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See the OSFI Advisory: Recognition of Hedge Contracts in the Determination of the Segregated Fund Guarantee Capital Requirement for Life Insurance Companies dated December 2008. Where the maximum percentage reduction is the reduction that was determined at the time of approval. (Maximum allowable percentage reduction x Net Requirements) This is the dollar equivalent of the maximum allowable reduction. (Total Gross Calculated Requirements – Credit for Reinsurance Ceded) Column 06 – Credit for OSFI-Approved Hedging Programs Eligible Deposits held for unregistered reinsurance, for a period not less than the remaining guarantee term, may be recognized subject to the limit in section 6.8.1. section 10.3), must be deducted from Available Capital/Margin on page 20.030 of the LICAT Quarterly Return or LICAT Annual Supplement.

section 10.1), net of the available credit for reinsurance (q.v. Note that aggregate positive liabilities ceded under unregistered reinsurance (q.v. Report credit for amounts ceded in column 04. This is the total gross calculated requirement for all segregated funds. Column 03 - Total Gross Calculated Requirements This is the market value of all segregated funds. If the funds are subject to guarantees of differing amounts, for example 100% on death and 75% on maturity, report the larger amount here. This is the amount guaranteed in all segregated funds. The columns of the reporting form on page 70.100 are completed as follows: Column 01 - Guaranteed Value Additionally, the Appointed Actuary is required to detail the calculation in the segregated fund section of the Appointed Actuary's Report. Given the complexity of this calculation, for auditing purposes the Appointed Actuary is required to keep supporting schedules of all the calculations for each step building up to the final amounts detailed in the LICAT Quarterly Return and pages 70.100 and 70.200 of the LICAT Annual Supplement. If the guaranteed value at 10 years is greater than the account value at surrender, a "top-up" benefit equal to the difference is paid.

Guaranteed Minimum Surrender Benefit After 10 Years (GMSB_10): guarantee comes into effect 10 years after contract issue.

No resets are permitted in the 10 years prior to contract maturity.

10-year Rollover Maturity Benefit (GMMB_10): guarantee can be reset and term-to-maturity also resets to 10 years.

Fixed Maturity Date (FIXED): guarantee is level and applies up to the fixed maturity date.

Guaranteed Minimum Maturity Benefits (GMMB) forms modeled include: No resets are permitted in the final 10 years prior to contract maturity.

10-year Rollover Contract (GMDB_10): guarantee can reset and term-to-maturity also will reset to 10 years.

Maximum Anniversary Value/Annual Ratchet (MAV): automatic annual reset of guarantee at each contract anniversary with resets frozen at age 80.

5% Annual Roll-up (ROLL): provides a guaranteed benefit that increases 5% per annum compounded at each contract anniversary with the guarantee frozen at age 80.

Return of Premium (ROP): provides a death benefit guarantee equal to the higher of the account value or the premiums paid.

Guaranteed Minimum Death Benefit (GMDB) forms modeled include the following: More details can be found in Table 4 of section 7.5.

Below is a general description of the product forms modeled. ProductsĬapital factors are provided for a variety of standardized product forms for guaranteed minimum death and maturity benefits commonly offered for segregated fund guarantee products in Canada and the United States. Insurers seeking to use internal models should follow the requirements outlined in OSFI’s Instruction Guide: Use of Internal Models for Determining Required Capital for Segregated Fund Risks (LICAT) dated March 2002, Advisory: Revised Guidance for Companies that Determine Segregated Fund Guarantee Capital Requirements Using an Approved Model dated December 2010, and Advisory: Supplementary Information for Life Insurance Companies that Determine Segregated Fund Guarantee Capital Requirements Using an Approved Model dated April 2009. OSFI permits, subject to materiality considerations, criteria and explicit prior approval, the use of internal models for the development of segregated fund capital requirements. The risk is determined using prescribed or approved factors, or, subject to an insurer obtaining prior approval, an internal model. This component is for the risk associated with investment or performance-related guarantees on segregated funds or other similar products.