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{"sheet":"List of Contents","index":0,"n_rows":37,"n_cols":3,"rows_kept":37,"cut":false,"hidden":false,"merged":[[30,1,32,1],[33,1,33,2],[3,1,4,1],[6,1,6,2],[10,1,12,1],[13,1,13,2],[16,1,18,1],[19,1,26,1]]}
[]
[]
[null,"TAB","CONTENTS"]
[null,"Firm Info","Firm Information, Sign Off details, Exchange Rates used"]
[null,null,"Details on numbers of SPVs, MAPs and modelled RFFs - once entered click macro button to populate the spreadsheet"]
[null,"Summary","Eligible Own Funds, SCR and Coverage Ratio from each Scenario"]
[null,"Pre-Stress Information"]
[null,"Base BS","Solvency II base balance sheet S.02.01.01"]
[null,"Base SCR A","Solvency II SCR split be risk type (pre-div) "]
[null,"Base SCR B","Solvency II SCR split be risk type (post-div) "]
[null,"Base Own Funds","Own Funds (S.23.01.01.01)"]
[null,null,"Reconcilation Reserve (S.23.01.01.02)"]
[null,null,"Impact of long term guarantees measures and transitionals (S.22.01.01)"]
[null,"Post-Stress Information"]
[null,"Scenario Summary A1","Views of strength of stress, Impact on business model, Details of material reinsurance arrangements post stress, details of any post stress SCR recalibration"]
[null,"Scenario Mgmt Act Detail A1","Management Action Details; split by those already within the existing SCR calculation and additional management actions that could be taken"]
[null,"Scenario SPV Details A1","Value of restructured assets (by credit rating/seniority) pre and post stress"]
[null,null,"Value of restructured assets (by credit rating/seniority) pre and post stress on a look through basis"]
[null,null,"repeated for each SPV"]
[null,"Scenario MAP Details A1","MAP asset allocation pre-stress (table 1)"]
[null,null,"MAP asset allocation post-stress (table 2)"]
[null,null,"MAP asset allocation post-rebalancing (table 3)"]
[null,null,"Description of other Assets"]
[null,null,"Balance sheet impact of BBB cliff"]
[null,null,"Summary of rebalancing actions split by internal transfer to/from MAP and external sales/purchases "]
[null,null,"Balance sheet impact if MAP rebalanced with gilts only (A1 only)"]
[null,null,"repeated for each MAP"]
[null,"Scenario BS A1","Solvency II base balance sheet S.02.01.01"]
[null,"Scenario SCR A1 A","Solvency II SCR split be risk type (pre-div) "]
[null,"Scenario SCR A1 B","Solvency II SCR split be risk type (post-div) "]
[null,"Scenario Own Funds A1","Own Funds (S.23.01.01.01)"]
[null,null,"Reconciliation Reserve (S.23.01.01.02)"]
[null,null,"Impact of long term guarantees measures and transitionals (S.22.01.01)"]
[null,"Scenarios B2, B3 and B4 have exact copies of the above"]
[null,"Section C Climate Change","Climate change survey Parts 1 and 2"]
[null,"Free Form Comments","Please record any comments you have on the way you have completed the spreadsheet"]
[null,"Asset Definitions","Please use the definitions of different asset classes here to categorise your MAP assets"]

{"sheet":"Firm Info","index":1,"n_rows":35,"n_cols":4,"rows_kept":35,"cut":false,"hidden":false,"merged":[[21,0,21,1]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Firm Information","Key"]
[null,"To be completed"]
[null,"Calculation/reference"]
[]
["Firm name"]
["Group or Solo","Solo"]
["FRN (if applicable)"]
[]
[]
["As at date","2018-12-31","unless firm uses a different year end"]
[]
["Contact name"]
["Contact email"]
["Contact phone"]
[]
["Senior Management  Sign-off confirmation"]
["Senior Management Sign-off date"]
[]
["Resource spent (FTE)"]
[]
["All figures in the remainder of this template to be provided in GBP. Please provide exchange rates where relevant for all material currencies."]
["Currency (three letter code, eg USD)","Exchange rate used (GBP:XXX)"]
[]
[]
[]
[]
[]
[]
[]
["How many ERM SPVs do you have for the purposes of the MAP",1]
["How many other SPVs do you have for the purposes of the MAP",1]
["How many MAPs do you have",1]
["How many modelled RFFs do you have",1]
[null,null,null,"Please Run this macro before completing the remainder of the spreadsheet"]

{"sheet":"Summary","index":2,"n_rows":19,"n_cols":6,"rows_kept":19,"cut":false,"hidden":false,"merged":[[5,0,5,1],[5,2,5,4],[9,0,9,1],[8,0,8,1],[6,0,6,1],[6,2,6,4]]}
["PRA Insurance Stress Testing 2019"]
["Summary Sheet",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",null,{"$f":"IF(OR('Firm Info'!$B$6=\"\",ISERROR('Firm Info'!$B$6)),\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",null,{"$f":"IF(OR('Firm Info'!B7=\"\",ISERROR('Firm Info'!B7)),\"\",'Firm Info'!B7)","v":"Solo"}]
[]
[null,null,"Eligible own funds","SCR","SCR coverage"]
[{"$f":"\"Balance sheet\"&IF('Firm Info'!B11<>\"\",\", as at \"&TEXT('Firm Info'!B11,\"dd/mm/yyyy\"),\"\")","v":"Balance sheet, as at 31/12/2018"},null,{"$f":"'Base Own Funds'!C47","v":0},{"$f":"'Base Own Funds'!C49","v":0},{"$f":"IFERROR(C$10/D$10,\"\")","v":""}]
[]
["Scenario summary"]
[]
["Number","Scenario name","Eligible own funds after stress scenario","SCR after stress scenario","SCR coverage after stress scenario","Description"]
["A1","Insurance Asset Shock (IAS)",{"$f":"'Scenario Own Funds A1'!C47","v":0},{"$f":"'Scenario Own Funds A1'!C49","v":0},{"$f":"IFERROR(C$10/D$10,\"\")","v":""},"An asset shock aligned to the UK insurance sector"]
["B2","IAS + Fundamental Spread shock",{"$f":"'Scenario Own Funds B2'!C47","v":0},{"$f":"'Scenario Own Funds B2'!C49","v":0},"","An asset shock aligned to the UK insurance sector with an additional stress to assumed Fundamental Spreads"]
["B3","IAS + longevity shock",{"$f":"'Scenario Own Funds B3'!C47","v":0},{"$f":"'Scenario Own Funds B3'!C49","v":0},"","An asset shock aligned to the UK insurance sector plus longevity shock"]
["B4","IAS + reverse stress test longevity",{"$f":"'Scenario Own Funds B4'!C47","v":0},{"$f":"'Scenario Own Funds B4'!C49","v":0},"","An asset shock aligned to the UK insurance sector plus  details of the extent to which longevity assumptions would need to increase until the firm’s SCR coverage is at 100% . "]
["C","Climate Change",null,null,null,"In this section, life insurance firms are asked for their quantitative views on how climate change will impact their assets and investment strategy"]

{"sheet":"Base BS","index":3,"n_rows":101,"n_cols":9,"rows_kept":101,"cut":false,"hidden":false,"merged":[[7,1,7,4],[6,1,6,4],[5,1,5,4],[13,3,13,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
[null,null,null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency II Balance Sheet"]
["S.02.01.01"]
[null,null,"Must match regulatory submission"]
[null,null,"Solvency II value"]
[null,null,"C0010","Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Details of RFF adjustments required to obtain Total value (if required)"]
[null,"Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
["All figures to be completed in GBP millions","Fund number"]
["Assets"]
["Goodwill","R0010"]
["Deferred acquisition costs","R0020"]
["Intangible assets","R0030"]
["Deferred tax assets","R0040"]
["Pension benefit surplus","R0050"]
["Property, plant & equipment held for own use","R0060"]
["Investments (other than assets held for index-linked and unit-linked contracts)","R0070"]
["Property (other than for own use)","R0080"]
["Holdings in related undertakings, including participations","R0090"]
["Equities","R0100"]
["Equities - listed","R0110"]
["Equities - unlisted","R0120"]
["Bonds","R0130"]
["Government Bonds","R0140"]
["Corporate Bonds","R0150"]
["Structured notes","R0160"]
["Collateralised securities","R0170"]
["Collective Investments Undertakings","R0180"]
["Derivatives","R0190"]
["Deposits other than cash equivalents","R0200"]
["Other investments","R0210"]
["Assets held for index-linked and unit-linked contracts","R0220"]
["Loans and mortgages","R0230"]
["Loans on policies","R0240"]
["Loans and mortgages to individuals","R0250"]
["Other loans and mortgages","R0260"]
["Reinsurance recoverables from:","R0270"]
["Non-life and health similar to non-life","R0280"]
["Non-life excluding health","R0290"]
["Health similar to non-life","R0300"]
["Life and health similar to life, excluding health and index-linked and unit-linked","R0310"]
["Health similar to life","R0320"]
["Life excluding health and index-linked and unit-linked","R0330"]
["Life index-linked and unit-linked","R0340"]
["Deposits to cedants","R0350"]
["Insurance and intermediaries receivables","R0360"]
["Reinsurance receivables","R0370"]
["Receivables (trade, not insurance)","R0380"]
["Own shares (held directly)","R0390"]
["Amounts due in respect of own fund items or initial fund called up but not yet paid in","R0400"]
["Cash and cash equivalents","R0410"]
["Any other assets, not elsewhere shown","R0420"]
["Total assets","R0500"]
["Liabilities"]
["Technical provisions – non-life","R0510"]
["Technical provisions – non-life (excluding health)","R0520"]
["Technical provisions calculated as a whole","R0530"]
["Best Estimate","R0540"]
["Risk margin","R0550"]
["Technical provisions - health (similar to non-life)","R0560"]
["Technical provisions calculated as a whole","R0570"]
["Best Estimate","R0580"]
["Risk margin","R0590"]
["Technical provisions - life (excluding index-linked and unit-linked)","R0600"]
["Technical provisions - health (similar to life)","R0610"]
["Technical provisions calculated as a whole","R0620"]
["Best Estimate","R0630"]
["Risk margin","R0640"]
["Technical provisions – life (excluding health and index-linked and unit-linked)","R0650"]
["Technical provisions calculated as a whole","R0660"]
["Best Estimate","R0670"]
["Risk margin","R0680"]
["Technical provisions – index-linked and unit-linked","R0690"]
["Technical provisions calculated as a whole","R0700"]
["Best Estimate","R0710"]
["Risk margin","R0720"]
["Other technical provisions","R0730"]
["Contingent liabilities","R0740"]
["Provisions other than technical provisions","R0750"]
["Pension benefit obligations","R0760"]
["Deposits from reinsurers","R0770"]
["Deferred tax liabilities","R0780"]
["Derivatives","R0790"]
["Debts owed to credit institutions","R0800"]
["Financial liabilities other than debts owed to credit institutions","R0810"]
["Insurance & intermediaries payables","R0820"]
["Reinsurance payables","R0830"]
["Payables (trade, not insurance)","R0840"]
["Subordinated liabilities","R0850"]
["Subordinated liabilities not in Basic Own Funds","R0860"]
["Subordinated liabilities in Basic Own Funds","R0870"]
["Any other liabilities, not elsewhere shown","R0880"]
["Total liabilities","R0900"]
["Excess of assets over liabilities","R1000"]

{"sheet":"Base SCR","index":4,"n_rows":67,"n_cols":9,"rows_kept":67,"cut":false,"hidden":false,"merged":[[13,0,14,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[12,3,12,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
[null,null,null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["Please attempt to complete within the specified headings where possible. "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C16:C22)","v":0},{"$f":"SUM(D16:D22)","v":0},0,0,{"$f":"SUM(G16:G22)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C24:C26)","v":0},{"$f":"SUM(D24:D26)","v":0},0,0,{"$f":"SUM(G24:G26)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C28:C35)","v":0},{"$f":"SUM(D28:D35)","v":0},0,0,{"$f":"SUM(G28:G35)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C37:C40)","v":0},{"$f":"SUM(D37:D40)","v":0},0,0,{"$f":"SUM(G37:G40)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C42:C46)","v":0},{"$f":"SUM(D42:D46)","v":0},0,0,{"$f":"SUM(G42:G46)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C48:C49)","v":0},{"$f":"SUM(D48:D49)","v":0},0,0,{"$f":"SUM(G48:G49)","v":0}]
["Total Before Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C23+C27+C36+C41+C47+C50","v":0},{"$f":"D23+D27+D36+D41+D47+D50","v":0},0,0,{"$f":"G23+G27+G36+G41+G47+G50","v":0}]
["Diversification within market risk","(8a)"]
["Diversification within Counterparty Default Risk","(8b)"]
["Diversification within Life Underwriting Risk","(8c)"]
["Diversification within Health Underwriting Risk","(8d)"]
["Diversification within Non-Life Underwriting Risk","(8e)"]
["Diversification between risk modules","(8f)"]
["Total diversification [ sum (8a) - (8f) ]","(8)",{"$f":"SUM(C52:C57)","v":0},{"$f":"SUM(D52:D57)","v":0},0,0,{"$f":"SUM(G52:G57)","v":0}]
["Total post diversification [ (7) + (8) ]","(9)",{"$f":"C51+C58","v":0},{"$f":"D51+D58","v":0},0,0,{"$f":"G51+G58","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(10a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(10b)"]
["Loss absorbing capacity of deferred tax","(11)"]
["Other adjustments within components","(12a)"]
["RFF/MAP nSCR aggregation adjustment","(12b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (9) + (10a) + (10b) + (11) + (12a) + (12b) ]","(13)",{"$f":"SUM(C59:C64)","v":0},{"$f":"SUM(D59:D64)","v":0},0,0,{"$f":"SUM(G59:G64)","v":0}]
["Capital add-on","(14)"]
["Solvency Capital Requirement including capital add-on\n[ (13) + (14) ]","(15)",{"$f":"SUM(C65:C66)","v":0},{"$f":"SUM(D65:D66)","v":0},0,0,{"$f":"SUM(G65:G66)","v":0}]

{"sheet":"Base SCR (2)","index":5,"n_rows":62,"n_cols":9,"rows_kept":62,"cut":false,"hidden":false,"merged":[[16,0,17,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[15,3,15,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
[null,null,null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["Please complete this worksheet if pre-diversification figures under Scenario A1, Scenario B2, Scenario B3 and Scenario B4 are not available. "]
["In other words, please complete this worksheet if the worksheets \"Scenario SCR A1, Scenario SCR B2, Scenario SCR B3 and Scenario SCR B4\" cannot be completed."]
["Please note that the figures in this worksheet should be post diversification."]
["Please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category (post diversification)","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C19:C25)","v":0},{"$f":"SUM(D19:D25)","v":0},0,0,{"$f":"SUM(G19:G25)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C27:C29)","v":0},{"$f":"SUM(D27:D29)","v":0},0,0,{"$f":"SUM(G27:G29)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C31:C38)","v":0},{"$f":"SUM(D31:D38)","v":0},0,0,{"$f":"SUM(G31:G38)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C40:C43)","v":0},{"$f":"SUM(D40:D43)","v":0},0,0,{"$f":"SUM(G40:G43)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C45:C49)","v":0},{"$f":"SUM(D45:D49)","v":0},0,0,{"$f":"SUM(G45:G49)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C51:C52)","v":0},{"$f":"SUM(D51:D52)","v":0},0,0,{"$f":"SUM(G51:G52)","v":0}]
["Total Post Diversification \n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C26+C30+C39+C44+C50+C53","v":0},{"$f":"D26+D30+D39+D44+D50+D53","v":0},0,0,{"$f":"G26+G30+G39+G44+G50+G53","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(8a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(8b)"]
["Loss absorbing capacity of deferred tax","(9)"]
["Other adjustments within components","(10a)"]
["RFF/MAP nSCR aggregation adjustment","(10b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (7) + (8a) + (8b) + (9) + (10a) + (10b) ]","(11)",{"$f":"SUM(C55:C59)","v":0},{"$f":"SUM(D55:D59)","v":0},{"$f":"SUM(E55:E59)","v":0},{"$f":"SUM(F55:F59)","v":0},{"$f":"SUM(G55:G59)","v":0}]
["Capital add-on","(12)"]
["Solvency Capital Requirement including capital add-on\n[ (11) + (12) ]","(13)",{"$f":"SUM(C60:C61)","v":0},{"$f":"SUM(D60:D61)","v":0},0,0,{"$f":"SUM(G60:G61)","v":0}]

{"sheet":"Base Own Funds","index":6,"n_rows":89,"n_cols":12,"rows_kept":89,"cut":false,"hidden":false,"merged":[[75,2,76,2],[75,3,75,11],[1,5,1,6],[2,5,2,6],[3,5,3,6],[5,1,5,6],[6,1,6,6],[7,1,7,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Own Funds & LTG measures",null,null,null,null,"Key"]
[null,null,null,null,null,"To be completed"]
[null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,{"$f":"IF('Firm Info'!D10=\"\",\"\", TEXT('Firm Info'!D10+1,\"dd/mm/yyyy\"))","v":""},null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
[]
["Own Funds"]
["S.23.01.01.01 "]
[null,null,"Must match regulatory submission"]
[null,null,"Total","Tier 1 - unrestricted","Tier 1 - restricted","Tier 2","Tier 3"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050"]
["Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35"]
["Ordinary share capital (gross of own shares)","R0010"]
["Share premium account related to ordinary share capital","R0030"]
["Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings","R0040"]
["Subordinated mutual member accounts","R0050"]
["Surplus funds","R0070"]
["Preference shares","R0090"]
["Share premium account related to preference shares","R0110"]
["Reconciliation reserve","R0130"]
["Subordinated liabilities","R0140"]
["An amount equal to the value of net deferred tax assets","R0160"]
["Other own fund items approved by the supervisory authority as basic own funds not specified above","R0180"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds","R0220"]
["Deductions"]
["Deductions for participations in financial and credit institutions","R0230"]
["Total basic own funds after deductions","R0290"]
["Ancillary own funds"]
["Unpaid and uncalled ordinary share capital callable on demand","R0300"]
["Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand","R0310"]
["Unpaid and uncalled preference shares callable on demand","R0320"]
["A legally binding commitment to subscribe and pay for subordinated liabilities on demand","R0330"]
["Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC","R0340"]
["Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC","R0350"]
["Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0360"]
["Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0370"]
["Other ancillary own funds","R0390"]
["Total ancillary own funds","R0400"]
["Available and eligible own funds"]
["Total available own funds to meet the SCR","R0500"]
["Total available own funds to meet the MCR","R0510"]
["Total eligible own funds to meet the SCR","R0540"]
["Total eligible own funds to meet the MCR","R0550"]
["SCR","R0580"]
["MCR","R0600"]
["Ratio of Eligible own funds to SCR","R0620"]
["Ratio of Eligible own funds to MCR","R0640"]
[]
["Reconciliation reserve"]
["S.23.01.01.02"]
[]
[null,null,"Must match regulatory submission"]
[null,null,"Total"]
["All figures to be completed in GBP millions",null,"C0060"]
["Reconciliation reserve"]
["Excess of assets over liabilities","R0700"]
["Own shares (held directly and indirectly)","R0710"]
["Foreseeable dividends, distributions and charges","R0720"]
["Other basic own fund items","R0730"]
["Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds","R0740"]
["Reconciliation reserve","R0760"]
["Expected profits"]
["Expected profits included in future premiums (EPIFP) - Life business","R0770"]
["Expected profits included in future premiums (EPIFP) - Non-life business","R0780"]
["Total Expected profits included in future premiums (EPIFP)","R0790"]
[]
[]
["Impact of long term guarantees measures and transitionals"]
["S.22.01.01"]
[null,null,"Must match regulatory submission"]
[null,null,"Amount with Long Term Guarantee measures and transitionals","Impact of the LTG measures and transitionals (Step-by-step approach)"]
[null,null,null,"Without transitional on technical provisions","Impact of transitional on technical provisions","Without transitional on interest rate","Impact of transitional on interest rate","Without volatility adjustment and without other transitional measures","Impact of volatility adjustment set to zero","Without matching adjustment and without all the others","Impact of matching adjustment set to zero","Impact of all LTG measures and transitionals"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050","C0060","C0070","C0080","C0090","C0100"]
["Technical provisions","R0010"]
["Basic own funds","R0020"]
["Excess of assets over liabilities","R0030"]
["Restricted own funds due to ring-fencing and matching portfolio","R0040"]
["Eligible own funds to meet Solvency Capital Requirement","R0050"]
["Tier 1","R0060"]
["Tier 2","R0070"]
["Tier 3","R0080"]
["Solvency Capital Requirement","R0090"]
["Eligible own funds to meet Minimum Capital Requirement","R0100"]
["Minimum Capital Requirement","R0110"]

{"sheet":"Scenario Summary A1","index":7,"n_rows":44,"n_cols":7,"rows_kept":44,"cut":false,"hidden":false,"merged":[[53,5,53,6],[54,5,54,6],[55,5,55,6],[56,5,56,6],[36,5,36,6],[37,5,37,6],[38,5,38,6],[49,5,49,6],[50,5,50,6],[44,5,44,6],[45,5,45,6],[46,5,46,6],[47,5,47,6],[48,5,48,6],[51,5,51,6],[52,5,52,6],[31,5,31,6],[32,5,32,6],[33,5,33,6],[34,5,34,6],[35,5,35,6],[28,5,28,6],[11,0,11,1],[29,5,29,6],[30,5,30,6],[19,0,19,6],[20,0,25,6],[12,0,12,1],[42,3,42,4],[42,0,43,0],[40,0,41,6],[42,1,42,2],[42,5,43,6],[7,1,7,6],[6,1,6,6],[5,1,5,6],[14,0,17,6],[13,0,13,6],[8,1,8,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"A1",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"Insurance Asset Shock (IAS)"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector"}]
[]
[]
["What is your view of the strength of this stress? ",null,null,"Expressed as 1 in n years"]
["Is this scenario material for your firm?"]
["If no, there is no need to complete this sheet, but please outline briefly why it is not material"]
[]
[]
[]
[]
[]
["What would be the consequences of this scenario, and how would it impact your business model?"]
[]
[]
[]
[]
[]
[]
[]
["Please provide details of material reinsurance treaties post stress"]
["Reinsurer name","Reinsurance asset value","Internal/External","% Collateralised","Type of Collateral","Justification for post stress value"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Please provide details where you have chosen to recalibrate your SCR post-stress. For each material risk factor please specify the change in the standalone 99.5th percentile stress, the impact on the SCR and the rationale for the change. Please add extra rows as appropriate."]
[]
["Risk factor","Pre-stress",null,"Post-stress",null,"Rationale"]
[null,"99.5th percentile","Standalone SCR","99.5th percentile","Standalone SCR"]

{"sheet":"Scenario Mgmt Act Detail A1","index":8,"n_rows":37,"n_cols":9,"rows_kept":37,"cut":false,"hidden":false,"merged":[[42,8,42,11],[41,8,41,11],[40,8,40,11],[39,8,39,11],[38,8,38,11],[47,8,47,11],[46,8,46,11],[45,8,45,11],[44,8,44,11],[43,8,43,11],[28,0,28,3],[29,0,29,3],[30,0,30,3],[31,0,31,3],[32,0,32,3],[13,0,13,3],[24,0,24,3],[25,0,25,3],[26,0,26,3],[27,0,27,3],[23,0,23,3],[22,0,22,3],[21,0,21,3],[20,0,20,3],[19,0,19,3],[18,0,18,3],[17,0,17,3],[16,0,16,3],[15,0,15,3],[14,0,14,3],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[12,0,12,3],[36,0,36,3],[36,8,36,11],[37,0,37,3],[37,8,37,11],[48,0,48,3],[48,8,48,11],[47,0,47,3],[46,0,46,3],[45,0,45,3],[44,0,44,3],[43,0,43,3],[42,0,42,3],[41,0,41,3],[40,0,40,3],[39,0,39,3],[38,0,38,3],[49,0,49,3],[49,8,49,11],[50,0,50,3],[50,8,50,11],[51,0,51,3],[51,8,51,11],[55,0,55,3],[55,8,55,11],[56,0,56,3],[56,8,56,11],[52,0,52,3],[52,8,52,11],[53,0,53,3],[53,8,53,11],[54,0,54,3],[54,8,54,11]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"A1",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"Insurance Asset Shock (IAS)"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - Management Action Details\")","v":"Scenario A1 - Management Action Details"}]
["Management Actions included within results - only allow for management actions already anticipated within your existing SCR calculation"]
["What management actions are already allowed for in the SCR calculation in this scenario?",null,null,null,"Within MA fund?"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Additional Management Actions not included within results"]
["What additional management actions could be considered following this scenario?",null,null,null,"Within MA fund?","Time frame for implementation","Impact on Own Funds","Impact on SCR","SS8/18 justification"]

{"sheet":"Scenario SPV Details A1","index":9,"n_rows":65,"n_cols":7,"rows_kept":65,"cut":false,"hidden":false,"merged":[[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"A1",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"Insurance Asset Shock (IAS)"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - SPV Details\")","v":"Scenario A1 - SPV Details"}]
["All figures to be completed in GBP millions"]
[]
[]
[]
[]
["SPV name/number","ERM SPV 1"]
[]
["Please provide details of the impact if ERMs were stressed on a look-through basis. Please provide a copy of this table for each ERM restructuring."]
[]
[{"$f":"B17","v":"ERM SPV 1"},{"$f":"\"Scenario \"&C2&\" Basis\"","v":"Scenario A1 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]
[]
[]
[]
[]
[]
[]
["SPV name/number","SPV 1"]
[]
["Please provide details of the underlying assets which are restructured via this SPV as per the \"Asset Definitions\" tab."]
["Underlying assets"]
[]
["Please provide details of the impact on other restructurings if the underlying assets were stressed on a look-through basis. "]
["Please provide a copy of this table for each other restructuring."]
[{"$f":"B43","v":"SPV 1"},{"$f":"\"Scenario \"&C2&\" Basis\"","v":"Scenario A1 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]

{"sheet":"Scenario MAP Details A1","index":10,"n_rows":94,"n_cols":29,"rows_kept":94,"cut":false,"hidden":false,"merged":[[7,1,7,4],[8,1,8,4],[1,3,1,4],[2,3,2,4],[3,3,3,4],[5,1,5,4],[6,1,6,4]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","A1",null,"Key"]
["All figures to be completed in GBP millions",null,null,"To be completed"]
[null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(B2,Summary!$A$15:$B$19, 2)","v":"Insurance Asset Shock (IAS)"}]
["Scenario description",{"$f":"VLOOKUP(B2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", $B$2, \" - MAP Details\")","v":"Scenario A1 - MAP Details"}]
["All figures to be completed in GBP millions"]
[]
["Please complete the three asset allocation tables for each MA fund (scroll right for tables 2 and 3). The asset classes listed are defined on the Asset Definitions tab."]
["The pre-stress table should contain details of the current asset portfolio before application of the scenario stress."]
["The post-stress table should contain details of the current asset portfolio after the application of the scenario stress but before any rebalancing actions."]
["The post-rebalancing table should contain details of the asset portfolio after rebalancing actions after the application of the scenario stress."]
[]
[]
[]
[]
[]
[]
["Fund name","MAP 1"]
["Fund number"]
[]
[]
[{"$f":"B24 & \" Asset Allocation Table 1\"","v":"MAP 1 Asset Allocation Table 1"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 2\"","v":"MAP 1 Asset Allocation Table 2"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 3\"","v":"MAP 1 Asset Allocation Table 3"}]
["Asset class","Pre stress",null,null,null,null,null,null,null,null,"Asset class","Post stress",null,null,null,null,null,null,null,null,"Asset class","Post rebalancing"]
[null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total "]
["Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(B31:H31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(L31:R31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(V31:AB31)","v":0}]
["Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(B32:H32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(L32:R32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(V32:AB32)","v":0}]
["Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0]
["Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0]
["Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0]
["Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0]
["Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0]
["Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0]
["Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0]
["Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0]
["Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0]
["Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0]
["Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,{"$f":"SUM(B43:H43)","v":0},null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,{"$f":"SUM(L43:R43)","v":0},null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,{"$f":"SUM(V43:AB43)","v":0}]
["Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0]
["Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0]
["Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0]
["Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0]
["Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0]
["Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0]
["Other assets",null,null,null,null,null,null,null,0,null,"Other assets",null,null,null,null,null,null,null,null,null,"Other assets"]
["Total ",{"$f":"SUM(B31:B49)","v":0},0,0,0,0,0,0,{"$f":"SUM(B51:H51)","v":0},null,"Total ",{"$f":"SUM(L31:L49)","v":0},0,0,0,0,0,0,{"$f":"SUM(L51:R51)","v":0},null,"Total ",{"$f":"SUM(V31:V49)","v":0},0,0,0,0,0,0,{"$f":"SUM(V51:AB51)","v":0}]
[]
["Please provide a description of assets included as 'Other assets' in the table above."]
[]
[]
[]
[]
[]
[]
[]
[{"$f":"\"Balance sheet impact of BBB cliff on \"&B24","v":"Balance sheet impact of BBB cliff on MAP 1"}]
[null,"With cliff","Without cliff"]
["Own Funds"]
["MA (bps)"]
[]
["Please provide a summary of the rebalancing actions "]
["Asset class","Transferred to","Transferred from","Sold from MAP","Purchased into"]
[null,"MAP","MAP",null,"MAP"]
["Agricultural Mortgages"]
["Corporate Bond"]
["Covered Bonds"]
["Education Loans"]
["Equity Release Mortgages"]
["Ground Rent"]
["Income Producing Real Estate (IPRE)"]
["Infrastructure Assets"]
["Object Finance"]
["Other assets"]
["Other CREL"]
["Other Securitisations (e.g. RMBS / CMBS / ABS)"]
["Quasi Government Exposures / Supranationals"]
["Sale and Leaseback Loans on Commercial Properties"]
["Secured Financing"]
["Social Housing"]
["Sovereigns - Other than UK"]
["Sovereigns – UK"]
["Student Accommodation"]
["Trade Receivable / Supply Chain Financing"]
["Total ",{"$f":"SUM(B69:B88)","v":0},0,0,0]
[]
[{"$f":"\"Sensitivity: Balance sheet impact if \"&B24&\" rebalanced with gilts only\"","v":"Sensitivity: Balance sheet impact if MAP 1 rebalanced with gilts only"}]
[null,"Main result","Gilts only"]
["Own Funds"]
["MA (bps)"]

{"sheet":"Scenario BS A1","index":11,"n_rows":101,"n_cols":9,"rows_kept":101,"cut":false,"hidden":false,"merged":[[6,1,6,4],[7,1,7,4],[5,1,5,4],[13,3,13,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","A1",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency II Balance Sheet"]
["S.02.01.01"]
[]
[null,null,"Solvency II value"]
[null,null,"C0010","Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Details of RFF adjustments required to obtain Total value (if required)"]
[null,"Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
["All figures to be completed in GBP millions","Fund number"]
["Assets"]
["Goodwill","R0010"]
["Deferred acquisition costs","R0020"]
["Intangible assets","R0030"]
["Deferred tax assets","R0040"]
["Pension benefit surplus","R0050"]
["Property, plant & equipment held for own use","R0060"]
["Investments (other than assets held for index-linked and unit-linked contracts)","R0070"]
["Property (other than for own use)","R0080"]
["Holdings in related undertakings, including participations","R0090"]
["Equities","R0100"]
["Equities - listed","R0110"]
["Equities - unlisted","R0120"]
["Bonds","R0130"]
["Government Bonds","R0140"]
["Corporate Bonds","R0150"]
["Structured notes","R0160"]
["Collateralised securities","R0170"]
["Collective Investments Undertakings","R0180"]
["Derivatives","R0190"]
["Deposits other than cash equivalents","R0200"]
["Other investments","R0210"]
["Assets held for index-linked and unit-linked contracts","R0220"]
["Loans and mortgages","R0230"]
["Loans on policies","R0240"]
["Loans and mortgages to individuals","R0250"]
["Other loans and mortgages","R0260"]
["Reinsurance recoverables from:","R0270"]
["Non-life and health similar to non-life","R0280"]
["Non-life excluding health","R0290"]
["Health similar to non-life","R0300"]
["Life and health similar to life, excluding health and index-linked and unit-linked","R0310"]
["Health similar to life","R0320"]
["Life excluding health and index-linked and unit-linked","R0330"]
["Life index-linked and unit-linked","R0340"]
["Deposits to cedants","R0350"]
["Insurance and intermediaries receivables","R0360"]
["Reinsurance receivables","R0370"]
["Receivables (trade, not insurance)","R0380"]
["Own shares (held directly)","R0390"]
["Amounts due in respect of own fund items or initial fund called up but not yet paid in","R0400"]
["Cash and cash equivalents","R0410"]
["Any other assets, not elsewhere shown","R0420"]
["Total assets","R0500"]
["Liabilities"]
["Technical provisions – non-life","R0510"]
["Technical provisions – non-life (excluding health)","R0520"]
["Technical provisions calculated as a whole","R0530"]
["Best Estimate","R0540"]
["Risk margin","R0550"]
["Technical provisions - health (similar to non-life)","R0560"]
["Technical provisions calculated as a whole","R0570"]
["Best Estimate","R0580"]
["Risk margin","R0590"]
["Technical provisions - life (excluding index-linked and unit-linked)","R0600"]
["Technical provisions - health (similar to life)","R0610"]
["Technical provisions calculated as a whole","R0620"]
["Best Estimate","R0630"]
["Risk margin","R0640"]
["Technical provisions – life (excluding health and index-linked and unit-linked)","R0650"]
["Technical provisions calculated as a whole","R0660"]
["Best Estimate","R0670"]
["Risk margin","R0680"]
["Technical provisions – index-linked and unit-linked","R0690"]
["Technical provisions calculated as a whole","R0700"]
["Best Estimate","R0710"]
["Risk margin","R0720"]
["Other technical provisions","R0730"]
["Contingent liabilities","R0740"]
["Provisions other than technical provisions","R0750"]
["Pension benefit obligations","R0760"]
["Deposits from reinsurers","R0770"]
["Deferred tax liabilities","R0780"]
["Derivatives","R0790"]
["Debts owed to credit institutions","R0800"]
["Financial liabilities other than debts owed to credit institutions","R0810"]
["Insurance & intermediaries payables","R0820"]
["Reinsurance payables","R0830"]
["Payables (trade, not insurance)","R0840"]
["Subordinated liabilities","R0850"]
["Subordinated liabilities not in Basic Own Funds","R0860"]
["Subordinated liabilities in Basic Own Funds","R0870"]
["Any other liabilities, not elsewhere shown","R0880"]
["Total liabilities","R0900"]
["Excess of assets over liabilities","R1000"]

{"sheet":"Scenario SCR A1","index":12,"n_rows":67,"n_cols":9,"rows_kept":67,"cut":false,"hidden":false,"merged":[[13,0,14,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[12,3,12,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","A1",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["If the pre-diversification risk capital figures under Scenario A1 are not available then leave this worksheet blank and go to the \"Scenario SCR A1(2)\" worksheet.  Otherwise, please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C16:C22)","v":0},{"$f":"SUM(D16:D22)","v":0},0,0,{"$f":"SUM(G16:G22)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C24:C26)","v":0},{"$f":"SUM(D24:D26)","v":0},0,0,{"$f":"SUM(G24:G26)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C28:C35)","v":0},{"$f":"SUM(D28:D35)","v":0},0,0,{"$f":"SUM(G28:G35)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C37:C40)","v":0},{"$f":"SUM(D37:D40)","v":0},0,0,{"$f":"SUM(G37:G40)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C42:C46)","v":0},{"$f":"SUM(D42:D46)","v":0},0,0,{"$f":"SUM(G42:G46)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C48:C49)","v":0},{"$f":"SUM(D48:D49)","v":0},0,0,{"$f":"SUM(G48:G49)","v":0}]
["Total Before Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C23+C27+C36+C41+C47+C50","v":0},{"$f":"D23+D27+D36+D41+D47+D50","v":0},0,0,{"$f":"G23+G27+G36+G41+G47+G50","v":0}]
["Diversification within market risk","(8a)"]
["Diversification within Counterparty Default Risk","(8b)"]
["Diversification within Life Underwriting Risk","(8c)"]
["Diversification within Health Underwriting Risk","(8d)"]
["Diversification within Non-Life Underwriting Risk","(8e)"]
["Diversification between risk modules","(8f)"]
["Total diversification [ sum (8a) - (8f) ]","(8)",{"$f":"SUM(C52:C57)","v":0},{"$f":"SUM(D52:D57)","v":0},0,0,{"$f":"SUM(G52:G57)","v":0}]
["Total post diversification [ (7) + (8) ]","(9)",{"$f":"C51+C58","v":0},{"$f":"D51+D58","v":0},0,0,{"$f":"G51+G58","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(10a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(10b)"]
["Loss absorbing capacity of deferred tax","(11)"]
["Other adjustments within components","(12a)"]
["RFF/MAP nSCR aggregation adjustment","(12b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (9) + (10a) + (10b) + (11) + (12a) + (12b) ]","(13)",{"$f":"SUM(C59:C64)","v":0},{"$f":"SUM(D59:D64)","v":0},0,0,{"$f":"SUM(G59:G64)","v":0}]
["Capital add-on","(14)"]
["Solvency Capital Requirement including capital add-on\n[ (13) + (14) ]","(15)",{"$f":"SUM(C65:C66)","v":0},{"$f":"SUM(D65:D66)","v":0},0,0,{"$f":"SUM(G65:G66)","v":0}]

{"sheet":"Scenario SCR A1 (2)","index":13,"n_rows":62,"n_cols":9,"rows_kept":62,"cut":false,"hidden":false,"merged":[[16,0,17,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[15,3,15,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","A1",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["If the worksheet \"Scenario SCR A1\" canot not be completed with pre-diversification figures under Scenario A1, please leave the worksheet \"Scenario SCR A1\" blank and complete this worksheet."]
["Please note that the figures in this worksheet should be post diversification."]
["Please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
[]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category (post diversification)","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C19:C25)","v":0},{"$f":"SUM(D19:D25)","v":0},0,0,{"$f":"SUM(G19:G25)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C27:C29)","v":0},{"$f":"SUM(D27:D29)","v":0},0,0,{"$f":"SUM(G27:G29)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C31:C38)","v":0},{"$f":"SUM(D31:D38)","v":0},0,0,{"$f":"SUM(G31:G38)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C40:C43)","v":0},{"$f":"SUM(D40:D43)","v":0},0,0,{"$f":"SUM(G40:G43)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C45:C49)","v":0},{"$f":"SUM(D45:D49)","v":0},0,0,{"$f":"SUM(G45:G49)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C51:C52)","v":0},{"$f":"SUM(D51:D52)","v":0},0,0,{"$f":"SUM(G51:G52)","v":0}]
["Total Post Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C26+C30+C39+C44+C50+C53","v":0},{"$f":"D26+D30+D39+D44+D50+D53","v":0},0,0,{"$f":"G26+G30+G39+G44+G50+G53","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(8a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(8b)"]
["Loss absorbing capacity of deferred tax","(9)"]
["Other adjustments within components","(10a)"]
["RFF/MAP nSCR aggregation adjustment","(10b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (7) + (8a) + (8b) + (9) + (10a) + (10b) ]","(11)",{"$f":"SUM(C55:C59)","v":0},{"$f":"SUM(D55:D59)","v":0},{"$f":"SUM(E55:E59)","v":0},{"$f":"SUM(F55:F59)","v":0},{"$f":"SUM(G55:G59)","v":0}]
["Capital add-on","(12)"]
["Solvency Capital Requirement including capital add-on\n[ (11) + (12) ]","(13)",{"$f":"SUM(C60:C61)","v":0},{"$f":"SUM(D60:D61)","v":0},0,0,{"$f":"SUM(G60:G61)","v":0}]

{"sheet":"Scenario Own Funds A1","index":14,"n_rows":89,"n_cols":12,"rows_kept":89,"cut":false,"hidden":false,"merged":[[75,2,76,2],[75,3,75,11],[1,5,1,6],[2,5,2,6],[3,5,3,6],[5,1,5,6],[6,1,6,6],[7,1,7,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Own Funds & LTG measures",null,null,null,null,"Key"]
["Scenario Number","A1",null,null,null,"To be completed"]
[null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,{"$f":"IF('Firm Info'!D10=\"\",\"\", TEXT('Firm Info'!D10+1,\"dd/mm/yyyy\"))","v":""},null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
[]
["Own Funds"]
["S.23.01.01.01 "]
[]
[null,null,"Total","Tier 1 - unrestricted","Tier 1 - restricted","Tier 2","Tier 3"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050"]
["Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35"]
["Ordinary share capital (gross of own shares)","R0010"]
["Share premium account related to ordinary share capital","R0030"]
["Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings","R0040"]
["Subordinated mutual member accounts","R0050"]
["Surplus funds","R0070"]
["Preference shares","R0090"]
["Share premium account related to preference shares","R0110"]
["Reconciliation reserve","R0130"]
["Subordinated liabilities","R0140"]
["An amount equal to the value of net deferred tax assets","R0160"]
["Other own fund items approved by the supervisory authority as basic own funds not specified above","R0180"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds","R0220"]
["Deductions"]
["Deductions for participations in financial and credit institutions","R0230"]
["Total basic own funds after deductions","R0290"]
["Ancillary own funds"]
["Unpaid and uncalled ordinary share capital callable on demand","R0300"]
["Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand","R0310"]
["Unpaid and uncalled preference shares callable on demand","R0320"]
["A legally binding commitment to subscribe and pay for subordinated liabilities on demand","R0330"]
["Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC","R0340"]
["Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC","R0350"]
["Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0360"]
["Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0370"]
["Other ancillary own funds","R0390"]
["Total ancillary own funds","R0400"]
["Available and eligible own funds"]
["Total available own funds to meet the SCR","R0500"]
["Total available own funds to meet the MCR","R0510"]
["Total eligible own funds to meet the SCR","R0540"]
["Total eligible own funds to meet the MCR","R0550"]
["SCR","R0580"]
["MCR","R0600"]
["Ratio of Eligible own funds to SCR","R0620"]
["Ratio of Eligible own funds to MCR","R0640"]
[]
["Reconciliation reserve"]
["S.23.01.01.02"]
[]
[null,null,"Must match regulatory submission"]
[null,null,"Total"]
["All figures to be completed in GBP millions",null,"C0060"]
["Reconciliation reserve"]
["Excess of assets over liabilities","R0700"]
["Own shares (held directly and indirectly)","R0710"]
["Foreseeable dividends, distributions and charges","R0720"]
["Other basic own fund items","R0730"]
["Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds","R0740"]
["Reconciliation reserve","R0760"]
["Expected profits"]
["Expected profits included in future premiums (EPIFP) - Life business","R0770"]
["Expected profits included in future premiums (EPIFP) - Non-life business","R0780"]
["Total Expected profits included in future premiums (EPIFP)","R0790"]
[]
[]
["Impact of long term guarantees measures and transitionals"]
["S.22.01.01"]
["Columns C0060, C0070, C0080, C0090, C0100 not required in stress",null,"Must match regulatory submission"]
[null,null,"Amount with Long Term Guarantee measures and transitionals","Impact of the LTG measures and transitionals (Step-by-step approach)"]
[null,null,null,"Without transitional on technical provisions","Impact of transitional on technical provisions","Without transitional on interest rate","Impact of transitional on interest rate","Without volatility adjustment and without other transitional measures","Impact of volatility adjustment set to zero","Without matching adjustment and without all the others","Impact of matching adjustment set to zero","Impact of all LTG measures and transitionals"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050","C0060","C0070","C0080","C0090","C0100"]
["Technical provisions","R0010"]
["Basic own funds","R0020"]
["Excess of assets over liabilities","R0030"]
["Restricted own funds due to ring-fencing and matching portfolio","R0040"]
["Eligible own funds to meet Solvency Capital Requirement","R0050"]
["Tier 1","R0060"]
["Tier 2","R0070"]
["Tier 3","R0080"]
["Solvency Capital Requirement","R0090"]
["Eligible own funds to meet Minimum Capital Requirement","R0100"]
["Minimum Capital Requirement","R0110"]

{"sheet":"Scenario Summary B2","index":15,"n_rows":44,"n_cols":7,"rows_kept":44,"cut":false,"hidden":false,"merged":[[12,0,12,1],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[11,0,11,1],[35,5,35,6],[13,0,13,6],[14,0,17,6],[19,0,19,6],[20,0,25,6],[28,5,28,6],[29,5,29,6],[30,5,30,6],[31,5,31,6],[32,5,32,6],[33,5,33,6],[34,5,34,6],[49,5,49,6],[36,5,36,6],[37,5,37,6],[38,5,38,6],[40,0,41,6],[42,0,43,0],[42,1,42,2],[42,3,42,4],[42,5,43,6],[44,5,44,6],[45,5,45,6],[46,5,46,6],[47,5,47,6],[48,5,48,6],[56,5,56,6],[50,5,50,6],[51,5,51,6],[52,5,52,6],[53,5,53,6],[54,5,54,6],[55,5,55,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B2",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + Fundamental Spread shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector with an additional stress to assumed Fundamental Spreads"}]
[]
[]
["What is your view of the strength of this stress? ",null,null,"Expressed as 1 in n years"]
["Is this scenario material for your firm?"]
["If no, there is no need to complete this sheet, but please outline briefly why it is not material"]
[]
[]
[]
[]
[]
["What would be the consequences of this scenario, and how would it impact your business model?"]
[]
[]
[]
[]
[]
[]
[]
["Please provide details of material reinsurance treaties post stress"]
["Reinsurer name","Reinsurance asset value","Internal/External","% Collateralised","Type of Collateral","Justification for post stress value"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Please provide details where you have chosen to recalibrate your SCR post-stress. For each material risk factor please specify the change in the standalone 99.5th percentile stress, the impact on the SCR and the rationale for the change. Please add extra rows as appropriate."]
[]
["Risk factor","Pre-stress",null,"Post-stress",null,"Rationale"]
[null,"99.5th percentile","Standalone SCR","99.5th percentile","Standalone SCR"]

{"sheet":"Scenario Mgmt Act Detail B2","index":16,"n_rows":37,"n_cols":9,"rows_kept":37,"cut":false,"hidden":false,"merged":[[40,0,40,3],[39,0,39,3],[38,0,38,3],[47,8,47,11],[46,8,46,11],[45,8,45,11],[44,8,44,11],[43,8,43,11],[42,8,42,11],[40,8,40,11],[41,8,41,11],[39,8,39,11],[38,8,38,11],[19,0,19,3],[20,0,20,3],[21,0,21,3],[22,0,22,3],[23,0,23,3],[14,0,14,3],[15,0,15,3],[16,0,16,3],[17,0,17,3],[18,0,18,3],[29,0,29,3],[30,0,30,3],[31,0,31,3],[24,0,24,3],[25,0,25,3],[26,0,26,3],[27,0,27,3],[28,0,28,3],[13,0,13,3],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[12,0,12,3],[32,0,32,3],[37,0,37,3],[48,0,48,3],[49,0,49,3],[37,8,37,11],[48,8,48,11],[49,8,49,11],[36,8,36,11],[36,0,36,3],[47,0,47,3],[46,0,46,3],[45,0,45,3],[44,0,44,3],[43,0,43,3],[42,0,42,3],[41,0,41,3],[50,0,50,3],[51,0,51,3],[52,0,52,3],[50,8,50,11],[51,8,51,11],[52,8,52,11],[56,0,56,3],[56,8,56,11],[53,0,53,3],[54,0,54,3],[55,0,55,3],[53,8,53,11],[54,8,54,11],[55,8,55,11]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B2",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + Fundamental Spread shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector with an additional stress to assumed Fundamental Spreads"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - Management Action Details\")","v":"Scenario B2 - Management Action Details"}]
["Management Actions included within results - only allow for management actions already anticipated within your existing SCR calculation"]
["What management actions are already allowed for in the SCR calculation in this scenario?",null,null,null,"Within MA fund?"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Additional Management Actions not included within results"]
["What additional management actions could be considered following this scenario?",null,null,null,"Within MA fund?","Time frame for implementation","Impact on Own Funds","Impact on SCR","SS8/18 justification"]

{"sheet":"Scenario SPV Details B2","index":17,"n_rows":65,"n_cols":7,"rows_kept":65,"cut":false,"hidden":false,"merged":[[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B2",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + Fundamental Spread shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector with an additional stress to assumed Fundamental Spreads"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - SPV Details\")","v":"Scenario B2 - SPV Details"}]
["All figures to be completed in GBP millions"]
[]
[]
[]
[]
["SPV name/number","ERM SPV 1"]
[]
["Please provide details of the impact if ERMs were stressed on a look-through basis. Please provide a copy of this table for each ERM restructuring."]
[]
[{"$f":"B17","v":"ERM SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B2 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]
[]
[]
[]
[]
[]
[]
["SPV name/number","SPV 1"]
[]
["Please provide details of the underlying assets which are restructured via this SPV as per the \"Asset Definitions\" tab."]
["Underlying assets"]
[]
["Please provide details of the impact on other restructurings if the underlying assets were stressed on a look-through basis. "]
["Please provide a copy of this table for each other restructuring."]
[{"$f":"B43","v":"SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B2 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]

{"sheet":"Scenario MAP Details B2","index":18,"n_rows":89,"n_cols":29,"rows_kept":89,"cut":false,"hidden":false,"merged":[[8,1,8,4],[7,1,7,4],[1,3,1,4],[2,3,2,4],[3,3,3,4],[5,1,5,4],[6,1,6,4]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B2",null,"Key"]
["All figures to be completed in GBP millions",null,null,"To be completed"]
[null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(B2,Summary!$A$15:$B$19, 2)","v":"IAS + Fundamental Spread shock"}]
["Scenario description",{"$f":"VLOOKUP(B2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector with an additional stress to assumed Fundamental Spreads"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", $B$2, \" - MAP Details\")","v":"Scenario B2 - MAP Details"}]
["All figures to be completed in GBP millions"]
[]
["Please complete the three asset allocation tables for each MA fund (scroll right for tables 2 and 3). The asset classes listed are defined on the Asset Definitions tab."]
["The pre-stress table should contain details of the current asset portfolio before application of the scenario stress."]
["The post-stress table should contain details of the current asset portfolio after the application of the scenario stress but before any rebalancing actions."]
["The post-rebalancing table should contain details of the asset portfolio after rebalancing actions after the application of the scenario stress."]
[]
[]
[]
[]
[]
[]
["Fund name","MAP 1"]
["Fund number"]
[]
[]
[{"$f":"B24 & \" Asset Allocation Table 1\"","v":"MAP 1 Asset Allocation Table 1"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 2\"","v":"MAP 1 Asset Allocation Table 2"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 3\"","v":"MAP 1 Asset Allocation Table 3"}]
["Asset class","Pre stress",null,null,null,null,null,null,null,null,"Asset class","Post stress",null,null,null,null,null,null,null,null,"Asset class","Post rebalancing"]
[null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total "]
["Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(B31:H31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(L31:R31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(V31:AB31)","v":0}]
["Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(B32:H32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(L32:R32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(V32:AB32)","v":0}]
["Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0]
["Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0]
["Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0]
["Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0]
["Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0]
["Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0]
["Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0]
["Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0]
["Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0]
["Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0]
["Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0]
["Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0]
["Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0]
["Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0]
["Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0]
["Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0]
["Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0]
["Other assets",null,null,null,null,null,null,null,0,null,"Other assets",null,null,null,null,null,null,null,null,null,"Other assets"]
["Total ",{"$f":"SUM(B31:B49)","v":0},0,0,0,0,0,0,{"$f":"SUM(B51:H51)","v":0},null,"Total ",{"$f":"SUM(L31:L49)","v":0},0,0,0,0,0,0,{"$f":"SUM(L51:R51)","v":0},null,"Total ",{"$f":"SUM(V31:V49)","v":0},0,0,0,0,0,0,{"$f":"SUM(V51:AB51)","v":0}]
[]
["Please provide a description of assets included as 'Other assets' in the table above."]
[]
[]
[]
[]
[]
[]
[]
[{"$f":"\"Balance sheet impact of BBB cliff on \"&B24","v":"Balance sheet impact of BBB cliff on MAP 1"}]
["Impact","With cliff","Without cliff"]
["Own Funds"]
["MA (bps)"]
[]
["Please provide a summary of the rebalancing actions "]
["Asset class","Transferred to","Transferred from","Sold from MAP","Purchased into"]
[null,"MAP","MAP",null,"MAP"]
["Agricultural Mortgages"]
["Corporate Bond"]
["Covered Bonds"]
["Education Loans"]
["Equity Release Mortgages"]
["Ground Rent"]
["Income Producing Real Estate (IPRE)"]
["Infrastructure Assets"]
["Object Finance"]
["Other assets"]
["Other CREL"]
["Other Securitisations (e.g. RMBS / CMBS / ABS)"]
["Quasi Government Exposures / Supranationals"]
["Sale and Leaseback Loans on Commercial Properties"]
["Secured Financing"]
["Social Housing"]
["Sovereigns - Other than UK"]
["Sovereigns – UK"]
["Student Accommodation"]
["Trade Receivable / Supply Chain Financing"]
["Total ",{"$f":"SUM(B69:B88)","v":0},0,0,0]

{"sheet":"Scenario BS B2","index":19,"n_rows":101,"n_cols":9,"rows_kept":101,"cut":false,"hidden":false,"merged":[[5,1,5,4],[6,1,6,4],[7,1,7,4],[13,3,13,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B2",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency II Balance Sheet"]
["S.02.01.01"]
[]
[null,null,"Solvency II value"]
[null,null,"C0010","Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part\n\nAdd additional columns as necessary.",null,null,null,null,"Details of RFF adjustments required to obtain Total value (if required)"]
[null,"Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
["All figures to be completed in GBP millions","Fund number"]
["Assets"]
["Goodwill","R0010"]
["Deferred acquisition costs","R0020"]
["Intangible assets","R0030"]
["Deferred tax assets","R0040"]
["Pension benefit surplus","R0050"]
["Property, plant & equipment held for own use","R0060"]
["Investments (other than assets held for index-linked and unit-linked contracts)","R0070"]
["Property (other than for own use)","R0080"]
["Holdings in related undertakings, including participations","R0090"]
["Equities","R0100"]
["Equities - listed","R0110"]
["Equities - unlisted","R0120"]
["Bonds","R0130"]
["Government Bonds","R0140"]
["Corporate Bonds","R0150"]
["Structured notes","R0160"]
["Collateralised securities","R0170"]
["Collective Investments Undertakings","R0180"]
["Derivatives","R0190"]
["Deposits other than cash equivalents","R0200"]
["Other investments","R0210"]
["Assets held for index-linked and unit-linked contracts","R0220"]
["Loans and mortgages","R0230"]
["Loans on policies","R0240"]
["Loans and mortgages to individuals","R0250"]
["Other loans and mortgages","R0260"]
["Reinsurance recoverables from:","R0270"]
["Non-life and health similar to non-life","R0280"]
["Non-life excluding health","R0290"]
["Health similar to non-life","R0300"]
["Life and health similar to life, excluding health and index-linked and unit-linked","R0310"]
["Health similar to life","R0320"]
["Life excluding health and index-linked and unit-linked","R0330"]
["Life index-linked and unit-linked","R0340"]
["Deposits to cedants","R0350"]
["Insurance and intermediaries receivables","R0360"]
["Reinsurance receivables","R0370"]
["Receivables (trade, not insurance)","R0380"]
["Own shares (held directly)","R0390"]
["Amounts due in respect of own fund items or initial fund called up but not yet paid in","R0400"]
["Cash and cash equivalents","R0410"]
["Any other assets, not elsewhere shown","R0420"]
["Total assets","R0500"]
["Liabilities"]
["Technical provisions – non-life","R0510"]
["Technical provisions – non-life (excluding health)","R0520"]
["Technical provisions calculated as a whole","R0530"]
["Best Estimate","R0540"]
["Risk margin","R0550"]
["Technical provisions - health (similar to non-life)","R0560"]
["Technical provisions calculated as a whole","R0570"]
["Best Estimate","R0580"]
["Risk margin","R0590"]
["Technical provisions - life (excluding index-linked and unit-linked)","R0600"]
["Technical provisions - health (similar to life)","R0610"]
["Technical provisions calculated as a whole","R0620"]
["Best Estimate","R0630"]
["Risk margin","R0640"]
["Technical provisions – life (excluding health and index-linked and unit-linked)","R0650"]
["Technical provisions calculated as a whole","R0660"]
["Best Estimate","R0670"]
["Risk margin","R0680"]
["Technical provisions – index-linked and unit-linked","R0690"]
["Technical provisions calculated as a whole","R0700"]
["Best Estimate","R0710"]
["Risk margin","R0720"]
["Other technical provisions","R0730"]
["Contingent liabilities","R0740"]
["Provisions other than technical provisions","R0750"]
["Pension benefit obligations","R0760"]
["Deposits from reinsurers","R0770"]
["Deferred tax liabilities","R0780"]
["Derivatives","R0790"]
["Debts owed to credit institutions","R0800"]
["Financial liabilities other than debts owed to credit institutions","R0810"]
["Insurance & intermediaries payables","R0820"]
["Reinsurance payables","R0830"]
["Payables (trade, not insurance)","R0840"]
["Subordinated liabilities","R0850"]
["Subordinated liabilities not in Basic Own Funds","R0860"]
["Subordinated liabilities in Basic Own Funds","R0870"]
["Any other liabilities, not elsewhere shown","R0880"]
["Total liabilities","R0900"]
["Excess of assets over liabilities","R1000"]

{"sheet":"Scenario SCR B2","index":20,"n_rows":67,"n_cols":9,"rows_kept":67,"cut":false,"hidden":false,"merged":[[13,0,14,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[12,3,12,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B2",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["Please attempt to complete within the specified headings where possible. "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C16:C22)","v":0},{"$f":"SUM(D16:D22)","v":0},0,0,{"$f":"SUM(G16:G22)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C24:C26)","v":0},{"$f":"SUM(D24:D26)","v":0},0,0,{"$f":"SUM(G24:G26)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C28:C35)","v":0},{"$f":"SUM(D28:D35)","v":0},0,0,{"$f":"SUM(G28:G35)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C37:C40)","v":0},{"$f":"SUM(D37:D40)","v":0},0,0,{"$f":"SUM(G37:G40)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C42:C46)","v":0},{"$f":"SUM(D42:D46)","v":0},0,0,{"$f":"SUM(G42:G46)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C48:C49)","v":0},{"$f":"SUM(D48:D49)","v":0},0,0,{"$f":"SUM(G48:G49)","v":0}]
["Total Before Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C23+C27+C36+C41+C47+C50","v":0},{"$f":"D23+D27+D36+D41+D47+D50","v":0},0,0,{"$f":"G23+G27+G36+G41+G47+G50","v":0}]
["Diversification within market risk","(8a)"]
["Diversification within Counterparty Default Risk","(8b)"]
["Diversification within Life Underwriting Risk","(8c)"]
["Diversification within Health Underwriting Risk","(8d)"]
["Diversification within Non-Life Underwriting Risk","(8e)"]
["Diversification between risk modules","(8f)"]
["Total diversification [ sum (8a) - (8f) ]","(8)",{"$f":"SUM(C52:C57)","v":0},{"$f":"SUM(D52:D57)","v":0},0,0,{"$f":"SUM(G52:G57)","v":0}]
["Total post diversification [ (7) + (8) ]","(9)",{"$f":"C51+C58","v":0},{"$f":"D51+D58","v":0},0,0,{"$f":"G51+G58","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(10a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(10b)"]
["Loss absorbing capacity of deferred tax","(11)"]
["Other adjustments within components","(12a)"]
["RFF/MAP nSCR aggregation adjustment","(12b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (9) + (10a) + (10b) + (11) + (12a) + (12b) ]","(13)",{"$f":"SUM(C59:C64)","v":0},{"$f":"SUM(D59:D64)","v":0},0,0,{"$f":"SUM(G59:G64)","v":0}]
["Capital add-on","(14)"]
["Solvency Capital Requirement including capital add-on\n[ (13) + (14) ]","(15)",{"$f":"SUM(C65:C66)","v":0},{"$f":"SUM(D65:D66)","v":0},0,0,{"$f":"SUM(G65:G66)","v":0}]

{"sheet":"Scenario SCR B2 (2)","index":21,"n_rows":62,"n_cols":9,"rows_kept":62,"cut":false,"hidden":false,"merged":[[16,0,17,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[15,3,15,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B2",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["If the worksheet \"Scenario SCR B2\" canot not be completed with pre-diversification figures under Scenario B2, please leave the worksheet \"Scenario SCR B2\" blank and complete this worksheet."]
["Please note that the figures in this worksheet should be post diversification."]
["Please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
[]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category (post diversification)","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C19:C25)","v":0},{"$f":"SUM(D19:D25)","v":0},0,0,{"$f":"SUM(G19:G25)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C27:C29)","v":0},{"$f":"SUM(D27:D29)","v":0},0,0,{"$f":"SUM(G27:G29)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C31:C38)","v":0},{"$f":"SUM(D31:D38)","v":0},0,0,{"$f":"SUM(G31:G38)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C40:C43)","v":0},{"$f":"SUM(D40:D43)","v":0},0,0,{"$f":"SUM(G40:G43)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C45:C49)","v":0},{"$f":"SUM(D45:D49)","v":0},0,0,{"$f":"SUM(G45:G49)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C51:C52)","v":0},{"$f":"SUM(D51:D52)","v":0},0,0,{"$f":"SUM(G51:G52)","v":0}]
["Total Post Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C26+C30+C39+C44+C50+C53","v":0},{"$f":"D26+D30+D39+D44+D50+D53","v":0},0,0,{"$f":"G26+G30+G39+G44+G50+G53","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(8a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(8b)"]
["Loss absorbing capacity of deferred tax","(9)"]
["Other adjustments within components","(10a)"]
["RFF/MAP nSCR aggregation adjustment","(10b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (7) + (8a) + (8b) + (9) + (10a) + (10b) ]","(11)",{"$f":"SUM(C55:C59)","v":0},{"$f":"SUM(D55:D59)","v":0},{"$f":"SUM(E55:E59)","v":0},{"$f":"SUM(F55:F59)","v":0},{"$f":"SUM(G55:G59)","v":0}]
["Capital add-on","(12)"]
["Solvency Capital Requirement including capital add-on\n[ (11) + (12) ]","(13)",{"$f":"SUM(C60:C61)","v":0},{"$f":"SUM(D60:D61)","v":0},0,0,{"$f":"SUM(G60:G61)","v":0}]

{"sheet":"Scenario Own Funds B2","index":22,"n_rows":89,"n_cols":12,"rows_kept":89,"cut":false,"hidden":false,"merged":[[75,2,76,2],[75,3,75,11],[1,5,1,6],[2,5,2,6],[3,5,3,6],[5,1,5,6],[6,1,6,6],[7,1,7,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Own Funds & LTG measures",null,null,null,null,"Key"]
["Scenario Number","B2",null,null,null,"To be completed"]
[null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,{"$f":"IF('Firm Info'!D10=\"\",\"\", TEXT('Firm Info'!D10+1,\"dd/mm/yyyy\"))","v":""},null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
[]
["Own Funds"]
["S.23.01.01.01 "]
[]
[null,null,"Total","Tier 1 - unrestricted","Tier 1 - restricted","Tier 2","Tier 3"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050"]
["Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35"]
["Ordinary share capital (gross of own shares)","R0010"]
["Share premium account related to ordinary share capital","R0030"]
["Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings","R0040"]
["Subordinated mutual member accounts","R0050"]
["Surplus funds","R0070"]
["Preference shares","R0090"]
["Share premium account related to preference shares","R0110"]
["Reconciliation reserve","R0130"]
["Subordinated liabilities","R0140"]
["An amount equal to the value of net deferred tax assets","R0160"]
["Other own fund items approved by the supervisory authority as basic own funds not specified above","R0180"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds","R0220"]
["Deductions"]
["Deductions for participations in financial and credit institutions","R0230"]
["Total basic own funds after deductions","R0290"]
["Ancillary own funds"]
["Unpaid and uncalled ordinary share capital callable on demand","R0300"]
["Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand","R0310"]
["Unpaid and uncalled preference shares callable on demand","R0320"]
["A legally binding commitment to subscribe and pay for subordinated liabilities on demand","R0330"]
["Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC","R0340"]
["Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC","R0350"]
["Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0360"]
["Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0370"]
["Other ancillary own funds","R0390"]
["Total ancillary own funds","R0400"]
["Available and eligible own funds"]
["Total available own funds to meet the SCR","R0500"]
["Total available own funds to meet the MCR","R0510"]
["Total eligible own funds to meet the SCR","R0540"]
["Total eligible own funds to meet the MCR","R0550"]
["SCR","R0580"]
["MCR","R0600"]
["Ratio of Eligible own funds to SCR","R0620"]
["Ratio of Eligible own funds to MCR","R0640"]
[]
["Reconciliation reserve"]
["S.23.01.01.02"]
[]
[null,null,"Must match regulatory submission"]
[null,null,"Total"]
["All figures to be completed in GBP millions",null,"C0060"]
["Reconciliation reserve"]
["Excess of assets over liabilities","R0700"]
["Own shares (held directly and indirectly)","R0710"]
["Foreseeable dividends, distributions and charges","R0720"]
["Other basic own fund items","R0730"]
["Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds","R0740"]
["Reconciliation reserve","R0760"]
["Expected profits"]
["Expected profits included in future premiums (EPIFP) - Life business","R0770"]
["Expected profits included in future premiums (EPIFP) - Non-life business","R0780"]
["Total Expected profits included in future premiums (EPIFP)","R0790"]
[]
[]
["Impact of long term guarantees measures and transitionals"]
["S.22.01.01"]
["Columns C0060, C0070, C0080, C0090, C0100 not required in stress",null,"Must match regulatory submission"]
[null,null,"Amount with Long Term Guarantee measures and transitionals","Impact of the LTG measures and transitionals (Step-by-step approach)"]
[null,null,null,"Without transitional on technical provisions","Impact of transitional on technical provisions","Without transitional on interest rate","Impact of transitional on interest rate","Without volatility adjustment and without other transitional measures","Impact of volatility adjustment set to zero","Without matching adjustment and without all the others","Impact of matching adjustment set to zero","Impact of all LTG measures and transitionals"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050","C0060","C0070","C0080","C0090","C0100"]
["Technical provisions","R0010"]
["Basic own funds","R0020"]
["Excess of assets over liabilities","R0030"]
["Restricted own funds due to ring-fencing and matching portfolio","R0040"]
["Eligible own funds to meet Solvency Capital Requirement","R0050"]
["Tier 1","R0060"]
["Tier 2","R0070"]
["Tier 3","R0080"]
["Solvency Capital Requirement","R0090"]
["Eligible own funds to meet Minimum Capital Requirement","R0100"]
["Minimum Capital Requirement","R0110"]

{"sheet":"Scenario Summary B3","index":23,"n_rows":44,"n_cols":7,"rows_kept":44,"cut":false,"hidden":false,"merged":[[12,0,12,1],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[11,0,11,1],[35,5,35,6],[13,0,13,6],[14,0,17,6],[19,0,19,6],[20,0,25,6],[28,5,28,6],[29,5,29,6],[30,5,30,6],[31,5,31,6],[32,5,32,6],[33,5,33,6],[34,5,34,6],[49,5,49,6],[36,5,36,6],[37,5,37,6],[38,5,38,6],[40,0,41,6],[42,0,43,0],[42,1,42,2],[42,3,42,4],[42,5,43,6],[44,5,44,6],[45,5,45,6],[46,5,46,6],[47,5,47,6],[48,5,48,6],[56,5,56,6],[50,5,50,6],[51,5,51,6],[52,5,52,6],[53,5,53,6],[54,5,54,6],[55,5,55,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B3",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + longevity shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus longevity shock"}]
[]
[]
["What is your view of the strength of this stress? ",null,null,"Expressed as 1 in n years"]
["Is this scenario material for your firm?"]
["If no, there is no need to complete this sheet, but please outline briefly why it is not material"]
[]
[]
[]
[]
[]
["What would be the consequences of this scenario, and how would it impact your business model?"]
[]
[]
[]
[]
[]
[]
[]
["Please provide details of material reinsurance treaties post stress"]
["Reinsurer name","Reinsurance asset value","Internal/External","% Collateralised","Type of Collateral","Justification for post stress value"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Please provide details where you have chosen to recalibrate your SCR post-stress. For each material risk factor please specify the change in the standalone 99.5th percentile stress, the impact on the SCR and the rationale for the change. Please add extra rows as appropriate."]
[]
["Risk factor","Pre-stress",null,"Post-stress",null,"Rationale"]
[null,"99.5th percentile","Standalone SCR","99.5th percentile","Standalone SCR"]

{"sheet":"Scenario Mgmt Act Detail B3","index":24,"n_rows":37,"n_cols":9,"rows_kept":37,"cut":false,"hidden":false,"merged":[[40,0,40,3],[39,0,39,3],[38,0,38,3],[47,8,47,11],[46,8,46,11],[45,8,45,11],[44,8,44,11],[43,8,43,11],[42,8,42,11],[41,8,41,11],[40,8,40,11],[39,8,39,11],[38,8,38,11],[19,0,19,3],[20,0,20,3],[21,0,21,3],[22,0,22,3],[23,0,23,3],[14,0,14,3],[15,0,15,3],[16,0,16,3],[17,0,17,3],[18,0,18,3],[29,0,29,3],[30,0,30,3],[31,0,31,3],[24,0,24,3],[25,0,25,3],[26,0,26,3],[27,0,27,3],[28,0,28,3],[13,0,13,3],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[12,0,12,3],[32,0,32,3],[37,0,37,3],[48,0,48,3],[49,0,49,3],[37,8,37,11],[48,8,48,11],[49,8,49,11],[36,8,36,11],[36,0,36,3],[47,0,47,3],[46,0,46,3],[45,0,45,3],[44,0,44,3],[43,0,43,3],[42,0,42,3],[41,0,41,3],[50,0,50,3],[51,0,51,3],[52,0,52,3],[50,8,50,11],[51,8,51,11],[52,8,52,11],[56,0,56,3],[56,8,56,11],[53,0,53,3],[54,0,54,3],[55,0,55,3],[53,8,53,11],[54,8,54,11],[55,8,55,11]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B3",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + longevity shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus longevity shock"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - Management Action Details\")","v":"Scenario B3 - Management Action Details"}]
["Management Actions included within results - only allow for management actions already anticipated within your existing SCR calculation"]
["What management actions are already allowed for in the SCR calculation in this scenario?",null,null,null,"Within MA fund?"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Additional Management Actions not included within results"]
["What additional management actions could be considered following this scenario?",null,null,null,"Within MA fund?","Time frame for implementation","Impact on Own Funds","Impact on SCR","SS8/18 justification"]

{"sheet":"Scenario SPV Details B3","index":25,"n_rows":65,"n_cols":7,"rows_kept":65,"cut":false,"hidden":false,"merged":[[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B3",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + longevity shock"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus longevity shock"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - SPV Details\")","v":"Scenario B3 - SPV Details"}]
["All figures to be completed in GBP millions"]
[]
[]
[]
[]
["SPV name/number","ERM SPV 1"]
[]
["Please provide details of the impact if ERMs were stressed on a look-through basis. Please provide a copy of this table for each ERM restructuring."]
[]
[{"$f":"B17","v":"ERM SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B3 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]
[]
[]
[]
[]
[]
[]
["SPV name/number","SPV 1"]
[]
["Please provide details of the underlying assets which are restructured via this SPV as per the \"Asset Definitions\" tab."]
["Underlying assets"]
[]
["Please provide details of the impact on other restructurings if the underlying assets were stressed on a look-through basis. "]
["Please provide a copy of this table for each other restructuring."]
[{"$f":"B43","v":"SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B3 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]

{"sheet":"Scenario MAP Details B3","index":26,"n_rows":89,"n_cols":29,"rows_kept":89,"cut":false,"hidden":false,"merged":[[8,1,8,4],[7,1,7,4],[1,3,1,4],[2,3,2,4],[3,3,3,4],[5,1,5,4],[6,1,6,4]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B3",null,"Key"]
["All figures to be completed in GBP millions",null,null,"To be completed"]
[null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(B2,Summary!$A$15:$B$19, 2)","v":"IAS + longevity shock"}]
["Scenario description",{"$f":"VLOOKUP(B2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus longevity shock"}]
[]
[{"$f":"CONCATENATE(\"Scenario \", $B$2, \" - MAP Details\")","v":"Scenario B3 - MAP Details"}]
["All figures to be completed in GBP millions"]
[]
["Please complete the three asset allocation tables for each MA fund (scroll right for tables 2 and 3). The asset classes listed are defined on the Asset Definitions tab."]
["The pre-stress table should contain details of the current asset portfolio before application of the scenario stress."]
["The post-stress table should contain details of the current asset portfolio after the application of the scenario stress but before any rebalancing actions."]
["The post-rebalancing table should contain details of the asset portfolio after rebalancing actions after the application of the scenario stress."]
[]
[]
[]
[]
[]
[]
["Fund name","MAP 1"]
["Fund number"]
[]
[]
[{"$f":"B24 & \" Asset Allocation Table 1\"","v":"MAP 1 Asset Allocation Table 1"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 2\"","v":"MAP 1 Asset Allocation Table 2"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 3\"","v":"MAP 1 Asset Allocation Table 3"}]
["Asset class","Pre stress",null,null,null,null,null,null,null,null,"Asset class","Post stress",null,null,null,null,null,null,null,null,"Asset class","Post rebalancing"]
[null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total "]
["Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(B31:H31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(L31:R31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(V31:AB31)","v":0}]
["Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(B32:H32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(L32:R32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(V32:AB32)","v":0}]
["Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0]
["Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0]
["Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0]
["Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0]
["Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0]
["Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0]
["Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0]
["Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0]
["Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0]
["Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0]
["Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0]
["Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0]
["Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0]
["Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0]
["Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0]
["Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0]
["Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0]
["Other assets",null,null,null,null,null,null,null,0,null,"Other assets",null,null,null,null,null,null,null,null,null,"Other assets"]
["Total ",{"$f":"SUM(B31:B49)","v":0},0,0,0,0,0,0,{"$f":"SUM(B51:H51)","v":0},null,"Total ",{"$f":"SUM(L31:L49)","v":0},0,0,0,0,0,0,{"$f":"SUM(L51:R51)","v":0},null,"Total ",{"$f":"SUM(V31:V49)","v":0},0,0,0,0,0,0,{"$f":"SUM(V51:AB51)","v":0}]
[]
["Please provide a description of assets included as 'Other assets' in the table above."]
[]
[]
[]
[]
[]
[]
[]
[{"$f":"\"Balance sheet impact of BBB cliff on \"&B24","v":"Balance sheet impact of BBB cliff on MAP 1"}]
["Impact","With cliff","Without cliff"]
["Own Funds"]
["MA (bps)"]
[]
["Please provide a summary of the rebalancing actions "]
["Asset class","Transferred to","Transferred from","Sold from MAP","Purchased into"]
[null,"MAP","MAP",null,"MAP"]
["Agricultural Mortgages"]
["Corporate Bond"]
["Covered Bonds"]
["Education Loans"]
["Equity Release Mortgages"]
["Ground Rent"]
["Income Producing Real Estate (IPRE)"]
["Infrastructure Assets"]
["Object Finance"]
["Other assets"]
["Other CREL"]
["Other Securitisations (e.g. RMBS / CMBS / ABS)"]
["Quasi Government Exposures / Supranationals"]
["Sale and Leaseback Loans on Commercial Properties"]
["Secured Financing"]
["Social Housing"]
["Sovereigns - Other than UK"]
["Sovereigns – UK"]
["Student Accommodation"]
["Trade Receivable / Supply Chain Financing"]
["Total ",{"$f":"SUM(B69:B88)","v":0},0,0,0]

{"sheet":"Scenario BS B3","index":27,"n_rows":101,"n_cols":9,"rows_kept":101,"cut":false,"hidden":false,"merged":[[5,1,5,4],[6,1,6,4],[7,1,7,4],[13,3,13,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B3",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency II Balance Sheet"]
["S.02.01.01"]
[]
[null,null,"Solvency II value"]
[null,null,"C0010","Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Details of RFF adjustments required to obtain Total value (if required)"]
[null,"Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
["All figures to be completed in GBP millions","Fund number"]
["Assets"]
["Goodwill","R0010"]
["Deferred acquisition costs","R0020"]
["Intangible assets","R0030"]
["Deferred tax assets","R0040"]
["Pension benefit surplus","R0050"]
["Property, plant & equipment held for own use","R0060"]
["Investments (other than assets held for index-linked and unit-linked contracts)","R0070"]
["Property (other than for own use)","R0080"]
["Holdings in related undertakings, including participations","R0090"]
["Equities","R0100"]
["Equities - listed","R0110"]
["Equities - unlisted","R0120"]
["Bonds","R0130"]
["Government Bonds","R0140"]
["Corporate Bonds","R0150"]
["Structured notes","R0160"]
["Collateralised securities","R0170"]
["Collective Investments Undertakings","R0180"]
["Derivatives","R0190"]
["Deposits other than cash equivalents","R0200"]
["Other investments","R0210"]
["Assets held for index-linked and unit-linked contracts","R0220"]
["Loans and mortgages","R0230"]
["Loans on policies","R0240"]
["Loans and mortgages to individuals","R0250"]
["Other loans and mortgages","R0260"]
["Reinsurance recoverables from:","R0270"]
["Non-life and health similar to non-life","R0280"]
["Non-life excluding health","R0290"]
["Health similar to non-life","R0300"]
["Life and health similar to life, excluding health and index-linked and unit-linked","R0310"]
["Health similar to life","R0320"]
["Life excluding health and index-linked and unit-linked","R0330"]
["Life index-linked and unit-linked","R0340"]
["Deposits to cedants","R0350"]
["Insurance and intermediaries receivables","R0360"]
["Reinsurance receivables","R0370"]
["Receivables (trade, not insurance)","R0380"]
["Own shares (held directly)","R0390"]
["Amounts due in respect of own fund items or initial fund called up but not yet paid in","R0400"]
["Cash and cash equivalents","R0410"]
["Any other assets, not elsewhere shown","R0420"]
["Total assets","R0500"]
["Liabilities"]
["Technical provisions – non-life","R0510"]
["Technical provisions – non-life (excluding health)","R0520"]
["Technical provisions calculated as a whole","R0530"]
["Best Estimate","R0540"]
["Risk margin","R0550"]
["Technical provisions - health (similar to non-life)","R0560"]
["Technical provisions calculated as a whole","R0570"]
["Best Estimate","R0580"]
["Risk margin","R0590"]
["Technical provisions - life (excluding index-linked and unit-linked)","R0600"]
["Technical provisions - health (similar to life)","R0610"]
["Technical provisions calculated as a whole","R0620"]
["Best Estimate","R0630"]
["Risk margin","R0640"]
["Technical provisions – life (excluding health and index-linked and unit-linked)","R0650"]
["Technical provisions calculated as a whole","R0660"]
["Best Estimate","R0670"]
["Risk margin","R0680"]
["Technical provisions – index-linked and unit-linked","R0690"]
["Technical provisions calculated as a whole","R0700"]
["Best Estimate","R0710"]
["Risk margin","R0720"]
["Other technical provisions","R0730"]
["Contingent liabilities","R0740"]
["Provisions other than technical provisions","R0750"]
["Pension benefit obligations","R0760"]
["Deposits from reinsurers","R0770"]
["Deferred tax liabilities","R0780"]
["Derivatives","R0790"]
["Debts owed to credit institutions","R0800"]
["Financial liabilities other than debts owed to credit institutions","R0810"]
["Insurance & intermediaries payables","R0820"]
["Reinsurance payables","R0830"]
["Payables (trade, not insurance)","R0840"]
["Subordinated liabilities","R0850"]
["Subordinated liabilities not in Basic Own Funds","R0860"]
["Subordinated liabilities in Basic Own Funds","R0870"]
["Any other liabilities, not elsewhere shown","R0880"]
["Total liabilities","R0900"]
["Excess of assets over liabilities","R1000"]

{"sheet":"Scenario SCR B3","index":28,"n_rows":67,"n_cols":9,"rows_kept":67,"cut":false,"hidden":false,"merged":[[13,0,14,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[12,3,12,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B3",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["Please attempt to complete within the specified headings where possible. "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C16:C22)","v":0},{"$f":"SUM(D16:D22)","v":0},0,0,{"$f":"SUM(G16:G22)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C24:C26)","v":0},{"$f":"SUM(D24:D26)","v":0},0,0,{"$f":"SUM(G24:G26)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C28:C35)","v":0},{"$f":"SUM(D28:D35)","v":0},0,0,{"$f":"SUM(G28:G35)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C37:C40)","v":0},{"$f":"SUM(D37:D40)","v":0},0,0,{"$f":"SUM(G37:G40)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C42:C46)","v":0},{"$f":"SUM(D42:D46)","v":0},0,0,{"$f":"SUM(G42:G46)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C48:C49)","v":0},{"$f":"SUM(D48:D49)","v":0},0,0,{"$f":"SUM(G48:G49)","v":0}]
["Total Before Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C23+C27+C36+C41+C47+C50","v":0},{"$f":"D23+D27+D36+D41+D47+D50","v":0},0,0,{"$f":"G23+G27+G36+G41+G47+G50","v":0}]
["Diversification within market risk","(8a)"]
["Diversification within Counterparty Default Risk","(8b)"]
["Diversification within Life Underwriting Risk","(8c)"]
["Diversification within Health Underwriting Risk","(8d)"]
["Diversification within Non-Life Underwriting Risk","(8e)"]
["Diversification between risk modules","(8f)"]
["Total diversification [ sum (8a) - (8f) ]","(8)",{"$f":"SUM(C52:C57)","v":0},{"$f":"SUM(D52:D57)","v":0},0,0,{"$f":"SUM(G52:G57)","v":0}]
["Total post diversification [ (7) + (8) ]","(9)",{"$f":"C51+C58","v":0},{"$f":"D51+D58","v":0},0,0,{"$f":"G51+G58","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(10a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(10b)"]
["Loss absorbing capacity of deferred tax","(11)"]
["Other adjustments within components","(12a)"]
["RFF/MAP nSCR aggregation adjustment","(12b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (9) + (10a) + (10b) + (11) + (12a) + (12b) ]","(13)",{"$f":"SUM(C59:C64)","v":0},{"$f":"SUM(D59:D64)","v":0},0,0,{"$f":"SUM(G59:G64)","v":0}]
["Capital add-on","(14)"]
["Solvency Capital Requirement including capital add-on\n[ (13) + (14) ]","(15)",{"$f":"SUM(C65:C66)","v":0},{"$f":"SUM(D65:D66)","v":0},0,0,{"$f":"SUM(G65:G66)","v":0}]

{"sheet":"Scenario SCR B3 (2)","index":29,"n_rows":62,"n_cols":9,"rows_kept":62,"cut":false,"hidden":false,"merged":[[16,0,17,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[15,3,15,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B3",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["If the worksheet \"Scenario SCR B3\" canot not be completed with pre-diversification figures under Scenario B3, please leave the worksheet \"Scenario SCR B3\" blank and complete this worksheet."]
["Please note that the figures in this worksheet should be post diversification."]
["Please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
[]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category (post diversification)","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C19:C25)","v":0},{"$f":"SUM(D19:D25)","v":0},0,0,{"$f":"SUM(G19:G25)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C27:C29)","v":0},{"$f":"SUM(D27:D29)","v":0},0,0,{"$f":"SUM(G27:G29)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C31:C38)","v":0},{"$f":"SUM(D31:D38)","v":0},0,0,{"$f":"SUM(G31:G38)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C40:C43)","v":0},{"$f":"SUM(D40:D43)","v":0},0,0,{"$f":"SUM(G40:G43)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C45:C49)","v":0},{"$f":"SUM(D45:D49)","v":0},0,0,{"$f":"SUM(G45:G49)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C51:C52)","v":0},{"$f":"SUM(D51:D52)","v":0},0,0,{"$f":"SUM(G51:G52)","v":0}]
["Total Post Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C26+C30+C39+C44+C50+C53","v":0},{"$f":"D26+D30+D39+D44+D50+D53","v":0},0,0,{"$f":"G26+G30+G39+G44+G50+G53","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(8a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(8b)"]
["Loss absorbing capacity of deferred tax","(9)"]
["Other adjustments within components","(10a)"]
["RFF/MAP nSCR aggregation adjustment","(10b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (7) + (8a) + (8b) + (9) + (10a) + (10b) ]","(11)",{"$f":"SUM(C55:C59)","v":0},{"$f":"SUM(D55:D59)","v":0},{"$f":"SUM(E55:E59)","v":0},{"$f":"SUM(F55:F59)","v":0},{"$f":"SUM(G55:G59)","v":0}]
["Capital add-on","(12)"]
["Solvency Capital Requirement including capital add-on\n[ (11) + (12) ]","(13)",{"$f":"SUM(C60:C61)","v":0},{"$f":"SUM(D60:D61)","v":0},0,0,{"$f":"SUM(G60:G61)","v":0}]

{"sheet":"Scenario Own Funds B3","index":30,"n_rows":89,"n_cols":12,"rows_kept":89,"cut":false,"hidden":false,"merged":[[75,2,76,2],[75,3,75,11],[1,5,1,6],[2,5,2,6],[3,5,3,6],[5,1,5,6],[6,1,6,6],[7,1,7,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Own Funds & LTG measures",null,null,null,null,"Key"]
["Scenario Number","B3",null,null,null,"To be completed"]
[null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,{"$f":"IF('Firm Info'!D10=\"\",\"\", TEXT('Firm Info'!D10+1,\"dd/mm/yyyy\"))","v":""},null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
[]
["Own Funds"]
["S.23.01.01.01 "]
[]
[null,null,"Total","Tier 1 - unrestricted","Tier 1 - restricted","Tier 2","Tier 3"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050"]
["Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35"]
["Ordinary share capital (gross of own shares)","R0010"]
["Share premium account related to ordinary share capital","R0030"]
["Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings","R0040"]
["Subordinated mutual member accounts","R0050"]
["Surplus funds","R0070"]
["Preference shares","R0090"]
["Share premium account related to preference shares","R0110"]
["Reconciliation reserve","R0130"]
["Subordinated liabilities","R0140"]
["An amount equal to the value of net deferred tax assets","R0160"]
["Other own fund items approved by the supervisory authority as basic own funds not specified above","R0180"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds","R0220"]
["Deductions"]
["Deductions for participations in financial and credit institutions","R0230"]
["Total basic own funds after deductions","R0290"]
["Ancillary own funds"]
["Unpaid and uncalled ordinary share capital callable on demand","R0300"]
["Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand","R0310"]
["Unpaid and uncalled preference shares callable on demand","R0320"]
["A legally binding commitment to subscribe and pay for subordinated liabilities on demand","R0330"]
["Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC","R0340"]
["Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC","R0350"]
["Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0360"]
["Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0370"]
["Other ancillary own funds","R0390"]
["Total ancillary own funds","R0400"]
["Available and eligible own funds"]
["Total available own funds to meet the SCR","R0500"]
["Total available own funds to meet the MCR","R0510"]
["Total eligible own funds to meet the SCR","R0540"]
["Total eligible own funds to meet the MCR","R0550"]
["SCR","R0580"]
["MCR","R0600"]
["Ratio of Eligible own funds to SCR","R0620"]
["Ratio of Eligible own funds to MCR","R0640"]
[]
["Reconciliation reserve"]
["S.23.01.01.02"]
[]
[null,null,"Must match regulatory submission"]
[null,null,"Total"]
["All figures to be completed in GBP millions",null,"C0060"]
["Reconciliation reserve"]
["Excess of assets over liabilities","R0700"]
["Own shares (held directly and indirectly)","R0710"]
["Foreseeable dividends, distributions and charges","R0720"]
["Other basic own fund items","R0730"]
["Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds","R0740"]
["Reconciliation reserve","R0760"]
["Expected profits"]
["Expected profits included in future premiums (EPIFP) - Life business","R0770"]
["Expected profits included in future premiums (EPIFP) - Non-life business","R0780"]
["Total Expected profits included in future premiums (EPIFP)","R0790"]
[]
[]
["Impact of long term guarantees measures and transitionals"]
["S.22.01.01"]
["Columns C0060, C0070, C0080, C0090, C0100 not required in stress",null,"Must match regulatory submission"]
[null,null,"Amount with Long Term Guarantee measures and transitionals","Impact of the LTG measures and transitionals (Step-by-step approach)"]
[null,null,null,"Without transitional on technical provisions","Impact of transitional on technical provisions","Without transitional on interest rate","Impact of transitional on interest rate","Without volatility adjustment and without other transitional measures","Impact of volatility adjustment set to zero","Without matching adjustment and without all the others","Impact of matching adjustment set to zero","Impact of all LTG measures and transitionals"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050","C0060","C0070","C0080","C0090","C0100"]
["Technical provisions","R0010"]
["Basic own funds","R0020"]
["Excess of assets over liabilities","R0030"]
["Restricted own funds due to ring-fencing and matching portfolio","R0040"]
["Eligible own funds to meet Solvency Capital Requirement","R0050"]
["Tier 1","R0060"]
["Tier 2","R0070"]
["Tier 3","R0080"]
["Solvency Capital Requirement","R0090"]
["Eligible own funds to meet Minimum Capital Requirement","R0100"]
["Minimum Capital Requirement","R0110"]

{"sheet":"Scenario Summary B4","index":31,"n_rows":40,"n_cols":7,"rows_kept":40,"cut":false,"hidden":false,"merged":[[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[11,0,11,1],[31,5,31,6],[15,0,15,6],[16,0,21,6],[24,5,24,6],[25,5,25,6],[26,5,26,6],[27,5,27,6],[28,5,28,6],[29,5,29,6],[30,5,30,6],[33,5,33,6],[34,5,34,6],[36,0,37,6],[38,0,39,0],[38,1,38,2],[38,3,38,4],[38,5,39,6],[52,5,52,6],[12,0,13,5],[12,6,13,6],[46,5,46,6],[47,5,47,6],[48,5,48,6],[49,5,49,6],[50,5,50,6],[51,5,51,6],[40,5,40,6],[41,5,41,6],[42,5,42,6],[43,5,43,6],[44,5,44,6],[45,5,45,6],[32,5,32,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B4",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + reverse stress test longevity"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus  details of the extent to which longevity assumptions would need to increase until the firm’s SCR coverage is at 100% . "}]
[]
[]
["What is your view of the strength of this stress? ",null,null,"Expressed as 1 in n years"]
["Please provide the % uplift in longevity assumptions required in order to reduce solvency cover to 100%. Note this is only required for firms whose solvency coverage remains above 100% after the stress applied in Scenario B3."]
[]
[]
["What would be the consequences of this scenario, and how would it impact your business model?"]
[]
[]
[]
[]
[]
[]
[]
["Please provide details of material reinsurance treaties post stress"]
["Reinsurer name","Reinsurance asset value","Internal/External","% Collateralised","Type of Collateral","Justification for post stress value"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Please provide details where you have chosen to recalibrate your SCR post-stress. For each material risk factor please specify the change in the standalone 99.5th percentile stress, the impact on the SCR and the rationale for the change. Please add extra rows as appropriate."]
[]
["Risk factor","Pre-stress",null,"Post-stress",null,"Rationale"]
[null,"99.5th percentile","Standalone SCR","99.5th percentile","Standalone SCR"]

{"sheet":"Scenario Mgmt Act Detail B4","index":32,"n_rows":37,"n_cols":9,"rows_kept":37,"cut":false,"hidden":false,"merged":[[40,0,40,3],[39,0,39,3],[38,0,38,3],[47,8,47,11],[46,8,46,11],[45,8,45,11],[44,8,44,11],[43,8,43,11],[42,8,42,11],[41,8,41,11],[40,8,40,11],[39,8,39,11],[38,8,38,11],[18,0,18,3],[16,0,16,3],[17,0,17,3],[15,0,15,3],[14,0,14,3],[23,0,23,3],[22,0,22,3],[21,0,21,3],[20,0,20,3],[19,0,19,3],[29,0,29,3],[30,0,30,3],[31,0,31,3],[24,0,24,3],[25,0,25,3],[26,0,26,3],[27,0,27,3],[28,0,28,3],[13,0,13,3],[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6],[12,0,12,3],[32,0,32,3],[37,0,37,3],[48,0,48,3],[49,0,49,3],[37,8,37,11],[48,8,48,11],[49,8,49,11],[36,8,36,11],[36,0,36,3],[47,0,47,3],[46,0,46,3],[45,0,45,3],[44,0,44,3],[43,0,43,3],[42,0,42,3],[41,0,41,3],[50,0,50,3],[51,0,51,3],[52,0,52,3],[50,8,50,11],[51,8,51,11],[52,8,52,11],[56,0,56,3],[56,8,56,11],[53,0,53,3],[54,0,54,3],[55,0,55,3],[53,8,53,11],[54,8,54,11],[55,8,55,11]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B4",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + reverse stress test longevity"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus  details of the extent to which longevity assumptions would need to increase until the firm’s SCR coverage is at 100% . "}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - Management Action Details\")","v":"Scenario B4 - Management Action Details"}]
["Management Actions included within results - only allow for management actions already anticipated within your existing SCR calculation"]
["What management actions are already allowed for in the SCR calculation in this scenario?",null,null,null,"Within MA fund?"]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
["Additional Management Actions not included within results"]
["What additional management actions could be considered following this scenario?",null,null,null,"Within MA fund?","Time frame for implementation","Impact on Own Funds","Impact on SCR","SS8/18 justification"]

{"sheet":"Scenario SPV Details B4","index":33,"n_rows":65,"n_cols":7,"rows_kept":65,"cut":false,"hidden":false,"merged":[[5,1,5,6],[6,1,6,6],[7,1,7,6],[8,1,8,6]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number",null,"B4",null,null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,null,null,"To be completed"]
[null,null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(C2,Summary!$A$15:$B$19, 2)","v":"IAS + reverse stress test longevity"}]
["Scenario description",{"$f":"VLOOKUP(C2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus  details of the extent to which longevity assumptions would need to increase until the firm’s SCR coverage is at 100% . "}]
[]
[{"$f":"CONCATENATE(\"Scenario \", C2, \" - SPV Details\")","v":"Scenario B4 - SPV Details"}]
["All figures to be completed in GBP millions"]
[]
[]
[]
[]
["SPV name/number","ERM SPV 1"]
[]
["Please provide details of the impact if ERMs were stressed on a look-through basis. Please provide a copy of this table for each ERM restructuring."]
[]
[{"$f":"B17","v":"ERM SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B4 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]
[]
[]
[]
[]
[]
[]
["SPV name/number","SPV 1"]
[]
["Please provide details of the underlying assets which are restructured via this SPV as per the \"Asset Definitions\" tab."]
["Underlying assets"]
[]
["Please provide details of the impact on other restructurings if the underlying assets were stressed on a look-through basis. "]
["Please provide a copy of this table for each other restructuring."]
[{"$f":"B43","v":"SPV 1"},{"$f":"\"Scenario \"&$C$2&\" Basis\"","v":"Scenario B4 Basis"},null,"Look-through Basis"]
[null,"Pre-stress market value","Post-stress market value","Pre-stress market value","Post-stress market value"]
["MA eligible note(s) "]
["CQS 0"]
["CQS 1"]
["CQS 2"]
["CQS 3"]
["CQS 4"]
["CQS 5"]
["CQS 6"]
["MA ineligible note(s) "]
["Other SPV assets"]
["Total SPV assets"]
["Insurance Entity Own Funds"]
["MA benefit arising from MA eligible notes issued by SPV"]
["MA (bps) in respect of MA eligible notes issued by SPV"]

{"sheet":"Scenario MAP Details B4","index":34,"n_rows":89,"n_cols":29,"rows_kept":89,"cut":false,"hidden":false,"merged":[[8,1,8,4],[7,1,7,4],[1,3,1,4],[2,3,2,4],[3,3,3,4],[5,1,5,4],[6,1,6,4]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B4",null,"Key"]
["All figures to be completed in GBP millions",null,null,"To be completed"]
[null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!B6=\"\",\"\",'Firm Info'!B6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!B7)","v":"Solo"}]
["Scenario name",{"$f":"VLOOKUP(B2,Summary!$A$15:$B$19, 2)","v":"IAS + reverse stress test longevity"}]
["Scenario description",{"$f":"VLOOKUP(B2,Summary!$A$15:$F$19,6)","v":"An asset shock aligned to the UK insurance sector plus  details of the extent to which longevity assumptions would need to increase until the firm’s SCR coverage is at 100% . "}]
[]
[{"$f":"CONCATENATE(\"Scenario \", $B$2, \" - MAP Details\")","v":"Scenario B4 - MAP Details"}]
["All figures to be completed in GBP millions"]
[]
["Please complete the three asset allocation tables for each MA fund (scroll right for tables 2 and 3). The asset classes listed are defined on the Asset Definitions tab."]
["The pre-stress table should contain details of the current asset portfolio before application of the scenario stress."]
["The post-stress table should contain details of the current asset portfolio after the application of the scenario stress but before any rebalancing actions."]
["The post-rebalancing table should contain details of the asset portfolio after rebalancing actions after the application of the scenario stress."]
[]
[]
[]
[]
[]
[]
["Fund name","MAP 1"]
["Fund number"]
[]
[]
[{"$f":"B24 & \" Asset Allocation Table 1\"","v":"MAP 1 Asset Allocation Table 1"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 2\"","v":"MAP 1 Asset Allocation Table 2"},null,null,null,null,null,null,null,null,null,{"$f":"B24 & \" Asset Allocation Table 3\"","v":"MAP 1 Asset Allocation Table 3"}]
["Asset class","Pre stress",null,null,null,null,null,null,null,null,"Asset class","Post stress",null,null,null,null,null,null,null,null,"Asset class","Post rebalancing"]
[null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total ",null,null,"CQS 0","CQS 1","CQS 2","CQS 3","CQS 4","CQS 5","CQS 6","Total "]
["Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(B31:H31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(L31:R31)","v":0},null,"Agricultural Mortgages",null,null,null,null,null,null,null,{"$f":"SUM(V31:AB31)","v":0}]
["Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(B32:H32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(L32:R32)","v":0},null,"Corporate Bond",null,null,null,null,null,null,null,{"$f":"SUM(V32:AB32)","v":0}]
["Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0,null,"Covered Bonds",null,null,null,null,null,null,null,0]
["Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0,null,"Education Loans",null,null,null,null,null,null,null,0]
["Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0,null,"Equity Release Mortgages",null,null,null,null,null,null,null,0]
["Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0,null,"Ground Rent",null,null,null,null,null,null,null,0]
["Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0,null,"Income Producing Real Estate (IPRE)",null,null,null,null,null,null,null,0]
["Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0,null,"Infrastructure Assets",null,null,null,null,null,null,null,0]
["Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0,null,"Object Finance",null,null,null,null,null,null,null,0]
["Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0,null,"Other CREL",null,null,null,null,null,null,null,0]
["Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0,null,"Other Securitisations (e.g. RMBS / CMBS / ABS)",null,null,null,null,null,null,null,0]
["Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0,null,"Quasi Government Exposures / Supranationals",null,null,null,null,null,null,null,0]
["Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0,null,"Sale and Leaseback Loans on Commercial Properties",null,null,null,null,null,null,null,0]
["Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0,null,"Secured Financing",null,null,null,null,null,null,null,0]
["Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0,null,"Social Housing",null,null,null,null,null,null,null,0]
["Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0,null,"Sovereigns - Other than UK",null,null,null,null,null,null,null,0]
["Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0,null,"Sovereigns – UK",null,null,null,null,null,null,null,0]
["Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0,null,"Student Accommodation",null,null,null,null,null,null,null,0]
["Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0,null,"Trade Receivable / Supply Chain Financing",null,null,null,null,null,null,null,0]
["Other assets",null,null,null,null,null,null,null,0,null,"Other assets",null,null,null,null,null,null,null,null,null,"Other assets"]
["Total ",{"$f":"SUM(B31:B49)","v":0},0,0,0,0,0,0,{"$f":"SUM(B51:H51)","v":0},null,"Total ",{"$f":"SUM(L31:L49)","v":0},0,0,0,0,0,0,{"$f":"SUM(L51:R51)","v":0},null,"Total ",{"$f":"SUM(V31:V49)","v":0},0,0,0,0,0,0,{"$f":"SUM(V51:AB51)","v":0}]
[]
["Please provide a description of assets included as 'Other assets' in the table above."]
[]
[]
[]
[]
[]
[]
[]
[{"$f":"\"Balance sheet impact of BBB cliff on \"&B24","v":"Balance sheet impact of BBB cliff on MAP 1"}]
["Impact","With cliff","Without cliff"]
["Own Funds"]
["MA (bps)"]
[]
["Please provide a summary of the rebalancing actions "]
["Asset class","Transferred to","Transferred from","Sold from MAP","Purchased into"]
[null,"MAP","MAP",null,"MAP"]
["Agricultural Mortgages"]
["Corporate Bond"]
["Covered Bonds"]
["Education Loans"]
["Equity Release Mortgages"]
["Ground Rent"]
["Income Producing Real Estate (IPRE)"]
["Infrastructure Assets"]
["Object Finance"]
["Other assets"]
["Other CREL"]
["Other Securitisations (e.g. RMBS / CMBS / ABS)"]
["Quasi Government Exposures / Supranationals"]
["Sale and Leaseback Loans on Commercial Properties"]
["Secured Financing"]
["Social Housing"]
["Sovereigns - Other than UK"]
["Sovereigns – UK"]
["Student Accommodation"]
["Trade Receivable / Supply Chain Financing"]
["Total ",{"$f":"SUM(B69:B88)","v":0},0,0,0]

{"sheet":"Scenario BS B4","index":35,"n_rows":101,"n_cols":9,"rows_kept":101,"cut":false,"hidden":false,"merged":[[5,1,5,4],[6,1,6,4],[7,1,7,4],[13,3,13,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B4",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency II Balance Sheet"]
["S.02.01.01"]
[]
[null,null,"Solvency II value"]
[null,null,"C0010","Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Details of RFF adjustments required to obtain Total value (if required)"]
[null,"Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
["All figures to be completed in GBP millions","Fund number"]
["Assets"]
["Goodwill","R0010"]
["Deferred acquisition costs","R0020"]
["Intangible assets","R0030"]
["Deferred tax assets","R0040"]
["Pension benefit surplus","R0050"]
["Property, plant & equipment held for own use","R0060"]
["Investments (other than assets held for index-linked and unit-linked contracts)","R0070"]
["Property (other than for own use)","R0080"]
["Holdings in related undertakings, including participations","R0090"]
["Equities","R0100"]
["Equities - listed","R0110"]
["Equities - unlisted","R0120"]
["Bonds","R0130"]
["Government Bonds","R0140"]
["Corporate Bonds","R0150"]
["Structured notes","R0160"]
["Collateralised securities","R0170"]
["Collective Investments Undertakings","R0180"]
["Derivatives","R0190"]
["Deposits other than cash equivalents","R0200"]
["Other investments","R0210"]
["Assets held for index-linked and unit-linked contracts","R0220"]
["Loans and mortgages","R0230"]
["Loans on policies","R0240"]
["Loans and mortgages to individuals","R0250"]
["Other loans and mortgages","R0260"]
["Reinsurance recoverables from:","R0270"]
["Non-life and health similar to non-life","R0280"]
["Non-life excluding health","R0290"]
["Health similar to non-life","R0300"]
["Life and health similar to life, excluding health and index-linked and unit-linked","R0310"]
["Health similar to life","R0320"]
["Life excluding health and index-linked and unit-linked","R0330"]
["Life index-linked and unit-linked","R0340"]
["Deposits to cedants","R0350"]
["Insurance and intermediaries receivables","R0360"]
["Reinsurance receivables","R0370"]
["Receivables (trade, not insurance)","R0380"]
["Own shares (held directly)","R0390"]
["Amounts due in respect of own fund items or initial fund called up but not yet paid in","R0400"]
["Cash and cash equivalents","R0410"]
["Any other assets, not elsewhere shown","R0420"]
["Total assets","R0500"]
["Liabilities"]
["Technical provisions – non-life","R0510"]
["Technical provisions – non-life (excluding health)","R0520"]
["Technical provisions calculated as a whole","R0530"]
["Best Estimate","R0540"]
["Risk margin","R0550"]
["Technical provisions - health (similar to non-life)","R0560"]
["Technical provisions calculated as a whole","R0570"]
["Best Estimate","R0580"]
["Risk margin","R0590"]
["Technical provisions - life (excluding index-linked and unit-linked)","R0600"]
["Technical provisions - health (similar to life)","R0610"]
["Technical provisions calculated as a whole","R0620"]
["Best Estimate","R0630"]
["Risk margin","R0640"]
["Technical provisions – life (excluding health and index-linked and unit-linked)","R0650"]
["Technical provisions calculated as a whole","R0660"]
["Best Estimate","R0670"]
["Risk margin","R0680"]
["Technical provisions – index-linked and unit-linked","R0690"]
["Technical provisions calculated as a whole","R0700"]
["Best Estimate","R0710"]
["Risk margin","R0720"]
["Other technical provisions","R0730"]
["Contingent liabilities","R0740"]
["Provisions other than technical provisions","R0750"]
["Pension benefit obligations","R0760"]
["Deposits from reinsurers","R0770"]
["Deferred tax liabilities","R0780"]
["Derivatives","R0790"]
["Debts owed to credit institutions","R0800"]
["Financial liabilities other than debts owed to credit institutions","R0810"]
["Insurance & intermediaries payables","R0820"]
["Reinsurance payables","R0830"]
["Payables (trade, not insurance)","R0840"]
["Subordinated liabilities","R0850"]
["Subordinated liabilities not in Basic Own Funds","R0860"]
["Subordinated liabilities in Basic Own Funds","R0870"]
["Any other liabilities, not elsewhere shown","R0880"]
["Total liabilities","R0900"]
["Excess of assets over liabilities","R1000"]

{"sheet":"Scenario SCR B4","index":36,"n_rows":67,"n_cols":9,"rows_kept":67,"cut":false,"hidden":false,"merged":[[13,0,14,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[12,3,12,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B4",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["Please attempt to complete within the specified headings where possible. "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C16:C22)","v":0},{"$f":"SUM(D16:D22)","v":0},0,0,{"$f":"SUM(G16:G22)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C24:C26)","v":0},{"$f":"SUM(D24:D26)","v":0},0,0,{"$f":"SUM(G24:G26)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C28:C35)","v":0},{"$f":"SUM(D28:D35)","v":0},0,0,{"$f":"SUM(G28:G35)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C37:C40)","v":0},{"$f":"SUM(D37:D40)","v":0},0,0,{"$f":"SUM(G37:G40)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C42:C46)","v":0},{"$f":"SUM(D42:D46)","v":0},0,0,{"$f":"SUM(G42:G46)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C48:C49)","v":0},{"$f":"SUM(D48:D49)","v":0},0,0,{"$f":"SUM(G48:G49)","v":0}]
["Total Before Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C23+C27+C36+C41+C47+C50","v":0},{"$f":"D23+D27+D36+D41+D47+D50","v":0},0,0,{"$f":"G23+G27+G36+G41+G47+G50","v":0}]
["Diversification within market risk","(8a)"]
["Diversification within Counterparty Default Risk","(8b)"]
["Diversification within Life Underwriting Risk","(8c)"]
["Diversification within Health Underwriting Risk","(8d)"]
["Diversification within Non-Life Underwriting Risk","(8e)"]
["Diversification between risk modules","(8f)"]
["Total diversification [ sum (8a) - (8f) ]","(8)",{"$f":"SUM(C52:C57)","v":0},{"$f":"SUM(D52:D57)","v":0},0,0,{"$f":"SUM(G52:G57)","v":0}]
["Total post diversification [ (7) + (8) ]","(9)",{"$f":"C51+C58","v":0},{"$f":"D51+D58","v":0},0,0,{"$f":"G51+G58","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(10a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(10b)"]
["Loss absorbing capacity of deferred tax","(11)"]
["Other adjustments within components","(12a)"]
["RFF/MAP nSCR aggregation adjustment","(12b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (9) + (10a) + (10b) + (11) + (12a) + (12b) ]","(13)",{"$f":"SUM(C59:C64)","v":0},{"$f":"SUM(D59:D64)","v":0},0,0,{"$f":"SUM(G59:G64)","v":0}]
["Capital add-on","(14)"]
["Solvency Capital Requirement including capital add-on\n[ (13) + (14) ]","(15)",{"$f":"SUM(C65:C66)","v":0},{"$f":"SUM(D65:D66)","v":0},0,0,{"$f":"SUM(G65:G66)","v":0}]

{"sheet":"Scenario SCR B4 (2)","index":37,"n_rows":62,"n_cols":9,"rows_kept":62,"cut":false,"hidden":false,"merged":[[16,0,17,0],[5,1,5,4],[6,1,6,4],[7,1,7,4],[15,3,15,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Scenario Number","B4",null,null,"Key"]
[null,null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,null,null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
["Solvency Capital Requirements"]
["If the worksheet \"Scenario SCR B4\" canot not be completed with pre-diversification figures under Scenario B4, please leave the worksheet \"Scenario SCR B4\" blank and complete this worksheet."]
["Please note that the figures in this worksheet should be post diversification."]
["Please attempt to complete within the specified headings where possible.  "]
["Please provide further detail in the comments column where risk categories did not perfectly align."]
[]
["All figures to be completed in GBP millions",null,null,"Split between i) each MA portfolio, ii) each modelled RFF, iii) total non-modelled RFF and iv) Remaining Part",null,null,null,null,"Comments"]
["Risk Category (post diversification)","Fund name","Total","Remaining Part","Total non-modelled RFF","MAP1","RFF1"]
[null,"Fund number"]
["Lines 1 - 8 net of loss absorbing capacity of technical provisions\nInterest Rate Risk","(1a)"]
["Equity Risk","(1b)"]
["Property Risk","(1c)"]
["Spread Risk","(1d)"]
["Concentration Risk","(1e)"]
["Currency Risk","(1f)"]
["Other market risk","(1g)"]
["Total Market Risk [ sum (1a) - (1g) ]","(1)",{"$f":"SUM(C19:C25)","v":0},{"$f":"SUM(D19:D25)","v":0},0,0,{"$f":"SUM(G19:G25)","v":0}]
["Type 1 (Reinsurer Default, etc)","(2a)"]
["Type 2 (Intermediary / Policyholder Default, etc)","(2b)"]
["Other counterparty risk","(2c)"]
["Total Counterparty Default Risk [ sum (2a) - (2c) ]","(2)",{"$f":"SUM(C27:C29)","v":0},{"$f":"SUM(D27:D29)","v":0},0,0,{"$f":"SUM(G27:G29)","v":0}]
["Mortality Risk","(3a)"]
["Longevity Risk","(3b)"]
["Disability-Morbidity Risk","(3c)"]
["Lapse Risk","(3d)"]
["Life-expense Risk","(3e)"]
["Revision Risk","(3f)"]
["Life catastrophe Risk","(3g)"]
["Other Life Underwriting Risk","(3h)"]
["Total Life Underwriting Risk [ sum (3a) - (3h) ]","(3)",{"$f":"SUM(C31:C38)","v":0},{"$f":"SUM(D31:D38)","v":0},0,0,{"$f":"SUM(G31:G38)","v":0}]
["Health SLT Risk","(4a)"]
["Health Non SLT Risk","(4b)"]
["Health Catastrophe Risk","(4c)"]
["Other Health Underwriting Risk","(4d)"]
["Total Health Underwriting Risk [ sum (4a) - (4d) ]","(4)",{"$f":"SUM(C40:C43)","v":0},{"$f":"SUM(D40:D43)","v":0},0,0,{"$f":"SUM(G40:G43)","v":0}]
["Premium Risk (ex catastrophe Risk)","(5a)"]
["Reserving Risk (ex catastrophe Risk)","(5b)"]
["Non-life catastrophe Risk","(5c)"]
["Lapse Risk","(5d)"]
["Other Non-Life Underwriting Risk","(5e)"]
["Total Non-Life Underwriting Risk [ sum (5a) - (5e) ]","(5)",{"$f":"SUM(C45:C49)","v":0},{"$f":"SUM(D45:D49)","v":0},0,0,{"$f":"SUM(G45:G49)","v":0}]
["Operational Risk","(6a)"]
["Other Risks","(6b)"]
["Total Operational Risk [sum (6a) - (6b) ]","(6)",{"$f":"SUM(C51:C52)","v":0},{"$f":"SUM(D51:D52)","v":0},0,0,{"$f":"SUM(G51:G52)","v":0}]
["Total Post Diversification Between Risk Categories\n[ (1) + (2) + (3) + (4) + (5) + (6) ]","(7)",{"$f":"C26+C30+C39+C44+C50+C53","v":0},{"$f":"D26+D30+D39+D44+D50+D53","v":0},0,0,{"$f":"G26+G30+G39+G44+G50+G53","v":0}]
["Loss absorbing capacity of technical provisions restriction (SF firms)","(8a)"]
["Loss absorbing capacity of technical provisions (IM firms)","(8b)"]
["Loss absorbing capacity of deferred tax","(9)"]
["Other adjustments within components","(10a)"]
["RFF/MAP nSCR aggregation adjustment","(10b)"]
["Solvency Capital Requirement excluding capital add-on\n[ (7) + (8a) + (8b) + (9) + (10a) + (10b) ]","(11)",{"$f":"SUM(C55:C59)","v":0},{"$f":"SUM(D55:D59)","v":0},{"$f":"SUM(E55:E59)","v":0},{"$f":"SUM(F55:F59)","v":0},{"$f":"SUM(G55:G59)","v":0}]
["Capital add-on","(12)"]
["Solvency Capital Requirement including capital add-on\n[ (11) + (12) ]","(13)",{"$f":"SUM(C60:C61)","v":0},{"$f":"SUM(D60:D61)","v":0},0,0,{"$f":"SUM(G60:G61)","v":0}]

{"sheet":"Scenario Own Funds B4","index":38,"n_rows":89,"n_cols":12,"rows_kept":89,"cut":false,"hidden":false,"merged":[[75,2,76,2],[75,3,75,11],[1,5,1,6],[2,5,2,6],[3,5,3,6],[5,1,5,6],[6,1,6,6],[7,1,7,6]]}
[{"$f":"Summary!$A$1","v":"PRA Insurance Stress Testing 2019"}]
["Own Funds & LTG measures",null,null,null,null,"Key"]
["Scenario Number","B4",null,null,null,"To be completed"]
[null,null,null,null,null,"Calculation/reference"]
[]
["Firm name",{"$f":"IF('Firm Info'!$B$6=\"\",\"\",'Firm Info'!$B$6)","v":""}]
["Group or Solo",{"$f":"IF('Firm Info'!B7=\"\",\"\",'Firm Info'!$B$7)","v":"Solo"}]
["As at date",{"$f":"IF('Firm Info'!$B$11=\"\",\"\", TEXT('Firm Info'!$B$11,\"dd/mm/yyyy\"))","v":"31/12/2018"},null,{"$f":"IF('Firm Info'!D10=\"\",\"\", TEXT('Firm Info'!D10+1,\"dd/mm/yyyy\"))","v":""},null,{"$f":"IF('Firm Info'!F10=\"\",\"\", TEXT('Firm Info'!F10+1,\"dd/mm/yyyy\"))","v":""}]
[]
[]
["Own Funds"]
["S.23.01.01.01 "]
[]
[null,null,"Total","Tier 1 - unrestricted","Tier 1 - restricted","Tier 2","Tier 3"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050"]
["Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35"]
["Ordinary share capital (gross of own shares)","R0010"]
["Share premium account related to ordinary share capital","R0030"]
["Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings","R0040"]
["Subordinated mutual member accounts","R0050"]
["Surplus funds","R0070"]
["Preference shares","R0090"]
["Share premium account related to preference shares","R0110"]
["Reconciliation reserve","R0130"]
["Subordinated liabilities","R0140"]
["An amount equal to the value of net deferred tax assets","R0160"]
["Other own fund items approved by the supervisory authority as basic own funds not specified above","R0180"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds"]
["Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds","R0220"]
["Deductions"]
["Deductions for participations in financial and credit institutions","R0230"]
["Total basic own funds after deductions","R0290"]
["Ancillary own funds"]
["Unpaid and uncalled ordinary share capital callable on demand","R0300"]
["Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand","R0310"]
["Unpaid and uncalled preference shares callable on demand","R0320"]
["A legally binding commitment to subscribe and pay for subordinated liabilities on demand","R0330"]
["Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC","R0340"]
["Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC","R0350"]
["Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0360"]
["Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC","R0370"]
["Other ancillary own funds","R0390"]
["Total ancillary own funds","R0400"]
["Available and eligible own funds"]
["Total available own funds to meet the SCR","R0500"]
["Total available own funds to meet the MCR","R0510"]
["Total eligible own funds to meet the SCR","R0540"]
["Total eligible own funds to meet the MCR","R0550"]
["SCR","R0580"]
["MCR","R0600"]
["Ratio of Eligible own funds to SCR","R0620"]
["Ratio of Eligible own funds to MCR","R0640"]
[]
["Reconciliation reserve"]
["S.23.01.01.02"]
[]
[null,null,"Must match regulatory submission"]
[null,null,"Total"]
["All figures to be completed in GBP millions",null,"C0060"]
["Reconciliation reserve"]
["Excess of assets over liabilities","R0700"]
["Own shares (held directly and indirectly)","R0710"]
["Foreseeable dividends, distributions and charges","R0720"]
["Other basic own fund items","R0730"]
["Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds","R0740"]
["Reconciliation reserve","R0760"]
["Expected profits"]
["Expected profits included in future premiums (EPIFP) - Life business","R0770"]
["Expected profits included in future premiums (EPIFP) - Non-life business","R0780"]
["Total Expected profits included in future premiums (EPIFP)","R0790"]
[]
[]
["Impact of long term guarantees measures and transitionals"]
["S.22.01.01"]
["Columns C0060, C0070, C0080, C0090, C0100 not required in stress",null,"Must match regulatory submission"]
[null,null,"Amount with Long Term Guarantee measures and transitionals","Impact of the LTG measures and transitionals (Step-by-step approach)"]
[null,null,null,"Without transitional on technical provisions","Impact of transitional on technical provisions","Without transitional on interest rate","Impact of transitional on interest rate","Without volatility adjustment and without other transitional measures","Impact of volatility adjustment set to zero","Without matching adjustment and without all the others","Impact of matching adjustment set to zero","Impact of all LTG measures and transitionals"]
["All figures to be completed in GBP millions",null,"C0010","C0020","C0030","C0040","C0050","C0060","C0070","C0080","C0090","C0100"]
["Technical provisions","R0010"]
["Basic own funds","R0020"]
["Excess of assets over liabilities","R0030"]
["Restricted own funds due to ring-fencing and matching portfolio","R0040"]
["Eligible own funds to meet Solvency Capital Requirement","R0050"]
["Tier 1","R0060"]
["Tier 2","R0070"]
["Tier 3","R0080"]
["Solvency Capital Requirement","R0090"]
["Eligible own funds to meet Minimum Capital Requirement","R0100"]
["Minimum Capital Requirement","R0110"]

{"sheet":"C1 Climate Change","index":39,"n_rows":121,"n_cols":20,"rows_kept":121,"cut":false,"hidden":false,"merged":[[119,1,119,2],[119,3,119,4],[120,1,120,2],[120,3,120,4],[115,1,115,2],[115,3,115,4],[116,1,116,2],[117,1,117,2],[117,3,117,4],[118,1,118,2],[118,3,118,4],[108,1,108,2],[109,1,109,2],[110,1,110,2],[111,1,111,2],[112,1,112,2],[114,3,114,4],[100,2,100,3],[101,2,101,3],[102,2,102,3],[103,2,103,3],[104,2,104,3],[105,2,105,3],[95,0,95,1],[95,2,95,3],[96,2,96,3],[97,2,97,3],[98,2,98,3],[99,2,99,3],[88,2,88,3],[89,2,89,3],[90,2,90,3],[91,2,91,3],[92,2,92,3],[93,2,93,3],[83,0,83,1],[83,2,83,3],[84,2,84,3],[85,2,85,3],[86,2,86,3],[87,2,87,3],[76,2,76,3],[77,2,77,3],[78,2,78,3],[79,2,79,3],[80,2,80,3],[81,2,81,3],[71,0,71,1],[71,2,71,3],[72,2,72,3],[73,2,73,3],[74,2,74,3],[75,2,75,3],[62,2,62,3],[63,2,63,3],[64,0,64,1],[64,2,64,3],[65,0,65,1],[65,2,65,3],[36,18,37,18],[38,0,39,0],[40,0,43,0],[44,0,45,0],[46,0,47,0],[61,2,61,3],[36,0,37,0],[36,13,37,13],[36,14,37,14],[36,15,37,15],[36,16,37,16],[36,17,37,17],[25,0,27,0],[28,0,31,0],[32,0,35,0],[23,7,23,8],[23,9,23,10],[23,11,23,12],[23,13,23,14],[23,15,23,16],[23,17,23,18],[20,0,20,5],[21,0,21,5],[22,7,22,12],[22,13,22,20],[23,1,24,1],[23,2,24,2],[23,3,24,3],[23,4,24,4],[23,5,23,6],[23,19,23,20],[24,11,24,12],[24,19,24,20],[8,0,11,1],[8,2,11,4],[15,0,15,1],[5,0,5,1],[5,2,5,4],[6,0,6,1],[6,2,6,4],[7,0,7,1],[7,2,7,4]]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["C1","Climate Change",null,null,"Key"]
["All figures to be completed in GBP millions",null,null,null,"To be completed"]
[null,null,null,null,"Calculation/reference"]
[]
["Firm name",null,{"$f":"IF('Firm Info'!C6=\"\",\"\",'Firm Info'!C6)","v":""}]
["Group or Solo ",null,{"$f":"IF('Firm Info'!C7=\"\",\"\",'Firm Info'!C7)","v":""}]
["Name",null,{"$f":"VLOOKUP(A2,Summary!$A$16:$B$24, 2)","v":"Climate Change"}]
["Description",null,{"$f":"Summary!F19","v":"In this section, life insurance firms are asked for their quantitative views on how climate change will impact their assets and investment strategy"}]
[]
[]
[]
[]
[]
[]
["Part 1: Potential quantitative impacts on liabilities and assets"]
[]
[]
["Impacts on investments - Physical and Transition risks"]
[]
["Assuming the same set of in-force assets as you currently have; for the selected asset classes below, please provide a breakdown of relevant equities/bonds/other per asset and"]
["then estimate the impact for the  scenarios for their total market value. "]
[null,null,null,null,null,null,null,"Transition Risks",null,null,null,null,null,"Physical Risks"]
[null,"Variable","Equities","Bonds","Other","Current",null,"Scenario A",null,"Scenario B",null,"Notes",null,"Scenario A",null,"Scenario B",null,"Scenario C",null,"Notes"]
[null,null,null,null,null,"Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","(including any issues in deriving these estimates)",null,"Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","Market Value Total (Equities+Bonds+Other)","1 in 100 VAR","(including any issues in deriving these estimates)"]
["Fuel extraction","Coal"]
[null,"Oil"]
[null,"Gas"]
["Power Generation","Coal"]
[null,"Oil"]
[null,"Gas"]
[null,"Renewables"]
["Transport","Automotive non Electric Vehicles"]
[null,"Automotive Electric Vehicles"]
[null,"Marine (inc. assets like ports)"]
[null,"Aviation (inc. assets like airports)"]
["Energy intensive industries","Proportion of the manufacturing portfolio relying on transporting/extracting/processing fossil fuels or heavily reliant on fossil-fuel energy (e.g. cement, steel)"]
[null,"Other manufacturing"]
["Agriculture & Food Security","Change in equity value for sections of the investment portfolio comprising material exposure to agriculture & food security sector "]
[null,"Proportion of the portfolio with income heavily reliant on transporting/trading/supplying products based on food (eg super-market chains.)"]
["Real Estate","Global average (inc other regions)"]
[null,"North America"]
[null,"Europe"]
[null,"Asia & Pacific"]
["Sovereign and Muni Bonds","Sovereign bond credit ratings downgraded as countries stress their balance sheets in their need to mitigate impacts from physical climate change. Rating downgrade as a function of a country vulnerability to climate change (refer to Annex II)"]
[null,"US municipal bond credit rating downgrade as cities stress their balance sheets in their need to mitigate impacts from physical climate change. Rating downgrade applied to relevant US municipalities most affected."]
["Other shares","Water utilities"]
[null,"Other Sectors (excluding sectors above)"]
[null,"Total",{"$f":"SUM(C26:C46)","v":0},{"$f":"SUM(D26:D46)","v":0},{"$f":"SUM(E26:E46)","v":0},{"$f":"SUM(F26:F46)","v":0},null,{"$f":"SUM(H26:H46)","v":0},null,{"$f":"SUM(J26:J46)","v":0},null,null,null,{"$f":"SUM(N26:N46)","v":0},null,{"$f":"SUM(P26:P46)","v":0},null,{"$f":"SUM(R26:R46)","v":0}]
[]
[]
[]
[]
["Part 2: Scenario parameters and assumptions from work insurers have previously undertaken"]
[]
["The following section is aimed for firms who have started assessing financial impacts from climate change risk prior to the IST2019. Firms are invited to complete this even when "]
["they have not finalised their assessment. For firms that have not yet commenced their assessment, they are invited to complete only the last table below (Table 2E)"]
["Firms can chose to respond to Part 2 on an a Solo or Group basis. Please indicate in your response which might be the case. "]
["Firms can choose to provide information relating to PART 2 in whichever format they chose. Where existing documentation exists, firms can provide"]
["this by signposting against set criteria provided below. "]
[]
[null,null,"Provide answer below or signpost to existing document"]
["Is your response to Part 2 done on a Group or Solo level?"]
["Brief climate scenario description"]
["Provide reason as to why this scenario was developed?"]
["Did your firm rely on external expertise to support the development of the Scenario parameters and assumptions, and if so, who?"]
[]
["The following section is designed to capture the main assumptions and parameters within your climate scenarios.  This input template is flexible, recognising that "]
[" firms may adopt a variety of different approaches in their assessment of climate related risks.  Firms can either set out all their assumptions and parameters in the boxes "]
["below; or provide references to materials that also provide the necessary information on the main assumptions and parameters."]
[]
["2A. Climatic scenario assumptions (please add additional assumptions/parameters as you see fit)",null,"Provide answer below or signpost to existing document",null,"Examples of climatic scenario assumptions:"]
["1.",null,null,null,"Greenhouse gas emission projection scenario used - to what extent of the global temperature rise assumed to occur?"]
["2.",null,null,null,"Time frame over which this rise is assumed to occur (the transition pathway)?"]
["3.",null,null,null,"Any transition in international initiatives / policy shifts or consumer behaviour or relevant technology innovation?"]
["4.",null,null,null,"Assumptions relating to future carbon price?"]
["5."]
["6."]
["7."]
["8."]
["9."]
["10."]
[]
["2B. Parameters required to translate the climate scenario to financial business impacts on liabilities \nPlease provide qualitative description of assumptions used and the metrics against which they were assessed. Where possible, please provide with outputs of the assessment. ",null,"Provide answer below or signpost to existing document",null,"Examples of parameters:"]
["1.",null,null,null,"Which natural catastrophe perils were deemed as material to assess their impacts from climate change? How was this assessment of materiality undertaken? Did you consider the change of risk profile of the natural peril - and hence its materiality - under climate change conditions?"]
["2.",null,null,null,"Which segments of your portfolio did you assess as being potentially impacted by climate change (e.g. property, casualty, energy)? How did you justify excluding lines of business from your analysis?"]
["3.",null,null,null,"For the natural catastrophe perils assessed as being material, how did you arrive in a conclusion of their change in risk profile in the future? Refer to background research (bibliography) where relevant. "]
["4.",null,null,null,"For the natural catastrophe perils assessed as being material, please provide with the outputs of your analysis (i.e. shock parameters that represent your assessment of impact from physical climate change). "]
["5.",null,null,null,"Which tools did you opt to chose to assess the financial impacts from the shock parameters you devised in Step 4 above? Please outline the difficulties you found in translating the set of assumptions when modelling it through your existing natural catastrophe framework"]
["6.",null,null,null,"If you were to undertake the exercise again what would you do differently?"]
["7.",null,null,null,"From your work, did you identify gaps in terms of scientific knowledge,  available data or tools that the industry should highlight and try to address?"]
["8."]
["9."]
["10."]
[]
["2C. Parameters required to translate the climate scenario to financial business impacts (if available) on investments (impacts on valuations split by sector)\nPlease provide qualitative description of assumptions used and the metrics against which they were assessed. Where possible, please provide with outputs of the assessment. ",null,"Provide answer below or signpost to existing document"]
["1.","Fuel Extraction"]
["2.","Power Generation"]
["3.","Transport"]
["4.","Energy Intensive Industries"]
["5.","Agriculture & Food Security"]
["6.","Real Estate Assets"]
["7.","Sovereign & Municipal Bonds"]
["8.","Other Shares"]
["9."]
["10."]
[]
["2D. If firms use additional climate scenarios please provide high-level details"]
["1."]
["2."]
["3."]
["4."]
["5."]
[]
["2E. If firms have not yet commenced assessing financial impacts from climate change",null,null,"Provide answer below or signpost to existing document"]
["1.","Has your Board ever discussed the potential risks imposed by climate change?"]
["2.","What future work does your firm intend to carry out on climate change?"]
["3.","Please describe whether and how your firm is planning to address the Task Force for Financial Disclosure (TFCD) recommendations?  Please provide details of time frame for compliance. "]
["4.","Has your firm changed its investment strategy, or plan to change its investment strategy going forward, due to Climate Change?  If so, could you please provide details including of time frame."]
["5.","Does your firm has a view as to how exposed its portfolio is to climate risks both on the assets and liabilities?"]
["6.","Other comment(s)"]

{"sheet":"Free Form Comments","index":40,"n_rows":7,"n_cols":4,"rows_kept":7,"cut":false,"hidden":false,"merged":[]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Free Form Comments"]
[null,null,null,"Key"]
["Please use this tab to record any other comments you have on the way you have completed this spreadsheet",null,null,"To be completed"]
[]
[]
["Comment number","Tab name","Comment"]

{"sheet":"Asset Definitions","index":41,"n_rows":27,"n_cols":2,"rows_kept":27,"cut":false,"hidden":false,"merged":[]}
[{"$f":"Summary!A1","v":"PRA Insurance Stress Testing 2019"}]
["Asset Definitions"]
[]
["Asset definitions for assets listed in tab on MAP Details"]
[]
[]
["Asset","Defintion"]
["Agricultural Mortgages","Assets where the exposure or underlying exposure is to Agricultural Mortgage proceeds"]
["Corporate Bond","Assets where the Spread SCR is set in accordance with Article 176, and are not captured elsewhere in this categorisation table"]
["Covered Bonds","Assets where the Spread SCR is set in accordance with Article 180(1)"]
["Education Loans","Assets where the exposure or underlying exposure is to loans to a higher or further education institution"]
["Equity Release Mortgages","Assets where the exposure or underlying exposure is to ERM proceeds.  Retirement Interest-Only mortgages should be included as ‘other assets’."]
["Ground Rent","Assets where the exposure or underlying exposure is to Ground Rent proceeds"]
["Income Producing Real Estate (IPRE)","A method of providing funding to real estate where the prospects for repayment and recovery on the exposure depend primarily on the cash flows generated by the asset"]
["Infrastructure Assets","As defined in Article 1, 55(a) and 55(b)"]
["Object Finance","A method of funding the acquisition of physical assets (e.g. ships, aircraft, satellites, railcars, and fleets) where the repayment of the exposure is dependent on the cash flows generated by the specific assets that have been financed and pledged or assigned to the lender"]
["Other assets","We do not expect this to be routinely used.  We expect supervision teams to monitor the amount of ‘other assets’ and consider if a new asset class should be created"]
["Other CREL","A loan secured on a CRE asset, other than IPRE"]
["Other Securitisations (e.g. RMBS / CMBS / ABS)","Assets where the Spread SCR is set in accordance with Article 177 (both Type 1 and Type 2)"]
["Quasi Government Exposures / Supranationals","Assets where the Spread SCR is set in accordance with Article 180(2), other than (2)(b)"]
["Sale and Leaseback Loans on Commercial Properties","Financing in the form of the purchase of a real estate asset, repaid by a lease upon that asset"]
["Secured Financing","Financing arrangements secured by collateral, and are not captured elsewhere in this categorisation table"]
["Social Housing","Assets where the exposure or underlying exposure is to loans to a provider of social housing"]
["Sovereigns - Other than UK","Assets where the Spread SCR is set in accordance with Article 180(2)(b) (other than those issued by HM Treasury), or Article 180(3)"]
["Sovereigns – UK","Assets where the Spread SCR is set in accordance with Article 180(2)(b), and the issuer is HM Treasury."]
["Student Accommodation","Assets where the exposure or underlying exposure is to loans to a provider of student accommodation"]
["Trade Receivable / Supply Chain Financing","Assets where the exposure or underlying exposure is to trade receivables and factoring receivables, where an invoice has been issued for goods delivered or services provided by the seller to end customers"]