in TS.X.A) for counterparty default risk on reinsurance only (which is needed for the risk margin calculation), ignoring any changes in future bonuses. 62. Life firms should also enter in Cell E104 of Tab I.Scenarios the results of the calculations (in TS.X.A) for counterparty default risk on reinsurance only (which is needed for the risk margin calculation), allowing for the corresponding change in future bonuses that could be made following the presumed default of counterparties. 63. Please state in Cell D109 of Tab I.Scenarios whether the criteria for application of a simplification for counterparty default risk are satisfied, and in Cell D110 of Tab I.Scenarios whether this simplification has been used. If so, the results of applying this simplified approach should be entered in Cells D107 to E108 of Tab I.Scenarios. Life underwriting risks Note: Non-life firms should enter zero for the effect of each scenario (in order to ensure that there is zero SCR for Life u/w risk rather than a blank (or -)which would prevent calculation of the combined SCR in Tab TS.VIII. Mortality risk 64. Please enter in Cell D116 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the mortality shock (as defined in TS.XI.B). A reduction in this net asset value should be entered as a negative figure. 65. Firms should also enter in Cell E116 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this mortality shock. 66. Please state in Cell D120 of Tab I.Scenarios whether the criteria for application of a simplification for mortality risk are satisfied, and in Cell D121 of Tab I.Scenarios approach should be entered in Cells D118 and D119 of Tab I.Scenarios. 67. Data, where available, may also be entered in Cell F116 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Longevity risk

9 68. Please enter in Cell D125 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the longevity shock (as defined in TS.XI.C). A reduction in this net asset value should be entered as a negative figure. 69. Firms should also enter in Cell E125 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this longevity shock. 70. Please state in Cell D129 of Tab I.Scenarios whether the criteria for application of a simplification for longevity risk are satisfied, and in Cell D130 of Tab I.Scenarios approach should be entered in Cells D127 and D128 of Tab I.Scenarios. 71. Data, where available, may also be entered in Cell F125 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Disability risk 68. Please enter in Cell D134 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the disability shock (as defined in TS.XI.D). A reduction in this net asset value should be entered as a negative figure. 69. Firms should also enter in Cell E134 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this disability shock. 70. Please state in Cell D138 of Tab I.Scenarios whether the criteria for application of a simplification for disability risk are satisfied, and in Cell D139 of Tab I.Scenarios approach should be entered in Cells D136 and D137 of Tab I.Scenarios. 71. Data, where available, may also be entered in Cell F134 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Lapse risk 68. Please enter in Cells D143 and D145 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the lapse shock increase and decrease (as defined in TS.XI.E) respectively, and in Cell D147 the effect of a 30% mass surrender, ignoring in each case any possible change in future bonuses. A reduction in this net asset value should be entered as a negative figure. 69. Firms should also enter in Cells E143, E145, and E147 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this lapse shock.

10 70. Please state in Cell D151 of Tab I.Scenarios whether the criteria for application of a simplification for lapse risk are satisfied, and in Cell D152 of Tab I.Scenarios whether this simplification has been used. If so, the results of applying this simplified approach should be entered in Cells D149 and D150 of Tab I.Scenarios. 71. Data, where available, may also be entered in Cells F143, F145 and F147 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Expense risk 68. Please enter in Cell D156 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the expense shock (as defined in TS.XI.F). A reduction in this net asset value should be entered as a negative figure. 69. Firms should also enter in Cell E156 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this expense shock. 70. Please state in Cell D160 of Tab I.Scenarios whether the criteria for application of a simplification for expense risk are satisfied, and in Cell D161 of Tab I.Scenarios approach should be entered in Cells D158 and D159 of Tab I.Scenarios. 71. Data, where available, may also be entered in Cell F156 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Revision risk 72. Please enter in Cell D165 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the revision of reviewable annuities payable on certain types of non-life claims (as defined in TS.XI.G). A reduction in this net asset value should be entered as a negative figure. 73. Please state in Cell D168 of Tab I.Scenarios whether the criteria for application of a simplification for expense risk are satisfied, and in Cell D169 of Tab I.Scenarios approach should be entered in Cell D167 of Tab I.Scenarios. Life Cat risk 68. Please enter in Cell D173 of TabI.Scenarios the change in the value of assets less liabilities, ignoring any change in future bonuses, that results from the life catastrophe shock (as defined in TS.XI.H). A reduction in this net asset value should be entered as a negative figure.

11 69. Firms should also enter in Cell E173 of Tab I.Scenarios the change in the value of assets less liabilities, allowing for the corresponding change in future bonuses that could be made following this catastrophe shock. 70. Please state in Cell D177 of Tab I.Scenarios whether the criteria for application of a simplification for life catastrophe risk are satisfied, and in Cell D178 of Tab I.Scenarios approach should be entered in Cells D175 and D176 of Tab I.Scenarios. 71. Data, where available, may also be entered in Cell F173 of Tab I.Scenarios for the change in the value of assets less liabilities, allowing for a Lower boundary SCR approach to future bonuses as defined in TS.VI.H Accident and Health risk 72. We would not expect UK firms to complete Section 4 of the Tab I.Scenarios, other than Row 199 for any Cat risks on short-term health business. Non-life scenarios 73. Non-life firms should enter in Cell D247 (or Cell D199) of Tab I.Scenarios the results of the calculation of the effect of the Non-Life Cat scenarios (see TS.XIII.C), and state in Cells F247 (or F199) whether Method 2 or Method 3 (in TS.XIII.C) was applied. 7 Adjustment for Deferred Taxes 74. All firms should enter in Cell D253 of Tab I.Scenarios the amount of the deferred tax liability before the assumed SCR shock, and in cell E253 the amount of the expected deferred tax liability after the assumed SCR shock (which is needed to calculate the offset to the SCR as described in TS.VI.I) Alternative equivalent scenario for life firms 75. Life firms should enter the results of the calculation of the SCR applying an equivalent combined scenario in Rows of Tab I.Scenarios, and state in Cell D260 of Tab I.Scenarios whether the result of this combined scenario approach is to be used in the valuation of the SCR. Ring-fenced funds 76. Life firms should enter in Cells G265 and G266 of Tab I.Scenarios the number of ring-fenced funds and the amount of own funds held within these ring-fenced funds. They should then enter in Rows 275 onwards the name of each fund (Column B), the amount of own funds within each ring-fenced funds (Column D), and the SCR calculated in respect of each ring-fenced fund (Column E). 7 If Method 1 is to be applied, then please leave Cells F247 and F199 blank.

12 Step 5 Balance sheet and Own funds {Tab I.General} 77. Please complete the Balance sheet with the Assets shown on Rows of Tab I.General and the Liabilities on Rows of Tab I.General. 78. Please enter the amount of Solvency I available capital and the Solvency I required margin of solvency and MGF in Rows of Tab I.General. 79. Data on the value of intangible assets may be entered in Rows of Tab I.General. 80. Data on the composition of the QIS4 reinsurance asset should be entered, where possible, in Rows of Tab I.General. 81. Data on the value of each type of participation should be entered, in the relevant line on Rows of Tab I.General. 82. Data on the composition of own funds of participations that are valued on a lookthrough basis, should be entered, where available, in Rows of Tab I.General. 83. Data on the composition of investments in securities should be entered, where possible, in Rows of Tab I.General 84. Information on the approach adopted to the valuation of each category of assets may be entered in Rows of Tab I.General. 85. Please enter data on the composition of own funds by category and Tier in Rows of Tab I.General. 86. Information about any unbudgeted supplementary calls made by mutuals should be entered in Rows of Tab I.General. 87. Please enter the specific information requested about hybrid capital instruments forming part of own funds in Rows of Tab I.General. This information is needed to help CEIOPS refine the proposed rules for the classification of these instruments. 88. Data about the composition of liabilities may be entered in Rows of Tab I.General. 89. The average duration of liabilities should be entered in Cell D259 of Tab I.General. 90. Life firms should enter the totals for the data included in Rows of Tab I.Life, as described in paragraph 12 above. 91. Life firms should enter data for with-profit policies showing the composition of the QIS4 provisions for these policies in Rows of Tab I.General.

13 92. Please enter the total amount of the risk margin 8 (net of reinsurance) in the provisions (as calculated in accordance with TS.II.C) in Cell E277 of Tab I.General. 93. The amount of any additional risk margin for financial risk (see paragraph TS.II.A.30 of the specification) should be entered in Cell E278 of Tab I.General The amount of any risk margin (net of reinsurance) that has been assessed by an internal model should be entered in Cell E280 of Tab I.General. 95. Information on the approach adopted to the valuation of each category of liabilities may be entered in Rows of Tab I.General. 8 Helper tabs for this calculation are available on the FSA website 9 This part of the specification was included to reflect the potential model/parameter error that may exist, when a model is applied to value options and guarantees on life policies, but there are no readily available market prices against which to assess the validity of the model output (eg for long duration guarantees). Some firms may already allow for this potential uncertainty when parameterising their models, in which case no separate figure is required, but otherwise, an additional risk margin should be assessed by firms (applying their own methodology) for QIS4 and entered here in the spreadsheet.

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