Duration of Bonds Appendix A

Sheet 1
Year-end Information
Description Bond #1 Bond #2 Bond #3
Valuation Date 2015/12/31 2015/12/31 2015/12/31
Maturity Date 2016/12/31 2017/06/30 2018/06/30
Coupon Rate 2.50% 6.60% 4.65%
Coupon # (k) 2 2 2
Par value 1,250.0 1,875.0 1,125.0
Market value 1,265.0 2,010.0 1,140.0
Semi-annual Coupon $ 15.6 61.9 26.2
Yield (y) on a semi-annual basis 0.644% 0.859% 2.042%
Excel Yield (for comparison) 0.644% 0.859% 2.042%

Step 1: Future payment for assets

Cash flows
Year Bond #1 Bond #2 Bond #3
2016.0 (1,265.0) (2,010.0) (1,140.0)
2016.5 15.6 61.9 26.2
2017.0 1,265.6 61.9 26.2
2017.5 - 1,936.9 26.2
2018.0 - - 26.2
2018.5 - - 1,151.2

Step 2: Calculation of duration for assets

Semi-annual (1 basis point) Δy = 0.01%

Discounted Discounted
Semi-Annual Present Discounted PV Factor PV Factor Cash Flows Cash Flows
Annual (yrs) Periods Cash Flows Value Factor Cash Flows with -Δy with +Δy with -Δy with +Δy
(1) (2) (3) (4) (5) (9) (10) (11) (12)

Bond #1 yield: 0.64%

0.50 1 15.6 0.9936 15.5 0.9937 0.9935 15.5 15.5

1.00 2 1,265.6 0.9872 1,249.5 0.9874 0.9870 1,249.7 1,249.2
1.50 3 - 0.9809 - 0.9812 0.9806 - -
2.00 4 - 0.9746 - 0.9750 0.9743 - -
2.50 5 - 0.9684 - 0.9689 0.9679 - -
Total 1,265.0 1,265.2 1,264.8
(6) Macaulay duration 0.99386 1.98773 (13) Effective duration (semi-annual periods) 1.9750
(7) Modified duration 0.98750 1.97500 (14) Effective duration (annual basis) 0.98750
(8) Excel Duration (comparison): 0.99386

Bond #2 yield: 0.86%

0.50 1 61.9 0.9915 61.3 0.9916 0.9914 61.4 61.3

1.00 2 61.9 0.9830 60.8 0.9832 0.9829 60.8 60.8
1.50 3 1,936.9 0.9747 1,887.8 0.9750 0.9744 1,888.4 1,887.3
2.00 4 - 0.9664 - 0.9668 0.9660 - -
2.50 5 - 0.9582 - 0.9586 0.9577 - -
Total 2,010.0 2,010.6 2,009.4
(6) Macaulay duration 1.45435 2.9087 (13) Effective duration (semi-annual periods) 2.8839
(7) Modified duration 1.44197 2.8839 (14) Effective duration (annual basis) 1.44197
(8) Excel Duration (comparison): 1.45435

Bond #3 yield: 2.04%

0.50 1 26.2 0.9800 25.6 0.9801 0.9799 25.6 25.6

1.00 2 26.2 0.9604 25.1 0.9606 0.9602 25.1 25.1
1.50 3 26.2 0.9412 24.6 0.9414 0.9409 24.6 24.6
2.00 4 26.2 0.9223 24.1 0.9227 0.9220 24.1 24.1
2.50 5 1,151.2 0.9039 1,040.5 0.9043 0.9034 1,041.0 1,040.0
Total 1,140.0 1,140.5 1,139.5
(6) Macaulay duration 2.38980 4.7796 (13) Effective duration (semi-annual periods) 4.68397
(7) Modified duration 2.34198 4.6840 (14) Effective duration (annual basis) 2.34198
(8) Excel Duration (comparison): 2.38980

Step 3: Market Value Weighted Duration of Assets

Modified Effective
Market Value Duration Duration
Bond #1 1,265.0 0.98750 0.98750
Bond #2 2,010.0 1.44197 1.44197
Bond #3 1,140.0 2.34198 2.34198
Total 4,415.0 1.54415 1.54415

(4) = 1 / (1 + y) ^ (2) (10) = 1 / (1 + y + Δy) ^ (2)

(5) = (3) x (4) (11) = (3) x (8)
(6) Sumproduct of columns (2) and (5) divided by (5) Total; for annual basis divide by 2 (12) = (3) x (9)
(7) = (6) / (1 + y); for annual basis divide by 2 (13) = [(11) total - (12) total] / [ 2 x Δy ] / [(5) total]
(8) DURATION (Valuation Date, Maturity Date, Coupon Rate, Annual Yield Rate, Coupon Frequency, basis) (14) = (13) / 2
(9) = 1 / (1 + y - Δy) ^ (2)
Duration of Unpaid Claim Liabilities Appendix A
Sheet 2
Year-end Information

Unpaid as at December 31, 2015 Accident Year Payment Pattern

Accident Year Property Liability Age Property Liability
2011 - 32 12 80% 35%
2012 - 86 24 95% 68%
2013 - 127 36 100% 80%
2014 16 186 48 100% 85%
2015 137 258 60 100% 90%
72 100% 95%
84 100% 99%
96 100% 100%

Yield (y)= 1.75%

Annual Δy = 0.10%
Unearned Premium Reserve for Property: 550 Expected Loss Ratio for Property = 65.0%
Unearned Premium Reserve for Liability: 380 Expected Loss Ratio for Liability = 80.0%
Maintenance Expense Ratio (% UPR) = 3.50%
Maintenance Expenses should be paid during the time the UPR is being earned

Step 1: Future payment for claims liabilities

Property
Paid in
Accident Year Unpaid 2016 2017 2018 2019 2020 2021 2022
2011 -
2012 -
2013 -
2014 16.0 16.0 - - - - -
2015 137.0 102.8 34.3 - - - - -
Total 153.0 118.8 34.3 - - - - -

payout for AY 2015 @ 2016 = 137 / (1-80%) * (95% - 80%)

payout for AY 2015 @ 2017 = 137 / (1-80%) * (100% - 95%)
payout for AY 2014 @ 2016 = 16 / (1-95%) * (100% - 95%)

Liability
Paid in
Accident Year Unpaid 2016 2017 2018 2019 2020 2021 2022
2011 32.0 16.0 12.8 3.2
2012 86.0 28.7 28.7 22.9 5.7
2013 127.0 31.8 31.8 31.8 25.4 6.4
2014 186.0 69.8 29.1 29.1 29.1 23.3 5.8
2015 258.0 131.0 47.6 19.8 19.8 19.8 15.9 4.0
Total 689.0 277.2 149.9 106.8 80.0 49.4 21.7 4.0

payout for AY 2015 @ 2016 = 258 / (1-35%) * (68% - 35%)

payout for AY 2015 @ 2017 = 258 / (1-35%) * (80% - 68%)
payout for AY 2014 @ 2016 = 186 / (1-68%) * (80% - 68%)
etc.
 Duration of Unpaid Claim Liabilities Appendix A
Sheet 3
Step 2: Calculation of duration for claims liabilities

Discounted Discounted
Present Discounted PV Factor PV Factor Cash Flows with Cash Flows with
Year Lag (yrs) Payment Value Factor Payment with -Δy with +Δy -Δy +Δy
(1) (2) (3) (4) (5) (8) (9) (10) (11)

Property
2016 0.5000 118.8 0.9914 117.7 0.9919 0.9909 117.8 117.7
2017 1.5000 34.3 0.9743 33.4 0.9758 0.9729 33.4 33.3
2018 2.5000 - 0.9576 - 0.9599 0.9552 - -
2019 3.5000 - 0.9411 - 0.9443 0.9379 - -
2020 4.5000 - 0.9249 - 0.9290 0.9208 - -
2021 5.5000 - 0.9090 - 0.9139 0.9041 - -
2022 6.5000 - 0.8934 - 0.8991 0.8877 - -
Total 151.1 151.2 151.0
0.7209 (6) Macaulay duration (12) Effective duration 0.7085
0.7085 (7) Modified duration

Liability
2016 0.5000 277.2 0.9914 274.8 0.9919 0.9909 274.9 274.6
2017 1.5000 149.9 0.9743 146.1 0.9758 0.9729 146.3 145.8
2018 2.5000 106.8 0.9576 102.3 0.9599 0.9552 102.5 102.0
2019 3.5000 80.0 0.9411 75.3 0.9443 0.9379 75.6 75.1
2020 4.5000 49.4 0.9249 45.7 0.9290 0.9208 45.9 45.5
2021 5.5000 21.7 0.9090 19.7 0.9139 0.9041 19.8 19.6
2022 6.5000 4.0 0.8934 3.5 0.8991 0.8877 3.6 3.5
Total 667.4 668.6 666.2
1.8176 (6) Macaulay duration (12) Effective duration 1.7863
1.7863 (7) Modified duration

Step 3: Weighted duration for claims liabilities

PV of Unpaid APV of Unpaid Modified Effective

Claims PFAD Claims Duration Duration
Property 151.1 5 156 0.7085 0.7085
Liability 667.4 115 782 1.7863 1.7863
Total 818.5 120 938 1.6070 1.6070

(3) From Appendix A, Sheet 2 (8) = 1 / (1 + y - Δy) ^ (2)

(4) = 1 / (1 + y) ^ (2) (9) = 1 / (1 + y + Δy) ^ (2)
(5) = (3) x (4) (10) = (3) x (8)
(6) Sumproduct of columns (2) and (5) divided by (5) Total (11) = (3) x (9)
(7) = (6) / (1 + y) (12) = [(10) total - (11) total] / [2 x Δy ] / [(5) total]
 Duration of Premium Liabilities Appendix A
Sheet 4
Yield (y) = 1.75%
Annual Δy = 0.10%

Lag to Time Zero AY Incremental Present Value Discounted to PV Factor PV Factor Discounted Discounted
Year (yrs) Payment Pattern Factor Time Zero with -Δy with +Δy with -Δy with +Δy
(1) (2) (3) (4) (5) (13) (14) (15) (16)

Property
2016 0.5000 80.0% 0.9914 79.31% 0.9919 0.9909 79.35% 79.27%
2017 1.5000 15.0% 0.9743 14.61% 0.9758 0.9729 14.64% 14.59%
2018 2.5000 5.0% 0.9576 4.79% 0.9599 0.9552 4.80% 4.78%
2019 3.5000 0.0% 0.9411 0.00% 0.9443 0.9379 0.00% 0.00%
2020 4.5000 0.0% 0.9249 0.00% 0.9290 0.9208 0.00% 0.00%
2021 5.5000 0.0% 0.9090 0.00% 0.9139 0.9041 0.00% 0.00%
2022 6.5000 0.0% 0.8934 0.00% 0.8991 0.8877 0.00% 0.00%
2023 7.5000 0.0% 0.8780 0.00% 0.8845 0.8715 0.00% 0.00%
Total 98.71% 98.78% 98.64%
0.7451 (6) Macaulay Duration
0.7322 (7) Modified Duration
0.5000 (8) Mean Accident Date of an AY 0.5000 0.5000
0.3333 (9) Mean Accident Date of UPR 0.3333 0.3333
0.9900 (10) Discount Factor at Time Zero of Prem Liab 0.9905 0.9894
0.5784 (11) Macaulay Duration (17) Effective Duration: 0.5684
0.5684 (12) Modified Duration

Liability
2016 0.5000 35.0% 0.9914 34.7% 0.9919 0.9909 34.71% 34.68%
2017 1.5000 33.0% 0.9743 32.2% 0.9758 0.9729 32.20% 32.10%
2018 2.5000 12.0% 0.9576 11.5% 0.9599 0.9552 11.52% 11.46%
2019 3.5000 5.0% 0.9411 4.7% 0.9443 0.9379 4.72% 4.69%
2020 4.5000 5.0% 0.9249 4.6% 0.9290 0.9208 4.65% 4.60%
2021 5.5000 5.0% 0.9090 4.5% 0.9139 0.9041 4.57% 4.52%
2022 6.5000 4.0% 0.8934 3.6% 0.8991 0.8877 3.60% 3.55%
2023 7.5000 1.0% 0.8780 0.9% 0.8845 0.8715 0.88% 0.87%
Total 96.67% 96.85% 96.48%
1.9282 (6) Macaulay Duration
1.8950 (7) Modified Duration
0.5000 (8) Mean Accident Date of an AY 0.5000 0.5000
0.3333 (9) Mean Accident Date of UPR 0.3333 0.3333
0.9695 (10) Discount Factor at Time Zero of Prem Liab 0.9712 0.9678
1.7615 (11) Macaulay Duration (17) Effective Duration: 1.7312
1.7312 (12) Modified Duration

Maintenance Expenses
2016 0.5000 100% 0.9914 99.1% 0.9919 0.9909 99.19% 99.09%
2017 1.5000 0% 0.9743 0.0% 0.9758 0.9729 0.00% 0.00%
Total 99.1% 99.19% 99.09%
0.5000 (6) Macaulay Duration
0.4914 (7) Modified Duration
0.5000 (8) Mean Accident Date of an AY 0.5000 0.5000
0.3333 (9) Mean Accident Date of UPR 0.3333 0.3333
0.9942 (10) Discount Factor at Time Zero of Prem Liab 0.9946 0.9939
0.3333 (11) Macaulay Duration (17) Effective Duration: 0.3276
0.3276 (12) Modified Duration

Undiscounted Discount PV of Prem Total APV of Prem Modified Effective

UPR ELR Prem Liabilities Factor Liabilities PFAD Liabilities Duration Duration
Property 550 65.0% 357.5 0.9900 353.9 12 365.9 0.5684 0.5684
Liability 380 80.0% 304.0 0.9695 294.7 51 345.7 1.7312 1.7312
Maintenance 3.50% 32.6 0.9942 32.4 - 32.4 0.3276 0.3276
Total 930 694.1 681.0 63 744.0 1.0983 1.0983

(2) Assume that all policies have 12-month terms with equal earning (10) = (5) total x ( 1 + y )^ [ (8) - (9) ]
(3) From Appendix A, Sheet 2 (11) = (6) - (8) + (9)
(4) [ 1 + y ]^-(2) (12) = (11) / [ 1 + y ]
(5) = (3) x (4) (13) = [ 1 + y - Δy ]^-(2)
(6) = Sumproduct of columns (2) and (5) divided by (5) total (14) = [ 1 + y + Δy ]^-(2)
(7) = (6) / [ 1 + y ] (15) = (3) x (13)
(8) Average accident date of a future accident year (July 1st) (16) = (3) x (14)
(9) Mean average accident date of premium liabilities (May 1st). (17) [Discount Factor with +Δy - Discount Factor with -Δy ] / [2 x Δy ] / (10)
 Appendix A
Sheet 5
30.66

2015
Date

MCT (BAAT) MARKET RISK CAPITAL (MARGIN) REQUIREMENTS

($'000)
Interest rate shock factor
0.01250 (0.01250)
Capital (Margin) Required for Interest Rate Risk

Modified or Dollar fair value Dollar fair value

Fair value effective change change
duration (01)x(02)xΔy (01)x(02)x(-Δy)

(55) (01) (02) (03) (04)

Interest rate sensitive assets:
Term deposits 01 0 0
Bonds and debentures 02 4,415.0 1.5441 85 (85)
Commercial paper 03 0 0
Loans 04 0 0
Mortgages 05 0 0
MBS and ABS 06 0 0
Preferred shares 07 0 0
Other (specify) 08 0 0
Total interest rate sensitive assets 09 4,415.0 85 (85)
Interest rate sensitive liabilities:
Net unpaid claims and adjustment expenses 10 938.5 1.6070 19 (19)
Net premium liabilities 11 744.0 1.0983 10 (10)
Other as approved by OSFI 12 0 0
Total interest rate sensitive liabilities 19 1,682.5 29 (29)
Notional value Dollar fair value Dollar fair value
Δy -Δy
Allowable interest rate derivatives: (05) (06) (07)
Long positions 20
Short positions 21
Total allowable interest rate derivatives 29 0 0
Capital required for Δy shock increase 30 56
Capital required for Δy shock decrease 31 0
Total interest rate risk margin 39 56

Note: Δy = 1.25%

Row 02 from Appendix A, Sheet 1

Row 10 from Appendix A, Sheet 3
Row 11 from Appendix A, Sheet 4
 ABC INSURANCE COMPANY Appendix B
31 DECEMBER 2015
CASH FLOW MATCHING MODEL
Cash Flow (in $000's) for Determination of Discount Rate

Reinvestment Rate 1.000%

Internal Rate of Return (IRR) on Cash Flows: IRR per Col (4) 2.153%
Estimated investment expense ratio 0.250%
Indicated discount rate net of expenses 1.903%

Cash In-flow from Assets Cash Outflow Net Inflow (Excess) Reinvested Funds

(1) (2) (3) (4) (4a) (4b) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15)
Cash from (To)/ From Total Payment of Net Payment of Net Payment of Net Cash Total Net inflow Cumulative Net inflow Cumulative Opening Interest Deposit / Closing
Year Investment Reinvestment Inflow Claim Liabilities Prem Liabilities Policy Liabilities Withdrawal Outflow No Reinv/WD Excess With Reinv/WD Excess Balance Earned on Reinv. (Withdrawal) Balance
Sheet 3 See below = (2) + (3) Sheet 3 = (4) - (5) = (5) + (6) = (2) - (5) Based on (8) = (4) - (7) Based on (10) = (15) prior year =(12) * Reinv. Rate = -(3) =(12) + (13)+ (14)

From Sheet 1 (349,985) 0 (349,985) (275,865) (43,219) (349,985)

2016 140,960 (10,932) 130,028 110,075 19,953 130,028 0 130,028 10,932 10,932 0 0 0 0 10,932 10,932
2017 87,733 (15,886) 71,847 59,385 12,462 71,847 0 71,847 15,886 26,817 0 0 10,932 109 15,886 26,926
2018 54,773 (7,523) 47,250 41,720 5,530 47,250 0 47,250 7,523 34,340 0 0 26,926 269 7,523 34,718
2019 2,648 27,826 30,473 27,400 3,073 30,473 0 30,473 (27,826) 6,514 0 0 34,718 347 (27,826) 7,240
2020 17,648 5,975 23,622 21,665 1,957 23,622 0 23,622 (5,975) 540 0 0 7,240 72 (5,975) 1,338
2021 32,033 (6,866) 25,166 12,925 1,086 14,011 11,155 25,166 18,022 18,561 0 0 1,338 13 6,866 8,217
2022 893 8,299 9,191 8,715 476 9,191 0 9,191 (8,299) 10,263 0 0 8,217 82 (8,299) 1
2023 35,893 (3,391) 32,502 4,875 273 5,148 27,354 32,502 30,745 41,007 0 0 1 0 3,391 3,392
2024 0 3,010 3,010 2,895 115 3,010 0 3,010 (3,010) 37,997 0 0 3,392 34 (3,010) 416
2025 0 400 400 345 55 400 0 400 (400) 37,597 0 0 416 4 (400) 20
2026 0 20 20 0 20 20 0 20 (20) 37,577 0 0 20 0 (20) 0

Total ex 2015 372,577 932 373,509 290,000 45,000 335,000 38,509 373,509 37,577 0

Underlying Duration Calculation

IRR on Cash Flows (y): 2.257% 1.903% 1.903%

Payment Lag (EOP) Disc Factor

1 0.978 0.981 0.981
2 0.956 0.963 0.963
3 0.935 0.945 0.945
4 0.915 0.927 0.927
5 0.894 0.910 0.910
6 0.875 0.893 0.893
7 0.855 0.876 0.876
8 0.836 0.860 0.860
9 0.818 0.844 0.844
10 0.800 0.828 0.828
11 0.782 0.813 0.813

Macaulay Duration 2.747 2.617 2.122

Modified Duration 2.687 2.568 2.082

Notes
Cells in red are expansions to the educational note Discounting and Cash Flow Considerations for P&C Insurers.
(4a) See Revised Educational Note: Discounting and Cash Flow Considerations for P&C Insurers - Appendix B, Sheet 3, row 17.
(4b) See Revised Educational Note: Discounting and Cash Flow Considerations for P&C Insurers - Appendix B, Sheet 3, row 28.
(5) = (4a) + (4b)
 Appendix C
ABC Insurance Company of Canada Sheet 1
Premium Liabilities Analysis
Net Basis
As of December 31, XXXX
(000s)

(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11)
Selected Selected
Direct Assumed Gross Ceded Net Expected Undisc. Loss Losses + ULAE Ratio Undisc.
Class of Insurance UPR UPR UPR UPR UPR Reinsur. Ratio (% ALAE (% Loss + ULAE Losses +
Premium Prem) ALAE) LAE

Personal Property 10,000 0 10,000 500 9,500 500 86.0% 7,740 -- 383 8,123
Commercial Property 0 0 0 0 0 0 0.0% - -- - -
Aircraft 0 0 0 0 0 0 0.0% - -- - -
Auto - Liability - Regular 50,000 0 50,000 1,000 49,000 3,000 98.0% 45,080 -- 2,250 47,330
Auto - PA - Regular 25,000 0 25,000 3,000 22,000 1,500 115.0% 23,575 -- 1,350 24,925
Auto - Other - Regular 30,000 0 30,000 500 29,500 1,000 67.0% 19,095 -- 918 20,013
Auto - Liability - Facility 1,500 0 1,500 0 1,500 0 93.3% 1,400 -- - 1,400
Auto - PA - Facility 750 0 750 0 750 0 93.3% 700 -- - 700
Auto - Other - Facility 750 0 750 0 750 0 93.3% 700 -- - 700
Boiler & Machinery 0 0 0 0 0 0 0.0% - -- - -
Credit 0 0 0 0 0 0 0.0% - -- - -
Credit Protection 0 0 0 0 0 0 0.0% - -- - -
Fidelity 0 0 0 0 (0) 0 0.0% - -- - -
Hail 0 0 0 0 0 0 0.0% - -- - -
Legal Expense 0 0 0 0 0 0 0.0% - -- - -
Liability - Total 0 5,000 5,000 1,000 4,000 250 73.0% 2,738 -- 169 2,906
Other Approved Products 0 0 0 0 0 0 0.0% - -- - -
Surety - Total 0 0 0 0 0 0 0.0% - -- - -
Title 0 0 0 0 0 0 0.0% - -- - -
Marine 0 0 0 0 0 0 0.0% - -- - -
Accident & Sickness 0 0 0 0 0 0 0.0% - -- - -
Total 118,000 5,000 123,000 6,000 117,000 6,250 91.8% 101,028 -- 5,069 106,097

(1) From Prem Liab Ed Note, appendix B, sheet 1, column (1) (9) n/a
(2) From Prem Liab Ed Note, appendix B, sheet 1, column (2) (10) Prem Liab Ed Note, appendix B, sheet 1, column (10)
(3) = (1) + (2) (11) = (8) + (10)
(4) From company accounting department or annual return
(5) = (3) - (4)
(6) From company
(7) Similar calculation as gross analysis (see Prem Liab Ed Note)
(8) = [ (5) - (6) ]x (7)
 Appendix C
ABC Insurance Company of Canada Sheet 2
Premium Liabilities Analysis
Net Basis
As of December 31, XXXX
(000s)

(12) (13) (14) (15) (16) (17) (18) (19) (20) (21) (22) (23)
Discount Discounted Ceded
Discount Discounted Factor Losses + LAE Interest Claims Claims Discounted Reinsur. Reinsur. Discounted
Class of Insurance Factor Losses + LAE (with (with Int. Rate PfAD Dev't. Dev't. Losses MfAD PfAD Total PfAD Losses with
MfAD) PfAD) MfAD PfAD +ALAE PfADs

Personal Property 0.983 7,984 0.987 8,015 31 7.0% 559 749 1.0% 7 597 8,581
Commercial Property -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Aircraft -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Auto - Liability - Regular 0.922 43,647 0.943 44,642 994 11.0% 4,801 4,277 1.0% 43 5,838 49,485
Auto - PA - Regular 0.932 23,234 0.953 23,758 524 10.0% 2,323 5,833 1.0% 58 2,906 26,140
Auto - Other - Regular 0.977 19,553 0.988 19,773 220 7.0% 1,369 1,275 1.0% 13 1,601 21,154
Auto - Liability - Facility 0.929 1,300 0.929 1,300 0 15.4% 200 0 1.0% 0 200 1,500
Auto - PA - Facility 0.929 650 0.929 650 0 15.4% 100 0 1.0% 0 100 750
Auto - Other - Facility 0.929 650 0.929 650 0 15.4% 100 0 1.0% 0 100 750
Boiler & Machinery -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Credit -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Credit Protection -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Fidelity -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Hail -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Legal Expense -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Liability - Total 0.937 2,724 0.953 2,771 47 10.0% 272 890 1.0% 9 328 3,052
Other Approved Products -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Surety - Total -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Title -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Marine -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Accident & Sickness -- 0 -- 0 0 0.0% 0 0 1.0% 0 0 0
Total 0.940 99,742 0.957 101,558 1,816 9.7% 9,725 13,024 1.0% 130 11,671 111,413

(12) Similar calculation as gross analysis (see Prem Liab Ed Note) (19) See Prem Liab Ed Note, Appendix C, Sheet 2
(13) = (11) x (12) (20) Reinsurance MfAD used for the valuation of claims liabilities
(14) Similar calculation as gross analysis (see Prem Liab Ed Note) (21) = (19) x (20)
(15) = (11) x (14) (22) = (16) + (18) + (21) [input for P&C annual return Page 30.64, Col (14) ]
(16) = (15) - (13) (23) = (13) + (22)
(17) Claims development MfAD used for the valuation of claims liabilities
(18) = (13) x (17)
 Appendix C
ABC Insurance Company of Canada Sheet 3
Premium Liabilities Analysis
Net Basis
As of December 31, XXXX
(000s)

(24) (25) (26) (27) (28) (29) (30) (31) (32) (33) (34)
Maint. Contingent
Expense Maint. Comm. Rate Contingent Premium Unearned Max. Booked Premium
Class of Insurance Ratio (% Expenses (% Gross Comm. Liabilities (Ceded) Equity in UPR Allowable Initial DPAE DPAE Deficiency
Gross Prem.) Prem.) Comm. DPAE

Personal Property 3.00% 300 0.00% 0 9,381 129

Commercial Property 3.00% 0 0.00% 0 0 0
Aircraft 3.00% 0 0.00% 0 0 0
Auto - Liability - Regular 3.00% 1,500 0.00% 0 53,985 258
Auto - PA - Regular 3.00% 750 0.00% 0 28,390 774
Auto - Other - Regular 3.00% 900 0.00% 0 23,054 129
Auto - Liability - Facility 3.00% 45 0.00% 0 1,545 0
Auto - PA - Facility 3.00% 23 0.00% 0 773 0
Auto - Other - Facility 3.00% 23 0.00% 0 773 0
Boiler & Machinery 3.00% 0 0.00% 0 0 0
Credit 3.00% 0 0.00% 0 0 0
Credit Protection 3.00% 0 0.00% 0 0 0
Fidelity 3.00% 0 0.00% 0 0 0
Hail 3.00% 0 0.00% 0 0 0
Legal Expense 3.00% 0 0.00% 0 0 0
Liability - Total 3.00% 150 0.00% 0 3,452 258
Other Approved Products 3.00% 0 0.00% 0 0 0
Surety - Total 3.00% 0 0.00% 0 0 0
Title 3.00% 0 0.00% 0 0 0
Marine 3.00% 0 0.00% 0 0 0
Accident & Sickness 3.00% 0 0.00% 0 0 0
Total 3.00% 3,690 0.00% 0 121,353 1,549 (2,804) 0 20,000 0 2,804

(24) From Prem Liab Ed Note, appendix B, sheet 6, row (10) (31) = max [ (30) , 0 ]
(25) = (3) x (24) (32) From company accounting department
(26) Based on company budget and projected loss ratios (33) = min [ (31) , (32) ] [input for P&C return 20.10, row(43)]
(27) = (3) x (26) (34) = - min [ (30) , 0 ] [input for P&C return 20.20, row (15)]
(28) = (6) + (23) + (25) + (27)
(29) From company accounting department or annual return
(30) = (5) - (28) + (29)
 Appendix C
ABC Insurance Company of Canada Sheet 4
Premium Liabilities Analysis
Net Basis
As of December 31, XXXX
(000s)

(35) (36) (37)

Premium
Premium Premium Liabilities
Class of Insurance Liabilities Liabilities Effective
Δy= +0.1% Δy= -0.1% Duration
Personal Property
Commercial Property
Aircraft
Auto - Liability - Regular
Auto - PA - Regular
Auto - Other - Regular
Auto - Liability - Facility
Auto - PA - Facility
Auto - Other - Facility
Boiler & Machinery
Credit
Credit Protection
Fidelity
Hail
Legal Expense
Liability - Total
Other Approved Products
Surety - Total
Title
Marine
Accident & Sickness
Total 120,997 121,920 3.803

(35) = recalculation of (28) using discount rate + 0.1%

(36) = recalculation of (28) using discount rate - 0.1%
(37) = [(36)-(35)] / [2 x 0.1% ] / (28)