Transcription

1 2014 Head office: Ballam Road, Lytham St.Annes, FY8 4JZ Annual PRA Insurance Returns for the year ended 31 December 2014 IPRU(INS) Appendices 9.1, 9.2, 9.3, 9.4, 9.4A, 9.5, 9.6

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3 Balance Sheet and Profit and Loss Account Contents Form 1 Statement of solvency - general insurance business 1 Form 2 Statement of solvency - long-term insurance business 2 Form 3 Components of capital resources 3 Form 11 Calculation of general insurance capital requirement - premiums 6 amount and brought forward amount Form 12 Calculation of general insurance capital requirement - claims 8 amount and result Form 13 Analysis of admissible assets 10 Form 14 Long term insurance business liabilities and margins 25 Form 15 Liabilities (other than long term insurance business) 29 Form 16 Profit and loss account (non-technical account) 30 Form 17 Analysis of derivative contracts 31 Form 18 With-profits insurance capital component for the fund 34 Form 19 Realistic balance sheet 35 General Insurance Business: Revenue Account and Additional Information Form 20A Summary of business carried on 37 Form 20 Technical account (excluding equalisation provisions) 40 Form 24 Underwriting year accounting: Analysis of premiums, claims and 47 expenses Form 25 Underwriting year accounting: Analysis of technical provisions 54 Long Term Insurance Business: Revenue Account and Additional Information Form 40 Revenue account 61 Form 41 Analysis of premiums 65 Form 42 Analysis of claims 69 Form 43 Analysis of expenses 73 Form 44 Linked funds balance sheet 77 Form 45 Revenue account for internal linked funds 78 Form 46 Summary of new business 79 Form 47 Analysis of new business 80 Form 48 Assets not held to match linked liabilities 84 Form 49 Fixed and variable interest assets 88 Form 50 Summary of mathematical reserves 92 Form 51 Valuation summary of non-linked contracts (other than 96 accumulating with-profits contracts) Form 52 Valuation summary of accumulating with-profits contracts 116 Form 53 Valuation summary of property linked contracts 121 Form 54 Valuation summary of index linked contracts 135 Form 55 Unit prices for internal linked funds 141 Form 57 Analysis of valuation interest rate 142 Form 58 Distribution of surplus 145 Form 59A/B With-profits payouts on maturity / surrender 149 Form 60 Long-term insurance capital requirement 151 Supplementary notes to the return 152 Additional information on reinsurance business 164 Additional information on derivative contracts 169

4 Additional information on controllers 170 Abstract of the Valuation Report 171 Abstract of the Realistic Report 182 Statement of information on the with-profits actuary 190 Directors' Certificate 191 Auditor's Report 192

5 Form 1 Statement of solvency - general insurance business Global business Adjusted solo solvency calculation Company GL/ registration UK/ day month year Units number CM R GL As at end of this financial year As at end of the previous year 1 2 Capital resources Capital resources arising outside the long-term insurance fund Capital resources allocated towards long-term insurance business arising outside the long-term insurance fund Capital resources available to cover general insurance business capital resources requirement (11-12) Guarantee fund Guarantee fund requirement Excess (deficiency) of available capital resources to cover guarantee fund requirement Minimum capital requirement (MCR) General insurance capital requirement Base capital resources requirement Individual minimum capital requirement Capital requirements of regulated related undertakings 35 Minimum capital requirement (34+35) Excess (deficiency) of available capital resources to cover 50% of MCR Excess (deficiency) of available capital resources to cover 75% of MCR Capital resources requirement (CRR) Capital resources requirement Excess (deficiency) of available capital resources to cover general insurance business CRR (13-41) Contingent liabilities Quantifiable contingent liabilities in respect of other than long-term insurance business as shown in a supplementary note to Form

6 Form 2 Statement of solvency - long-term insurance business Global business Adjusted solo solvency calculation Company GL/ registration UK/ day month year Units number CM R GL As at end of this financial year As at end of the previous year 1 2 Capital resources Capital resources arising within the long-term insurance fund Capital resources allocated towards long-term insurance business arising outside the long-term insurance fund Capital resources available to cover long-term insurance business capital resources requirement (11+12) Guarantee fund Guarantee fund requirement Excess (deficiency) of available capital resources to cover guarantee fund requirement Minimum capital requirement (MCR) Long-term insurance capital requirement Resilience capital requirement 32 Base capital resources requirement Individual minimum capital requirement Capital requirements of regulated related undertakings Minimum capital requirement (34+35) Excess (deficiency) of available capital resources to cover 50% of MCR Excess (deficiency) of available capital resources to cover 75% of MCR Enhanced capital requirement With-profits insurance capital component Enhanced capital requirement Capital resources requirement (CRR) Capital resources requirement (greater of 36 and 40) Excess (deficiency) of available capital resources to cover long-term insurance business CRR (13-41) Contingent liabilities Quantifiable contingent liabilities in respect of long-term insurance business as shown in a supplementary note to Form

7 Components of capital resources Form 3 (Sheet 1) Global business Company GL/ registration UK/ day month year Units number CM R GL Core tier one capital General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year Permanent share capital Profit and loss account and other reserves Share premium account Positive valuation differences Fund for future appropriations Core tier one capital in related undertakings (45653) (45653) Core tier one capital (sum of 11 to 16) Tier one waivers Unpaid share capital / unpaid initial funds and calls for supplementary contributions Implicit Items 22 Tier one waivers in related undertakings Total tier one waivers as restricted ( ) 24 Other tier one capital Perpetual non-cumulative preference shares as restricted Perpetual non-cumulative preference shares in related undertakings Innovative tier one capital as restricted Innovative tier one capital in related undertakings Total tier one capital before deductions ( ) Investments in own shares Intangible assets Amounts deducted from technical provisions for discounting Other negative valuation differences Deductions in related undertakings Deductions from tier one (32 to 36) Total tier one capital after deductions (31-37)

8 Components of capital resources Form 3 (Sheet 2) Global business Tier two capital Company GL/ registration UK/ day month year Units number CM R GL General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year Implicit items, (tier two waivers and amounts excluded from line 22) Perpetual non-cumulative preference shares excluded from line 25 Innovative tier one capital excluded from line 27 Tier two waivers, innovative tier one capital and perpetual noncumulative preference shares treated as tier two capital (41 to 43) Perpetual cumulative preference shares Perpetual subordinated debt and securities Upper tier two capital in related undertakings 47 Upper tier two capital (44 to 47) 49 Fixed term preference shares 51 Other tier two instruments 52 Lower tier two capital in related undertakings 53 Lower tier two capital ( ) 59 Total tier two capital before restrictions (49+59) 61 Excess tier two capital 62 Further excess lower tier two capital Total tier two capital after restrictions, before deductions ( )

9 Components of capital resources Form 3 (Sheet 3) Global business Total capital resources Company GL/ registration UK/ day month year Units number CM R GL General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year Positive adjustments for regulated non-insurance related undertakings Total capital resources before deductions ( ) Inadmissible assets other than intangibles and own shares Assets in excess of market risk and counterparty limits Deductions for related ancillary services undertakings Deductions for regulated non-insurance related undertakings Deductions of ineligible surplus capital Total capital resources after deductions ( ) Available capital resources for GENPRU/INSPRU tests Available capital resources for guarantee fund requirement Available capital resources for 50% MCR requirement Available capital resources for 75% MCR requirement Financial engineering adjustments Implicit items Financial reinsurance - ceded Financial reinsurance - accepted Outstanding contingent loans Any other charges on future profits Sum of financial engineering adjustments ( )

10 Form 11 Calculation of general insurance capital requirement - premiums amount and brought forward amount Global business General insurance business Company GL/ registration UK/ day month year Units number CM R GL Gross premiums written Premiums taxes and levies (included in line 11) Premiums written net of taxes and levies (11-12) Premiums for classes 11, 12 or 13 (included in line 13) Premiums for "actuarial health insurance" (included in line 13) Sub-total A (13 + 1/2 14-2/3 15) Gross premiums earned Premium taxes and levies (included in line 21) Premiums earned net of taxes and levies (21-22) Premiums for classes 11, 12 or 13 (included in line 23) Premiums for "actuarial health insurance" (included in line 23) Sub-total H (23 + 1/2 24-2/3 25) Sub-total I (higher of sub-total A and sub-total H) Adjusted sub-total I if financial year is not a 12 month period to produce an annual figure Division of gross adjusted premiums amount sub-total I (or adjusted sub-total I if appropriate) x 0.18 Excess (if any) over 61.3M EURO x This financial year Previous year 1 2 Sub-total J (32-33) Claims paid in period of 3 financial years Claims outstanding carried forward at the end of the 3 year period Claims outstanding brought forward at the beginning of the 3 year period Sub-total C ( ) For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis Amounts recoverable from reinsurers in respect of claims included in Sub-total C Sub-total D (46-47) Reinsurance Ratio (Sub-total D /sub-total C or, if more, 0.50 or, if less, 1.00) Premiums amount (Sub-total J x reinsurance ratio) Provision for claims outstanding (before discounting and net of reinsurance Provision for claims outstanding (before discounting and gross of reinsurance) if both 51.1 and 51.2 are zero, otherwise zero Brought forward amount (See instruction 4) Greater of lines 50 and (186) (3115) (187)

11 Form 11 Calculation of general insurance capital requirement - premiums amount and brought forward amount Global business Long term insurance business Company GL/ registration UK/ day month year Units number CM R GL Gross premiums written Premiums taxes and levies (included in line 11) Premiums written net of taxes and levies (11-12) Premiums for classes 11, 12 or 13 (included in line 13) Premiums for "actuarial health insurance" (included in line 13) Sub-total A (13 + 1/2 14-2/3 15) Gross premiums earned Premium taxes and levies (included in line 21) Premiums earned net of taxes and levies (21-22) Premiums for classes 11, 12 or 13 (included in line 23) Premiums for "actuarial health insurance" (included in line 23) Sub-total H (23 + 1/2 24-2/3 25) Sub-total I (higher of sub-total A and sub-total H) Adjusted sub-total I if financial year is not a 12 month period to produce an annual figure Division of gross adjusted premiums amount sub-total I (or adjusted sub-total I if appropriate) Sub-total J (32-33) Claims paid in period of 3 financial years Claims outstanding carried forward at the end of the 3 year period Claims outstanding brought forward at the beginning of the 3 year period Sub-total C ( ) x 0.18 Excess (if any) over 61.3M EURO x 0.02 For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis Amounts recoverable from reinsurers in respect of claims included in Sub-total C Sub-total D (46-47) Reinsurance Ratio (Sub-total D /sub-total C or, if more, 0.50 or, if less, 1.00) Premiums amount (Sub-total J x reinsurance ratio) Provision for claims outstanding (before discounting and net of reinsurance Provision for claims outstanding (before discounting and gross of reinsurance) if both 51.1 and 51.2 are zero, otherwise zero Brought forward amount (See instruction 4) Greater of lines 50 and 53 This financial year Previous year

12 Form 12 Calculation of general insurance capital requirement - claims amount and result Global business General insurance business Company GL/ registration UK/ day month year Units number CM R GL Reference period (No. of months) See INSPRU R Claims paid in reference period This financial year Previous year Claims outstanding carried forward at the end of the reference period Claims outstanding brought forward at the beginning of the reference period For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis Claims incurred in reference period ( ) Claims incurred for classes 11, 12 or 13 (included in 26) Claims incurred for "actuarial health insurance" (included in 26) Sub-total E (26 +1/2 27-2/3 28) Sub-total F - Conversion of sub-total E to annual figure (multiply by 12 and divide by number of months in the reference period) (186) (186) (62) Division of sub-total F (gross adjusted claims amount) Sub-total G (32-33) x 0.26 Excess (if any) over 42.9M EURO x (16) (16) Claims amount Sub-total G x reinsurance ratio (11.49) Higher of premiums amount and brought forward amount (11.54) General insurance capital requirement (higher of lines 41 and 42) (16)

13 Form 12 Calculation of general insurance capital requirement - claims amount and result Global business Long term insurance business Company GL/ registration UK/ day month year Units number CM R GL Reference period (No. of months) See INSPRU R Claims paid in reference period This financial year Previous year Claims outstanding carried forward at the end of the reference period Claims outstanding brought forward at the beginning of the reference period For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis For insurance business accounted for on an underwriting year basis For insurance business accounted for on an accident year basis Claims incurred in reference period ( ) Claims incurred for classes 11, 12 or 13 (included in 26) Claims incurred for "actuarial health insurance" (included in 26) Sub-total E (26 +1/2 27-2/3 28) Sub-total F - Conversion of sub-total E to annual figure (multiply by 12 and divide by number of months in the reference period) Division of sub-total F (gross adjusted claims amount) Sub-total G (32-33) x 0.26 Excess (if any) over 42.9M EURO x Claims amount Sub-total G x reinsurance ratio (11.49) Higher of premiums amount and brought forward amount (11.54) General insurance capital requirement (higher of lines 41 and 42)

14 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests UK insurance dependants Other insurance dependants Non-insurance dependants Other group undertakings Participating interests Shares Shares Shares Shares Shares Debts and loans Debts and loans Debts and loans Debts and loans Debts and loans Other financial investments Equity shares 41 Other shares and other variable yield participations 42 Holdings in collective investment schemes Rights under derivative contracts 44 Fixed interest securities Variable interest securities Approved Approved Other Other Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits More than one month withdrawal Other financial investments 56 Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal Index linked Property linked

15 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87)

16 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) (1856) (429) Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance

17 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests UK insurance dependants Other insurance dependants Non-insurance dependants Other group undertakings Participating interests Shares Shares Shares Shares Shares Debts and loans Debts and loans Debts and loans Debts and loans Debts and loans Other financial investments Equity shares Other shares and other variable yield participations 42 Holdings in collective investment schemes Rights under derivative contracts Fixed interest securities Variable interest securities Approved Approved Other Other Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits More than one month withdrawal Other financial investments Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal Index linked Property linked

18 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87)

19 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance

20 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets With Profits Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Land and buildings 11 Investments in group undertakings and participating interests Shares 21 UK insurance dependants Debts and loans 22 Shares 23 Other insurance dependants Debts and loans 24 Shares 25 Non-insurance dependants Debts and loans 26 Shares 27 Other group undertakings Debts and loans 28 Shares 29 Participating interests Debts and loans 30 Other financial investments 1 2 Equity shares Other shares and other variable yield participations 42 Holdings in collective investment schemes Rights under derivative contracts Fixed interest securities Variable interest securities Approved Approved Other Other Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits More than one month withdrawal Other financial investments 56 Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal Index linked Property linked

21 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets With Profits Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87)

22 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets With Profits Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) (312) Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance

23 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Non-Profit Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests UK insurance dependants Other insurance dependants Non-insurance dependants Other group undertakings Participating interests Shares Shares Shares Shares Shares Debts and loans Debts and loans Debts and loans Debts and loans Debts and loans Other financial investments Equity shares Other shares and other variable yield participations 42 Holdings in collective investment schemes Rights under derivative contracts Fixed interest securities Variable interest securities Approved Approved Other Other Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits More than one month withdrawal Other financial investments Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal Index linked Property linked

24 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Non-Profit Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87)

25 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Non-Profit Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance

26 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Permanent Health Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests Shares 21 UK insurance dependants Debts and loans 22 Shares 23 Other insurance dependants Debts and loans 24 Shares 25 Non-insurance dependants Debts and loans 26 Shares 27 Other group undertakings Debts and loans 28 Shares 29 Participating interests Debts and loans 30 Other financial investments Equity shares 41 Other shares and other variable yield participations 42 Holdings in collective investment schemes 43 Rights under derivative contracts 44 Approved Fixed interest securities Other Approved 47 Variable interest securities Other 48 Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits More than one month withdrawal Other financial investments 56 Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal Index linked Property linked

27 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Permanent Health Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months (4) Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87)

28 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Permanent Health Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance

29 Long term insurance business liabilities and margins Form 14 Global business Total business Summary Units 000 As at end of As at end of this financial the previous year year 1 2 Mathematical reserves, after distribution of surplus Cash bonuses which had not been paid to policyholders prior to end of the financial year Balance of surplus/(valuation deficit) Long term insurance business fund carried forward (11 to 13) Claims outstanding Provisions 12 Gross Reinsurers' share Net (15-16) Taxation Other risks and charges 22 Deposits received from reinsurers 23 Creditors Debenture loans Direct insurance business Reinsurance accepted Reinsurance ceded Secured 34 Unsecured 35 Amounts owed to credit institutions Creditors Taxation Other Accruals and deferred income 39 Provision for "reasonably foreseeable adverse variations" Total other insurance and non-insurance liabilities (17 to 41) Excess of the value of net admissible assets Total liabilities and margins Amounts included in line 59 attributable to liabilities to related companies, other than those under contracts of insurance or reinsurance Amounts included in line 59 attributable to liabilities in respect of property linked benefits Total liabilities ( ) Increase to liabilities - DAC related Reinsurers' share of technical provisions Other adjustments to liabilities (may be negative) Capital and reserves and fund for future appropriations Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (71 to 75)

30 Long term insurance business liabilities and margins Form 14 Global business Sub fund With Profits Fund Units 000 As at end of As at end of this financial the previous year year 1 2 Mathematical reserves, after distribution of surplus Cash bonuses which had not been paid to policyholders prior to end of the financial year Balance of surplus/(valuation deficit) Long term insurance business fund carried forward (11 to 13) Claims outstanding Provisions 12 Gross Reinsurers' share Net (15-16) Taxation Other risks and charges 22 Deposits received from reinsurers 23 Creditors Debenture loans Direct insurance business Reinsurance accepted 32 Reinsurance ceded Secured 34 Unsecured 35 Amounts owed to credit institutions Creditors Taxation Other Accruals and deferred income 39 Provision for "reasonably foreseeable adverse variations" Total other insurance and non-insurance liabilities (17 to 41) Excess of the value of net admissible assets Total liabilities and margins Amounts included in line 59 attributable to liabilities to related companies, other than those under contracts of insurance or reinsurance Amounts included in line 59 attributable to liabilities in respect of property linked benefits Total liabilities ( ) Increase to liabilities - DAC related Reinsurers' share of technical provisions Other adjustments to liabilities (may be negative) Capital and reserves and fund for future appropriations Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (71 to 75)

31 Long term insurance business liabilities and margins Form 14 Global business Sub fund Non-Profit Fund Units 000 As at end of As at end of this financial the previous year year 1 2 Mathematical reserves, after distribution of surplus Cash bonuses which had not been paid to policyholders prior to end of the financial year Balance of surplus/(valuation deficit) Long term insurance business fund carried forward (11 to 13) Claims outstanding Provisions 12 Gross Reinsurers' share 16 Net (15-16) Taxation Other risks and charges 22 Deposits received from reinsurers 23 Creditors Debenture loans Direct insurance business 31 Reinsurance accepted Reinsurance ceded 33 Secured 34 Unsecured 35 Amounts owed to credit institutions Creditors Taxation Other Accruals and deferred income 39 Provision for "reasonably foreseeable adverse variations" Total other insurance and non-insurance liabilities (17 to 41) Excess of the value of net admissible assets Total liabilities and margins Amounts included in line 59 attributable to liabilities to related companies, other than those under contracts of insurance or reinsurance Amounts included in line 59 attributable to liabilities in respect of property linked benefits Total liabilities ( ) Increase to liabilities - DAC related Reinsurers' share of technical provisions Other adjustments to liabilities (may be negative) Capital and reserves and fund for future appropriations Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (71 to 75)

32 Long term insurance business liabilities and margins Form 14 Global business Sub fund Permanent Health Fund Units 000 As at end of As at end of this financial the previous year year 1 2 Mathematical reserves, after distribution of surplus Cash bonuses which had not been paid to policyholders prior to end of the financial year Balance of surplus/(valuation deficit) Long term insurance business fund carried forward (11 to 13) Claims outstanding Provisions 12 Gross 15 Reinsurers' share 16 Net (15-16) 17 Taxation 21 Other risks and charges 22 Deposits received from reinsurers 23 Creditors Debenture loans Direct insurance business 31 Reinsurance accepted 32 Reinsurance ceded Secured 34 Unsecured 35 Amounts owed to credit institutions 36 Creditors Taxation Other Accruals and deferred income 39 Provision for "reasonably foreseeable adverse variations" Total other insurance and non-insurance liabilities (17 to 41) Excess of the value of net admissible assets 51 Total liabilities and margins Amounts included in line 59 attributable to liabilities to related companies, other than those under contracts of insurance or reinsurance Amounts included in line 59 attributable to liabilities in respect of property linked benefits 61 (1) 8 62 Total liabilities ( ) Increase to liabilities - DAC related Reinsurers' share of technical provisions Other adjustments to liabilities (may be negative) 74 Capital and reserves and fund for future appropriations Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (71 to 75)

33 Form 15 Liabilities (other than long term insurance business) Global business Company GL/ registration UK/ day month year Units number CM R GL Technical provisions (gross amount) As at end of As at end of this financial the previous year year 1 2 Provisions for unearned premiums 11 Claims outstanding Provision for unexpired risks 13 Equalisation provisions Credit business 14 Other than credit business 15 Other technical provisions 16 Total gross technical provisions (11 to 16) Provisions and creditors Provisions Taxation 21 Other risks and charges 22 Deposits received from reinsurers 31 Creditors Debenture loans Direct insurance business Reinsurance accepted Reinsurance ceded 43 Secured 44 Unsecured 45 Amounts owed to credit institutions 46 Creditors Taxation Foreseeable dividend 48 Other Accruals and deferred income 51 Total (19 to 51) Provision for "reasonably foreseeable adverse variations" 61 Cumulative preference share capital 62 Subordinated loan capital 63 Total (59 to 63) Amounts included in line 69 attributable to liabilities to related insurers, other than those under contracts of insurance or reinsurance Amounts deducted from technical provisions for discounting 82 Other adjustments (may be negative) 83 (1856) (429) Capital and reserves Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting ( )

34 Form 16 Profit and loss account (non-technical account) Global business Company GL/ registration UK/ day month year Units number CM R GL This financial year Previous year 1 2 Transfer (to)/from the general insurance business technical account From Form (6833) (663) Equalisation provisions 12 Transfer from the long term insurance business revenue account Income Value re-adjustments on Investment income investments Gains on the realisation of investments Investment management charges, including interest Value re-adjustments on Investment charges investments Loss on the realisation of investments Allocated investment return transferred to the general insurance business technical account Other income and charges (particulars to be specified by way of supplementary note) Profit or loss on ordinary activities before tax ( ) (2613) Tax on profit or loss on ordinary activities 31 (784) (686) Profit or loss on ordinary activities after tax (29-31) Extraordinary profit or loss (particulars to be specified by way of supplementary note) 41 Tax on extraordinary profit or loss 42 Other taxes not shown under the preceding items 43 Profit or loss for the financial year (39+41-(42+43)) Dividends (paid or foreseeable) Profit or loss retained for the financial year (49-51)

35 Form 17 Analysis of derivative contracts Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R GL Derivative contracts Value as at the end of this financial year Notional amount as at the end of this financial year Futures and contracts for differences In the money options Out of the money options Assets Liabilities Bought / Long Sold / Short Interest rates Inflation 13 Credit index / basket Credit single name 15 Equity stock 17 Land Currencies Mortality 20 Other 21 Swaptions 31 Equity index calls 32 Equity stock calls 33 Equity index puts 34 Equity stock puts 35 Other 36 Swaptions Equity index calls 42 Equity stock calls 43 Equity index puts Equity stock puts 45 Other 46 Total (11 to 46) Adjustment for variation margin Total ( ) Fixed-interest securities Equity index 52 (34137) (34257) THE NOTIONAL AMOUNTS IN COLUMNS 3 AND 4 ARE NOT A MEASURE OF EXPOSURE. Please see instructions 11 and 12 to this Form for the meaning of these figures. 31

36 Form 17 Analysis of derivative contracts Global business Category of assets With Profits Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL Derivative contracts Value as at the end of this financial year Notional amount as at the end of this financial year Futures and contracts for differences In the money options Out of the money options Assets Liabilities Bought / Long Sold / Short Interest rates Inflation 13 Credit index / basket 14 Credit single name 15 Equity stock 17 Land 18 Currencies 19 Mortality 20 Other 21 Swaptions Equity index calls 32 Equity stock calls 33 Equity index puts 34 Equity stock puts 35 Other 36 Swaptions Equity index calls 42 Equity stock calls 43 Equity index puts Equity stock puts 45 Other 46 Total (11 to 46) Adjustment for variation margin Total ( ) Fixed-interest securities Equity index 52 (1375) (1007) THE NOTIONAL AMOUNTS IN COLUMNS 3 AND 4 ARE NOT A MEASURE OF EXPOSURE. Please see instructions 11 and 12 to this Form for the meaning of these figures. 32

37 Form 17 Analysis of derivative contracts Global business Category of assets Non-Profit Fund Company GL/ Category registration UK/ day month year Units of number CM assets R GL Derivative contracts Value as at the end of this financial year Notional amount as at the end of this financial year Futures and contracts for differences In the money options Out of the money options Assets Liabilities Bought / Long Sold / Short Interest rates Inflation 13 Credit index / basket Credit single name 15 Equity stock 17 Land Currencies Mortality 20 Other 21 Swaptions 31 Equity index calls 32 Equity stock calls 33 Equity index puts 34 Equity stock puts 35 Other 36 Swaptions Equity index calls 42 Equity stock calls 43 Equity index puts Equity stock puts 45 Other 46 Total (11 to 46) Adjustment for variation margin Total ( ) Fixed-interest securities Equity index 52 (32762) (33250) THE NOTIONAL AMOUNTS IN COLUMNS 3 AND 4 ARE NOT A MEASURE OF EXPOSURE. Please see instructions 11 and 12 to this Form for the meaning of these figures. 33

38 Form 18 With-profits insurance capital component for the fund With-profits fund With Profits Fund Units 000 As at end of As at end of this financial year the previous year 1 2 Regulatory excess capital Regulatory value of assets Regulatory value of liabilities Long-term admissible assets of the fund Implicit items allocated to the fund Mathematical reserves in respect of the fund's non-profit insurance contracts Long-term admissible assets of the fund covering the LTICR of the fund's non-profit insurance contracts Long-term admissible assets of the fund covering the RCR of the fund's non-profit insurance contracts Total (11+12-( )) Mathematical reserves (after distribution of surplus) in respect of the fund's with-profits insurance contracts Regulatory current liabilities of the fund Total (21+22) Long-term insurance capital requirement in respect of the fund's with-profits insurance contracts Resilience capital requirement in respect of the fund's with-profits insurance contracts Sum of regulatory value of liabilities, LTICR and RCR ( ) Regulatory excess capital (19-39) Realistic excess capital Realistic excess capital 51 Excess assets allocated to with-profits insurance business Excess (deficiency) of assets allocated to with-profits insurance business in fund (49-51) Face amount of capital instruments attributed to the fund and included in capital resources (unstressed) Realistic amount of capital instruments attributed to the fund and included in capital resources (stressed) Present value of future shareholder transfers arising from distribution of surplus Present value of other future internal transfers not already taken into account With-profits insurance capital component for fund (if 62 exceeds 63, greater of and zero, else greater of and zero)

39 Form 19 Realistic balance sheet (Sheet 1) With-profits fund With Profits Fund Units 000 Realistic value of assets available to the fund Regulatory value of assets Implicit items allocated to the fund Value of shares in subsidiaries held in fund (regulatory) Excess admissible assets Present value of future profits (or losses) on non-profit insurance contracts written in the fund Value of derivatives and quasi-derivatives not already reflected in lines 11 to 22 Value of shares in subsidiaries held in fund (realistic) Prepayments made from the fund Realistic value of assets of fund ( (12+13)) Support arrangement assets Assets available to the fund (26+27) As at end of As at end of this financial year the previous year Realistic value of liabilities of fund With-profits benefit reserve Future policy related liabilities Past miscellaneous surplus attributed to with-profits benefits reserve Past miscellaneous deficit attributed to with-profits benefits reserve Planned enhancements to with-profits benefits reserve Planned deductions for the costs of guarantees, options and smoothing from with-profits benefits reserve Planned deductions for other costs deemed chargeable to with-profits benefits reserve Future costs of contractual guarantees (other than financial options) Future costs of non-contractual commitments Future costs of financial options Future costs of smoothing (possibly negative) Financing costs Any other liabilities related to regulatory duty to treat customers fairly Other long-term insurance liabilities Total ( ( )) Realistic current liabilities of the fund Realistic value of liabilities of fund ( )

40 Realistic balance sheet With-profits fund With Profits Fund Units 000 Form 19 (Sheet 2) As at end of As at end of this financial year the previous year 1 2 Realistic excess capital and additional capital available Value of relevant assets before applying the most adverse scenario other than the present value of future profits arising from business outside with-profits funds present value of future profits (or losses) on long-term insurance contracts written outside the fund included in the value of relevant assets before applying most adverse scenario Value of relevant assets before applying the most adverse scenario (62+63) Risk capital margin for fund (62-59) 65 Realistic excess capital for fund (26-(59+65)) 66 Realistic excess available capital for fund (29-(59+65)) 67 Working capital for fund (29-59) 68 Working capital ratio for fund (68/29) 69 Other assets potentially available if required to cover the fund's risk capital margin Additional amount potentially available for inclusion in line Additional amount potentially available for inclusion in line

41 Form 20A General insurance business : Summary of business carried on (Sheet 1) Global business Company registration number GL/ UK/ CM R20A GL day month year units Category number PRA return general insurance business reporting category Gross Premium written in this financial year Provision for undiscounted gross claims outstanding at the end of this financial year Reported Incurred but not reported Provision for gross unearned premium at the end of this financial year Total business Total primary (direct) and facultative business Total treaty reinsurance accepted business Total primary (direct) and facultative accident and health (category numbers 111 to 114) Total primary (direct) and facultative personal lines motor business (category numbers 121 to 123) Primary (direct) and facultative household and domestic all risks Total primary (direct) and facultative personal lines financial loss (category numbers 181 to 187) Total primary (direct) and facultative commercial motor business (category numbers 221 to 223) Total primary (direct) and facultative commercial lines property (category numbers 261 to 263) Total primary (direct) and facultative commercial lines liability business (category numbers 271 to 274) Total primary (direct) and facultative commercial lines financial loss (category numbers 281 to 284) Total primary (direct) and facultative aviation (category numbers 331 to 333) Total primary (direct) and facultative marine (category numbers 341 to 347) Total primary (direct) and facultative goods in transit Miscellaneous primary (direct) and facultative business Total non-proportional treaty reinsurance business accepted (category numbers 510 to 590) Total proportional treaty reinsurance business accepted (category numbers 610 to 690) Miscellaneous treaty reinsurance accepted business 18 Total (lines 4 to 18)

42 Form 20A General insurance business : Summary of business carried on (Sheet 2) Global business Company registration number GL/ UK/ CM day month year units R20A GL Category number PRA return general insurance business reporting category Gross Premium written in this financial year Provision for undiscounted gross claims outstanding at the end of this financial year Reported Incurred but not reported Provision for gross unearned premium at the end of this financial year Primary (direct) and facultative personal lines business 111 Medical insurance HealthCare cash plans Travel Personal accident or sickness Private motor - comprehensive Private motor - non-comprehensive Motor cycle Household and domestic all risks (equals line 6) Assistance Creditor Extended warranty Legal expenses Mortgage indemnity Pet insurance Other personal financial loss 35 Primary (direct) and facultative commercial lines business 221 Fleets Commercial vehicles (non-fleet) Motor other Commercial property Consequential loss Contractors or engineering all risks Employers liability Professional indemnity Public and products liability Mixed commercial package Fidelity and contract guarantee Credit Suretyship Commercial contingency 54 Primary (direct) and facultative aviation 331 Aviation liability Aviation hull Space and satellite 63 38

43 Form 20A General insurance business : Summary of business carried on (Sheet 3) Global business Company registration number GL/ UK/ CM day month year units R20A GL Category number PRA return general insurance business reporting category Gross Premium written in this financial year Provision for undiscounted gross claims outstanding at the end of this financial year Reported Incurred but not reported Provision for gross unearned premium at the end of this financial year Primary (direct) and facultative marine and transport 341 Marine liability Marine hull Energy (on and off-shore) Protection and indemnity Freight demurrage and defence War risks Yacht Total primary (direct) and facultative goods in transit (equals line 14) 71 Primary (direct) and facultative miscellaneous 400 Miscellaneous primary (direct) and facultative business (equals line 15) 72 Non-proportional treaty 510 Non-proportional accident and health Non-proportional motor Non-proportional aviation Non-proportional marine Non-proportional transport Non-proportional property Non-proportional liability (non-motor) Non-proportional financial lines Non-proportional aggregate cover 89 Proportional treaty 610 Proportional accident and health Proportional motor Proportional aviation Proportional marine Proportional transport Proportional property Proportional liability (non-motor) Proportional financial lines Proportional aggregate cover 99 Treaty Reinsurance Miscellaneous Miscellaneous treaty reinsurance accepted business (equals line 18) Total (lines 21 to 101)

44 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Total business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (6833) (663) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (6833) (663) Balance of all years' underwriting ( ) 49 (6833) (663) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (6833) (663) 40

45 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Total primary (direct) and facultative business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (5535) (459) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (5535) (459) Balance of all years' underwriting ( ) 49 (5535) (459) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (5535) (459) 41

46 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Total treaty reinsurance accepted business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (1298) (204) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (1298) (204) Balance of all years' underwriting ( ) 49 (1298) (204) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (1298) (204) 42

47 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Total primary (direct) and facultative commercial lines liability business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (5288) (296) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (5288) (296) Balance of all years' underwriting ( ) 49 (5288) (296) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (5288) (296) 43

48 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Balance of all primary (direct) and facultative business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (247) (163) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (247) (163) Balance of all years' underwriting ( ) 49 (247) (163) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (247) (163) 44

49 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Total non-proportional treaty reinsurance business accepted Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (1224) (193) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (1224) (193) Balance of all years' underwriting ( ) 49 (1224) (193) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (1224) (193) 45

50 Form 20 General insurance business : Technical account (excluding equalisation provisions) Global business Balance of all treaty reinsurance accepted business Company GL/ Category registration UK/ day month year Units number number CM R GL Items to be shown net of reinsurance This financial year Previous year 1 2 Earned premium ( ) 11 Claims incurred ( ) 12 This year's underwriting (accident year accounting) Claims management costs ( ) 13 Adjustment for discounting ( ) 14 Increase in provision for unexpired risks ( ) Other technical income or charges (particulars to be specified by way of supplementary note) Net operating expenses ( ) 17 Balance of year's underwriting ( ) 19 Earned premium ( ) 21 Claims incurred ( ) 22 Adjustment for prior years' underwriting (accident year accounting) Claims management costs ( ) 23 Adjustment for discounting ( ) 24 Other technical income or charges (particulars to be specified by way of supplementary note) 25 Net operating expenses ( ) 26 Balance ( ) 29 Balance from underwriting year accounting Per Form 24 ( ) 31 (74) (11) Other technical income or charges (particulars to be specified by way of supplementary note) 32 Total 39 (74) (11) Balance of all years' underwriting ( ) 49 (74) (11) Allocated investment income 51 Transfer to non-technical account (49+51) 59 (74) (11) 46

51 47 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Total business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (10500) (10500) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (112) (112) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (112) (112) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (3912) (3912) 69 (6833) (6833)

52 48 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Total primary (direct) and facultative business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (8008) (8008) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (76) (76) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (76) (76) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (2640) (2640) 69 (5535) (5535)

53 49 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Total treaty reinsurance accepted business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (2492) (2492) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (36) (36) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (36) (36) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (1272) (1272) 69 (1298) (1298)

54 50 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Total primary (direct) and facultative commercial lines liability business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (7536) (7536) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (63) (63) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (63) (63) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (2387) (2387) 69 (5288) (5288)

55 51 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Balance of all primary (direct) and facultative business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (472) (472) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (13) (13) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (13) (13) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (253) (253) 69 (247) (247)

56 52 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Total non-proportional treaty reinsurance business accepted Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (2409) (2409) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (33) (33) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (33) (33) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (1256) (1256) 69 (1224) (1224)

57 53 Form 24 General insurance business (underwriting year accounting) : Analysis of premiums, claims and expenses Global business Balance of all treaty reinsurance accepted business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Premiums written Claims paid Gross amount 11 Reinsurers' share Net (11-12) 19 (83) (83) Gross amount Reinsurers' share Net (21-22) Claims management costs 39 Commissions 41 Net operating expenses Other acquisition expenses 42 Administrative expenses 43 (3) (3) Reinsurers' commissions and profit participations 44 Payable net ( ) 49 (3) (3) Technical provisions Undiscounted Brought forward Adjustment for 52 discounting Undiscounted 53 Carried forward Adjustment for 54 discounting Increase (decrease) in the financial year ( ) Balance on each underwriting year ( ) 59 (16) (16) 69 (74) (74)

58 54 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Total business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

59 55 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Total primary (direct) and facultative business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

60 56 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Total treaty reinsurance accepted business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

61 57 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Total primary (direct) and facultative commercial lines liability business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

62 58 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Balance of all primary (direct) and facultative business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

63 59 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Total non-proportional treaty reinsurance business accepted Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

64 60 Form 25 General insurance business (underwriting year accounting) : Analysis of technical provisions Global business Balance of all treaty reinsurance accepted business Company registration number GL/ UK/ CM day month year Units Category number R GL Underwriting year ended Prior underwriting years MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY MM YY Total all previous columns Reported claims outstanding Claims incurred but not reported Gross amount Reinsurers' share Gross amount Reinsurers' share 14 Claims management costs 15 Adjustment for discounting Gross amount 16 Reinsurers' share 17 Claims management costs 18 Allocation to/(from) another risk category of anticipated surplus 19 Balance of the fund 20 Claims outstanding ( ) 21 Provision for unearned premiums 22 Provision for unexpired risks 23 Deferred acquisition costs 24 Other technical provisions (particulars to be specified by way of supplementary note) 25 Total ( ) 29

65 Form 40 Long-term insurance business : Revenue account Total business Summary Units 000 Financial year Previous year 1 2 Income Earned premiums Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets (249566) Other income Total income Expenditure Claims incurred (521849) Expenses payable Interest payable before the deduction of tax Taxation Other expenditure 25 Transfer to (from) non technical account Total expenditure (48737) Business transfers - in Business transfers - out 32 Increase (decrease) in fund in financial year ( ) Fund brought forward Fund carried forward (39+49)

66 Form 40 Long-term insurance business : Revenue account Subfund With Profits Fund Units 000 Financial year Previous year 1 2 Income Earned premiums Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets Other income Total income Expenditure Claims incurred (848566) Expenses payable Interest payable before the deduction of tax Taxation Other expenditure 25 Transfer to (from) non technical account Total expenditure (815518) Business transfers - in 31 Business transfers - out 32 Increase (decrease) in fund in financial year ( ) 39 (36892) Fund brought forward Fund carried forward (39+49)

67 Form 40 Long-term insurance business : Revenue account Subfund Non-Profit Fund Units 000 Financial year Previous year 1 2 Income Earned premiums Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets (271974) Other income Total income Expenditure Claims incurred Expenses payable Interest payable before the deduction of tax Taxation Other expenditure 25 Transfer to (from) non technical account Total expenditure Business transfers - in Business transfers - out 32 Increase (decrease) in fund in financial year ( ) Fund brought forward Fund carried forward (39+49)

68 Form 40 Long-term insurance business : Revenue account Subfund Permanent Health Fund Units 000 Financial year Previous year 1 2 Income Earned premiums Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets (298) 14 Other income 15 Total income Expenditure Claims incurred Expenses payable Interest payable before the deduction of tax Taxation (6) 19 Other expenditure 25 Transfer to (from) non technical account Total expenditure Business transfers - in 31 Business transfers - out 32 Increase (decrease) in fund in financial year ( ) 39 (1336) (2117) Fund brought forward Fund carried forward (39+49)

69 Form 41 Long-term insurance business : Analysis of premiums Total business Summary Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Regular premiums Single premiums Reinsurance - external Regular premiums Single premiums 14 2 Reinsurance - intra-group Regular premiums Single premiums Net of reinsurance Regular premiums Single premiums Total Gross Reinsurance Net

70 Form 41 Long-term insurance business : Analysis of premiums Subfund With Profits Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Regular premiums Single premiums Reinsurance - external Regular premiums Single premiums 14 Reinsurance - intra-group Regular premiums Single premiums Net of reinsurance Regular premiums (7323) Single premiums (3971) Total Gross Reinsurance Net (11294)

71 Form 41 Long-term insurance business : Analysis of premiums Subfund Non-Profit Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Regular premiums Single premiums Reinsurance - external Regular premiums Single premiums 14 2 Reinsurance - intra-group Regular premiums (3971) (1801) 533 Single premiums 16 Net of reinsurance Regular premiums Single premiums Total Gross Reinsurance (499) Net

72 Form 41 Long-term insurance business : Analysis of premiums Subfund Permanent Health Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Regular premiums Single premiums 12 Reinsurance - external Regular premiums Single premiums 14 Reinsurance - intra-group Regular premiums Single premiums 16 Net of reinsurance Regular premiums Single premiums 18 Total Gross Reinsurance Net

73 Long-term insurance business : Analysis of claims Form 42 Total business Summary Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity Total Reinsurance - external Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity 25 Total Reinsurance - intra-group Death or disability lump sums Disability periodic payments Surrender or partial surrender 33 Annuity payments Lump sums on maturity Total Net of reinsurance Death or disability lump sums Disability periodic payments Surrender or partial surrender ( ) Annuity payments Lump sums on maturity Total (521849) 69

74 Long-term insurance business : Analysis of claims Form 42 Subfund With Profits Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity Total Reinsurance - external Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity 25 Total Reinsurance - intra-group Death or disability lump sums Disability periodic payments Surrender or partial surrender 33 Annuity payments 34 Lump sums on maturity Total Net of reinsurance Death or disability lump sums Disability periodic payments Surrender or partial surrender ( ) Annuity payments Lump sums on maturity Total (848566) 70

75 Long-term insurance business : Analysis of claims Form 42 Subfund Non-Profit Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity Total Reinsurance - external Death or disability lump sums Disability periodic payments Surrender or partial surrender Annuity payments Lump sums on maturity 25 Total Reinsurance - intra-group Death or disability lump sums Disability periodic payments Surrender or partial surrender 33 Annuity payments Lump sums on maturity Total Net of reinsurance Death or disability lump sums Disability periodic payments Surrender or partial surrender (104250) Annuity payments Lump sums on maturity Total

76 Long-term insurance business : Analysis of claims Form 42 Subfund Permanent Health Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Death or disability lump sums 11 Disability periodic payments Surrender or partial surrender 13 Annuity payments 14 Lump sums on maturity 15 Total Reinsurance - external Death or disability lump sums 21 Disability periodic payments Surrender or partial surrender 23 Annuity payments 24 Lump sums on maturity 25 Total Reinsurance - intra-group Death or disability lump sums 31 Disability periodic payments Surrender or partial surrender 33 Annuity payments 34 Lump sums on maturity 35 Total Net of reinsurance Death or disability lump sums 41 Disability periodic payments Surrender or partial surrender 43 Annuity payments 44 Lump sums on maturity 45 Total

77 Form 43 Long-term insurance business : Analysis of expenses Total business Summary Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Commission - acquisition Commission - other Management - acquisition Management - maintenance Management - other 15 Total Reinsurance - external Commission - acquisition 21 Commission - other Management - acquisition 23 Management - maintenance 24 Management - other 25 Total Reinsurance - intra-group Commission - acquisition Commission - other Management - acquisition 33 Management - maintenance 34 4 (10) (6) 1789 Management - other 35 Total Net of reinsurance Commission - acquisition Commission - other Management - acquisition Management - maintenance Management - other 45 Total

78 Form 43 Long-term insurance business : Analysis of expenses Subfund With Profits Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Commission - acquisition Commission - other Management - acquisition 13 Management - maintenance Management - other 15 Total Reinsurance - external Commission - acquisition 21 Commission - other Management - acquisition 23 Management - maintenance 24 Management - other 25 Total Reinsurance - intra-group Commission - acquisition Commission - other Management - acquisition 33 Management - maintenance Management - other 35 Total Net of reinsurance Commission - acquisition Commission - other Management - acquisition 43 Management - maintenance Management - other 45 Total

79 Form 43 Long-term insurance business : Analysis of expenses Subfund Non-Profit Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Commission - acquisition Commission - other Management - acquisition Management - maintenance Management - other 15 Total Reinsurance - external Commission - acquisition 21 Commission - other 22 Management - acquisition 23 Management - maintenance 24 Management - other 25 Total 26 Reinsurance - intra-group Commission - acquisition 31 Commission - other 32 Management - acquisition 33 Management - maintenance 34 (667) (3313) (3980) (2374) Management - other 35 Total 36 (667) (3313) (3980) (2374) Net of reinsurance Commission - acquisition Commission - other Management - acquisition Management - maintenance Management - other 45 Total

80 Form 43 Long-term insurance business : Analysis of expenses Subfund Permanent Health Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Commission - acquisition 11 Commission - other Management - acquisition 13 Management - maintenance Management - other 15 Total Reinsurance - external Commission - acquisition 21 Commission - other 22 1 Management - acquisition 23 Management - maintenance 24 Management - other 25 Total 26 1 Reinsurance - intra-group Commission - acquisition 31 Commission - other Management - acquisition 33 Management - maintenance 34 Management - other 35 Total Net of reinsurance Commission - acquisition 41 Commission - other 42 (1) Management - acquisition 43 Management - maintenance Management - other 45 Total

81 Form 44 Long-term insurance business : Linked funds balance sheet Total business Units 000 Financial year Previous year 1 2 Internal linked funds (excluding cross investment) Directly held assets (excluding collective investment schemes) Directly held assets in collective investment schemes of connected companies Directly held assets in other collective investment schemes Total assets (excluding cross investment) ( ) Provision for tax on unrealised capital gains Secured and unsecured loans Other liabilities Total net assets ( ) Directly held linked assets Value of directly held linked assets Total Value of directly held linked assets and units held (18+21) Surplus units Deficit units Net unit liability ( )

82 Form 45 Long-term insurance business : Revenue account for internal linked funds Total business Units 000 Financial year Previous year 1 2 Income Value of total creation of units Investment income attributable to the funds before deduction of tax Increase (decrease) in the value of investments in the financial year Other income Total income Expenditure Value of total cancellation of units Charges for management Charges in respect of tax on investment income Taxation on realised capital gains Increase (decrease) in amount set aside for tax on capital gains not yet realised Other expenditure (381) (8111) Total expenditure Increase (decrease) in funds in financial year (19-29) Internal linked fund brought forward Internal linked funds carried forward (39+49) 39 (111749)

83 Form 46 Long-term insurance business : Summary of new business Total business Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Number of new policyholders/ scheme members for direct insurance business Regular premium business 11 Single premium business 12 Total 13 new regular premiums Direct insurance business External reinsurance Intra-group reinsurance 23 Total new single premiums Direct insurance business External reinsurance Intra-group reinsurance 27 Total

84 80 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Life / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members premiums Number of policyholders / scheme members premiums Level term assurance Decreasing term assurance 2 Single premium business 710 Life property linked whole life regular premium Life property linked endowment regular premium - target cash 6

85 81 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Life / Reinsurance accepted external Product code number Product description Regular premium business Number of policyholders / scheme members premiums Number of policyholders / scheme members premiums Annuity non-profit (PLA) - Phoenix Life property linked whole life regular premium 44 Single premium business

86 82 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Pension / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members premiums Number of policyholders / scheme members premiums Group deposit administration with-profits 7 Single premium business 725 Individual pensions property linked DWP National Insurance rebates property linked 107

87 83 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Pension / Reinsurance accepted external Product code number Product description Regular premium business Number of policyholders / scheme members premiums Number of policyholders / scheme members premiums Annuity non-profit (CPA) - Phoenix Individual pensions property linked 11 Single premium business 905 Index linked annuity(cpa) - Phoenix 30911

88 Long-term insurance business : Assets not held to match linked liabilities Form 48 Category of assets 10 Total long term insurance business assets Units 000 Unadjusted assets Economic exposure Expected income from assets in column 2 Yield before adjustment Return on assets in financial year Assets backing non-profit liabilities and non-profit capital requirements Land and buildings 11 Approved fixed interest securities Other fixed interest securities Variable interest securities UK listed equity shares Non-UK listed equity shares 16 Unlisted equity shares Other assets Total Assets backing with-profits liabilities and with-profits capital requirements Land and buildings 21 Approved fixed interest securities Other fixed interest securities Variable interest securities (32.80) UK listed equity shares Non-UK listed equity shares 26 Unlisted equity shares 27 Other assets (13.41) Total Overall return on with-profits assets Post investment costs but pre-tax Return allocated to non taxable 'asset shares' Return allocated to taxable 'asset shares'

89 Long-term insurance business : Assets not held to match linked liabilities Form 48 Category of assets 11 With Profits Fund Units 000 Unadjusted assets Economic exposure Expected income from assets in column 2 Yield before adjustment Return on assets in financial year Assets backing non-profit liabilities and non-profit capital requirements Land and buildings 11 Approved fixed interest securities Other fixed interest securities Variable interest securities 14 UK listed equity shares Non-UK listed equity shares 16 Unlisted equity shares 17 Other assets Total Assets backing with-profits liabilities and with-profits capital requirements Land and buildings 21 Approved fixed interest securities Other fixed interest securities Variable interest securities (32.80) UK listed equity shares Non-UK listed equity shares 26 Unlisted equity shares 27 Other assets (13.41) Total Overall return on with-profits assets Post investment costs but pre-tax Return allocated to non taxable 'asset shares' Return allocated to taxable 'asset shares'

90 Long-term insurance business : Assets not held to match linked liabilities Form 48 Category of assets 12 Non-Profit Fund Units 000 Unadjusted assets Economic exposure Expected income from assets in column 2 Yield before adjustment Return on assets in financial year Assets backing non-profit liabilities and non-profit capital requirements Land and buildings 11 Approved fixed interest securities Other fixed interest securities Variable interest securities UK listed equity shares Non-UK listed equity shares 16 Unlisted equity shares Other assets Total Assets backing with-profits liabilities and with-profits capital requirements Land and buildings 21 Approved fixed interest securities 22 Other fixed interest securities 23 Variable interest securities 24 UK listed equity shares 25 Non-UK listed equity shares 26 Unlisted equity shares 27 Other assets 28 Total 29 Overall return on with-profits assets Post investment costs but pre-tax 31 Return allocated to non taxable 'asset shares' 32 Return allocated to taxable 'asset shares' 33 86

91 Long-term insurance business : Assets not held to match linked liabilities Form 48 Category of assets 13 Permanent Health Fund Units 000 Unadjusted assets Economic exposure Expected income from assets in column 2 Yield before adjustment Return on assets in financial year Assets backing non-profit liabilities and non-profit capital requirements Land and buildings 11 Approved fixed interest securities Other fixed interest securities Variable interest securities 14 UK listed equity shares 15 Non-UK listed equity shares 16 Unlisted equity shares 17 Other assets Total Assets backing with-profits liabilities and with-profits capital requirements Land and buildings 21 Approved fixed interest securities 22 Other fixed interest securities 23 Variable interest securities 24 UK listed equity shares 25 Non-UK listed equity shares 26 Unlisted equity shares 27 Other assets 28 Total 29 Overall return on with-profits assets Post investment costs but pre-tax 31 Return allocated to non taxable 'asset shares' 32 Return allocated to taxable 'asset shares' 33 87

92 Form 49 Long-term insurance business : Fixed and variable interest assets Category of assets 10 Total long term insurance business assets Units 000 Value of assets Mean term Yield before adjustment Yield after adjustment UK Government approved fixed interest securities Other approved fixed interest securities Other fixed interest securities AAA/Aaa AA/Aa A/A BBB/Baa BB/Ba B/B CCC/Caa 37 Other (including unrated) Total other fixed interest securities Approved variable interest securities Other variable interest securities Total ( )

93 Form 49 Long-term insurance business : Fixed and variable interest assets Category of assets 11 With Profits Fund Units 000 Value of assets Mean term Yield before adjustment Yield after adjustment UK Government approved fixed interest securities Other approved fixed interest securities Other fixed interest securities AAA/Aaa AA/Aa A/A BBB/Baa BB/Ba B/B CCC/Caa 37 Other (including unrated) Total other fixed interest securities Approved variable interest securities 41 Other variable interest securities Total ( )

94 Form 49 Long-term insurance business : Fixed and variable interest assets Category of assets 12 Non-Profit Fund Units 000 Value of assets Mean term Yield before adjustment Yield after adjustment UK Government approved fixed interest securities Other approved fixed interest securities Other fixed interest securities AAA/Aaa AA/Aa A/A BBB/Baa BB/Ba B/B CCC/Caa 37 Other (including unrated) Total other fixed interest securities Approved variable interest securities Other variable interest securities Total ( )

95 Form 49 Long-term insurance business : Fixed and variable interest assets Category of assets 13 Permanent Health Fund Units 000 Value of assets Mean term Yield before adjustment Yield after adjustment UK Government approved fixed interest securities Other approved fixed interest securities Other fixed interest securities AAA/Aaa 31 AA/Aa 32 A/A BBB/Baa BB/Ba B/B 36 CCC/Caa 37 Other (including unrated) 38 Total other fixed interest securities Approved variable interest securities 41 Other variable interest securities 51 Total ( )

96 Form 50 Long-term insurance business : Summary of mathematical reserves Total business Summary Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked Form 54 - non-linked Total Reinsurance - external Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked 24 Form 53 - non-linked Form 54 - linked 26 Form 54 - non-linked Total Reinsurance - intra-group Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked 36 Form 54 - non-linked Total Net of reinsurance Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked Form 54 - non-linked Total

97 Form 50 Long-term insurance business : Summary of mathematical reserves Subfund With Profits Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked 16 Form 54 - non-linked Total Reinsurance - external Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked 24 Form 53 - non-linked Form 54 - linked 26 Form 54 - non-linked Total Reinsurance - intra-group Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked 34 Form 53 - non-linked Form 54 - linked 36 Form 54 - non-linked Total Net of reinsurance Form 51 - with-profits Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked 46 Form 54 - non-linked Total

98 Form 50 Long-term insurance business : Summary of mathematical reserves Subfund Non-Profit Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Form 51 - with-profits 11 Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked Form 54 - non-linked Total Reinsurance - external Form 51 - with-profits 21 Form 51 - non-profit Form Form 53 - linked 24 Form 53 - non-linked 25 Form 54 - linked 26 Form 54 - non-linked 27 Total Reinsurance - intra-group Form 51 - with-profits 31 Form 51 - non-profit 32 Form Form 53 - linked Form 53 - non-linked Form 54 - linked 36 Form 54 - non-linked Total Net of reinsurance Form 51 - with-profits 41 Form 51 - non-profit Form Form 53 - linked Form 53 - non-linked Form 54 - linked Form 54 - non-linked Total

99 Form 50 Long-term insurance business : Summary of mathematical reserves Subfund Permanent Health Fund Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year Gross Form 51 - with-profits 11 Form 51 - non-profit Form Form 53 - linked 14 Form 53 - non-linked 15 Form 54 - linked 16 Form 54 - non-linked 17 Total Reinsurance - external Form 51 - with-profits 21 Form 51 - non-profit Form Form 53 - linked 24 Form 53 - non-linked 25 Form 54 - linked 26 Form 54 - non-linked 27 Total Reinsurance - intra-group Form 51 - with-profits 31 Form 51 - non-profit Form Form 53 - linked 34 Form 53 - non-linked 35 Form 54 - linked 36 Form 54 - non-linked 37 Total Net of reinsurance Form 51 - with-profits 41 Form 51 - non-profit Form Form 53 - linked 44 Form 53 - non-linked 45 Form 54 - linked 46 Form 54 - non-linked 47 Total

100 96 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 1) Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 100 Conventional whole life with-profits OB Conventional endowment with-profits OB savings Conventional endowment with-profits OB target cash Conventional endowment with-profits OB target cash - Countrywide Assured Conventional pensions endowment with-profits Conventional deferred annuity with-profits - Pension Plus Regular premium non-profit WL/EA OB Level term assurance Level term assurance - convertible Level term assurance - IBP Decreasing term assurance Decreasing term assurance - IBP (104) 335 Decreasing term assurance (rider benefits) Accelerated critical illness (reviewable premiums) - Homeguard Plus Accelerated critical illness (reviewable premiums) - IBP

101 97 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 2) Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 345 Accelerated critical illness (reviewable premiums) - LICI Stand-alone critical illness (reviewable premiums) - Critical Illness Plan Stand-alone critical illness (reviewable premiums) - IBP Income protection non-profit (reviewable premiums) - IBP Miscellaneous protection rider Miscellaneous protection rider - IBP Income protection claims in payment Deferred annuity non-profit Annuity non-profit (PLA) Group life - GSB Collective life Group income protection Group income protection claims in payment Miscellaneous non-profit Miscellaneous non-profit - Dynamic Cover Plan

102 98 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 3) Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 440 Additional reserves non-profit OB 18752

103 99 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 1) Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 100 Conventional whole life with-profits OB Regular premium non-profit WL/EA OB Level term assurance Level term assurance - convertible Level term assurance - IBP Decreasing term assurance Decreasing term assurance - IBP (11) 335 Decreasing term assurance (rider benefits) Accelerated critical illness (reviewable premiums) - Homeguard Plus Accelerated critical illness (reviewable premiums) - IBP Accelerated critical illness (reviewable premiums) - LICI Stand-alone critical illness (reviewable premiums) - Critical Illness Plan Stand-alone critical illness (reviewable premiums) - IBP Income protection non-profit (reviewable premiums) - IBP Miscellaneous protection rider

104 100 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 2) Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 380 Miscellaneous protection rider - IBP Group income protection claims in payment Miscellaneous non-profit 13

105 101 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 325 Level term assurance - IBP Decreasing term assurance - IBP (65) 345 Accelerated critical illness (reviewable premiums) - IBP Stand-alone critical illness (reviewable premiums) - IBP Income protection non-profit (reviewable premiums) - IBP Miscellaneous protection rider - IBP Group income protection claims in payment Additional reserves non-profit OB 162

106 102 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 1) Subfund With Profits Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 100 Conventional whole life with-profits OB Conventional endowment with-profits OB savings Conventional pensions endowment with-profits Conventional deferred annuity with-profits Conventional deferred annuity with-profits - Countrywide Assured Conventional deferred annuity with-profits - Participating Pension Conventional deferred annuity with-profits - Pension Plus Conventional deferred annuity with-profits - Personal Pension Group conventional deferred annuity with-profits Group conventional deferred annuity with-profits - chargeable rates Group conventional deferred annuity with-profits - Pension Plus Regular premium non-profit WL/EA OB Level term assurance Decreasing term assurance Miscellaneous protection rider

107 103 Form 51 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) (Sheet 2) Subfund With Profits Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 390 Deferred annuity non-profit Deferred annuity non-profit - Pension Plus Deferred annuity non-profit - Retirement Bond Annuity non-profit (CPA) Group life Group death in service dependants' annuities Miscellaneous non-profit Additional reserves non-profit OB 14915

108 104 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund With Profits Fund Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 165 Conventional deferred annuity with-profits - Pension Plus

109 105 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund With Profits Fund Units 000 Overseas / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 100 Conventional whole life with-profits OB Conventional endowment with-profits OB savings Conventional pensions endowment with-profits Conventional deferred annuity with-profits - Pension Plus Regular premium non-profit WL/EA OB Level term assurance Level term assurance - convertible Decreasing term assurance Decreasing term assurance (rider benefits) Miscellaneous protection rider Deferred annuity non-profit Annuity non-profit (PLA) Collective life Miscellaneous non-profit 1 30

110 106 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund With Profits Fund Units 000 Overseas / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 100 Conventional whole life with-profits OB 23 20

111 107 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Non-Profit Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 325 Level term assurance (GLLA) Decreasing term assurance (GLLA) (109) 345 Accelerated critical illness (reviewable premiums) (GLLA) Stand-alone critical illness (reviewable premiums) (GLLA) Income protection non-profit (reviewable premiums) (GLLA) Miscellaneous protection rider (GLLA) Deferred annuity non-profit Annuity non-profit (PLA) Annuity non-profit (PLA) - PLL AlbaWP Group income protection claims in payment (GPM) Miscellaneous non-profit Additional reserves non-profit OB (GLLA) Additional reserves non-profit OB (GPM) 204

112 108 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Non-Profit Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 325 Level term assurance (GLLA) Decreasing term assurance (GLLA) (6) 345 Accelerated critical illness (reviewable premiums) (GLLA) Stand-alone critical illness (reviewable premiums) (GLLA) Miscellaneous protection rider (GLLA) Annuity non-profit (PLA) Group income protection claims in payment (GPM)

113 109 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Non-Profit Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 390 Deferred annuity non-profit Deferred annuity non-profit - Pension Plus Deferred annuity non-profit - reassured from With Profits Fund Annuity non-profit (CPA) Annuity non-profit (CPA) - NPLL Annuity non-profit (CPA) - Pearl Annuity non-profit (CPA) - PLL Annuity non-profit (CPA) - PLL AlbaWP Annuity non-profit (CPA) - PLL PhnWP Annuity non-profit (CPA) - PLL SALWP Annuity non-profit (CPA) - reassured to SE Annuity non-profit (CPA) (GPM) Additional reserves non-profit OB 99157

114 110 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Non-Profit Fund Units 000 UK Pension / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 400 Annuity non-profit (CPA) - NPLL Annuity non-profit (CPA) - PLL Annuity non-profit (CPA) - reassured to SE

115 111 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Permanent Health Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 360 Income protection non-profit (guaranteed premiums) Miscellaneous protection rider Income protection claims in payment Group income protection claims in payment Miscellaneous non-profit Additional reserves non-profit OB 32

116 112 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Permanent Health Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 360 Income protection non-profit (guaranteed premiums) Income protection claims in payment Group income protection claims in payment

117 113 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Permanent Health Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 360 Income protection non-profit (guaranteed premiums) Income protection claims in payment Group income protection claims in payment

118 114 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Permanent Health Fund Units 000 Overseas / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 360 Income protection non-profit (guaranteed premiums) Miscellaneous protection rider Income protection claims in payment Group income protection Group income protection claims in payment

119 115 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Subfund Permanent Health Fund Units 000 Overseas / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 360 Income protection non-profit (guaranteed premiums) Income protection claims in payment 2 4

120 116 Long-term insurance business : Valuation summary of accumulating with-profits contracts Form 52 Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 505 Life UWP whole life regular premium - Freedom Life UWP whole life regular premium - Freedom composite UWP element Life UWP whole life regular premium - Freedom For Homebuyers Life UWP whole life regular premium - Freedom Lifetime Life UWP endowment regular premium - savings - Freedom Capital Builder Life UWP endowment regular premium - target cash - Freedom Mortgage Income protection rider Miscellaneous protection rider 11 11

121 117 Long-term insurance business : Valuation summary of accumulating with-profits contracts Form 52 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities Life UWP whole life regular premium mathematical reserves

122 118 Long-term insurance business : Valuation summary of accumulating with-profits contracts Form 52 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 505 Life UWP whole life regular premium - Freedom Income protection rider Miscellaneous protection rider 11 11

123 119 Long-term insurance business : Valuation summary of accumulating with-profits contracts Form 52 Subfund With Profits Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 525 Individual pensions UWP - Choices Company Account Individual pensions UWP - Choices composite UWP element Individual pensions UWP - Choices Executive Account Individual pensions UWP - Choices FSAVC Individual pensions UWP - Choices Group Personal Pension Individual pensions UWP - Choices In Scheme AVC Individual pensions UWP - Choices Personal Pension Individual pensions UWP - Countrywide Assured Privilege Individual pensions UWP - Countrywide Assured Privilege composite UWP element Group deposit administration with-profits - DPA Group deposit administration with-profits - Pension Saver DWP National Insurance rebates UWP - Choices Protected Rights Only Term assurance rider - Choices excess life cover Miscellaneous protection rider 15 15

124 120 Long-term insurance business : Valuation summary of accumulating with-profits contracts Form 52 Subfund With Profits Fund Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 525 Individual pensions UWP - Choices Miscellaneous protection rider 15 15

125 121 Form 53 Long-term insurance business : Valuation summary of property linked contracts (Sheet 1) Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 700 Life property linked single premium - Countrywide Assured Portfolio Life property linked whole life regular premium - Countrywide Assured Horizon Life property linked whole life regular premium - Freedom Life property linked whole life regular premium - Freedom For Homebuyers Life property linked whole life regular premium - Freedom Lifetime Life property linked whole life regular premium - Guardhill Life property linked whole life regular premium - Property Bond Life property linked endowment regular premium - savings - Freedom Capital Builder Life property linked endowment regular premium - savings - Guardhill Life property linked endowment regular premium - target cash - Countrywide Assured Enterprise Life property linked endowment regular premium - target cash - Freedom Mortgage Term assurance rider Income protection rider Miscellaneous protection rider Miscellaneous property linked - Countrywide Assured Tempus

126 122 Form 53 Long-term insurance business : Valuation summary of property linked contracts (Sheet 2) Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 800 Additional reserves property linked

127 123 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 770 Term assurance rider Income protection rider Miscellaneous protection rider 8

128 124 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 710 Life property linked whole life regular premium - Freedom Income protection rider

129 125 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 725 Individual pensions property linked - Choices Company Account Individual pensions property linked - Choices Executive Account Individual pensions property linked - Choices FSAVC Individual pensions property linked - Choices Group Personal Pension Individual pensions property linked - Choices In Scheme AVC Individual pensions property linked - Choices Personal Pension Individual pensions property linked - Countrywide Assured Privilege Group money purchase pensions property linked Group money purchase pensions property linked - MPP units from Non-Profit Fund DWP National Insurance rebates property linked - Choices Protected Rights Only Miscellaneous protection rider

130 126 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 UK Pension / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities Term assurance rider mathematical reserves

131 127 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 725 Individual pensions property linked - Choices Miscellaneous protection rider

132 128 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund With Profits Fund Units 000 Overseas / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 710 Life property linked whole life regular premium - Guardhill Life property linked whole life regular premium - Property Bond Life property linked endowment regular premium - savings - Guardhill

133 129 Form 53 Long-term insurance business : Valuation summary of property linked contracts (Sheet 1) Subfund Non-Profit Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 700 Life property linked single premium - Investment Bond (GLLA) Life property linked whole life regular premium - Capital Builder (GLLA) Life property linked whole life regular premium - Freedom (GLLA) Life property linked whole life regular premium - Freedom reassurance from With Profits Fund Life property linked whole life regular premium - Freedom reassurance from With Profits Fund (GLLA) Life property linked whole life regular premium - HIP (GLLA) Life property linked whole life regular premium - Lifeplan (GLLA) Life property linked endowment regular premium - savings - HIP (GLLA) Life property linked endowment regular premium - savings - Maximum (GLLA) Life property linked endowment regular premium - target cash - Homebuilder (GLLA) Life property linked endowment regular premium - target cash - Homebuilder Plus (GLLA) Income protection rider Income protection rider - claims in payment Income protection rider - claims in payment (GLLA) Income protection rider (GLLA)

134 130 Form 53 Long-term insurance business : Valuation summary of property linked contracts (Sheet 2) Subfund Non-Profit Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 790 Miscellaneous protection rider Miscellaneous protection rider (GLLA) Additional reserves property linked Additional reserves property linked (GLLA)

135 131 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund Non-Profit Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities Life property linked whole life regular premium - Freedom (GLLA) mathematical reserves

136 132 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund Non-Profit Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 710 Life property linked whole life regular premium - Freedom (GLLA) Income protection rider - claims in payment (GLLA) Income protection rider (GLLA) Miscellaneous protection rider (GLLA) Additional reserves property linked (GLLA)

137 133 Long-term insurance business : Valuation summary of property linked contracts Form 53 Subfund Non-Profit Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves Individual pensions property linked - Choices reassurance from With Profits Fund Individual pensions property linked - Choices reassurance from With Profits Fund (GPM) Individual pensions property linked - Pension Builder (GPM) Individual pensions property linked - SSIP (GPM) Individual pensions property linked - VIP (GPM) Group money purchase pensions property linked (GPM) Group managed fund (GPM) Term assurance rider Term assurance rider (GPM) Miscellaneous protection rider Miscellaneous protection rider (GPM)

138 134 Form 53 Long-term insurance business : Valuation summary of property linked contracts Subfund Non-Profit Fund Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves Group money purchase pensions property linked - units to With Profits Fund (GPM) 790 Miscellaneous protection rider (GPM) 1 2 2

139 135 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund With Profits Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 901 Index linked income protection claims in payment

140 136 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded external Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 901 Index linked income protection claims in payment

141 137 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund With Profits Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 901 Index linked income protection claims in payment

142 138 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund Non-Profit Fund Units 000 UK Life / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 901 Index linked income protection claims in payment Index linked income protection claims in payment (GLLA) Index linked annuity(cpa) - PLL AlbaWP

143 139 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund Non-Profit Fund Units 000 UK Life / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 901 Index linked income protection claims in payment (GLLA)

144 140 Long-term insurance business : Valuation summary of index linked contracts Form 54 Subfund Non-Profit Fund Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members benefit annual office premiums Nominal value of units Discounted value of units Other liabilities mathematical reserves 905 Index linked annuity(cpa) - NPLL Index linked annuity(cpa) - Pearl Index linked annuity(cpa) - PLL Index linked annuity(cpa) - PLL AlbaWP Index linked annuity(cpa) - PLL PhnWP Index linked annuity(cpa) - PLL SALWP

145 141 Long-term insurance business : Unit prices for internal linked funds Form 55 Total business Units 000 Fund name Type of fund Net assets Main series Unit management charge Price at previous valuation date Price at current valuation date Change in price during year Choices - Managed 12 - individual pension - balanced managed fund GLLA - Managed 02 - life - balanced managed fund Freedom - Managed 02 - life - balanced managed fund

146 Long-term insurance business: Analysis of valuation interest rate Form 57 Subfund With Profits Fund Units 000 Product group 1 Net mathematical reserves Net valuation interest rate Gross valuation interest rate Risk adjusted yield on matching assets WP UKL F NP UKL F51 (i) NP UKL F51 (ii) WP UKP F NP UKP F UKL F UKP F52 (i) UKP F52 (ii) MISC n/a n/a n/a Total

147 Long-term insurance business: Analysis of valuation interest rate Form 57 Subfund Non-Profit Fund Units 000 NP UKL F51 annuity non-profit Product group 1 Net mathematical reserves Net valuation interest rate Gross valuation interest rate Risk adjusted yield on matching assets NP UKL F51 annuity non-profit (PLL WP) NP UKL F51 income protection n/a NP UKP F51 annuity and deferred annuity non-profit n/a NP UKP F51 annuity non-profit (NPL/Pearl/PLL) n/a NP UKP F51 annuity non-profit (PLL WP) n/a NP UKP F51 annuity non-profit (GPM) n/a NP UKP F54 (NPL/Pearl/PLL) n/a NP UKP F54 (PLL WP) n/a MISC n/a n/a n/a Total

148 Long-term insurance business: Analysis of valuation interest rate Form 57 Subfund Permanent Health Fund Units 000 Product group 1 Net mathematical reserves Net valuation interest rate Gross valuation interest rate Risk adjusted yield on matching assets UK PHI Reg Premium F51 Discounted 192 n/a UK PHI F51 Claims in Payment 7075 n/a UK PHI F51 Non-Discounted 32 n/a n/a n/a OS PHI F51 Non-Discounted 289 n/a n/a n/a Total

149 Form 58 Long-term insurance business : Distribution of surplus Total business Summary Units 000 Financial year Previous year 1 2 Valuation result Fund carried forward Bonus payments in anticipation of a surplus Transfer to non-technical account Transfer to other funds / parts of funds 14 Subtotal (11 to 14) Mathematical reserves Surplus including contingency and other reserves held towards the capital requirements (deficiency) (15-21) Composition of surplus Balance brought forward Transfer from non-technical account 32 Transfer from other funds / parts of fund Surplus arising since the last valuation Total Distribution of surplus Bonus paid in anticipation of a surplus Cash bonuses 42 Reversionary bonuses Other bonuses 44 Premium reductions 45 Total allocated to policyholders (41 to 45) Net transfer out of fund / part of fund Total distributed surplus (46+47) Surplus carried forward Total (48+49) Percentage of distributed surplus allocated to policyholders Current year 61 Current year Current year Current year

150 Form 58 Long-term insurance business : Distribution of surplus Subfund With Profits Fund Units 000 Financial year Previous year 1 2 Valuation result Fund carried forward Bonus payments in anticipation of a surplus Transfer to non-technical account Transfer to other funds / parts of funds 14 Subtotal (11 to 14) Mathematical reserves Surplus including contingency and other reserves held towards the capital requirements (deficiency) (15-21) Composition of surplus Balance brought forward Transfer from non-technical account 32 Transfer from other funds / parts of fund 33 Surplus arising since the last valuation Total Distribution of surplus Bonus paid in anticipation of a surplus Cash bonuses 42 Reversionary bonuses Other bonuses 44 Premium reductions 45 Total allocated to policyholders (41 to 45) Net transfer out of fund / part of fund Total distributed surplus (46+47) Surplus carried forward Total (48+49) Percentage of distributed surplus allocated to policyholders Current year Current year Current year Current year

151 Form 58 Long-term insurance business : Distribution of surplus Subfund Non-Profit Fund Units 000 Financial year Previous year 1 2 Valuation result Fund carried forward Bonus payments in anticipation of a surplus 12 Transfer to non-technical account Transfer to other funds / parts of funds 14 Subtotal (11 to 14) Mathematical reserves Surplus including contingency and other reserves held towards the capital requirements (deficiency) (15-21) Composition of surplus Balance brought forward Transfer from non-technical account 32 Transfer from other funds / parts of fund Surplus arising since the last valuation Total Distribution of surplus Bonus paid in anticipation of a surplus 41 Cash bonuses 42 Reversionary bonuses 43 Other bonuses 44 Premium reductions 45 Total allocated to policyholders (41 to 45) 46 Net transfer out of fund / part of fund Total distributed surplus (46+47) Surplus carried forward Total (48+49) Percentage of distributed surplus allocated to policyholders Current year 61 Current year Current year Current year

152 Form 58 Long-term insurance business : Distribution of surplus Subfund Permanent Health Fund Units 000 Financial year Previous year 1 2 Valuation result Fund carried forward Bonus payments in anticipation of a surplus 12 Transfer to non-technical account Transfer to other funds / parts of funds 14 Subtotal (11 to 14) Mathematical reserves Surplus including contingency and other reserves held towards the capital requirements (deficiency) (15-21) Composition of surplus Balance brought forward Transfer from non-technical account 32 Transfer from other funds / parts of fund 33 Surplus arising since the last valuation 34 (23) 62 Total Distribution of surplus Bonus paid in anticipation of a surplus 41 Cash bonuses 42 Reversionary bonuses 43 Other bonuses 44 Premium reductions 45 Total allocated to policyholders (41 to 45) 46 Net transfer out of fund / part of fund Total distributed surplus (46+47) Surplus carried forward Total (48+49) Percentage of distributed surplus allocated to policyholders Current year 61 Current year Current year Current year

153 149 Long-term insurance business : With-profits payouts on maturity (normal retirement) Form 59A Original insurer Guardian Assurance Date of maturity value / open market option 01 March 2015 Category of with-profits policy Original term (years) Maturity value / open market option Terminal bonus MVA CWP / UWP MVA permitted? Death benefit Endowment assurance 10 n/a n/a n/a n/a n/a n/a Endowment assurance 15 n/a n/a n/a n/a n/a n/a Endowment assurance 20 n/a n/a n/a n/a n/a n/a Endowment assurance n/a CWP N Regular premium pension 5 n/a n/a n/a n/a n/a n/a Regular premium pension 10 n/a n/a n/a n/a n/a n/a Regular premium pension 15 n/a n/a n/a n/a n/a n/a Regular premium pension n/a UWP N Single premium pension 5 n/a n/a n/a n/a n/a n/a Single premium pension 10 n/a n/a n/a n/a n/a n/a Single premium pension 15 n/a n/a n/a n/a n/a n/a Single premium pension n/a UWP N 56747

154 150 Long-term insurance business : With-profits payouts on surrender Form 59B Original insurer Guardian Assurance Date of surrender value 01 March 2015 Category of with-profits policy Duration at surrender (years) Surrender value Terminal bonus MVA CWP / UWP MVA permitted? Death benefit Endowment assurance 5 n/a n/a n/a n/a n/a n/a Endowment assurance 10 n/a n/a n/a n/a n/a n/a Endowment assurance 15 n/a n/a n/a n/a n/a n/a Endowment assurance 20 n/a n/a n/a n/a n/a n/a With-profits bond 2 n/a n/a n/a n/a n/a n/a With-profits bond 3 n/a n/a n/a n/a n/a n/a With-profits bond 5 n/a n/a n/a n/a n/a n/a With-profits bond 10 n/a n/a n/a n/a n/a n/a Single premium pension 2 n/a n/a n/a n/a n/a n/a Single premium pension 3 n/a n/a n/a n/a n/a n/a Single premium pension 5 n/a n/a n/a n/a n/a n/a Single premium pension 10 n/a n/a n/a n/a n/a n/a

155 Long-term insurance capital requirement Global business Units 000 LTICR factor Insurance death risk capital component Life protection reinsurance % Gross reserves / capital at risk Net reserves / capital at risk Reinsurance factor LTICR Financial year Form 60 LTICR Previous year Classes I (other), II and IX % Classes I (other), II and IX % Classes I (other), II and IX % Classes III, VII and VIII % Total Insurance health risk and life protection reinsurance capital component Class IV supplementary classes 1 and 2 and life protection reinsurance Insurance expense risk capital component Life protection and permanent 31 0% health reinsurance Classes I (other), II and IX 32 1% Classes III, VII and VIII (investment risk) Classes III, VII and VIII (expenses fixed 5 yrs +) Classes III, VII and VIII (other) 33 1% % % Class IV (other) 36 1% Class V 37 1% Class VI 38 1% Total Insurance market risk capital component Life protection and permanent 41 0% health reinsurance Classes I (other), II and IX 42 3% Classes III, VII and VIII (investment risk) Classes III, VII and VIII (expenses fixed 5 yrs +) Classes III, VII and VIII (other) 43 3% % % Class IV (other) 46 3% Class V 47 0% Class VI 48 3% Total Long term insurance capital requirement

156 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *0101* Section 148 Waivers The Financial Services Authority, on the application of, made a direction in February 2013 under section 148 of the Financial Services and Markets Act The direction applies in relation to the general insurance business transferred to Guardian Assurance Limited by AEGON Insurance Company (UK) Limited on 30 September 2002 only. The effect of the direction is to waive the requirements of IPRU (INS) rules 9.17 and 9.19 entirely, and to modify the application of IPRU (INS) rules 9.25(2) and 9.27(2) and Appendix 9.2(11) in relation to that business. See the relevant direction (# ) for details. *0201* Section 148 Waiver The Financial Services Authority, with the consent of, made a direction in March 2002 under section 148 of the Financial Services and Markets Act The effect of the direction is to allow to match certain Limited Price Index liabilities predominantly with fixed interest securities and to report the liabilities under such contracts on Form 51 and not on Form 54. The PRA, on the application of the firm, made a direction under section 138 of the Financial Services and Markets Act 2000 in February *0204* Adjusted solo return In 2013 acquisition of Ark Life secured all required regulatory approvals by May 2014, a regulated related undertaking. As a result the return has been prepared on an adjusted solo basis for the financial year ended 31 December *0301* Net admissible asset reconciliation F13 L89 OLTB Grand total of admissible assets 582, ,745 F13 L89 LTB Grand total of admissible assets 14,811,502 12,429,640 F14 L11 Mathematical reserves, after distribution of (12,301,531) (9,907,217) surplus F14 L49 Total other insurance and non insurance liabilities (890,347) (690,050) F15 L69 Total (18,166) (6,632) F2 L35 Capital resource requirement of regulated - related undertakings 81,013 Sub Total 2,264,525 2,308,486 Rounding 1 (1) F3 L79 Total Capital resources after deductions 2,264,526 2,308,485 *0303* Allocation of Capital There has been no material change in the allocation of capital items between the General insurance business and the Long Term Insurance Business during *0310* Details of Valuation Differences Positive valuation differences within Line 14 can be broken down as follows: Mathematical reserve differences in 1,083,859 1,146,810 respect of With Profits Fund Deferred taxation 3,940 3,760 PVIF taxation 7,074 8,428 Liability valuation difference 79 Asset valuation difference in respect of overseas unquoted insurance company (34,633) (38,560) Total 1,060,240 1,120,

157 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *0313* Reconciliation of movement in Profit and Loss Account and Other Reserves Form 3 Line 12: ,107 Form 3 Line 12: 2013 (638,875) Movement in the year 154,232 Transfer from LTB revenue account 170,642 LTB profit in IFRS financial statements (237,101) Form 16 Line 59 (Retained profit and loss for year) 87,773 *1304* OLTB: Amounts set off Amounts due to and from any one person have been offset, where appropriate in accordance with Generally Accepted Accounting Principles. *1305* OLTB: Maximum Counterparty limit There are no separate limits relating to the shareholders fund - the limits detailed in supplementary note 1319 below apply to the combination of long term and shareholders funds. *1306* OLTB: Exposure at Year End to large Counterparties At the valuation date, when shareholder and policyholder assets are taken together, there were no large exposures to individual counterparties. *1308* LTB: Aggregate value of certain investments The Company held unlisted investments valued at 696,975,063. The Company also held listed investments, deemed not readily realisable valued at 827,080,666, 718,420,767 of which was in the form of a floating rate note, the remainder being fixed interest bonds. The Company held no reversionary interests or remainders. *1309* LTB: Aggregate value of Hybrid Securities The Company held hybrid securities valued at 1,056,678,066. *1310* LTB: Amounts set off Amounts due to and from any one person have been offset, where appropriate in accordance with Generally Accepted Accounting Principles. *1312* LTB: Exposure at Year End to large Counterparties At the valuation date there were no large exposures to individual counterparties. *1313* LTB: Rights over Collateral The aggregate value of rights to which INSPRU R relates is 340.2m. 153

158 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *1318* LTB: Other asset adjustments Within Form 13 Line 101 there are values of: Linked derivatives categorisation difference 6,837 9,606 Collateral 336,233 35,331 Linked creditors within Form 14 (536) 4,883 Categorisation differences Carrying value of regulated related - - undertakings in financial statements less core tier one capital of regulated related undertakings as per F3 L16 Asset valuation difference in respect of 34,633 38,560 overseas unquoted insurance company Rounding (3) 1 Total Form 13 Line ,429 88,572 OLTB: Other asset adjustments Within Form 13 Line 101, there are categorisation differences in respect of a tax asset of ( 1,856,000) (2013: tax asset ( 429,000)). Valuation techniques using unobservable inputs have been used in order to value a holding in an overseas unquoted insurance company. A valuation deduction of the 34.63m has been applied to the IFRS valuation for Pillar 1 reporting. *1319* LTB: Maximum Counterparty limit The Company s Investment Guidelines and exposure limits as they relate to assets managed by Kames Capital plc are as follows. All percentages refer to business amount (non-linked business). There are no exposure limits restricting the investment operation of internal linked funds. Asset Class Exposure Limits by Counterparty Non-Linked Business Equities: 2.5% Aggregate in single name Equity, Preference Shares & Fixed Interest Securities : 5.0% LTB: Maximum Counterparty limit Deposit Exposure Limits by Credit Rating Lower of Moody s Rating (or equivalent) % Limit Value m AAA 10.0% 100 AA3 or above 10.0% 50 A3 or above 10.0% 25 Below A3 10.0% 10 There were no breaches of internal exposure limits during the year. The Company s Investment Guidelines and exposure limits as they relate to assets managed by Ignis Asset Management are as follows: 154

159 Returns under the Accounts and Statements Rules Supplementary Notes to the Return Internal parameters maximum limits for individual holdings: Credit Holdings AAA < 8% AA < 7% A < 5% BBB < 2.5% BB < 2% B or below = 0% Sovereign/ Gilts/ Government backed/ Exempt (Government Guarantee) A maximum 10% in total can be held in this segment. Holdings must not be rated below A. The following rating requirements apply at a country level. AAA: 10% AA: 7% A: 5% A maximum of 10% can be held in Gilts regardless of their rating. There were no breaches of internal exposure limits during the year. The Company s Investment Guidelines and exposure limits as they relate to assets managed by BlackRock are as follows: Asset Allocation: a. Governments 100% b. Corporate and Covered Bonds 100% c. Gov t Related/Guaranteed/Agency/Supra 25% d. Asset Backed (ABS/WBS/MBS/CMBS) 35% e. Inflation linked bonds 20% f. Non-base currency bonds 20% g. Cash/cash equivalents 10% Securities must be rated at least BB/Ba2 or better at time of purchase Counterparty exposure limit: a. Maximum outstanding amount for single issuer limited to 5% b. Other issuer limits apply for each rating/sector: i. UK/US Government (and Guaranteed) 100% ii. AAA Government/Related/Guaranteed/Supra 10% iii. All other AAA issuers 5% iv. All AA issuers 5% v. All A issuers 4% vi. All BBB and non-rated issuers 2% vii. All Sub BBB issuers 1% There were no breaches of internal exposure limits during the year. Company s Investment Guidelines and exposure limits as they relate to assets managed by Met Life are as follows: Asset Allocation: a. Portfolio of infrastructure debt private placement investments. 155

160 Returns under the Accounts and Statements Rules Supplementary Notes to the Return Counterparty exposure limit: a. Maximum investment per issuer 60m or 20% of the Initial Target Amount b. Issuer must hold at least one investment grade rating at time of issuance from a recognised rating agency (Moody s, Standard & Poor s, Fitch, Kroll, DBRS) Investment must have credit quality of MBaa3 (MetLife s equivalent of BBB-) and above. There were no breaches of internal exposure limits during the year. Company s Investment Guidelines and exposure limits as they relate to assets managed by Renshaw Bay are as follows: Asset Allocation: a. Portfolio of commercial real estate loans with concentration limits on fully invested portfolio of 350m of: i. Multi family residential (incl. student housing) 75% ii. Office 100% iii. Retail 50% iv. Industrial and logistics 50% v. Hotel and hospitality 50% vi. Other property types 15% Counterparty exposure limit: a. Maximum investment per sponsor 25% of fully invested portfolio of 350m b. Maximum individual loan size of 50m (unless approved by Guardian) c. Issuer must hold at least one investment grade rating at time of issuance from a recognised rating agency (Moody s, Standard & Poor s, Fitch, Kroll, DBRS) Investment must have credit quality of MBaa3 (MetLife s equivalent of BBB-) and above. There were no breaches of internal exposure limits during the year. *1401* Provision for reasonably foreseeable adverse variations (F14L41) To meet the requirements of GENPRU R to GENPRU R, the firm generally uses current market data at the valuation point and where this is not available fair value pricing principles are employed. The insurer has no obligations or potential obligations to which INSPRU R to INSPRU R apply. *1402* Liabilities (a) The Company has a Bond and Floating Charge granted to Countrywide Assured plc on 23 October 2006, in respect of reinsurance contracts ( relating to unit linked business, with-profits business and other classes of insurance business ) between the Company and Countrywide Assured plc. (b) As at 31st December ,818,000 has been set aside for tax on capital gains not yet realised. Full provision has been made for taxation which might be payable if the assets were sold at the values at which they are included in Form 13. (c) The Company has established a provision of 6m in respect of the mis-selling of personal pension business. The provision covers the completion of the last few remaining cases, guarantees given on certain cases and the winding up of the investigating unit. The Company has also established a provision of 2.5m in respect of complaints arising from past sales of mortgage endowments. (d) The Company has no guarantees, indemnities or other contractual commitments effected other than in the ordinary course of insurance business and in respect of related companies. (e) The Company is not aware of any fundamental uncertainties affecting its business. 156

161 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *1405* Other adjustments to liabilities (F14L74) Within Form 14 Line 74 there are values of: Mathematical reserves 1,083,859 1,146,810 Linked derivatives categorisation differences 6,837 9,606 Collateral 336,233 35,331 Linked creditors within Form 14 (536) 4,883 Other categorisation differences Deferred tax liability 3,940 3,760 PVIF tax - IFRS valuation 7,074 8,428 Reserves valuation difference - 79 Rounding (2) 1 Total Form 14 Line 74 1,437,670 1,209,089 *1407* Longevity swap contract During the 2012 the Company entered into reinsurance arrangements with RGA Global Reinsurance Co Ltd and RGA International Reinsurance Co Ltd. The arrangements were in respect of annuity business reinsured from the Phoenix group. The reinsurance was in the form of a swap, where the Non-Profit Fund ceded longevity exposure in excess of its best estimate longevity assumptions. The fixed leg liability of the swap contract was valued at 359.9m at 31 December 2014 (2013: 336.2m) and reported within line 38 of Form 14. *1501* Provision for reasonably foreseeable adverse variations (F15L61) To meet the requirements of GENPRU R to GENPRU R the firm generally uses current market data at the valuation point and where this is not available fair value pricing principles are employed. The insurer has no obligations or potential obligations to which INSPRU R to INSPRU R apply. *1502* Liabilities (a) There were no charges over assets. (b) Deferred taxation on unrealised gains has been provided where it is considered that a liability will arise in the future. For other than long term business this provision within Form 15 was Nil. If taxation had been charged on the full amount of unrealised gains and other timing difference the additional provision required would have been approximately Nil. (c) The Company has no contingent liabilities. (d) The Company has no guarantees, indemnities or other contractual commitments effected other than in the ordinary course of insurance business and in respect of related companies. (e) The technical provisions include claims provisions for liability risks in respect of potential claims over which there is considerable uncertainty as to the amounts at which they will be settled. The uncertainty arises from the long tail nature of some of the business written, future legislation and the outcome of pending and future litigation. The level of technical provisions has been set on the basis of the information which is currently available including potential loss advices, experience of development of similar claims and case law, having regard to expenses and related investment income. Whilst it is considered that the gross provision for claims and the related reinsurance recoveries are fairly stated on the basis of the information currently available, the ultimate liability will vary as a result of subsequent information and events and may result in significant adjustments to the amount currently provided. Adjustments to the amount of provisions will be reflected in the financial statements for the period in which they are made. *1507* OLTB: Other Adjustments to Liabilities Within Line 83 of Form 15 there are categorisation differences in respect of a tax asset of ( 1,856,000) (2013: tax asset ( 429,000)). 157

162 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *1601* Basis of foreign currency conversion Income and expenditure receivable and payable in a currency other than sterling is converted to sterling at the rates ruling at the date of the transaction. Income and expenditure of overseas branches and agencies is translated at average rates throughout the year. *1603* Other income and charges (F16L21) Income: Exchange gains 4 - Release of provision 2,400 - Charges: Exchange losses (18) (113) Administration expenses - (2,500) Total Other Income and Charges (F16L21) 2,386 (2,613) The 2.4 million income (2013: nil) is in respect of a release in provision previously paid in respect of a potential liability to a third party. *1700* Form 17 has not been prepared for Other than Long Term insurance business and Permanent Health as no derivative instruments were held for these sub-funds. *1701* The aggregate amount of excess variation margin needed to be repaid due to underlying market movements is 11.2m (2013: nil). Variation margin of 2.7m (2013: nil) has been included in Form 13 line 44. *1901* The difference between Form 48 Line 29 and Form 19 Line 11 for the With Profits category of assets is due to surplus linked assets of the fund and Form 52 non unit liabilities. *20Aa* General insurance risk categories allocated under rule 9.14B There are no contracts of insurance that fall within the description of more than one risk category. *20Ab* General insurance contracts against risk of death or injury to passengers Risk categories 331, and 540 include contracts covering risk of death or injury to passengers. *20Ac* General insurance risk categories 187, 223, 400 and 700 There are no contracts of insurance under risk categories 187, 223, 400 or 700. *20Ad* General insurance claims made and not claims made policies There are no risk categories where the amounts reported in Form 20A contain both claims-made policies and policies that are no claims-made. *20Ae* General insurance facultative business under category 002 Of the amounts shown under category 002, 205,452 of the reported and 111,939 of incurred but not reported provision for gross claims is in respect of facultative business. *20Af* General insurance risk categories 113, 274 and 343 Business recorded against risk category 274 all falls within Group number 6 of Annex 11.2 Part II. There are no entries against risk categories 113 or 343. *20Ah* General insurance transfer business There was no transfer of general insurance business during the financial year. *20Ai* General insurance Forms 20, 20A, 24 & 25 All of the provisions recorded on Form 20A arise from policies transferred to Guardian Assurance Limited by AEGON Insurance Company (UK) Limited on 30 September

163 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *20Aj* General insurance cessation of business No new contracts of insurance have been written since 30 September 1994, other than risks attaching to contracts in place at that time. *20Ak* General insurance amounts excluded from the revenue account There are no amounts excluded from the revenue account. *20Al* Comparison with Form 11 Line 1 column 1 of Form 20A is identical to line 11 column 1 of Form 11. *2003* Contracts of insurance The general insurance business of the Company is in run off and no new contracts of insurance have been written since 30 September 1994, other than risks attaching to contracts in place at that date. *2100* Analysis of premiums Form 21 is not required as the Company reports by underwriting year accounting. *2200* Analysis of claims and expenses Form 22 is not required as the Company reports by underwriting year accounting. *2300* Analysis of net claims and premiums Form 23 is not required as the Company reports by underwriting year accounting. *2402* Underwriting year accounting Underwriting year accounting is used for the General Insurance business transferred to the firm on 30 September 2002 by AEGON Insurance Company (UK) Limited ( AIC ). This business is longtail as there may be long delays between the occurrence, notification and settlement of the claims. In accordance with Waiver the business will be taken to have incepted on their inception dates with AIC and not on the date of their transfer. The business is in run-off and no new contracts of insurance have been written since 30 September *2404* Claims management expenses and other costs All administrative expenses have been allocated to line 43 and have been nominally spread by reporting category in the ratio of paid claims for the year. *2405* Carried forward claims management costs On 11 September 2014, Guardian entered into a loss portfolio transfer reinsurance agreement to provide Guardian with 100% quota share reinsurance for the General Insurance liabilities. Claims management is provided by the reinsurer and under the terms of the reinsurance agreement they incur the claims management costs. *2406* Acquisition expenses The exchange movements arising from the revaluation of assets have been allocated to line 42 and have been nominally spread by accounting class in the ratio of the closing gross claim provision. *2407* Section 148 Waiver By virtue of the waiver referred to in supplementary note 0101, the policies transferred from AEGON Insurance Company (UK) Ltd on 30 September 2002 are taken to have incepted on the inception dates of those policies with AEGON Insurance Company (UK) Ltd and not the date of the transfer. *2501* Unearned Premiums The business reported in Form 25 is in run off, therefore an unearned premium reserve is not applicable. *2600* Analysis of treaty net claims and premiums Form 26 is not required under a Section 148 Modification. *2700* Analysis of treaty gross claims and premiums Form 27 is not required under a Section 148 Modification. 159

164 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *2800* Analysis of premiums, claims and expenses Form 28 is not required under a Section 148 Modification. *2900* Analysis of technical provisions Form 29 is not required under a Section 148 Modification. *3000* Expected income and yield from assets covering discounted provisions The technical provisions are not discounted (see note 2405 above). Hence, Form 30 is not required. *3100* Analysis of direct and facultative gross business Form 31 is not required under a Section 148 Modification. *3200* Analysis of direct and facultative motor gross business Form 32 is not required under a Section 148 Modification. *3400* Analysis of gross claims and premiums Form 34 is not required under a Section 148 Modification. *3600* Currency rates As all Forms have been prepared in sterling, Form 36 is not required. *3700* Equalisation provisions The general insurance business is in run off and the level of premium income for setting equalisation provisions has fallen below the statutory limit for setting such provisions. Form 37 is not required. *3800* Equalisation provisions technical account See note Form 38 is not required. *3900* Equalisation provisions technical account See note Form 39 is not required. *4002* Other income and expenditure Other Income of 4,891,000 relates to the receipt of annual management charges on linked pension business reassured to Scottish Equitable plc. *4004* Business transfer In 2013, Line 31 of Form 40 refers to the business transferred into the Non-Profit Fund of Guardian Assurance Limited in respect of the Part VII transfer from Guardian Linked Life Limited and Guardian Pensions Management Limited. All admissible assets and liabilities were transferred at book value. *4006* Allocation of income and expenditure The Company has produced a form 40 for each of the With Profits Fund, Non-Profit Fund and Permanent Health Fund. The investment income and gains and losses have been allocated to the respective funds with reference to actual assets held in the respective funds. Expenses and taxation not directly attributable to each class of business has also been allocated to each fund based on the asset share of the respective funds. *4008* Management Services The management services are provided by Guardian Companies Services Limited which are recharged to the Company. There are management agreements in place with Kames Capital plc, Ignis Asset Management, Blackrock, Castle Hill, MetLife Investment Management and Renshaw Bay for the provision of investment management services. Capita, Diligenta and HCL service and administer annuity business on behalf of Guardian. 160

165 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *4009* Material Connected-Party Transactions During the year 2013, the entire long term business of Guardian Linked Life Assurance Limited and Guardian Pensions Management Limited was transferred into the Non-Profit Fund of the Company under a Part VII business transfer. There were no material connected party transactions during the year in excess of 5% of the net long term business liabilities of the Company. *4010* Investment Income Receivable Form 40 Line 12 includes unit linked investment income of 51,589,000. *4401* Basis for determining Asset Value in internal linked funds Assets have been valued on a bid market value basis. *4402* Derivative Contracts/Rights & Liabilities in internal linked funds The Company held derivative contracts rights valued at 9,735,000 and derivative contracts liabilities valued at 7,829,000. The Company did not hold any stock warrants. *4404* Surplus units statement The linked deficit of 835,000 arises from timing differences and the operation of a daily box position. *4502* Other Income and Expenditure Other Income Management fee rebates 1,945 1,201 Unit linked pension reassurance capture - 1,299,562 Unit linked business transfer under internal Part - 435,727 VII Fund accounting transition opening balance 112 adjustment Misc income 5-2,062 1,736,490 Other Expenditure Misc charges Option charges - 6 Bank charges - 3 Custodian fees Investment expenses Fund accounting transition opening balance adjustment *4803* For those securities, where the issuer has an option to redeem at a fixed date or re-finance on a fixed spread over a reference bond, the yield is calculated on the assumption that the issuer will redeem at the fixed date. *4806* The investment returns shown in Form 48 Lines 21 to 29 column 5 are based on the total assets held in the With Profits Fund. *4807* The difference between Form 48 Line 29 and Form 19 Line 11 for the With Profits Fund category of assets is due to surplus linked assets of the fund and Form 52 non unit liabilities. *4901* Disclosure of rating agency used We use a composite rating based on ratings from the 3 main agencies (Moody s, Standard & Poor s and Fitch). Where no external issue ratings are available, an internal rating will be used. 161

166 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *5001* In Form 58 the With Profits Fund reserves at Line 21 have been reduced to reflect the reassurance of 2.431m of the Reversionary Bonus at Line 43 to the Non-Profit Fund. The mathematical reserves shown in Line 48 of Form 50 for the With Profits Fund are therefore 2.431m higher than the mathematical reserves shown in Line 21 of Form 58. This difference also applies to the Summary Forms 50 and 58. *5101* The number of direct written group schemes is as follows: Product With Profits Fund UKL UKP OS 175 Group conventional deferred annuity with profits Group conventional deferred annuity with profits 8 chargeable rates 175 Group conventional deferred annuity with profits 7 Pension Plus 410 Group life Group life GSB Group death in service dependants annuities Collective life 2 *5102* It has been assumed that the number of individual policyholders is the number of individual policies. *5105* The Form 51 Pension intra-group reinsurance of With Profits Fund product code 165 is accepted in the Non-Profit Fund under product code 390. This treatment recognises that the reinsurance between the funds is on a non-profit basis. *5106* The Form 51 Pension external reinsurance of NPLL (National Provident Life Limited) and PLL (Phoenix Life Limited) annuities in payment covers gross business on both Forms 51 and 54. Where it is in respect of business on Form 54 this is because the reinsurance is on a fixed escalating basis even though the underlying main benefit is index-linked. *5201* The number of direct written group schemes is as follows: Product With Profits Fund UKL UKP OS 555 Group deposit administration with profits - 5 DPA 555 Group deposit administration with profits - Pension Saver 104 *5202* It has been assumed that the number of individual policyholders is the number of individual policies except where a number of mini-policies have been sold in a cluster, in which case the cluster has been counted as individual policyholder. *5205* The reserves for the UK life reinsurance ceded external have been set to zero due to the reinsurance being annually renewable and there being no obligation on Munich Re to renew. *5301* The number of direct written group schemes is as follows: Product With Profits Fund UKL UKP OS 735 Group money purchase pension property linked 4 Product Non-Profit Fund UKL UKP OS 735 Group money purchase pension property linked Group managed fund 7 *5302* It has been assumed that the number of individual policyholders is the number of individual policies except where a number of mini-policies have been sold in a cluster, in which case the cluster has been counted as individual policyholder. *5305* The reserves for the life reinsurance ceded external have been set to zero due to the reinsurance being annually renewable and there being no obligation on Munich Re to renew. 162

167 Returns under the Accounts and Statements Rules Supplementary Notes to the Return *5702* The PRA, on the application of the firm, made a direction under section 138 of the Financial Services and Markets Act 2000 in February The effect of the direction is to modify the provisions of INSPRU R and IPRU(INS) Appendix 9.3 so that a more appropriate rate of interest is used for certain assets taken in combination. The following table shows the yields to which a risk adjustment was applied in accordance with INSPRU R as amended in order to arrive at the figures used in column 5 of that Form. Product group Risk adjusted yield on matching assets Yield before risk adjustment 1 5 NP UKL F51 annuity non-profit NP UKL F51 annuity non-profit (PLL WP) NP UKP F51 annuity and deferred annuity non-profit NP UKP F51 annuity non-profit (NPL/Pearl/PLL) NP UKP F51 annuity non-profit (PLL WP) NP UKP F51 annuity non-profit (GPM) NP UKP F54 (NPL/Pearl/PLL) NP UKP F54 (PLL WP) *5803* The With Profits Fund reserves at Line 21 have been reduced to reflect the reassurance of 2.431m of the Reversionary Bonus at Line 43 to the Non-Profit Fund. *6002* The net reserve shown in Line 49 of Form 60 includes an additional 2.431m as the form does not allow for the internal reassurance of cost of bonus from the With Profits Fund to the Non-Profit Fund. The figure for mathematical reserves in Line 11 of Summary Form 14 is therefore 2.431m lower than the figure shown in Line 49 of Form

168 Returns under the Accounts and Statements Rules Additional Information on general insurance business: major treaty reinsurers required by rule 9.25 of the Interim Prudential Sourcebook for Insurers Global business Major Treaty Reinsurer Connection Prop. Reinsurance Treaties 000 Non-Prop Reinsurance Tr. 000 Debts outstanding included at F13L Deposit received included at F15L Anticipated recoveries 000 Comments As required by Rule 9.25: (Para 1(a)) (Para 1(b)) (Para 1(c)(i)) (Para 1(c)(ii)) (Para 1(d)) (Para 1(e)) (Para 1(f)) R&Q Insurance (Malta) Limited 3 rd Floor Development House St Ann Street Floriana FRN 9010 MALTA None 7,170 The Financial Services Authority, on the application of, made a direction in February 2008 under section 148 of the Financial Services and Markets Act The effect of the direction is to replace IPRU (INS) Rule 9.25(2) with the following: 9.25(2) For the purposes of this rule, a major treaty reinsurer is defined as any one of the insurer s top ten treaty reinsurers of general business by value of known amounts outstanding and anticipated at the end of the financial year in question. There is only 1 reinsurer, as defined with supplementary note 0101 to the return, with known amounts anticipated at the end of the year. 164

169 Returns under the Accounts and Statements Rules Additional Information on general insurance business: major facultative reinsurers required by rule 9.26 of the Interim Prudential Sourcebook for Insurers Global business Major Facultative Reinsurer Connection Reinsurance premiums payable 000 Debts outstanding included at F13L Deposit received included at F15L Anticipated recoveries 000 Comments As required by Rule 9.26: (Para 1(a)) (Para 1(b)) (Para 1(c)) (Para 1(d)) (Para 1(e)) (Para 1(f)) There are no major facultative reinsurance contracts within the regulatory limits 165

170 Returns under the Accounts and Statements Rules Additional Information on general insurance business: reinsurance cedants required by rule 9.27 of the Interim Prudential Sourcebook for Insurers Global business Major Reinsurance Cedant details As required by Rule 9.27: (Para 1(a)) Connection (Para 1(b)) Premium details premiums receivable 000 (Para 1(c)) Deposits made included at F13L (Para 1(d)) Debts outstanding included at F13L (Para 1(e)) Comments The Financial Services Authority, on the application of, made a direction in February 2008 under section 148 of the Financial Services and Markets Act The effect of the direction is to replace IPRU (INS) Rule 9.27(2) with the following: 9.27(2) For the purposes of this rule, a major cedant of the insurer is defined as any one of the insurer s top ten cedants of general insurance business by value of known amounts owed (both agreed outstanding and IBNR) at the end of the financial year in question. The above are the cedants as defined in note 0101 of the supplementary notes to the return. At 31 December 2014 there were no major cedants remaining. 166

171 Returns under the Accounts and Statements Rules General insurance business Additional information on business ceded required by rule 9.32 of the Interim Prudential Sourcebook for Insurers Global business The general insurance business of the Company is in run off and there were no new or modified contracts of reinsurance in the financial year. 167

172 Returns under the Accounts and Statements Rules General insurance business Additional information on business ceded required by rule 9.32A of the Interim Prudential Sourcebook for Insurers Global business All reinsurance contracts entered into by the Company were either on a Quota Share basis or Non-Proportional basis providing Excess of Loss cover, which included a transfer of risk to the reinsurer. The contracts do not contain the features as described in IPRU(INS)9.32B(5). Therefore there were no contracts of insurance under which general insurance business has been ceded by the insurer where: (a) the value placed on future payments in respect of the contract in the return for the financial year in question is not commensurate with the economic value provided by the contract, after taking account of the level of risk transferred; or (b) there are terms or foreseeable contingencies (other than the insured event) that have the potential to affect materially the value placed on the contract in the insurer s balance sheet at, or any time after, the end of the financial year in question. 168

173 Returns under the Accounts and Statements Rules Additional Information on Derivative Contracts required by rule 9.29 of the Interim Prudential Sourcebook for Insurers. (a) The Investment Guidelines operated during the year to 31 December 2014 were as follows: (i) Exchange traded Index Futures may be used in the equity and fixed interest sectors of the long term business fund for efficient portfolio management and reduction of risk up to a level of 25% of the relevant "sector" fund. (ii) Margin requirements on Futures positions are deposited with the exchange through a clearing agent. Overall exposure is limited to 25% of the relevant "sector" fund. (iii) Exchange traded puts and calls on individual share may be bought or sold consistent with the fund mandates. Options sold by the insurer must be covered. (iv) Currency forward contracts may be used to hedge overseas currency exposure. Currency options may be used as an alternative to currency forwards. Currency hedging may be occasionally achieved by using borrowings. Hedging can only be applied against currencies actually held by the insurer. (v) Over the Counter (OTC) derivatives are used only for very specific purposes consistent with the fund mandate. Where investments guarantees are given to policyholders, the guarantees may be achieved by entering into an OTC contract with an investment bank. (vi) Derivatives may be utilised within structured documented programmes that do not comply with (a)(i)-(v) above. These programmes specifically detail the way in which derivatives may be used and the funds to which they apply. The limits on the use of derivatives within such programmes are capped at 100% of the value of the fund and the use of derivatives must be in compliance with PRA rules. (b) The Investment Guidelines do not normally permit any new contracts to be bought or sold which are more than 10% out of the money (this includes over the counter options). The only exceptions are where a contract that is more than 10% out of the money is covered by an additional contract that is less than 10% out of the money, or the out of the money contract, potentially in combination with other contracts, has the effect of reducing investment risk as defined in PRA rules. The Guidelines also specifically require care to be taken so that out of the money options are not exercised and losses consequently incurred. (c) The insurer did not enter any such contracts as described in sub-paragraph (b) above during (h) No derivative contract was held at any time during the financial year which required a significant provision to be made for it under INSPRU R, or did not fall within the definition of a permitted derivative contract. (i) During 2014 within the linked long-term insurance fund, the insurer received a fixed consideration of 0.144m in return for granting rights under derivative contracts. The derivative contracts in question were put and call options written against both individual company holdings and standard indices. 169

174 Returns under the Accounts and Statements Rules Additional Information on Controllers required by rule 9.30 of the Interim Prudential Sourcebook for Insurers. Controllers From 23 November 2011, the Company s ultimate parent undertakings are the partnerships comprising the Fourth Cinven Fund, being funds managed and advised by Cinven Limited, a Company incorporated under the laws of England and Wales. Accordingly, Cinven Limited, as manager and advisor to the Cinven Funds, is the Company s ultimate controlling party. The Company structure is illustrated below in the table. Company (UK) Guardian Financial Services Holdings UK Limited (UK) Guardian Finance Limited (Jersey) Guardian Midco Limited (Jersey) Guardian One Limited (Jersey) Guardian Holdings Europe Limited (Jersey) Cinven (Fourth Fund) Ownership and voting power Wholly owned by Guardian Financial Services Holdings UK Limited which has 100% of voting power Wholly owned by Guardian Finance Limited which has 100% of voting power Wholly owned by Guardian Midco Limited which has 100% of voting power Wholly owned by Guardian One Limited which has 100% of voting power Wholly owned by Guardian Holdings Europe Limited which has 100% of voting power 82% owned by Cinven Funds which has 82% of voting power Ultimate Parent Undertaking There have been no changes in the ownership structure during the year. 170

175 APPENDIX 9.4 (rule 9.31(a)) ABSTRACT OF VALUATION REPORT (WITH PROFITS, NON-PROFIT & PERMANENT HEALTH FUNDS) Introduction 1 (1) The valuation date is 31 December (2) The previous valuation date was 31 December (3) No interim valuations (for the purposes of rule 9.4 of IPRU(INS)) have been carried out since the previous valuation date. (4) On 7 May 2014 Guardian Assurance acquired the Ark Life Assurance Company Limited ( Ark Life ). Ark Life is a closed life company based in Dublin and a wholly owned subsidiary of the Non-Profit Fund. (5) On 11 August 2014 Guardian completed a reinsurance of 1.7bn of annuities from Phoenix ( Ping 2 ), effective from 1 January The annuities are reinsured to the Non-Profit Fund. The business is expected to be transferred to Guardian Assurance Ltd via a business transfer scheme under Part VII of the Financial Services and Markets Act 2000 in Product Range 2 There have been no significant changes to the product range since the previous valuation. The With Profits Fund is closed to new business except by contractual increment. Discretionary charges and benefits 3 (1) Market Value Reductions have not applied since the previous valuation as the asset shares of policies exceeded the published unit value for all terms and durations. (2) There have been no changes to premiums on reviewable protection policies since the previous valuation. (3) There are no non-profit deposit administration benefits. (4) On linked policies with service charges that are expressed in monetary rather than percentage terms the service charges on the Choices range of policies increased by 0.70% since the previous valuation. Service charges on the Freedom range of policies increased by 1.90% since the previous valuation (11.5% for Freedom policies which only increase every 5 years). Administration charges on GPM Group Managed Fund business increased by 1.4%. (5) There have been no changes to benefit charges on unit-linked policies since the previous valuation. (6) No changes were made to the rates of annual management charges on unit-linked policies since the previous valuation nor to the rate of notional charge applied to unitised with-profit business. (7) The following description of unit pricing principles applies to the internal linked funds of Guardian: (a) (i) Units in the internal linked funds are created and cancelled at the net asset price. (ii) The offer price used for the allocation of units to policies is calculated as the net asset price plus a bid/offer spread. The bid price used in the cancellation of units from policies is calculated as the offer price multiplied by [1-the bid/offer spread percentage]. For Accumulation units, prices must be within the following maximum and minimum limits. The minimum bid price is obtained by dividing the number of units in issue into the net value of the relevant fund with due allowance for disposal costs. The maximum offer price is obtained similarly from the value of the relevant fund but with due allowance for acquisition costs and the result is increased by the ratio 100/95. For Initial units the maximum and minimum prices are obtained from prices for the corresponding Accumulation units after taking into account the additional management charges made. (iii) Underlying net asset prices are calculated on two bases. The higher net asset price represents the offer price of the underlying assets plus an allowance for purchase expenses. The lower net asset price represents the equivalent bid price of those underlying assets less an allowance for sale costs. A striking point is then determined between the two values according to current and expected cashflows to represent the deemed net asset price. The current and expected cashflows are reviewed each month and could be reviewed on other occasions in special circumstances. (iv) Asset valuations are based on the 12pm intra-day valuation except for property, which is priced monthly. (b) There are no circumstances where different pricing bases apply to different policies. Pricing bases vary depending on the position of the individual unit-linked funds as described above. (c) Not applicable. (8) For all funds subject to tax on capital gains, tax is deducted from the internal linked funds on a quarterly basis consistent with the tax payments made to HM Revenue & Customs. Tax is deducted in respect of realised gains and other taxable income assuming a tax rate of 20%. In respect of the notional gains on unit trusts the tax deducted is based on a rate of 20% applying to 1/7 th of the notional gain which is consistent with the Company s taxation basis. No deduction is made with respect to other unrealised gains. 171

176 (9) For all funds subject to tax on capital gains, tax provisions are established in respect of realised and unrealised gains at a rate of 20% of the indexed gain. For the Fixed Interest and Index Linked Gilt funds, corporation tax provisions are established in respect of realised and unrealised gains at a rate of 20% of the relevant gain. This is assessed on a mark to market basis. (10) For those funds which hold units in Kames Capital plc OEICs and BlackRock s collective investment tracker funds (BCIF), the amount of the management charge on the OEIC / BCIF is rebated to the fund and hence to the policyholders. There are no beneficial terms in respect of purchases or sales of the OEIC / BCIF holding. There are no beneficial terms on holdings in other unit trusts or OEICs. Valuation basis (other than for special reserves) 4 (1) The general principles adopted in the valuation fall into four broad subdivisions as follows: I For most categories of non-linked policies written in the With Profits Fund the reserves were calculated by deducting the present value of net premiums from the present value of benefits. The net premium for each policy is such a premium that if payable for the same period and in the same manner as the actual premium and calculated on the valuation basis would be sufficient, allowing for Zillmerisation, to provide the benefits under the policy. Benefits valued under deferred annuities are taken to be equivalent to the maximum of the guaranteed cash option, if any, and a valuation cash option. In determining the reserve it is assumed that 85% to 95% (based on term to vesting) of policyholders exercise the most onerous option. In no case was the net premium allowed to exceed 95% of the office premium or, for some classes, such lower percentage of the office premium that was considered necessary to make proper provision for future expenses. II For non-linked policies written in the Non-Profit Fund and Permanent Health Fund the reserves were calculated using a gross premium method as the total present value of future benefits plus future expenses including commission less the present value of office premiums. Where appropriate, allowance has been made for payments in accordance with reinsurance arrangements. A prudent allowance for lapses is made on some lines of protection business. Negative reserves are also permitted for protection business. For property linked policies the methods of valuation depended upon the nature of the benefits. III The reserves for Guardhill policies were calculated by deducting the present value of any future office premiums, after allowing for future expenses, from the present value of the benefits. As a general principle the reserves for other property linked policies were based on the bid value of units allocated, adjusted for actuarial funding where relevant, plus an additional non-unit reserve to avoid future valuation strain and a multiple of the monthly benefit charges for those contracts that are current costed. The unit reserve was in all cases at least as great as the surrender value. For the purpose of the non-unit reserve calculation: Income comprises premiums and expense charges (including fund charges and any benefit from the bid/offer spread) together with amounts arising from the cancellation of units. Outgo comprises the cost of units created, assumed expenses (including commission) and payments on death, maturity or illness in excess of the unit liability. IV For categories of policy that do not fall within sub-divisions I to III above, the valuation principles and methods used were: (i) (ii) Non-linked accumulating with profits policies. For non-linked accumulating with profits policies the reserve is the greater of: a) The minimum of the current benefit value, excluding any allowance for terminal bonus, and the current surrender value. b) The discounted projected benefits allowing for bonus rates consistent with the PPFM. The long-term bonus rates (net of the expense allowance for Pension Saver) assumed for this purpose were 1.50% for Unitised With Profits, 4.50% for Deposit Administration and 0.75% for Pension Saver. For Deposit Administration and Pension Saver the current benefit value was taken as the amount standing to the credit of the policyholder. This amount included any bonus interest additions made prior to the valuation date together with the accumulation of basic interest to that date. For Unitised With Profits the current benefit value was taken as the number of units attaching to the policy multiplied by the published bid price. The resultant reserve for accumulating with profits policies exceeds the current benefit value by 16,600,000. Group benefits of life assurance, group annuities payable on death-in-service to widows, widowers and other dependants, fatal accident benefits, term assurances with special terms, and certain minor risks. The reserve was generally taken to be not less than 100% of the annual office premium for regular premium policies and 90% of any single premium. 172

177 (iii) Chargeable rate deferred annuities. The reserve was taken as the value of the pension secured to date, no account being taken of future premiums or pension to be secured by future premiums. (iv) Group endowment, all group deferred pension policies and certain individual pension policies. (v) For group policies the valuation was based on data in force at the renewal date in 2014, but if the data was not then available the most recently available data was used. The reserve was calculated in accordance with sub-division I, but adjusted to allow for alterations up to the valuation date and increased to the extent necessary to ensure that future valuation strains would not occur in respect of future premiums. Buy-Out Plan liabilities were calculated in accordance with sub-division I for business valued in the With Profits Fund and sub-division II for business valued in the Non-Profit Fund, but were increased where the anticipated bonus guarantee applied. In general, where detailed information was not available the reserve was estimated, but in no case was it taken to be less than premiums received adjusted for outgoings and accrued interest. Permanent health insurance claims. Income protection claims in payment reserves were calculated prospectively with an appropriate allowance for future claims expenses. (vi) Risk premium reassured from Caledonian Insurance Company. In the case of risk reassured in respect of individual term and basic assurances and collective life, the reserve was taken as 10% of the risk premium for the year ending on the valuation date. The net liability for group life policies was taken as 100% of the risk premium for the year. Reserve for Extra Risks In general, the reserve for extra risks was taken to be not less than one year s additional premium per annum or 90% of any additional single premium, as appropriate, payable in respect of the extra risk. (2) The valuation interest rates, mortality & morbidity tables assumed for the 2014 and 2013 valuations were as follows. Where some lines of business are written in both the With Profits Fund and the Non-Profit Fund, the Non-Profit Fund valuation interest rate is shown in parentheses, where this differs from the With Profits Fund valuation rate. 173

178 Category Mortality (* Morbidity) Table Interest BLAGAB Life Assurances Males Females Males Females % % With profits 102% AMC00 102% AFC00 84% AM92 90% AF Non-profit 102% AMC00 102% AFC00 84% AM92 90% AF Bonus reinforcement benefit 102% AMC00 102% AFC00 84% AM92 90% AF Term assurance smokers inc IBP 88% TMC00 92% TFC00 144% TM92 66% TF Term assurance non-smokers 88% TMC00 92% TFC00 54% TM92 66% TF Term assurance other 88% TMC00 92% TFC00 54% TM92 66% TF Group Scheme Benefit smokers 88% TMC00 92% TFC00 144% TM92 66% TF GSB non-smokers 88% TMC00 92% TFC00 54% TM92 66% TF GSB other 88% TMC00 92% TFC00 54% TM92 66% TF Genesis smokers* 130% M&G (1996) 130% M&G (1996) Genesis non-smokers* 115% M&G (1996) 115% M&G (1996) HomeGuard Plus smokers * 140% M&G (1996) 140% M&G (1996) HomeGuard Plus non-smokers * 140% M&G (1996) 140% M&G (1996) Life assurance & CI smokers* 140% M&G (1996) 140% M&G (1996) LICI non-smokers* 140% M&G (1996) 140% M&G (1996) Guardhill & Property Bond 102% AMC00 102% AFC00 84% AM92 90% AF Deferred Annuities Personal Pensions 31% AMC00 27% AMC00 24% AM92 40% AF Participating Pensions 31% AMC00 27% AMC00 24% AM92 40% AF Retirement Pensions 31% AMC00 27% AMC00 24% AM92 40% AF Pension Assurance with profits 50% AMC00 46% AMC00 48% AM92 40% AF VIP / Pension Plus with profits 50% AMC00 46% AMC00 48% AM92 40% AF (2.31) 3.60 (3.55) Other with profits 50% AMC00 46% AMC00 48% AM92 40% AF Grouped Fund/Chargeable Rates: - with profits 50% AMC00 46% AMC00 48% AM92 40% AF non-profits 50% AMC00 46% AMC00 48% AM92 40% AF Pension Assurance non-profit 50% AMC00 46% AMC00 48% AM92 40% AF (2.31) 3.60 (3.55) Non-profit annual premium 50% AMC00 46% AMC00 48% AM92 40% AF (2.31) 3.60 (3.55) Non-profit single premium 50% AMC00 46% AMC00 48% AM92 40% AF (2.31) 3.60 (3.55) Annuities in Possession Immediate/deferred < 2,000 91% IML00 98% RFV00 95%IML00 102% RFV (2.31) 3.60 (3.55) Immediate/deferred < 4,000 81% IML00 87% RFV00 84%IML00 89% RFV (2.31) 3.60 (3.55) Immediate/deferred < 10,000 74% IML00 79% RFV00 78%IML00 84% RFV (2.31) 3.60 (3.55) Immediate/deferred > 10,000 68% IML00 73% RFV00 67%IML00 72% RFV (2.31) 3.60 (3.55) GPM As above As above As above As above BA 106% RMV00 107% RFV00 109% RMV00 107% RFV Century 91% PCMA00 107% PCFA00 98% PCMA00 102% PCFA SMA 94% PCMA00 92% PCFA00 93% PCMA00 98% PCFA SPL 96% PCMA00 111% PCFA00 98% PCMA00 107% PCFA Pearl 111% RMV00 107% RFV00 107% RMV00 107% RFV NPI 100% RMV00 93% RFV00 93% RMV00 95% RFV Ping 2 Block 1 75% S1PMA 73% S1PFA N/A N/A 2.15 N/A Ping 2 Block 2 77% S1PMA 75% S1PFA N/A N/A 2.15 N/A Ping 2 Block 3 76% S1PMA 72% S1PFA N/A N/A 2.15 N/A CMI 2013 improvements with a long-term improvement rate of males 2% / females 1.5% apply to all annuities in possession. For Guardian annuities a 3 year selection period applies and mortality rates are reduced by 17.8% in this PB Life Assurances period. With profits 102% AMC00 102% AFC00 84% AM92 90% AF Non-profit 102% AMC00 102% AFC00 84% AM92 90% AF Term assurance smokers 88% TMC00 92% TFC00 144% TM92 66% TF Term assurance non-smokers 88% TMC00 92% TFC00 54% TM92 66% TF Term assurance other 88% TMC00 92% TFC00 54% TM92 66% TF Unit linked business Freedom non-smokers 140% TMN00 140% TFN00 140% TMN00 140% TFN Freedom smokers 120% TMS00 145% TFS00 120% TMS00 145% TFS GLLA 102% AMC00 105% AFC00 90% AM92 96% AF Choices non-smoker 85% A67/70 85% A67/70 85% A67/70 85% A67/ Choices smoker 105% A67/70 105% A67/70 105% A67/70 105% A67/ GPM 56% AMC00 52% AFC00 44% AM92 44% AF PHI Business PHI Fund UK See 4(5) below PHI Fund Overseas PHI Fund Claims in Payment GPM Claims in Payment

179 (3) The yield on non-gilt fixed interest securities (bonds) is calculated by reference to market prices. This yield is reduced by the sum of 1.5 times a default allowance based on bond rating and term, derived from historic credit default data, and 20% of the net bond spread (reduced by 1.5 times the same default allowance) over the swap yield of an equivalent duration. The equity yield is calculated by reference to the FTSE 350 yield and reduced by a risk margin of 0.40%. (4) See table in 4 (2) above. Expectations of life are as follows: Product Guardian - Annuities In Payment Males Females Males Females Age 65 <= <= <= > Age 75 <= <= <= > Guardian Deferred Annuities Age 65 at 45 <= <= <= > Age 65 at 55 <= <= <= > Product Phoenix - Annuities In Payment Males Females Males Females Age 65 BA Century SMA SPL Pearl NPI PWP Alba SAL Age 75 BA Century SMA SPL Pearl NPI PWP Alba SAL

180 (5) The Inception rates for Income Protection are a percentage of CMIR12 table dependent on the deferred period as follows: Deferred Period 4 weeks 13 weeks 26 weeks 52 weeks % 135% 135% 135% % 95% 145% 295% For Income protection claims in payment the termination rates are a modified CMIR12 table and modified AMC00/AFC00 combined. From 2014 rates are no longer differentiated by Deferred period, Group / Individual business or Duration Inforce. The assumptions covering all occupation classes, are as follows: Modified CMIR12 & Modified AMC00/AFC00 combined Termination Rates (Ultimate) Age Males Females The assumptions used in 2013 are set out below: For Group Income Protection claims in payment the termination rates are a modified CMIR12 table and modified AM92/AF92 combined. The assumptions used for a deferred period of twenty six weeks and covering all occupation classes, are as follows: Age Modified CMIR12 & AM92/AF92 combined Termination Rates Long Term Permanent Claims Duration 2 yrs female Duration 2 yrs male Duration 5 yrs female Duration 5 yrs male Modified CMIR12 &AM92/AF92 combined Termination Rates Non-Long Term Permanent Claims Age Duration 2 yrs female Duration 2 yrs male Duration 5 yrs female Duration 5 yrs male For Individual Income Protection claims in payment the termination rates are a modified CMIR12 table and modified AM80/AF80-1 table combined. The assumptions used for a deferred period of twenty six weeks and covering all occupation classes, are as follows: Age Modified CMIR12 & AM80/AF80-1 combined Termination Rates Duration 2 yrs female Duration 2 yrs male Duration 5 yrs female Duration 5 yrs male

181 (6) & (7) For the With Profits Fund the investment expenses assumed for assets hypothecated to liabilities were 0.113% of fixed interest assets and 0.044% of equities. The Zillmer adjustments used for the 2014 and 2013 valuations were as follows: Category of Policy (& Product Code) Zillmer expressed as a percentage of Sum Assured or Valuation Cash Option Life Assurance business % With Profits Whole Life & Endowment (100, 120, 125) 2.25 Stand-Alone Critical Illness (355) Accelerated Critical Illness (345) Level & Decreasing Term Assurances (325, 330) 0.75 Group Life (410) 0.40 General Annuity and Pension business With Profits Whole Life & Endowment (100, 120, 155) 2.00 With Profits Deferred Annuities (165, 175) 2.00 Level & Decreasing Term Assurances (325, 330) For the Non-Profit Fund the investment expenses assumed were 0.113% of the value of assets hypothecated to Guardian business liabilities and 0.185% of the value of assets backing Phoenix annuity business. The gross renewal expenses assumed in the gross premium valuation were as follows: Category of Policy (& Product Code) Deferred Annuity (390) Annuity (400) The expense assumptions for non-unit liability calculations for linked business were as follows: Category of Policy (& Product Code) Per policy gross expense Inflation rate of expenses & monthly service charges Unit growth rate before annual management charge UL Bond (700) % 4.75% 3.75% 4.75% UL Regular Premium Whole Life (710) UL Target Cash Endowment (720) UL Regular & Single Premium Pension (725) % 4.75% 3.75% 4.75% % 4.75% 3.75% 4.75% % 4.75% 4.00% 5.00% Unit-linked and unitised with profits investment expense assumptions were 0.22% of the fund. For unitised with profits policies the same per policy expense and inflation assumptions as above apply, but the bonus rates presented in (8) below replace the unit growth rates above. The assumed rate of tax relief for BLAGAB expenses was 20%. (8) For accumulating with profits classes of business the following future bonus rates were assumed: Category of Policy Bonus rate after deduction of annual management charge or expense allowance Year 1 Year 2 Year 3+ Freedom UWP 1.25% 1.25% 1.25% Choices UWP 1.50% 1.50% 1.50% Deposit Administration Expiry of bonus rate for 15 years from purchase, then 15-year Gilt yield less expenses Pension Saver 4.50% 1.75% 0.75% For conventional with profits business a net premium valuation was used. 177

182 (9) Nil lapses are assumed for all business lines other than those shown in the table below. Product Event Average lapse/surrender rate for the policy years (%) Level Term Lapse Decreasing Term Lapse Accelerated Critical Illness Lapse UL Savings Endowment Surrender UL Target Cash Endowment Surrender UL Bond Surrender UL Bond Auto-Withdrawals 100% of current withdrawals UWP Individual Pension Paid-Up UWP Individual Pension Surrender UL Individual Pension Paid-Up UL Individual Pension Surrender (10) For unit-linked business any negative values were eliminated as they arose. For non-linked deferred annuities with a guaranteed cash option rate an annuity take up assumption of 85% is assumed, increasing by 1% for each year of projection to a maximum of 95%. There are no other material basis assumptions. (11) (i) Interest rate swaps (ii) The funds hold a number of interest rate swaps to swap a series of fixed interest rates for a series of floating interest rates on nominal amounts in the future. The exposures at 31 December 2014 are 5,288,265,000 nominal where the funds are paying a fixed rate to the counterparty ( 537,712,000 With Profits Fund and 4,750,553,000 Non-Profit Fund) and 6,680,067,000 where the funds are receiving a fixed rate ( 144,464,000 With Profits Fund and 6,535,603,000 Non-Profit Fund). The net market value is 498,218,000. The income from the swaps is matched against the future guaranteed liabilities of the fund. The counterparties are Barclays, RBS, Lloyds and Morgan Stanley. Cash settled payer swaptions The funds hold a series of swaptions to match the maturing profile of deferred annuities with guaranteed cash option rates. The swaptions hedge against interest rates rising to the extent that the guaranteed cash option rate becomes onerous. For example, a 15 year swaption with a strike of 8% would give Guardian Assurance the right to receive a cash payment at maturity if 15 year swap rates were above 8%. The counterparty to the swaption is UBS and the market value at 31 December 2014 is 765,000 in the Non-Profit Fund and 709,000 in the With Profits Fund. (iii) Equity put options A series of equity put options have been purchased by the With Profits Fund to hedge against the guaranteed maturity values on Homebuilder Plus policies. The options are matched against the portfolio of future maturing units on Homebuilder Plus policies and contain a basket of global equity markets based on the geographical distribution of the GLLA Managed Fund. For maturities in the next 3 years the options protect against market falls below 80% of the market level at the strike date. For later maturities the strike is at 110%. A series of equity put options have also been purchased by the With Profits Fund to provide protection for terminal bonus payments on conventional with profit endowment maturities over the next 5 years. The options are matched against terminal bonus payments on future maturing policies and contain a basket of FTSE 100 UK equity futures. For 2015 maturities the options protect against falls below 90% of the market level at the strike date. This strike percentage reduces each year to 74% for maturities in The market value of all equity put options at 31 December 2014 is 7,382,000. (iv) Equity futures (v) The Non-Profit Fund holds a number of options to trade FTSE 100 and other market indices, to hedge the shareholder s equity risk. The exposure is approximately 239m sell options and 28m buy options. The market value of the futures at 31 December 2014 is - 10,369,000. Credit default swaps The Non-Profit Fund has sold 605,000,000 of exposure to credit default swaps. instruments at 31 December 2014 is - 4,754,000. (vi) Currency swaps The market value of the The Non-Profit Fund holds a number of currency swaps to hedge currency risk. The exposure is 349,143,000 where the fund is exchanging US dollars for sterling and 184,340,000 where the fund is exchanging euros for sterling. The net market value is 7,405,000 and the counterparty is Merrill Lynch. (vii) Exchange traded derivatives The Non-Profit Fund holds a number of exchange traded derivatives to hedge currency yield risk. The exposure is 3,050,000 where the fund is exchanging sterling yields for US dollar yields and 28,285,000 where the fund is exchanging euro yields for sterling yields. The net market value is 548,000 and the counterparty is Chicago Mercantile Exchange. (12) Not applicable. 178

183 Options and Guarantees 5 (1) Guaranteed annuity options There are no reserves which exceed the lesser of 10m and 1% of total mathematical reserves. (2) Guaranteed unit-linked maturity values (i) GLLA Homebuilder Plus Homebuilder Plus policies pay at maturity the greater of the guaranteed sum assured and the bid value of the Managed units held. If the unit value exceeds the sum assured before maturity then the units are switched into the GLLA Deposit Fund. The liability is to a large extent hedged by a series of equity put options described in 4(11) above which match the cashflows from future maturities and the investment composition of the GLLA Managed Fund. The additional reserve for the guarantee is then calculated as the maximum loss that could arise after taking the put options into account, plus the current value of the relevant options. A reserve of 10,000,000 is held, which includes an amount corresponding to the market value of the options held of 186,000. Category of policy Homebuilder Plus Mathematical reserve Outstanding durations 30.2m Average 1 year Guarantee reserve Guaranteed amount MVA free conditions In-force premiums 10.0m 20.9m None 0.7m p.a. Increments accepted No (3) Guaranteed insurability options and claim values There are no reserves which exceed the lesser of 10m and 1% of total mathematical reserves. (4) Other options and guarantees No significant other options or guarantees exist. Expense Reserves 6 (1) An aggregate amount of 29,941,000 is contained in the valuation arising during the 12 months after the valuation date to meet expenses in fulfilling policies in force at the valuation date. 14,265,000 is from explicit allowances and 15,676,000 is from implicit allowances. Allowances for investment expenses and maintenance expenses are 18,108,000 and 11,833,000 respectively. (2) Implicit allowances for expenses arise within the net premium valuation method for non-linked policies. The implicit expense allowance was tested against the discounted value of future expenses allowing for inflation and, for classes of business where the implicit allowance was inadequate, an additional reserve was set up. Implicit allowances for investment expenses are made by reducing the available yields in the calculation of the valuation rates of interest. (3) Form 43 Lines 14 and 44 include 18,944,000 of investment expenses and 12,953,000 of maintenance expenses before reassurance. The figures in (1) above are net of reassurance. (4) The funds are only writing new business where they are legally obliged to in respect of increments and options under existing policies. Therefore no reserve is required. (5) The Non-Profit and With Profits Funds are closed to new business and therefore no additional reserve is required to cover the costs of closure. (6) Not applicable. Mismatching Reserves 7 (1) The sum of the mathematical reserves of the Company (other than liabilities for property linked benefits) analysed by reference to currency are as follows: Liabilities Assets UK 10,326,990,000 9,786,808,000 Euro 289, ,268,000 USD $ 381,203,000 10,327,279,000 10,327,279,000 (2) 95% of the liabilities in the above table are matched by assets in the same currency. (3) No reserve is required for currency mismatching as currency swaps are held to hedge the risk. (4) No resilience capital requirement is required under INSPRU R as the Company is a realistic basis firm. (5) Not applicable see 7(4). (6) Not applicable see 7(4). (7) No further reserve arises from the test on assets in INSPRU R(2). 179

184 Other Special Reserves 8 There are no special reserves which exceed the lesser of 10m and 1% of total mathematical reserves. Reinsurance 9 (1) No premiums were payable under facultative reinsurance arrangements in the reporting period to companies not permitted to carry on insurance business in the United Kingdom. (2) Reinsurance Treaties: see later table. Reversionary (or annual) bonus 10 For classes of business where the mathematical reserves exceed the lesser of 10m and 1% of the total mathematical reserves: Category of policy Mathematical Reserves Reversionary Bonus Rate for 2014 Reversionary Bonus Rate for 2013 Total Guaranteed Bonus Rate for 2014 Assurances 181.0m 1.00% 1.00% nil Pension Plus, VIP & Buy- Out Plan 855.9m 0.50% 0.50% nil Personal Pension 188.6m 1.00% 1.00% nil Freedom UWP 28.1m 1.25% 1.25% nil Choices UWP 342.1m 1.50% 1.50% nil Countrywide UWP reassurance accepted 9.8m 1.50% 1.50% nil Pension Saver 72.9m 4.50% 5.00% nil Group Funding 15.5m 2.60% 2.60% nil 180

185 Reinsurance Treaties where the Company is the Cedant (paragraph 9.2) Name of Reinsurer (d) Nature and extent of cover (e) Premiums payable in 2014 (f) New Business (h) Mathematical Reserves ceded (j) Retention by the Insurer (k) Scottish Equitable plc Immediate Annuities on Risk premium rates 100% of UK Individual and Group, level and fixed escalation, pension annuities commencing after 1 January Nil Closed to New Business 1,002,750,249 Nil RGA Global Reinsurance Co Ltd Longevity Swap in respect of 100% of selected Phoenix reinsured annuities. 3,298, ,884,616 Closed to New Business RGA International Reinsurance Co Ltd 173,600 20,678,138 Nil Notes to the above table: (g) No deposit back arrangements exist. (i) There are no undischarged obligations of the insurer. (l) RGA Global is not authorised to carry on insurance business in the United Kingdom. All the other reinsurers are authorised to carry on insurance business in the United Kingdom. (n) There are no material contingencies under the treaties. (o) There are no liabilities to refund commission in the event of lapse or surrender under the treaties, other than where premiums are refunded to the Company. (p) Not applicable. 181

186 APPENDIX 9.4a (rule 9.31(b)) ABSTRACT OF VALUATION REPORT FOR REALISTIC VALUATION Introduction 1 (1) The valuation date is 31 December Assets (2) The previous valuation date was 31 December (3) No interim valuations (for the purposes of Rule 9.4a of IPRU(INS)) have been carried out since the previous valuation. 2 (1) The economic assumptions used to value the profits and losses on non-profit policies are as follows: Date of valuation 31 Dec Dec 2013 Discount rate Zero coupon swap curve + 80% of (average yield differential for corporate bonds 1.5 times a default allowance based on historic data) Zero coupon swap curve + 80% of (average yield differential for corporate bonds 1.5 times a default allowance based on historic data) Gross interest on reserves Zero coupon swap curve + 80% of (average yield differential for corporate bonds 1.5 times a default allowance based on historic data) Zero coupon swap curve + 80% of (average yield differential for corporate bonds 1.5 times a default allowance based on historic data) Expense inflation 4.00% 4.50% The zero coupon swap yields as at 31 December 2014 are as follows: Term Yield % Term Yield % Term Yield % The addition made to the yields above to determine the discount rate is 0.69%, representing 80% of the average yield differential for the bonds backing non-profit liabilities after deducting the default allowance, less investment expenses of 0.113% throughout. The future profits on non-profit business are 41m, arising from non-profit non-linked life and pensions business. (2) No information is required by this paragraph. (3) No information is required by this paragraph. (4) No information is required by this paragraph. 182

187 With profits benefits reserve liabilities 3 (1) The with profits benefit reserves are as follows: Class Pension Plus / VIP / Buy-Out Plan Personal Pension DPA/Pension Saver / Group Funding Asset Discounted With profits Future policy Valuation Share cash flow benefit reserve related liabilities method 49m 80m 82m 3m See note (i) 153m 165m 169m 25m See note (i) 98m 98m Nil See note (i) Life Assurance 370m 182m 302m 137m See note (i) Freedom UWP 53m 28m 47m 16m See note (ii) Choices & Countrywide UWP 1,032m 347m 859m 444m See note (ii) Total 1,557m 625m (i) These policies are valued as the greater of a retrospective valuation and a prospective valuation. The retrospective valuation is an accumulation of premiums less expenses at past rates of investment return. The prospective valuation is the future guaranteed benefits discounted at zero coupon swap yields plus 0.58%, representing 80% of the average yield differential for the bonds backing with profits liabilities after deducting the default allowance, and less 0.113% investment expenses. The prospective valuation assumes future annual bonuses continue at their current rate without any allowance for terminal bonus. Future lapses and mortality assumptions are consistent with those used for the published embedded value. (ii) UWP policies are valued as the greater of a retrospective valuation and a prospective valuation. The retrospective valuation is an accumulation of premiums at past rates of investment return. The prospective valuation is the future guaranteed benefits discounted at zero coupon swap yields plus 0.58% as in (i) above and less 0.113% investment expenses. The prospective valuation assumes future annual bonuses continue at their current rate without any allowance for terminal bonus. No allowance is made for future lapses or mortality. (2) The amounts in the table in (1) above correspond to the amounts shown in lines 31 and 49 of Form 19. (3) No information is required by this paragraph. (4) No information is required by this paragraph. 183

188 With profits benefits reserve retrospective method 4 (1) The retrospective methods used to value with profits policies are as follows: Class WP Deferred Annuities (Pension Plus / VIP / Buy-Out Plan / Personal Pension / Pension Saver / DPA / Group Funding ) Life Assurance Unitised With Profits (Freedom, Choices and Countrywide) Retrospective valuation method Premiums less expenses, commission, tax and shareholders transfers are accumulated at past rates of investment return, plus an allowance for bonus surplus (which, from 1999, includes an allowance for the distribution of the free estate). From 2004 the asset mix assumes that future guaranteed benefits are matched by fixed interest assets. The calculation is performed for each individual policy, but where there is insufficient data (e.g. for paid-up policies) the asset share is taken as the statutory reserve multiplied by the ratio of the asset share to the statutory reserve for policies where an asset share has been calculated. We cannot calculate retrospective asset shares for approximately 30% of the business (as measured by reserves) because we do not have full premium histories, typically because policies have been altered or made paid-up. However, detailed information is available on a policy by policy basis in other respects, such as benefits secured, date of birth, normal retirement date, etc. The information available is sufficient for a prospective valuation of the liability. The with profits benefit reserve for this class of business is primarily based on the prospective calculation. Calculated as for Pension Plus / VIP above. The proportion of reserves that have been estimated by ratioing is approximately 30%, because asset shares are not calculated for whole of life and paid-up policies. Paid-up policies make up less than 1% of the benefit reserves. Reserves have been calculated by accumulating past premiums paid. The rates of investment return are based on shadow fund growth up to 2003, and actual investment returns after The shadow fund is constructed from historic equity, bond and property unit prices as a proxy for with profits investment returns, adjusted for bonus surplus. The calculations are performed at individual policy level and past premiums are split by year of payment and year of maturity. Approximately 10% of the reserves are based on estimated unit data. (2) There have been no significant changes to the valuation methods for with profits policies. (3) (a) The date of the last expense investigation was 31 December (b) Expense investigations are performed annually. (c) Renewal expenses allocated to with profits business are based on an expense agreement with the servicing company, under which unit costs are fixed for each policy and increase each year at RPI+1%. Prior to 1999 no such expense agreement existed. Estimated past renewal expenses are allocated to each asset share. Current initial expense assumptions are not required as the fund is closed to new business. Current maintenance expenses for business written within the With Profits Fund are as follows: Class 2014 Renewal Expense Unit Cost 2014 Assumed Renewal Expenses Pension Plus / VIP ,000 Buy-Out Plan Included above Life Assurance ,000 Personal Pension ,000 Group Scheme for Borrowers 9,803 per scheme Included in term assurance Term Assurance ,000 Group Funding 3,648 per scheme 65,000 Deposit Administration 2,317 per scheme 11,000 Pension Saver 3,259 per scheme 376,000 Annuities ,000 Other 290,000 Total 2,599,000 Sample past initial expense assumptions required for with profits benefit reserve calculations are as follows: Class Buy-Out Plan Life Assurance Personal Pension The fund was closed to new business except by increment in

189 (4) No charges for guarantees or use of capital were deducted from the with profits benefit reserve during 2013 or (5) The charges deducted from the With Profits Fund for non-insurance risk are: Investment charges of 0.085% for fixed interest, 0.033% for equity, 0.05% for cash and 0.011% for fund accounting (before VAT, where appropriate). Tax on transfers to the shareholder. (6) The ratio of the claims paid over each of the last three years to the sum of the with profits benefit reserve plus past miscellaneous surplus is as follows: Average Ratio of Claims to With Profits Benefit Reserves Life WP 100% 99% 98% Freedom UWP 98% 99% 98% Choices UWP 98% 99% 99% Pension Plus / VIP / Buy-Out Plan 100% 100% 100% Personal Pension 100% 103% 103% DPA / Pension Saver / Group Funding 100% 100% 100% (7) The With Profits Fund investment return for the 12 months to 31 December 2014 was 7.1%. This includes assets in the fund which back with profits business only and reflects the increase in value of the bonds and equities over the 12 month period. The return credited to each class of with profits business will differ according to the equity backing ratio of each class. The fund s equities returned 0.9% during the 12 months to 31 December 2014 and the bonds excluding swaps returned 12.2%. The gross investment return for each with profits class for the 12 months to 31 December 2014 is as follows: Class Investment Return Pension Plus / VIP / Buy-Out Plan 11.8% Life Assurance 6.6% Personal Pension 10.9% Unitised With Profits Pensions 5.2% Unitised With Profits Life 6.7% Pension Saver / DPA / Group Funding 12.2% 185

190 With profits benefits reserve prospective method 5 (1) The key assumptions used in the prospective valuation of the with profits benefit reserve are as follows: Class Pension Plus / VIP Buy-Out Plan Life WP Personal Pension UWP Pension Saver DPA Group Funding Risk Discount Rate (a) Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Zero coupon swap yield plus 0.58% less 0.113% investment expenses Expense Inflation Rate (c) Annual Bonus Rate (d) Renewal Expenses per policy (e) Lapse Rates (f) 4.00% 0.5% % 4.00% 0.5% % 4.00% 1.0% % 4.00% 1.0% % 4.00% Pens 1.5% Life 1.25% 4.00% 4.5% 4.00% 4.5% 4.00% 2.6% N/A 0% per scheme 10% per scheme 10% per scheme 10% Mortality Table 63%/58% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 63%/58% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 85%/85% AM00/AF00 39%/34% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 N/A 63%/58% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 63%/58% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 63%/58% AM00/AF00 & 96.1% IML00 / 103.3% RFV00 Gtd Annuity Takeup 75% 80% N/A 75% N/A N/A N/A 75% (i) No final bonuses were assumed (note d). (ii) No assumptions regarding investment returns were required as the prospective valuation was applied to future guaranteed benefits only (note b). (iii) No other expense charges were made, other than the deduction of the annual management charge (1% gross) for unitised with profits business (note e). (iv) The annuitant mortality projection tables used are IML00 and RFV00 with CMI 2013 improvements with a 1.5% males / 1.0% females long-term annual improvement rate. The base assumption above applies to annuities below 2,000 p.a. For larger annuities the base assumption of 96.1%/103.3% is reduced to 85.1%/91.5% ( 2,000 p.a. but below 4,000 p.a.), 77.6%/83.5% ( 4,000 p.a. but below 10,000 p.a.) or 71.5%/76.9% (above 10,000 p.a.). A 3 year select period applies and mortality rates are reduced by 17.8% in this period. (2) No information is required by this paragraph. 186

191 Cost of guarantees, options and smoothing 6 A close matching investment philosophy has been adopted for the fund to such an extent that the fixed interest portfolio is effectively a replicating portfolio for the guarantees and options within the With Profits Fund. In order to demonstrate that the fixed interest portfolio is an appropriate and sufficiently robust replicating portfolio deterministic stress tests have been applied to both the realistic assets and liabilities. The stress tests applied were: (1) Equities falling 44% and interest rates rising 1.00%. (2) Equities falling 44% and interest rates falling 1.00%. These stress tests have been identified using stochastic techniques and are consistent with 99.5 th percentile outcomes over a one year horizon and therefore have an associated probability of 1 in 200 of occurring within 12 months. As the component stresses within each scenario correspond to a 1 in 200 event, each scenario should correspond to an event which is more remote than 1 in 200. The interest rate stresses have been chosen based on the approximate mean duration of the liabilities. The stresses were chosen to be weighted towards adverse scenarios to reflect market pricing for risk. Base Position Realistic Value of Liabilities before addition of Estate Realistic Value of Matching Assets Stress Test 1 Realistic Value of Liabilities before addition of Estate Realistic Value of Matching Assets Stress Test 2 Realistic Value of Liabilities before addition of Estate Realistic Value of Matching Assets 1,963m 1,963m 1,498m 1,498m 1,653m 1,653m The above demonstrates that even in these relatively extreme scenarios the cost of the guarantees is nil. In assessing the liabilities under each scenario the projection term extended to the term of the last policy. Financing costs 7 There are no financing arrangements in place. Other long-term insurance liabilities 8 An amount of 24,320,358 is included in line 47 of Form 19. This amount is in respect of tax payable on future transfers to shareholders, which, consistent with the Principles & Practices of Financial Management, are charged to the Estate rather than the with profits asset shares. Realistic current liabilities 9 The current liabilities shown in line 51 of Form 19 are the regulatory current liabilities. These are made up of amounts due to other group companies, outstanding claims, amounts held in suspense accounts and sundry creditors. Risk capital margin 10 (a) Guidance requires the Company to recognise the Estate as a realistic liability within the With Profits Fund, which gives rise to a risk capital margin of nil. This change in presentation has not impacted the management of the fund. If the Estate were not treated as a liability, as in the 2004 realistic balance sheet, then the risk capital margin would be 86m, and the balance sheet would be as follows: base position most adverse scenario Realistic value of assets 2,278m 2,023m Realistic value of liabilities 1,963m 1,829m Working capital 315m 194m Required matching assets 2,049m 1,829m Risk capital margin 86m ( 2,049m less 1,963m) Realistic excess capital 229m 187

192 The most adverse scenario was the following: (i) Equities fall by 20% and property falls by 12.5% (the fund no longer holds any owner-occupied property). This is more onerous than a rise in equities. (ii) Bond yields fall by 0.38%, which is 17.5% of the 15-year Gilt yield. This is more onerous than a rise in bond yields. (iii) Credit risk margins widen on corporate bonds. The average change in spread resulting from the credit stress test for the corporate bonds backing the with profits benefit reserves is 0.97%, and the average reduction in value is 7.4%. (iv) Persistency rates fall by 32.5% and take up rates on deferred annuities are increased to 87% for Buy-Out Plans, 83% for Pension Plus/VIP and 83% for Personal Pension. The with profits realistic liabilities increase by 2.0%. (v) The changes in asset value in (iii) are independent of the changes in liability value in (iv). (b) No particular management actions have been assumed in calculating the risk capital margin. In particular, no changes in asset allocation or surrender value bases have been assumed. However, it is implicitly assumed that if a bond defaults it would be replaced by a bond of equivalent duration. (c) (i) The risk capital margin is zero. If the estate were not treated as a realistic liability then the risk capital margin would be 86m and the working capital would be 315m. The assets available to cover this risk capital margin before the addition of the Estate as a realistic liability and their value in the realistic balance sheet are as follows: Type of asset Value Cash - Fixed interest securities 86m Total 86m (ii) The above assets are within the With Profits Fund. Tax 11 Full provision for taxation on past income and gains is made in the retrospective with profits benefit reserve valuation, including the tax that would be due if all of the assets were sold at their current market value. Derivatives 12 (i) Interest rate swaps The fund holds a number of interest rate swaps to swap a series of fixed interest rates for a series of floating interest rates on nominal amounts in the future. The exposures at 31 December 2014 are 537,712,000 nominal where the fund is paying a fixed rate to the counterparty and 144,464,000 where the fund is receiving a fixed rate. The net market value of the swaps is 2,233,000. The income from the swaps is matched against the future guaranteed liabilities of the fund. The counterparties are Lloyds, Morgan Stanley, Barclays, UBS and RBS. (ii) Cash settled payer swaptions The fund holds a series of swaptions to match the maturing profile of deferred annuities with guaranteed cash option rates. The swaptions hedge against interest rates rising to the extent that the guaranteed cash option rate becomes onerous. For example, a 15 year swaption with a strike of 8% would give Guardian Assurance the right to receive a cash payment at maturity if 15 year swap rates were above 8%. The counterparty to the swaption is UBS and the market value at 31 December 2014 is 709,000. (iii) Equity Put Options A series of equity put options have been purchased by the With Profits Fund to hedge against the guaranteed maturity values on Homebuilder Plus policies. The options are matched against the portfolio of future maturing units on Homebuilder Plus policies and contain a basket of global equity markets based on the geographical distribution of the GLLA Managed Fund. For maturities in the next 3 years the options protect against market falls below 80% of the market level at the strike date. For later maturities the strike is at 110%. A series of equity put options have also been purchased by the With Profits Fund to provide protection for terminal bonus payments on conventional with profit endowment maturities over the next 5 years. The options are matched against terminal bonus payments on future maturing policies. For 2015 maturities the options protect against falls below 90% of the market level at the strike date. This strike percentage reduces each year to 74% for maturities in The market value of all equity put options at 31 December 2014 is 7,382,

193 Analysis of change in working capital 13 An analysis of the movement in working capital since the previous valuation is as follows: Optional disclosure Working capital at 31 December 2013 before estate distribution 351m Restatement of 2013 Working Capital on 2014 demographic basis 14m Equity movements impact on Working Capital 1m Interest Rate movements impact on Working Capital 1m Spread movements impact on Working Capital 2m Change in provisions ( 33m) Unwind of interest margin on assets 2m Allocation of free estate to asset shares ( 45m) Unexplained 16m Change in shareholders share of future estate distribution 6m Future estate distribution ( 315m) Working capital at 31 December m 14 No information is required by this paragraph. 189

194 Returns under the Accounts and Statements Rules Information on the Actuary who has been appointed to perform the with-profits actuary function required by rule 9.36 of the Interim Prudential Sourcebook for Insurers. 1. (a) The Actuary who has been appointed to perform the with-profits actuary function, G. A. Pennington, participated in a bonus scheme during the year operated by Guardian Companies Services Ltd, a fellow subsidiary of Guardian Financial Services Holdings UK Ltd. (b) (c) (d) (e) (f) The Actuary has the following Insurance Policies with the insurer: (i) A with-profit endowment maturing in November 2021 with a guaranteed sum assured of 20,348 (ii) A with-profit deferred annuity maturing in April 2029 with a guaranteed annuity of 9,670 The aggregate amount of remuneration and other benefits (before tax) received by the With Profits Actuary from Guardian Companies Services Ltd for the period to 31 December 2014 was 362,800 under a contract of service with that company. Guardian Companies Services Ltd is a wholly owned subsidiary of Guardian Financial Services Holdings UK Ltd, the immediate parent company of. Pension, health insurance, critical illness, income protection and lump sum life assurance benefits are provided under the standard terms and conditions of the insurer's employment contract. The Actuary has 13,245 ordinary shares in Guardian Holdings Europe Ltd, a wholly owned subsidiary of the Cinven Funds, the ultimate parent undertaking. The Actuary has 16,048 loan notes in Guardian Mid-Co Ltd, a wholly owned subsidiary of the Cinven Funds, the ultimate parent undertaking. 2. The insurer made a request to him to furnish it with the particulars specified in paragraph (1) of rule Pursuant to that request, he supplied the information in item 1 above and the insurer has nothing to add to it. 190

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