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TRANSCRIPT
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2017 Insurance Market Briefing – MENA
Fairmont Hotel, Dubai, United Arab Emirates
4 October 2017
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2017 Insurance Market Briefing - MENA
Roger Sellek Chief Executive Officer, EMEA & Asia Pacific
Welcome
2017 Insurance Market Briefing - MENA October 4, 2017 1
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Disclaimer © AM Best Company (AMB) and/or its licensors and affiliates. All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT AMB’s PRIOR WRITTEN CONSENT. All information contained herein is obtained by AMB from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. Under no circumstances shall AMB have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of AMB or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if AMB is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The credit ratings, financial reporting analysis, projections, and other observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities, insurance policies, contracts or any other financial obligations, nor does it address the suitability of any particular financial obligation for a specific purpose or purchaser. Credit risk is the risk that an entity may not meet its contractual, financial obligations as they come due. Credit ratings do not address any other risk, including but not limited to, liquidity risk, market value risk or price volatility of rated securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY AMB IN ANY FORM OR MANNER WHATSOEVER. Each credit rating or other opinion must be weighed solely as one factor in any investment or purchasing decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security or other financial obligation and of each issuer and guarantor of, and each provider of credit support for, each security or other financial obligation that it may consider purchasing, holding or selling. Regulated by the Dubai Financial Services Authority as a Representative Office.
2017 Insurance Market Briefing - MENA October 4, 2017 2
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Disclaimer US Securities Laws explicitly prohibit the issuance or maintenance of a credit rating where a person involved in the sales or marketing of a product or service of the CRA also participates in determining or monitoring the credit rating, or developing or approving procedures or methodologies used for determining the credit rating.
No part of this presentation amounts to sales / marketing activity and A.M. Best’s Rating Division employees are prohibited from participating in commercial discussions.
Any queries of a commercial nature should be directed to A.M. Best’s Market Development function.
2017 Insurance Market Briefing - MENA October 4, 2017 3
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Agenda
14:05 Global Reinsurance Update Greg Carter, Managing Director,
Analytics – EMEA 14:35 Challenges Facing Middle
East (Re)insurers Mahesh Mistry, Senior Director,
Analytics
15:15 Update on A.M. Best's Credit Rating Methodology (BCRM) & the new Best's Capital Adequacy Ratio (BCAR) Model
Greg Carter, Managing Director, Analytics – EMEA
15:45
16:15 VAT Introduction in the GCC & Its Impact on the Insurance Market
Sanjay Jain, MENA Insurance Leader, Ernst & Young (EY)
Engela Wiid, Senior Manager, Insurance VAT Specialist , Ernst & Young (EY)
17:00 Significance of Rating Actions on (Re) Insurers
Vasilis Katsipis, General Manager, Market Development - MENA, South & Central Asia
17:45 Cocktail Reception
2017 Insurance Market Briefing - MENA October 4, 2017 4
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2017 Insurance Market Briefing - MENA
Global Reinsurance Update
Greg Carter Managing Director, Analytics - EMEA
2017 Insurance Market Briefing - MENA October 4, 2017 5
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Discussion Outline
Global Reinsurance Results and Trends
Market Capacity
Global Market Developments
Reinsurance Sector Outlook
2017 Insurance Market Briefing - MENA October 4, 2017 6
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Plus ça change…
Negative interest rates
The United States, the world’s largest economy, has debt/GDP over 100%
The United Kingdom voted to leave the European Union
Terrorism seems to be rampant around the world
Housing bubbles in many parts of the world
Stock Markets are hovering near all-time highs
…plus c’est la même chose
2017 Insurance Market Briefing - MENA October 4, 2017 7
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Global Reinsurance Results and Trends
2017 Insurance Market Briefing - MENA October 4, 2017 8
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Global Market Trends
60.2% 55.9% 56.2% 56.2% 60.6%
62.2%
57.8%
31.6% 31.9% 33.5% 34.8%
34.7% 32.6% 33.3%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
0%
20%
40%
60%
80%
100%
2012 2013 2014 2015 2016 2017 Q2 5yr Avg
Expense Ratio
Loss Ratio
Loss ReserveDevelopment
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 9
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93% 87% 87%
91% 92% 93%
2012 2013 2014 2015 2016 2017Q2
91% 87% 88% 90%
98% 97%
2012 2013 2014 2015 2016 2017Q2
Global Market Trends
Combined Ratios by Reinsurance Sector
European “Big Four” U.S. & Bermuda Lloyd’s
Source: A.M. Best data and research
91% 89%
92% 92% 96% 97%
0%
20%
40%
60%
80%
100%
120%
2012 2013 2014 2015 2016 2017Q2Loss Ratio Expense Ratio
2017 Insurance Market Briefing - MENA October 4, 2017 10
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Return on Equity (2012 to present) and Five-Year Average
12.4% 13.0%
11.6%
9.5%
8.2% 8.1%
0%
2%
4%
6%
8%
10%
12%
14%
2012 2013 2014 2015 2016 2017 Q2
Return on Equity Five-Year AverageSource: A.M. Best data and research
Global Market Trends
2017 Insurance Market Briefing - MENA October 4, 2017 11
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Global Market Trends
European “Big Four” U.S. & Bermuda Lloyd’s
Return on Equity by Reinsurance Sector
13.0% 13.1%
11.0% 11.5%
9.7% 8.1%
0%
5%
10%
15%
20%
2012 2013 2014 2015 2016 2017Q2
10.6%
11.4%
10.9%
7.5% 6.8% 8.1%
2012 2013 2014 2015 2016 2017Q2
15.1% 16.2%
14.7%
8.9% 8.1% 8.9%
2012 2013 2014 2015 2016 2017Q2
Source: A.M. Best data and research
Five-Year Average
2017 Insurance Market Briefing - MENA October 4, 2017 12
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Global Market Trends
10.9%
6.8%
0%
2%
4%
6%
8%
10%
12%
Five -Year Average Return on Equity Five -Year Average Return on Equity Excluding LossReserve Development
Source: A.M. Best data and research
Global Reinsurance Market
2017 Insurance Market Briefing - MENA October 4, 2017 13
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Operating Cash Flow as a Percentage of Equity
Global Market Trends
15.0%
10.0%
13.3% 12.4% 12.4%
4.2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
2012 2013 2014 2015 2016 2017 Q2
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 14
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Global Market Trends
European “Big Four” U.S. & Bermuda Lloyd’s
Operating Cash Flow as a Percentage of Equity by Reinsurance Sector
Source: A.M. Best data and research
19.2%
11.4%
17.9% 17.1%
15.4%
5.5%
0%
5%
10%
15%
20%
2012 2013 2014 2015 2016 2017Q2
10.9% 10.4%
11.4%
9.7% 9.9%
2.9%
2012 2013 2014 2015 2016 2017Q2
13.2%
5.4% 6.0% 7.2%
10.9%
1.0%
2012 2013 2014 2015 2016 2017Q2
2017 Insurance Market Briefing - MENA October 4, 2017 15
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Market Capacity
2017 Insurance Market Briefing - MENA October 4, 2017 16
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Global Market Trends
Top 10 World's Largest Reinsurance Groups Reinsurance
Premiums Written Total Life & Non-Life
(USD m) Non-Life Only
(USD m) Shareholders’ Ratios
Gross Net Gross Net Funds Loss Expense Combined
Swiss Re Ltd. 35,622 33,570 21,878 21,430 35,716 61.3% 33.6% 94.8%
Munich Reinsurance Company 33,154 31,891 18,784 17,931 33,493 63.3% 32.4% 95.8%
Hannover Ruck SE 17,232 15,192 9,699 8,414 10,264 66.8% 27.2% 94.0%
SCOR S.E. 14,569 13,238 5,942 5,323 7,055 59.5% 33.6% 93.1%
Berkshire Hathaway Inc. 12,709 12,709 8,037 8,037 286,359 N/A N/A 89.4%
Lloyd's 11,576 8,694 11,576 8,694 34,101 53.2% 39.2% 92.3%
Reinsurance Group of America Inc. 10,107 9,249 N/A N/A 7,093 N/A N/A N/A
China Reinsurance (Group) Corporation 7,857 7,517 3,342 3,262 10,384 64.4% 37.5% 101.9%
Great West Lifeco 6,195 6,112 N/A N/A 13,857 N/A N/A N/A
Korean Reinsurance Company 5,554 3,903 4,880 3,312 1,755 81.7% 17.6% 99.2%
Source: A.M. Best data and research. Ranked by unaffiliated gross premium written in 2016
2017 Insurance Market Briefing - MENA October 4, 2017 17
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Global Market Trends
Swiss Re Ltd.
Munich Reinsurance Company
Lloyd's
Hannover Ruck SE
Berkshire Hathaway Inc.
SCOR S.E.
Transatlantic Holdings, Inc
Everest Re Group Ltd.
PartnerRe Ltd.
XL Group plc
Top 10 Global Reinsurance Groups – Non-Life
Top 10 Global Reinsurance Groups – Life
Source: A.M. Best data and research. Ranked by unaffiliated gross premium written in 2016
Munich Reinsurance Company
Swiss Re Ltd.
Reinsurance Group of America Inc.
SCOR S.E.
Hannover Ruck SE
Great West Lifeco
Berkshire Hathaway Inc.
Pacific LifeCorp
PartnerRe Ltd.
Assicurazioni Generali SpA
2017 Insurance Market Briefing - MENA October 4, 2017 18
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Global Market Trends
Life and Non-Life Reinsurance GPW Distribution by Ranking
Rank 1-10 68.6%
Rank 11-20 16.0%
Rank 21-30 7.6%
Rank 31-40 5.0%
Rank 41-50 2.8%
2017 Insurance Market Briefing - MENA October 4, 2017 19
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Global Market Trends
Estimate for Total Dedicated Reinsurance Capacity (USD billions)
320 340 332 345 355
48 60 68
75 80
2013 2014 2015 2016 2017E
ConvergenceCapacity
TraditionalCapacity
Notes and Sources: Estimates by Guy Carpenter and A.M. Best
2017 Insurance Market Briefing - MENA October 4, 2017 20
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Global Market Trends
0
10
20
30
40
50
60
70
80
90
Direct InstitutionalInvestors
Reinsurance SponsoredManagers
Dedicated Insurance-linkedsecurities (ILS) Managers
Convergence Capacity (2017 estimated) (USD billions)
Notes and Sources: Estimates by Guy Carpenter and A.M. Best
2017 Insurance Market Briefing - MENA October 4, 2017 21
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Global Market Trends Total Economic and Insured Losses – H1 2017 and H1 2016 (USD billions)
Source: Swiss Re Institute
H1 2017 H1 2016
Annual Change
(%) 10-Year Average
% of 10-Year Average
Economic Losses Economic Losses
Natural Catastrophe 41 110 -63 112
Man-made 3 7 -57 8
Economic Losses - Total 44 117 -62 120
Insured Losses
Natural Catastrophe 20 30 -33 29 26
Man-made 3 6 -50 4 50 Insured Losses - Total 23 36 -36 33 28
2017 Insurance Market Briefing - MENA October 4, 2017 22
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Global Market
Developments
2017 Insurance Market Briefing - MENA October 4, 2017 23
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Regulatory Uncertainty
Covered agreement
Potential U.S. tax reform
Has regulation peaked?
2017 Insurance Market Briefing - MENA October 4, 2017 24
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Global Market Trends
Client Agent & Broker
Primary Insurance Company Reinsurance Broker
Reinsurance Company
Convergence Capital
In A.M. Best’s opinion…
The market will continue to become more efficient as all players strive to become closer to the client
2017 Insurance Market Briefing - MENA October 4, 2017 25
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Global Market Trends
Potential Opportunities
Cyber Insurance Flood Mortgage Terrorism InsurTech
2017 Insurance Market Briefing - MENA October 4, 2017 26
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Reinsurance Sector Outlook
A.M. Best Maintains Negative Outlook
Capitalisation remains strong but…
Performance has been deteriorating and pressure on margins continues to mount
Returns for some reinsurance companies will fall short on a risk-adjusted basis
Headwinds
Convergence capital pressure
Intense competition
Earnings under pressure
Slippage in terms & conditions
Tailwinds
Favourable reserve development
Benign catastrophes
Increased cessions
2017 Insurance Market Briefing - MENA October 4, 2017 27
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2017 Insurance Market Briefing - MENA
Q&A Greg Carter
Managing Director, Analytics - EMEA
2017 Insurance Market Briefing - MENA October 4, 2017 28
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2017 Insurance Market Briefing - MENA
Challenges Facing Middle East (Re)insurers: Understanding the
Implication on Credit Quality
Mahesh Mistry Senior Director, Analytics
2017 Insurance Market Briefing - MENA October 4, 2017 29
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Why do Insurance Companies Fail?
Note: Exhibit percentages are based on companies where the cause of impairment was identified Source: A.M. Best data and research
Fraud - Adjudged or Alleged, 6.5% Affiliate Problems,
6.2%
Catastrophe Losses, 5.3%
Rapid Growth, 4.7%
Investment Losses, 3.3%
Reinsurance Failure, 0.3%
Unlicensed Insurance Product, 0.3%
General Business Failure (deficient loss reserve / inadequate
pricing), 73.4%
US Property / Casualty Impairment Causes (2000-2015)
2017 Insurance Market Briefing - MENA October 4, 2017 30
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Looking back…
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Lehman Brothers bankruptcy
Greek bailout
Sovereign Downgrades (USA, France, Italy, Spain, ME…)
Recession Europe
Brexit
Sterling /currency depreciation
Depressed oil prices
Emerging markets slowdown (China)
Liquidity Crisis Sovereign Debt Crisis Low Interest Rate Environment
Hurricanes Gustav & Ike Floods in Australia New Zealand EQ Japan EQ / Tsunami
European & Alberta Floods
German Hailstorms
Hurricane Sandy
Thai Floods
Fires in Southern CA
Chile EQ
European Storm Klaus
Zika Virus Tianjin
Ebola
Italian Earthquakes
European Storm Kyrill
Single Large Losses
Canadian Wildfires
Subprime crisis
US Elections
Geopolitical Tension
Mexico Earthquakes
Arab Spring
Hurricanes Harvey, Irma, Maria
2017 Insurance Market Briefing - MENA October 4, 2017 31
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Looking forward…
Insurance Pricing
Reserving Premium growth
Nat Cat Accumulation Concentration
Pandemic Terrorism
Man-made disasters Mortality / morbidity
Competition Excess capacity Climate change
Counter-party credit risk Management control
Political Brexit
Elections Instability / conflict
Change in government policies
Threats and Opportunities
Other Globalisation
Energy Medical advances
Power outages / blackouts
Economic Growth/slowdown
Interest rates Inflation Currency
Regulation Indirect exposures
(e.g. banking, affiliates)
Technology Distribution
Disruptive innovation Big data
Block chain Driverless cars
Cyber Drones
2017 Insurance Market Briefing - MENA October 4, 2017 32
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Market Challenges: MENA
Currency Risk
Regulation
Pricing
Inflation
Protectionism
Data Quality
Innovation
Investment
Oil Prices
Geopolitical Risk
Risk Management
Expertise
M&A
Reserving
VAT
Fiscal Deficits
Competition
Localisation
2017 Insurance Market Briefing - MENA October 4, 2017 33
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Global Premiums
Source: Swiss Re Institute Middle East & Central Asia
2017 Insurance Market Briefing - MENA October 4, 2017 34
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Financial Stability
Excessive growth is one of the main reasons for insurance failure
Growth Profitability
Financial Stability
The Right Balance
• Is growth important for insurers? • Is it sensible to grow in the current
economic environment? • Are there any opportunities to grow?
A few questions
2017 Insurance Market Briefing - MENA October 4, 2017 35
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Market growth (GDP Vs GWP)
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
2011 2012 2013 2014 2015 2016
North America
-15%
-10%
-5%
0%
5%
10%
2011 2012 2013 2014 2015 2016
Europe
-25%-20%-15%-10%
-5%0%5%
10%15%20%
2011 2012 2013 2014 2015 2016
Oceania
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
2011 2012 2013 2014 2015 2016
Latin America
-10%
-5%
0%
5%
10%
15%
2011 2012 2013 2014 2015 2016
Asia & Middle East
-10%
-5%
0%
5%
10%
15%
2011 2012 2013 2014 2015 2016
Africa
Notes: Gross Domestic Product (GDP) Gross Written Premium (GWP) (Unadjusted insurance growth) Source: A.M. Best data and research, Swiss Re sigma “World Insurance” series
2017 Insurance Market Briefing - MENA October 4, 2017 36
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Emerging markets represent opportunities
- 250 500 750
1,000 1,250 1,500 1,750
North America Latin America WesternEurope
Central andEastern Europe
Mature Asia Emerging Asia Middle Eastand Central
Asia
Africa Oceania
USD
mill
ions
Premium Development by Region (USDs) 2010
2011
2012
2013
2014
2015
2016
-10%
-5%
0%
5%
10%
15%
2010 2011 2012 2013 2014 2015 2016
Gro
wth
Growth: Mature Vs. Emerging Markets Life Mature
Life Emerging
Non-Life Mature
Non-Life Emerging
Source: A.M. Best data and research and Swiss Re Institute
2017 Insurance Market Briefing - MENA October 4, 2017 37
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MENA Growth
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Development of MENA Insurance Markets Compared to GDP (movements based on USD)
Year on Year Change in GDP Year on Year Change in Premium
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 38
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Growth Opportunities: Low retention and penetration
Lowest premium retention; increasing due to introduction of mandatory covers
50%
55%
60%
65%
70%
75%
80%
85%
90%
2007 2008 2009 2010 2011 2012 2013 2014 2015
Estimated Non-life Premium Retention
Source: A.M. Best data and research
0
2
4
6
8
10
12
Kuw
ait
Om
anQ
atar
Saud
i Ara
bia
UAE
Jord
anEg
ypt
Mor
occo
Tuni
sia
Alge
ria
Braz
ilM
exic
oIn
dia
Chin
aM
alay
sia
Sing
apor
e US
UK
Ger
man
ySp
ain
Aust
ralia
Insurance Penetration
2017 Insurance Market Briefing - MENA October 4, 2017 39
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The Protection Gap
• Rare events – reoccurrence rates between 30-50 years
• Consequences can be devastating
• Substantial global financial risk loss
• World Bank: USD 800 billion (1-10% of global GDP). Insurance loss is difficult to predict.
Pandemics
Unprecedented nature of catastrophes – reaching new highs Substantial gap between economic loss and insured loss
• Hurricanes Irma, Harvey, Maria, Earthquakes (Mexico)
• Significant uninsured losses • Difficult to predict despite
sophistication of modelling tools
Natural Catastrophes
2017 Insurance Market Briefing - MENA October 4, 2017 40
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The Protection Gap
Man-made losses
Single Loss Events Flood Risk
Catastrophe Models – Lloyd’s earthquake model
Impact Forecasting
Gulf Cooperation Council
2017 Insurance Market Briefing - MENA October 4, 2017 41
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Fragmented Market
39% 41% 44% 45% 43% 44%
61% 59% 56% 55% 57% 56%
0%
20%
40%
60%
80%
100%
2011 2012 2013 2014 2015 2016
United Arab Emirates - Market Share
Top 3 Others
-600-400-200
200400600
2011 2012 2013 2014 2015 2016
Share of Profit / Loss (USD millions)
Top 2 Others
-100
100
200
300
2011 2012 2013 2014 2015 2016
Share of Profit / Loss (USD millions)
Top 3 Others
34% 38% 36% 40% 42% 45%
66% 62% 64% 60% 58% 55%
0%
20%
40%
60%
80%
100%
2011 2012 2013 2014 2015 2016
Saudi Arabia – Market Share
Top 2 Others
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 42
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Performance: GCC (USD millions)
-200
-100
0
100
200
300
400
500
2011 2012 2013 2014 2015 2016
United Arab Emirates
Underwriting Income Investment Income Market profit / loss
-600
-400
-200
0
200
400
600
800
2011 2012 2013 2014 2015 2016
Saudi Arabia
Underwriting Income Investment Income Market profit / loss
0
200
400
600
800
1,000
2011 2012 2013 2014 2015 2016
Qatar
Underwriting Income Investment Income Market profit / loss
• Market performance has been good • Performance remains volatile • UAE and Saudi Arabia undergone
pricing and reserving reviews • UAE, Qatar and Kuwait dependent on
investment income • Excludes movements through OCI
Source: A.M. Best data and research and Swiss Re Institute
2017 Insurance Market Briefing - MENA October 4, 2017 43
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Performance: Takaful
32%
74% 72% 80% 92%
77% 79% 74%
0%
20%
40%
60%
80%
100%
Abu DhabiNationalTakaful
ArabScandinavia
Takaful
Dar AlTakaful
DubaiIslamic
(AMAN)
Salama MethaqTakaful
NationalTakaful
(Watania)
TakafulEmarat
Loss Ratio
34% 27%
36%
53% 53%
30%
51%
36%
0%
10%
20%
30%
40%
50%
60%
Abu DhabiNationalTakaful
ArabScandinavia
Takaful
Dar AlTakaful
DubaiIslamic
(AMAN)
Salama MethaqTakaful
NationalTakaful
(Watania)
TakafulEmarat
Expense Ratio
66%
101% 108%
132% 145%
107% 130%
109%
0%20%40%60%80%
100%120%140%160%
Abu DhabiNationalTakaful
ArabScandinavia
Takaful
Dar AlTakaful
Dubai Islamic(AMAN)
Salama MethaqTakaful
NationalTakaful
(Watania)
TakafulEmarat
Combined Ratio
17%
10%
-4%
-14% -14%
1%
-15%
-3%
-20%-15%-10%
-5%0%5%
10%15%20%
Abu DhabiNationalTakaful
ArabScandinavia
Takaful
Dar Al Takaful Dubai Islamic(AMAN)
Salama MethaqTakaful
NationalTakaful
(Watania)
TakafulEmarat
Return on Equity
Source: A.M. Best research and data
2017 Insurance Market Briefing - MENA October 4, 2017 44
-
Performance: MENA Reinsurers
0%20%40%60%80%
100%120%140%160%
QatarReinsurance
Co. Ltd.
TrustInternationalInsurance &Reinsurance
Co BSC
MilliReasurans
Turk AnonimSirketi
SociétéCentrale deRéassurance
ArabInsurance
Group(B.S.C.) (C)
SaudiReinsurance
Co.
Hannover ReTakaful
B.S.C. (c)
KuwaitReinsuranceCo. K.S.C.P.
ArabReinsurance
Co. SAL
EmiratesRetakaful
Ltd.
SociétéTunisienne
deRéassurance
OmanReinsurance
Co. SAOC
Five-Year Average Technical Ratios Loss Ratio Combined Ratio
MENA Reinsurers underperform relative to global reinsurance peers 9%
8%
5% 4% 5%
0%
5%
10%
15%
2012 2013 2014 2015 2016
Return on Equity Ratios (2012-2016)
Notes: Excludes companies for whom financial data was not available. Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 45
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Changing Market Landscape
First Insurance – Yarmouk Ins (Jordan) Bahrain Kuwait – Takaful International (Bahrain) Solidarity – Al Ahleia (Bahrain) Al Madina – Watania (UAE) Al Ahleia – Kuwait Re (Kuwait) GIG – AIG Sigorta
Acquisitions
Malath & Allied (Saudi Arabia) Gulf Union & Ahlia (Saudi Arabia)
Mergers
Arab German (Jordan) Takaful Re (UAE) Al Barakah (Jordan) Gulf Re (UAE) Saudi Cooperatives
Run offs/Closures
Orient UNB Takaful Medgulf UAE
New Entrants
Al Madina (Oman) Arab Scandinavian (UAE)
Conversion to Takaful
Capital / solvency requirements Suspension of licenses Oman IPOs
2017 Insurance Market Briefing - MENA October 4, 2017 46
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Energy: Oil Prices (USD per barrel)
20
30
40
50
60
70
80
90
100
110
120
Jan 2013 Jan 2014 Jan 2015 Jan 2016 Jan 2017
Oil prices have fallen to their lowest position over the last decade
Notes: Europe Brent Spot Price (US Dollars per Barrel). Data to September 25, 2017. Source: United States Energy Information Administration
2017 Insurance Market Briefing - MENA October 4, 2017 47
-
Energy: Fiscal Pressures
13% 12%
5% 4% 4%
3% 3% 3%
2% 2% 2% 2% 2%
Saudi ArabiaRussia
IraqIranUAE
BrazilKuwaitMexico
QatarNigeriaAngolaAlgeria
Kazakhstan
Contribution to World Oil Production (2015) (%)
93.0
105.7
46.5
80.1
54.6
93.7
58.6
50.1
61.6
0
20
40
60
80
100
120
Over 50% of oil production from emerging economies
Fiscal Breakeven (US Dollar per barrel)
Sources: U.S. Energy Information Administration, International Monetary Fund, IMF Regional Economic Outlook Middle East and Central Asia, April 2017, World Bank
2017 Insurance Market Briefing - MENA October 4, 2017 48
-
Volatility of oil and stock indices
20
40
60
80
100
120
140
160
Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17
Brent Baharain All Share Dubai General Kuwait Main Market
Qatar General Oman MSM 30 Main KSA All Tadawul Share
GCC Stock Markets and Brent Indexed to January 2014 = 100
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 49
-
Volatility oil and MENA Currencies
-
50
100
150
200
250
300
Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17
Brent Algerian Dinar Jordan Dinar Egyptian Pound Moroccan Dirham Tunisian Dinar
Energy: Currency Risk MENA Country Currencies and Brent Crude Indexed to January 2014 = 100
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 50
-
Investment profile are concentrated and add volatility
High exposure to equities and real estate assets for UAE, Qatar and Kuwait insurers
41%
26%
16%
13% 6% 2016
Gradual shift towards low risk assets
37%
14% 24%
13%
12% 2011
Cash Bonds Equities Real Estate Other
27% 41%
60%
27%
65%
35%
54% 15%
5%
28%
23%
12%
12%
27% 17%
16%
6%
28%
7% 14% 24% 22%
5% 11% 4% 5% 4%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Bahrain Kuwait Oman Qatar SaudiArabia
UAE
Composition of Asset Allocation
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 51
-
Counterparty Credit Risk
Reinsurance Utilisation
Business Line Net Retention
Motor > 90%
Health 60% to 80%
A&L 40% to 60%
Marine 20% to 35%
Property < 15%
Engineering < 15%
Aviation < 5%
Energy < 2%
Motor 30%
Medical 42%
Other 28% Motor
36%
Medical 51%
Other 14%
Source: SAMA, JOIF, IA, EFSA, CBB, A.M. Best research and data Selected countries: Saudi Arabia, Jordan, UAE, Egypt, Bahrain
Retention is high on retail lines, with commercial lines ceded to reinsurers
Gross Written Premiums Net Written Premiums
2017 Insurance Market Briefing - MENA October 4, 2017 52
-
Counterparty Credit Risk
-200
0
200
400
600
800
1000
0
200
400
600
800
1000
Earnings are generally driven by inward reinsurance commission
Note: Examples for illustration purposes. Actual data has not been used
Energy Motor
2017 Insurance Market Briefing - MENA October 4, 2017 53
-
Navigating Regulation
Disclosures
Mandatory Business
Risk Management VAT
Investment Rules
Capital / Solvency
Pricing
Reserving
Strive for greater financial stability and transparency
Commissions
2017 Insurance Market Briefing - MENA October 4, 2017 54
-
0%
5%
10%
15%
2011 2012 2013 2014 2015 2016
Leverage
Capital Management
0%20%40%60%80%
100%
Bahrain Kuwait Oman Qatar UAE SaudiArabia
Dividend Payout
Payout of profits over 5-year period
High dividend payout ratios in UAE, Oman and Kuwait Mainly still as a proportion of paid-up capital
Leverage is increasing, mainly due to operating leverage (borrowing to invest)
Market financial flexibility and liquidity has reduced, but remains strong
Source: A.M. Best data and research
2017 Insurance Market Briefing - MENA October 4, 2017 55
-
Final Thoughts….
THRE
AT /
RIS
K
OPPO
RTUN
ITY / BENEFIT
Low Oil Prices Growth
Geopolitical M&A
Protectionism Regulation
Currency Risk Competition Investment
Counterparty Risk Inflation
Reserving Innovation
Pricing Risk Management
Management and strategy
are key to navigating the
challenging operating
environment
2017 Insurance Market Briefing - MENA October 4, 2017 56
-
Managing the Market Challenges
Critical to decision making and execution of strategy is “risk management”
Upside
Downside
Non-existent Reactive Proactive
Improves financial condition over time
Maintains financial condition over time
Financial condition can be subject to deterioration and shocks
2017 Insurance Market Briefing - MENA October 4, 2017 57
-
2017 Insurance Market Briefing - MENA
Q&A Mahesh Mistry
Senior Director, Analytics
2017 Insurance Market Briefing - MENA October 4, 2017 58
-
2017 Insurance Market Briefing - MENA
Update on Best's Credit Rating Methodology (BCRM) & the New Best's Capital Adequacy Ratio
(BCAR)
Greg Carter Managing Director, Analytics - EMEA
2017 Insurance Market Briefing - MENA October 4, 2017 59
-
BCRM - Impetus for Change
• Transparency and consistency • A move towards best practices • A way to integrate new tools
2017 Insurance Market Briefing - MENA October 4, 2017 60
-
BCRM
• Not a fundamental change to rating analysis
• Key rating drivers
remain the same – Balance Sheet
Strength – Operating
Performance – Business Profile – Enterprise Risk
Management
2017 Insurance Market Briefing - MENA October 4, 2017 61
-
BCRM • BCRM has been reorganized into 4 sections
– Part I: Introduction – Part II: Rating Units – Part III: The Rating Process – Part IV: Insurance Holding Company and Issue
Credit Ratings • Part III: The Rating Process outlines A.M. Best’s
building block approach
2017 Insurance Market Briefing - MENA October 4, 2017 62
-
BCRM Building Blocks
2017 Insurance Market Briefing - MENA October 4, 2017 63
-
BCRM
Balance Sheet Strength • Rating unit balance sheet strength assessment
– BCAR – Other qualitative and quantitative factors
• Holding company impact assessment • Country risk impact
2017 Insurance Market Briefing - MENA October 4, 2017 64
-
BCRM
Balance Sheet Strength: Rating Unit
2017 Insurance Market Briefing - MENA October 4, 2017 65
-
What is BCAR?
Best’s Capital Adequacy Ratio (BCAR) • A comprehensive quantitative tool that
evaluates many of the risks to the balance sheet simultaneously
• Generates an overall estimate of the required level of capital to support those risks and compares it with available capital
2017 Insurance Market Briefing - MENA October 4, 2017 66
-
Model Changes New Metric
Calculation of BCAR Score
How Many BCAR Scores & What VaR Levels
Overview of Available Capital & Risk Categories
Treatment of Natural Catastrophe PMLs
Stochastic-based
What-if Testing
BCAR Guidelines
2017 Insurance Market Briefing - MENA October 4, 2017 67
-
New Metric VaR (Value at Risk)
VaR does not tell us about what’s in
the tail so we need to look at more than one
VaR
VaR 99.0
VaR 99.5
2017 Insurance Market Briefing - MENA October 4, 2017 68
-
Calculation of BCAR Score • New formula
𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀 𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐀𝐀 − 𝐍𝐍𝐀𝐀𝐂𝐂 𝐑𝐑𝐀𝐀𝐑𝐑𝐑𝐑𝐀𝐀𝐑𝐑𝐀𝐀𝐑𝐑 𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀𝐀 𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐂𝐂𝐀𝐀𝐀𝐀
× 𝟏𝟏𝟏𝟏𝟏𝟏
2017 Insurance Market Briefing - MENA October 4, 2017 69
-
Multiple BCAR Scores and VaR Levels
Using Value at Risk (VaR) metric VaR levels: 95, 99, 99.5, 99.6
Return Period (Years)
Annual Probability (%)
Confidence Level (%)
20 5.0 95.0
100 1.0 99.0
200 0.5 99.5
250 0.4 99.6
VaR 99.8 also modeled but not included in balance sheet assessment VaR 99.8 included in ERM assessment
2017 Insurance Market Briefing - MENA October 4, 2017 70
-
Net Required Capital = + (B7)(B1)2 + (B2)2 + (B3)2 + (.5 * B4)2 + [(.5 * B4) + (B5)]2 + (B6)2 + (B8)2
Restructuring of Risk Categories
Available Capital (AC) Reported Capital (PHS) Equity Adjustments:
Unearned Premiums (DAC) Assets Loss Reserves Reinsurance
Debt Adjustments: Surplus Notes Debt Service Requirements
Other Adjustments: Future Operating Losses Goodwill & Intangible Assets Other
Net Required Capital Gross Required Capital (GRC): (B1) Fixed Income Securities (B2) Equity Securities (B3) Interest Rate (B4) Credit (B5) Loss and LAE Reserves (B6) Net Premiums Written (B7) Business Risk (B8) Potential Catastrophe Loss
Covariance Adjustment
Net Required Capital (NRC)*
BCAR = ( Available Capital - Net Required Capital) x 100 Available Capital
2017 Insurance Market Briefing - MENA October 4, 2017 71
B.1_BCAR Formula
A.M. Best’s Capital Adequacy Ratio
BCAR =( Available Capital - Net Required Capital) x 100
Available Capital
Available Capital Components:Net Required Capital (NRC) Components:Net Required Capital (NRC) Components:
Reported Capital (Surplus)(B1) Fixed-Income Securities(B1) Fixed-Income Securities
Equity Adjustments:(B2) Equity Securities(B2) Equity Securities
Unearned Premiums(B3) Interest Rate(B3) Interest Rate
Assets(B4) Credit(B4) Credit
Loss Reserves(B5) Net Loss and LAE Reserves(B5) Reserves
Reinsurance(B6) Net Premiums Written(B6) Net Premiums Written
Debt Adjustments:(B7) Business Risk(B7) Business Risk
Surplus Notes(B8) Potential Catastrophe Losses(B8) Potential Catastrophe Losses
Debt Service Requirements
Other Adjustments:CovarianceCovariance
Future Operating Losses
Goodwill & Intangibles
Available Capital
Net Required Capital =(B1)2 + (B2)2 + (B3)2 + (.5 * B4)2 + [(.5 * B4) + (B5)]2 + (B6)2 + (B8)2 + (B7)
Revised_A.1
A.M. Best’s Capital Adequacy Ratio
BCAR =( Available Capital - Net Required Capital) x 100
Available Capital
Available Capital Components:Net Required Capital (NRC) Components:
Reported Capital (Surplus)(B1) Fixed-Income Securities
Equity Adjustments:(B2) Equity Securities
Unearned Premiums(B3) Interest Rate
Assets(B4) Credit
Loss Reserves(B5) Net Loss and LAE Reserves
Reinsurance(B6) Net Premiums Written
Debt Adjustments:(B7) Business Risk
Surplus Notes(B8) Potential Catastrophe Losses
Debt Service Requirements
Other Adjustments:Covariance
Future Operating Losses
Goodwill & Intangibles
Available Capital
Net Required Capital =(B1)2 + (B2)2 + (B3)2 + (.5 * B4)2 + [(.5 * B4) + (B5)]2 + (B6)2 + (B7) + (B8)
A.1- structural overview
A.M. Best’s Capital Adequacy Ratio
BCAR =( Available Capital - Net Required Capital) x 100
Available Capital
Available Capital Components:Net Required Capital (NRC) Components:
Reported Capital (Surplus)(B1) Fixed-Income Securities
Equity Adjustments:(B2) Equity Securities
Unearned Premiums(B3) Interest Rate
Assets(B4) Credit
Loss Reserves(B5) Net Loss and LAE Reserves
Reinsurance(B6) Net Premiums Written
Debt Adjustments:(B7) Business Risk
Surplus Notes(B8) Potential Catastrophe Losses
Debt Service Requirements
Other Adjustments:Covariance
Future Operating Losses
Goodwill & Intangibles
NRC =(B1)2 + (B2)2 + (B3)2 + (.5 * B4)2 + [(.5 * B4) + B5]2 + (B6)2 + (B7) + (B8)
B.1-Exhibit 1
Exhibit 1: Best’s Capital Adequacy Model
Composition of gross required capital— 2013 industry aggregates.
CreditLoss/LAE ReservesWritten PremiumsPotential Large LossOff-Balance SheetInvestments in AffiliatesInterest RateNon Affiliated StocksAll Othercheck:
526269114298100
bcar criteria says the B1 thru B7 categories collectively make up 99% of the GRC.
(B7 is the last 1%)
source is PC BCAR data extracted into "mydocs/articles/2015/new bcar/Industry GRC with B8 cat risk.xlsx"
percentages shown on labels need to be changed manually.
Credit5%
Loss/LAE Reserves26%
Written Premiums26%
Potential
Large Loss9%
Investments in Affiliates 14%
Interest Rate2%
Non Affiliated Stocks9%
Investments33%
CreditLoss/LAE ReservesWritten PremiumsPotential Large LossOff-Balance SheetInvestments in AffiliatesInterest RateNon Affiliated StocksAll Other526269114298
B.2_Sample BCAR Calc
Exhibit B.2: Sample BCAR Calculation
Best's Capital Adequacy Model
Sample Rating Unit
($ Thousands)
RECAP of NET REQUIRED CAPITAL (NRC)
VaR 95VaR 99VaR 99.5VaR 99.6
Risk ComponentRequired% GrossRequired% GrossRequired% GrossRequired% Gross
CapitalRequiredCapitalRequiredCapitalRequiredCapitalRequired
Asset Risk:AmountCapitalAmountCapitalAmountCapitalAmountCapital
(B1)Fixed Income Securities Risk24,760827,721728,671629,2166
(B2)Equity Securities Risk59,0252077,4751984,5251786,05516
Investment Risk83,78528105,19626113,19623115,27122
(B3)Interest Rate Risk9,201312,990314,614315,1553
Subtotal92,98631118,18629127,81026130,42625
(B4)Credit Risk10,012311,846313,842314,9263
Total Asset Risk102,99834130,03232141,65229145,35228
Underwriting Risk:
(B5)Loss & LAE Reserves Risk69,88623105,55126119,71525124,17524
(B6)Net Written Premiums Risk61,7792193,67423106,27822110,23321
Total Underwriting Risk131,66544199,22549225,99347234,40845
(B7)Business Risk3,08013,08013,08013,0801
(B8)Catastrophe Risk62,0002177,00019115,00024140,00027
Gross Required Capital (GRC)299,743100409,337100485,725100522,840100
Less: Covariance Adjustment164,46655221,58254261,77254279,70953
Net Required Capital (NRC) 135,27845187,75546223,95246243,13147
RECAP of AVAILABLE CAPITAL (AC)% to
Reported
Capital & Capital AdjustmentsAmountCapital
Reported Capital (Surplus)180,000100
Equity Adjustments:
Provision for Reinsurance1,0001
Unearned Premium Reserve Equity16,2509
Loss Reserves Equity15,4339
Fixed Income Equity14,4008
Other Adjustments:
Surplus Notes00
Off-Balance Sheet Losses00
Future Dividends00
Protected Cell Surplus00
Goodwill & Intangibles00
AVAILABLE CAPITAL (AC)227,083126
Effective Tax Rate = 20.0%
Best's Capital Adeqacy RatioVaR 95VaR 99VaR 99.5VaR 99.6
BCAR = (AC - NRC) / AC40.417.31.4-7.1
B.4_NRC Formula
A.M. Best’s Capital Adequacy Ratio
BCAR =( Available Capital - Net Required Capital) x 100
Available Capital
Available Capital Components:Net Required Capital (NRC) Components:Net Required Capital (NRC) Components:
Reported Capital (Surplus)(B1) Fixed-Income Securities(B1) Fixed-Income Securities
Equity Adjustments:(B2) Equity Securities(B2) Equity Securities
Unearned Premiums(B3) Interest Rate(B3) Interest Rate
Assets(B4) Credit(B4) Credit
Loss Reserves(B5) Net Loss and LAE Reserves(B5) Reserves
Reinsurance(B6) Net Premiums Written(B6) Net Premiums Written
Debt Adjustments:(B7) Business Risk(B7) Business Risk
Surplus Notes(B8) Potential Catastrophe Losses(B8) Potential Catastrophe Losses
Debt Service Requirements
Other Adjustments:CovarianceCovariance
Future Operating Losses
Goodwill & Intangibles
Available Capital
Net Required Capital =(B1)2 + (B2)2 + (B3)2 + (.5 * B4)2 + [(.5 * B4) + (B5)]2 + (B6)2 + (B8)2 + (B7)
B.7_VaR Loss Amount
(1)(2)(3)(4)(5)(6)
(1) * (4)100.0% - (3)
Statement AmountMetricConfidence LevelCapital FactorLoss Amount at Confidence LevelExceedance Probability*
100,000VaR95.0%0.2323,0005.0%
VaR99.0%0.3030,0001.0%
VaR99.5%0.3434,0000.5%
VaR99.6%0.3535,0000.4%
VaR99.9%0.4141,0000.1%
*Probability that an actual observed loss will exceed the loss amount of the confidence level.
B.8_BCAR Assessment
VaR Confidence Level (%)BCARBCAR Assessment
99.6> 30 at 99.6Strongest
99.6> 10 at 99.6 & ≤ 30 at 99.6Very Strong
99.5> 0 at 99.5 & ≤ 10 at 99.6Strong
99> 0 at 99 & ≤ 0 at 99.5Adequate
95> 0 at 95 & ≤ 0 at 99Weak
95≤ 0 at 95Very Weak
B.3-Exhibit 3
MetricConfidence Level (%)BCARImplied Balance Sheet Strength
ImpliedVaR99.9> 0 at 99.9Strongest
ConfidenceBalance SheetVaR99.8> 0 at 99.8 & ≤ 0 at 99.9Very Strong
MetricLevel (%)BCARStrengthVaR99.5> 0 at 99.5 & ≤ 0 at 99.8Strong
VaR99.9Greater than 0StrongestVaR99> 0 at 99 & ≤ 0 at 99.5Adequate
VaR99.8Greater than 0Very StrongVaR95> 0 at 95 & ≤ 0 at 99Weak
VaR99.5Greater than 0StrongVaR95≤ 0 at 95Very Weak
VaR99Greater than 0Adequate
VaR95Greater than 0Weak
VaR95Less Than 0Very Weak
* BCAR is not the sole determinant of a rating.
C.1_Sample Bond
VaR 99
VAR 99VAR 99.5VAR 99.6VAR 99.8Rating1 Year3 Year5 Year 7 Year10 Year
1 YEARaaa0.00%0.00%0.00%0.00%aaa0.00%0.04%0.11%0.16%0.23%
aa0.11%0.16%0.18%0.23%aa0.11%0.44%0.71%0.88%1.02%
a0.48%0.56%0.58%0.66%a0.48%1.43%2.08%2.43%2.69%
bbb1.15%1.27%1.32%1.45%bbb1.15%3.24%4.57%5.34%5.87%
bb2.59%2.74%2.82%2.96%bb2.59%6.99%9.98%11.80%13.30%
b+ to b-7.07%7.34%7.43%7.61%b+ to b-7.07%17.65%24.28%28.09%30.37%
ccc+ to ccc-25.06%25.35%25.46%25.67%ccc+ to ccc-25.06%44.06%47.13%45.51%41.17%
2 YEARaaa0.00%0.03%0.05%0.09%
aa+0.14%0.20%0.21%0.27%
aa0.27%0.37%0.40%0.47%
aa-0.45%0.57%0.59%0.68%
a+0.81%0.95%0.99%1.09%
a0.99%1.14%1.18%1.29%
a-1.20%1.37%1.42%1.53%
bbb+2.02%2.25%2.31%2.49%
bbb2.29%2.53%2.61%2.80%
bbb-2.85%3.11%3.19%3.40%
bb+4.33%4.67%4.76%5.02%
bb4.95%5.30%5.40%5.66%
bb-8.99%9.36%9.48%9.81%
b+ to b-12.91%13.33%13.44%13.83%
ccc+ to ccc-37.91%38.23%38.31%38.57%
cc to c44.23%44.60%44.69%45.00%
d50.55%50.97%51.08%51.43%
3 YEARaaa0.04%0.09%0.11%0.15%
aa+0.25%0.34%0.37%0.45%
aa0.46%0.60%0.64%0.76%
aa-0.73%0.89%0.92%1.06%
a+1.25%1.44%1.50%1.67%
a1.51%1.72%1.78%1.96%
a-1.82%2.05%2.12%2.30%
bbb+3.00%3.31%3.41%3.68%
bbb3.39%3.72%3.81%4.11%
bbb-4.20%4.54%4.63%4.94%
bb+6.31%6.69%6.84%7.18%
bb7.17%7.56%7.72%8.09%
bb-12.59%13.04%13.22%13.63%
b+ to b-17.65%18.13%18.29%18.76%
ccc+ to ccc-44.06%44.37%44.42%44.63%
cc to c51.40%51.77%51.82%52.06%
d58.74%59.16%59.23%59.50%
4 YEARaaa0.09%0.14%0.16%0.22%
aa+0.37%0.46%0.50%0.62%
aa0.67%0.80%0.86%1.03%
aa-1.00%1.16%1.23%1.43%
a+1.67%1.87%1.96%2.20%
a2.00%2.22%2.33%2.59%
a-2.40%2.65%2.75%3.03%
bbb+3.92%4.29%4.40%4.77%
bbb4.41%4.83%4.93%5.30%
bbb-5.40%5.86%5.94%6.38%
bb+8.07%8.56%8.69%9.18%
bb9.13%9.59%9.77%10.26%
bb-15.67%16.13%16.31%16.84%
b+ to b-21.42%22.00%22.13%22.60%
ccc+ to ccc-46.60%46.81%46.84%46.98%
cc to c54.36%54.61%54.64%54.81%
d62.13%62.41%62.45%62.64%
5 YEARaaa0.13%0.20%0.22%0.30%
aa+0.47%0.59%0.64%0.79%
aa0.83%1.00%1.06%1.28%
aa-1.24%1.43%1.51%1.75%
a+2.06%2.28%2.38%2.67%
a2.45%2.70%2.81%3.13%
a-2.93%3.22%3.35%3.65%
bbb+4.73%5.17%5.29%5.72%
bbb5.28%5.78%5.89%6.36%
bbb-6.49%6.94%7.08%7.53%
bb+9.58%10.07%10.28%10.85%
bb10.79%11.31%11.51%12.11%
bb-18.08%18.68%18.93%19.46%
b+ to b-24.28%24.90%25.09%25.69%
ccc+ to ccc-47.13%47.26%47.30%47.40%
cc to c54.99%55.14%55.18%55.30%
d62.84%63.02%63.06%63.20%
6 YEARaaa0.18%0.27%0.29%0.36%
aa+0.59%0.71%0.76%0.93%
aa1.01%1.21%1.25%1.49%
aa-1.48%1.72%1.75%2.01%
a+2.39%2.70%2.76%3.07%
a2.85%3.20%3.25%3.58%
a-3.39%3.77%3.84%4.17%
bbb+5.50%5.99%6.10%6.55%
bbb6.15%6.64%6.80%7.31%
bbb-7.44%8.00%8.14%8.63%
bb+10.90%11.52%11.70%12.19%
bb12.23%12.84%13.04%13.53%
bb-20.06%20.70%20.91%21.40%
b+ to b-26.49%27.08%27.25%27.70%
ccc+ to ccc-46.60%46.69%46.71%46.77%
cc to c54.37%54.47%54.49%54.57%
d62.13%62.25%62.27%62.36%
7 YEARaaa0.21%0.32%0.36%0.44%
aa+0.70%0.85%0.90%1.07%
aa1.18%1.41%1.46%1.68%
aa-1.69%1.97%2.04%2.26%
a+2.73%3.08%3.16%3.41%
a3.24%3.62%3.71%3.99%
a-3.84%4.26%4.33%4.63%
bbb+6.18%6.66%6.85%7.21%
bbb6.89%7.39%7.63%8.00%
bbb-8.34%8.85%9.06%9.48%
bb+12.09%12.70%12.84%13.38%
bb13.49%14.09%14.29%14.81%
bb-21.69%22.25%22.47%22.97%
b+ to b-28.09%28.67%28.79%29.31%
ccc+ to ccc-45.51%45.57%45.59%45.63%
cc to c53.10%53.17%53.18%53.23%
d60.69%60.76%60.78%60.84%
8 YEARaaa0.27%0.38%0.43%0.58%
aa+0.79%0.96%1.02%1.22%
aa1.32%1.56%1.64%1.92%
aa-1.90%2.17%2.26%2.56%
a+3.03%3.36%3.46%3.78%
a3.59%3.94%4.05%4.40%
a-4.23%4.64%4.74%5.13%
bbb+6.75%7.29%7.43%7.98%
bbb7.52%8.11%8.25%8.84%
bbb-9.09%9.63%9.82%10.41%
bb+13.08%13.68%13.86%14.55%
bb14.54%15.16%15.32%16.07%
bb-22.91%23.52%23.72%24.24%
b+ to b-29.28%29.77%29.93%30.39%
ccc+ to ccc-44.16%44.20%44.21%44.23%
cc to c51.52%51.56%51.58%51.61%
d58.88%58.93%58.94%58.98%
9 YEARaaa0.31%0.45%0.48%0.64%
aa+0.88%1.08%1.14%1.35%
aa1.46%1.71%1.80%2.08%
aa-2.09%2.37%2.45%2.78%
a+3.30%3.63%3.73%4.09%
a3.89%4.25%4.37%4.73%
a-4.57%4.97%5.09%5.52%
bbb+7.29%7.81%7.97%8.54%
bbb8.11%8.64%8.80%9.41%
bbb-9.72%10.25%10.42%11.08%
bb+13.82%14.51%14.66%15.43%
bb15.35%16.05%16.18%16.96%
bb-23.85%24.47%24.63%25.20%
b+ to b-29.93%30.48%30.61%31.04%
ccc+ to ccc-42.68%42.71%42.71%42.73%
cc to c49.80%49.83%49.83%49.85%
d56.91%56.94%56.95%56.97%
10 YEARaaa0.35%0.51%0.58%0.74%
aa+0.96%1.19%1.26%1.50%
aa1.57%1.88%1.96%2.25%
aa-2.23%2.57%2.65%2.98%
a+3.52%3.92%4.02%4.38%
a4.14%4.57%4.67%5.03%
a-4.88%5.33%5.42%5.80%
bbb+7.72%8.32%8.45%9.02%
bbb8.56%9.17%9.33%9.90%
bbb-10.24%10.83%11.00%11.58%
bb+14.54%15.17%15.35%15.96%
bb16.12%16.75%16.92%17.55%
bb-24.55%25.11%25.32%25.83%
b+ to b-30.37%30.82%30.95%31.39%
ccc+ to ccc-41.17%41.18%41.18%41.19%
cc to c48.03%48.04%48.05%48.06%
d54.89%54.91%54.91%54.92%
C.3_Common Stocks
(1)Metric(2)Confidence Level(3)Baseline Capital Factor
VaR95.0%25%
VaR99.0%38%
VaR99.5%43%
VaR99.6%44%
*Traded in U.S. Stock Markets
C.4_Sample Investment Risk Calc
Exhibit 12
Investment Risk (B1 & B2)
($ Thousands)
Capital FactorsRequired Capital Amount
(1)(2)(3) (4)(5)(6)(7)(9)(10)(11)(12)
(1) + (2)(3) * (4)(3) * (5)(3) * (6)(3) * (7)
StatementAdjusted
InvestmentsStatement ValueAdjustmentAdjusted AmountVaR 95VaR 99VaR 99.5VaR 99.6VaR 95VaR 99VaR 99.5VaR 99.6
Bonds:
U.S. Gov't.90,000090,0000.00.00.00.00000
Class 1343,0000343,0000.60.91.01.12,0583,0873,4303,773
Class 2110,0000110,0003.34.34.64.73,6304,7305,0605,170
Class 320,000020,0009.911.211.611.71,9802,2402,3202,340
Class 45,00005,00020.922.322.822.91,0451,1151,1401,145
Class 54,00004,00042.142.442.642.71,6841,6961,7041,708
Class 62,00002,00054.254.654.754.81,0841,0921,0941,096
Affiliated3,00003,000100.0100.0100.0100.03,0003,0003,0003,000
Total Bonds577,0000577,0002.52.93.13.214,48116,96017,74818,232
Preferred Stocks:
Non-affiliated (Public)20,000020,00025.038.043.044.05,0007,6008,6008,800
Class 114,000014,0000.60.91.01.184126140154
Class 212,000012,0003.34.34.64.7396516552564
Class 310,000010,0009.911.211.611.79901,1201,1601,170
Class 49,00009,00020.922.322.822.91,8812,0072,0522,061
Class 58,00008,00042.142.442.642.73,3683,3923,4083,416
Class 66,00006,00054.254.654.754.83,2523,2763,2823,288
Non-Affiliated (Private)5,00005,000100.0100.0100.0100.05,0005,0005,0005,000
Affiliated (Public)4,00004,00025.038.043.044.01,0001,5201,7201,760
Affiliated (Private)3,00003,000100.0100.0100.0100.03,0003,0003,0003,000
Total Preferred Stocks91,000091,00026.330.331.832.123,97127,55728,91429,213
Common Stocks:
Non-Affiliated (Public)80,000080,00025.038.043.044.020,00030,40034,40035,200
Non-Affiliated (Private)5,00005,000100.0100.0100.0100.05,0005,0005,0005,000
Money Market Funds25,000025,0000.30.30.30.375757575
Affiliated (Public)10,000010,00025.038.043.044.02,5003,8004,3004,400
Affiliated (Private)5,00005,000100.0100.0100.0100.05,0005,0005,0005,000
Total Common Stocks125,0000125,00026.135.439.039.732,57544,27548,77549,675
Mortgage Loans1,00001,0003.34.95.45.633495456
Real Estate:
Company Occupied30,000030,00012.017.519.520.23,6005,2505,8506,060
Investments10,000010,00012.017.519.520.21,2001,7501,9502,020
Total Real Estate40,000040,00012.017.519.520.24,8007,0007,8008,080
Contract Loans1,00001,0005.05.05.05.050505050
Cash & Cash Equivalents25,000025,0000.30.30.30.375757575
Short-Term Investments15,000015,0001.01.01.01.0150150150150
Derivative Asset3,00003,000100.0100.0100.0100.03,0003,0003,0003,000
Securities Lending Reinvested Collateral9,00009,00010.010.010.010.0900900900900
Other Investments10,000010,00027.541.847.348.42,7504,1804,7304,840
Other Assets5,00005,00020.020.020.020.01,0001,0001,0001,000
Total Investments902,0000902,0009.311.712.512.883,785105,196113,196115,271
Multiply by: Spread of Risk Factor1.001.001.001.00
Investment-Risk Required Capital83,785105,196113,196115,271
C.5_Interest Rate Risk
Exhibit 13
Interest Rate Risk (B3)Interest Rate Risk (B3)
($ Thousands)($ Thousands)
(1)(2)(3)(4)(5)(6)(7)(8)(1)(2)(3)(4)(5)(6)(7)
Market Decline due to 170 BP RiseMarket Decline due to 240 BP RiseMarket Decline due to 270 BP RiseMarket Decline due to 280 BP RiseMarketMarket Decline due to 170 BP RiseMarket Decline due to 240 BP RiseMarket Decline due to 270 BP RiseMarket Decline due to 280 BP Rise
Average Contract MaturityEstimated DurationMarket ValueDecline due toAverage Contract MaturityEstimated DurationMarket Value
Fixed Income310 BP RiseFixed Income
Security(2) * (3) * 1.7%(2) * (3) * 2.4%(2) * (3) * 2.7%(2) * (3) * 2.8%(2) * (3) * 3.1%Security(2) * (3) * 1.7%(2) * (3) * 2.4%(2) * (3) * 2.7%(2) * (3) * 2.8%
Bonds43.5600,00035,70050,40056,70058,80065,100Bonds43.5600,00035,70050,40056,70058,800
Preferred Stocks87.6100,00012,92018,24020,52021,28023,560Preferred Stocks87.6100,00012,92018,24020,52021,280
Mortgage Loans109.52,000323456513532589Mortgage Loans109.52,000323456513532
Totals702,00048,94369,09677,73380,61289,249Totals702,00048,94369,09677,73380,612
Catastrophe Exposure Percentage Calculation:VaR 95VaR 99VaR 99.5VaR 99.6VaR 99.9Catastrophe Exposure Percentage Calculation:VaR 95VaR 99VaR 99.5VaR 99.6
Gross PML =150,000150,000150,000150,000600,000Gross PML =150,000150,000150,000150,000
Liquid Assets =800,000800,000800,000800,000800,000Liquid Assets =800,000800,000800,000800,000
PML To Liquid Assets Percentage (10% minimum) =18.818.818.818.875.0PML To Liquid Assets Percentage (10% minimum) =18.7518.7518.7518.75
(B3) Interest Rate Risk Required Capital Amount = 9,20112,99014,61415,15566,937(B3) Interest Rate Risk Required Capital Amount = 9,17712,95614,57515,115
(= 18.8% * 48,943)(= 18.8% * 69,096)(= 18.8% * 77,733)(= 18.8% * 80,612)(= 75.0% * 89,249)(= 18.8% * 48,943)(= 18.8% * 69,096)(= 18.8% * 77,733)(= 18.8% * 80,612)
C.6-C.9_Credit Risk Factors
Exhibit 5
Reinsurance Recoverables Credit Risk Factors - VaR 95VaR 95VaR 99VaR 99.5VaR 99.6VaR 99.8
Best's ICRReinsurer Impairment Factors Reinsurer Impairment Factors Reinsurer Impairment Factors Reinsurer Impairment Factors Reinsurer Impairment Factors
Best's ICR of ReinsurerFSRYear 1Year 2Year 3Year 4Year 5Year 6Year 7Year 8Year 9Year 10Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9Yr10Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9Yr10Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9Yr10Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9Yr10Yr1Yr2Yr3Yr4Yr5Yr6Yr7Yr8Yr9Yr10
aaaA++0.3%0.4%0.5%0.6%0.6%0.7%0.8%0.9%1.0%1.0%aaa0.0025000.0036000.0045000.0055000.0063000.0073000.0081000.0089000.0097000.0103000.0123000.0136000.0148000.0159000.0168000.0177000.0186000.0194000.0201000.0207000.0172000.0189000.0204000.0218000.0231000.0242000.0252000.0261000.0269000.0276000.0177000.0198000.0216000.0232000.0246000.0258000.0268000.0278000.0286000.0293000.0196000.0224000.0250000.0274000.0293000.0306000.0318000.0328000.0337000.034400
aa+A++0.5%0.6%0.7%0.8%0.8%1.0%1.1%1.2%1.3%1.4%aa+0.0049000.0059000.0068000.0077000.0084000.0097000.0108000.0119000.0129000.0138000.0147000.0165000.0181000.0196000.0210000.0226000.0240000.0253000.0265000.0276000.0196000.0218000.0238000.0255000.0272000.0290000.0306000.0320000.0333000.0344000.0209000.0231000.0252000.0271000.0288000.0306000.0322000.0338000.0350000.0362000.0245000.0272000.0296000.0317000.0335000.0355000.0372000.0387000.0401000.041300
aaA+0.7%0.8%0.9%1.0%1.1%1.2%1.4%1.5%1.6%1.7%aa0.0074000.0083000.0091000.0099000.0105000.0121000.0136000.0149000.0161000.0172000.0172000.0194000.0215000.0234000.0251000.0274000.0294000.0313000.0330000.0344000.0221000.0248000.0273000.0296000.0314000.0339000.0360000.0380000.0398000.0413000.0239000.0266000.0290000.0312000.0330000.0355000.0377000.0397000.0415000.0431000.0294000.0319000.0341000.0361000.0377000.0403000.0426000.0447000.0466000.048200
aa-A+1.0%1.1%1.3%1.4%1.5%1.6%1.7%1.9%2.0%2.1%aa-0.0098000.0112000.0125000.0136000.0147000.0161000.0174000.0186000.0197000.0207000.0196000.0224000.0250000.0274000.0293000.0322000.0349000.0373000.0394000.0413000.0245000.0283000.0317000.0349000.0377000.0403000.0426000.0447000.0466000.0482000.0270000.0306000.0340000.0370000.0398000.0423000.0446000.0466000.0484000.0499000.0343000.0377000.0408000.0436000.0461000.0484000.0504000.0522000.0537000.055100
a+A1.2%1.5%1.7%1.9%2.1%2.3%2.4%2.5%2.7%2.8%a+0.0123000.0147000.0170000.0191000.0210000.0226000.0240000.0253000.0265000.0276000.0221000.0254000.0284000.0311000.0335000.0371000.0403000.0432000.0459000.0482000.0294000.0342000.0386000.0426000.0461000.0492000.0519000.0544000.0566000.0586000.0319000.0366000.0409000.0448000.0482000.0514000.0542000.0569000.0591000.0612000.0392000.0437000.0477000.0513000.0545000.0580000.0612000.0641000.0666000.068900
aA1.5%1.8%2.0%2.3%2.5%2.7%2.9%3.1%3.3%3.4%a0.0147000.0177000.0204000.0229000.0251000.0274000.0294000.0313000.0330000.0344000.0245000.0295000.0341000.0383000.0419000.0451000.0480000.0507000.0530000.0551000.0343000.0401000.0453000.0501000.0545000.0580000.0612000.0641000.0666000.0689000.0368000.0427000.0482000.0532000.0577000.0613000.0646000.0674000.0701000.0723000.0441000.0507000.0568000.0622000.0671000.0709000.0744000.0775000.0802000.082700
a-A-2.0%2.4%2.7%3.1%3.4%3.7%4.0%4.3%4.6%4.8%a-0.0196000.0236000.0272000.0305000.0335000.0371000.0403000.0432000.0459000.0482000.0294000.0354000.0408000.0458000.0503000.0548000.0589000.0626000.0659000.0689000.0392000.0471000.0544000.0610000.0671000.0709000.0744000.0775000.0802000.0827000.0429000.0510000.0584000.0651000.0712000.0750000.0783000.0812000.0838000.0861000.0539000.0625000.0704000.0775000.0838000.0870000.0899000.0924000.0946000.096500
bbb+B++2.5%3.2%3.9%4.5%5.0%5.6%6.2%6.7%7.2%7.6%bbb+0.0245000.0319000.0385000.0447000.0503000.0564000.0620000.0671000.0717000.0758000.0392000.0471000.0544000.0610000.0671000.0741000.0806000.0864000.0917000.0965000.0490000.0589000.0680000.0763000.0838000.0903000.0961000.1013000.1060000.1102000.0528000.0628000.0720000.0804000.0880000.0943000.1000000.1051000.1096000.1137000.0637000.0743000.0840000.0928000.1006000.1064000.1116000.1162000.1204000.124000
bbbB++2.9%4.0%5.0%5.9%6.7%7.6%8.4%9.1%9.7%10.3%bbb0.0294000.0401000.0499000.0588000.0671000.0758000.0837000.0909000.0974000.1033000.0490000.0589000.0680000.0763000.0838000.0935000.1023000.1103000.1175000.1240000.0588000.0707000.0816000.0915000.1006000.1096000.1178000.1252000.1318000.1378000.0637000.0754000.0861000.0959000.1048000.1136000.1217000.1289000.1354000.1412000.0784000.0896000.0997000.1090000.1173000.1257000.1333000.1401000.1462000.151600
bbb-B+3.9%5.4%6.8%8.1%9.2%10.2%11.0%11.8%12.5%13.1%bbb-0.0392000.0542000.0680000.0806000.0922000.1016000.1100000.1177000.1247000.1309000.0588000.0731000.0861000.0981000.1090000.1193000.1286000.1371000.1447000.1516000.0784000.0919000.1043000.1155000.1257000.1354000.1441000.1520000.1591000.1653000.0833000.0966000.1088000.1199000.1299000.1394000.1480000.1557000.1626000.1688000.0981000.1108000.1224000.1329000.1425000.1515000.1596000.1669000.1734000.179100
bb+B5.9%7.5%9.1%10.5%11.7%12.9%14.0%14.9%15.8%16.5%bb+0.0588000.0754000.0907000.1046000.1173000.1290000.1395000.1490000.1576000.1653000.0883000.1037000.1179000.1308000.1425000.1531000.1627000.1714000.1791000.1860000.1079000.1226000.1360000.1482000.1593000.1693000.1782000.1863000.1935000.1998000.1128000.1273000.1405000.1526000.1634000.1733000.1821000.1900000.1970000.2032000.1275000.1414000.1541000.1656000.1760000.1854000.1937000.2012000.2078000.213600
bbB8.8%10.6%12.2%13.7%15.1%16.3%17.4%18.3%19.2%20.0%bb0.0883000.1061000.1224000.1373000.1509000.1628000.1736000.1833000.1920000.1998000.1177000.1344000.1496000.1634000.1760000.1870000.1968000.2057000.2135000.2205000.1373000.1532000.1677000.1809000.1928000.2031000.2123000.2206000.2278000.2342000.1422000.1579000.1723000.1852000.1970000.2071000.2162000.2243000.2314000.2377000.1569000.1721000.1859000.1983000.2096000.2192000.2278000.2355000.2422000.248000
bb-B-11.8%13.7%15.4%17.0%18.4%19.3%20.2%20.9%21.5%22.1%bb-0.1177000.1367000.1541000.1700000.1844000.1934000.2015000.2086000.2150000.2205000.1471000.1650000.1813000.1961000.2096000.2176000.2247000.2310000.2364000.2411000.1667000.1839000.1995000.2136000.2263000.2337000.2402000.2459000.2508000.2549000.1716000.1886000.2040000.2179000.2305000.2378000.2441000.2496000.2544000.2584000.1863000.2027000.2176000.2310000.2431000.2498000.2557000.2608000.2651000.268700
b+C++14.7%16.3%17.7%19.0%20.1%21.0%21.7%22.4%22.9%23.4%b+0.1471000.1626000.1768000.1896000.2012000.2096000.2170000.2235000.2293000.2342000.1765000.1909000.2040000.2158000.2263000.2337000.2402000.2459000.2508000.2549000.1961000.2098000.2221000.2332000.2431000.2498000.2557000.2608000.2651000.2687000.2010000.2145000.2267000.2375000.2473000.2539000.2596000.2645000.2687000.2721000.2157000.2286000.2402000.2506000.2598000.2660000.2712000.2757000.2794000.282500
bC++17.7%18.9%20.0%20.9%21.8%22.6%23.3%23.9%24.4%24.8%b0.1765000.1886000.1995000.2092000.2179000.2257000.2325000.2385000.2436000.2480000.2059000.2169000.2267000.2354000.2431000.2498000.2557000.2608000.2651000.2687000.2255000.2357000.2448000.2528000.2598000.2660000.2712000.2757000.2794000.2825000.2304000.2404000.2493000.2572000.2640000.2700000.2751000.2794000.2830000.2859000.2451000.2546000.2629000.2702000.2766000.2821000.2867000.2906000.2938000.296200
b-C+19.6%20.7%21.8%22.7%23.5%24.2%24.8%25.3%25.8%26.2%b-0.1961000.2074000.2176000.2267000.2347000.2418000.2480000.2534000.2579000.2618000.2255000.2357000.2448000.2528000.2598000.2660000.2712000.2757000.2794000.2825000.2451000.2546000.2629000.2702000.2766000.2821000.2867000.2906000.2938000.2962000.2500000.2593000.2674000.2746000.2808000.2861000.2906000.2943000.2973000.2997000.2648000.2734000.2810000.2877000.2934000.2982000.3022000.3055000.3081000.310000
ccc+ and Lower49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%ccc+ and lower0.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.344500
Not Rated by A.M. Best49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%Not Rated by A. M. Best0.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.3445000.4903000.4714000.4533000.4359000.4191000.4030000.3875000.3726000.3583000.344500
*Includes reinsurance recoverables on paid loss & LAE, known case loss & LAE reserves, IBNR loss & LAE reserves, and unearned premium.
Exhibit 5
Reinsurance Recoverables Credit Risk Factors - VaR 99
Best's ICR
Best's ICR of ReinsurerFSRYear 1Year 2Year 3Year 4Year 5Year 6Year 7Year 8Year 9Year 10
aaaA++1.2%1.4%1.5%1.6%1.7%1.8%1.9%1.9%2.0%2.1%
aa+A++1.5%1.7%1.8%2.0%2.1%2.3%2.4%2.5%2.7%2.8%
aaA+1.7%1.9%2.2%2.3%2.5%2.7%2.9%3.1%3.3%3.4%
aa-A+2.0%2.2%2.5%2.7%2.9%3.2%3.5%3.7%3.9%4.1%
a+A2.2%2.5%2.8%3.1%3.4%3.7%4.0%4.3%4.6%4.8%
aA2.5%3.0%3.4%3.8%4.2%4.5%4.8%5.1%5.3%5.5%
a-A-2.9%3.5%4.1%4.6%5.0%5.5%5.9%6.3%6.6%6.9%
bbb+B++3.9%4.7%5.4%6.1%6.7%7.4%8.1%8.6%9.2%9.7%
bbbB++4.9%5.9%6.8%7.6%8.4%9.4%10.2%11.0%11.8%12.4%
bbb-B+5.9%7.3%8.6%9.8%10.9%11.9%12.9%13.7%14.5%15.2%
bb+B8.8%10.4%11.8%13.1%14.3%15.3%16.3%17.1%17.9%18.6%
bbB11.8%13.4%15.0%16.3%17.6%18.7%19.7%20.6%21.4%22.1%
bb-B-14.7%16.5%18.1%19.6%21.0%21.8%22.5%23.1%23.6%24.1%
b+C++17.7%19.1%20.4%21.6%22.6%23.4%24.0%24.6%25.1%25.5%
bC++20.6%21.7%22.7%23.5%24.3%25.0%25.6%26.1%26.5%26.9%
b-C+22.6%23.6%24.5%25.3%26.0%26.6%27.1%27.6%27.9%28.3%
ccc+ and Lower49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
Not Rated by A.M. Best49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
*Includes reinsurance recoverables on paid loss & LAE, known case loss & LAE reserves, IBNR loss & LAE reserves, and unearned premium.
Exhibit 5
Reinsurance Recoverables Credit Risk Factors - VaR 99.5
Best's ICR
Best's ICR of ReinsurerFSRYear 1Year 2Year 3Year 4Year 5Year 6Year 7Year 8Year 9Year 10
aaaA++1.7%1.9%2.0%2.2%2.3%2.4%2.5%2.6%2.7%2.8%
aa+A++2.0%2.2%2.4%2.6%2.7%2.9%3.1%3.2%3.3%3.4%
aaA+2.2%2.5%2.7%3.0%3.1%3.4%3.6%3.8%4.0%4.1%
aa-A+2.5%2.8%3.2%3.5%3.8%4.0%4.3%4.5%4.7%4.8%
a+A2.9%3.4%3.9%4.3%4.6%4.9%5.2%5.4%5.7%5.9%
aA3.4%4.0%4.5%5.0%5.5%5.8%6.1%6.4%6.7%6.9%
a-A-3.9%4.7%5.4%6.1%6.7%7.1%7.4%7.8%8.0%8.3%
bbb+B++4.9%5.9%6.8%7.6%8.4%9.0%9.6%10.1%10.6%11.0%
bbbB++5.9%7.1%8.2%9.2%10.1%11.0%11.8%12.5%13.2%13.8%
bbb-B+7.8%9.2%10.4%11.6%12.6%13.5%14.4%15.2%15.9%16.5%
bb+B10.8%12.3%13.6%14.8%15.9%16.9%17.8%18.6%19.4%20.0%
bbB13.7%15.3%16.8%18.1%19.3%20.3%21.2%22.1%22.8%23.4%
bb-B-16.7%18.4%20.0%21.4%22.6%23.4%24.0%24.6%25.1%25.5%
b+C++19.6%21.0%22.2%23.3%24.3%25.0%25.6%26.1%26.5%26.9%
bC++22.6%23.6%24.5%25.3%26.0%26.6%27.1%27.6%27.9%28.3%
b-C+24.5%25.5%26.3%27.0%27.7%28.2%28.7%29.1%29.4%29.6%
ccc+ and Lower49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
Not Rated by A.M. Best49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
*Includes reinsurance recoverables on paid loss & LAE, known case loss & LAE reserves, IBNR loss & LAE reserves, and unearned premium.
Exhibit 5
Reinsurance Recoverables Credit Risk Factors - VaR 99.6
Best's ICR
Best's ICR of ReinsurerFSRYear 1Year 2Year 3Year 4Year 5Year 6Year 7Year 8Year 9Year 10
aaaA++1.8%2.0%2.2%2.3%2.5%2.6%2.7%2.8%2.9%2.9%
aa+A++2.1%2.3%2.5%2.7%2.9%3.1%3.2%3.4%3.5%3.6%
aaA+2.4%2.7%2.9%3.1%3.3%3.6%3.8%4.0%4.2%4.3%
aa-A+2.7%3.1%3.4%3.7%4.0%4.2%4.5%4.7%4.8%5.0%
a+A3.2%3.7%4.1%4.5%4.8%5.1%5.4%5.7%5.9%6.1%
aA3.7%4.3%4.8%5.3%5.8%6.1%6.5%6.7%7.0%7.2%
a-A-4.3%5.1%5.8%6.5%7.1%7.5%7.8%8.1%8.4%8.6%
bbb+B++5.3%6.3%7.2%8.0%8.8%9.4%10.0%10.5%11.0%11.4%
bbbB++6.4%7.5%8.6%9.6%10.5%11.4%12.2%12.9%13.5%14.1%
bbb-B+8.3%9.7%10.9%12.0%13.0%13.9%14.8%15.6%16.3%16.9%
bb+B11.3%12.7%14.1%15.3%16.3%17.3%18.2%19.0%19.7%20.3%
bbB14.2%15.8%17.2%18.5%19.7%20.7%21.6%22.4%23.1%23.8%
bb-B-17.2%18.9%20.4%21.8%23.1%23.8%24.4%25.0%25.4%25.8%
b+C++20.1%21.5%22.7%23.8%24.7%25.4%26.0%26.5%26.9%27.2%
bC++23.0%24.0%24.9%25.7%26.4%27.0%27.5%27.9%28.3%28.6%
b-C+25.0%25.9%26.7%27.5%28.1%28.6%29.1%29.4%29.7%30.0%
ccc+ and Lower49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
Not Rated by A.M. Best49.0%47.1%45.3%43.6%41.9%40.3%38.8%37.3%35.8%34.5%
*Includes reinsurance recoverables on paid loss & LAE, known case loss & LAE reserves, IBNR loss & LAE reserves, and unearned premium.
C.10_Sample Credit Risk Calc
Credit Risk (B4) Example
($ Thousands)
Credit Risk Capital FactorsRequired Capital Amount for Credit Risk
(1)(2)(3)(4)(5)(6)(7)(8)(9)(10)(11)(12)
Increase(4) * (5)(4) * (6)(4) * (7)(4) * (8)
ForAdjusted
StatementReserveOtherAmount
Receivable Balances:ValueDeficiencyAdjustments(1)+(2)+(3)VaR 95VaR 99VaR 99.5VaR 99.6VaR 95VaR 99VaR 99.5VaR 99.6
Gross Agents' Balance (1)90,000-090,0005.05.05.05.04,5004,5004,5004,500
Reinsurance Recoverables:
Affiliated10,000422010,4223.45.06.77.5354521698782
Less: Funds Held2,000002,0003.45.06.77.568100134150
Less: LOCs & Trusts (2)3,000003,0003.14.56.06.893135180204
Unaffiliated150,0006,3240156,3243.45.06.77.55,3157,81610,47411,724
Less: Funds Held30,0000030,0003.45.06.77.51,0201,5002,0102,250
Less: LOCs & Trusts (2)20,0000020,0003.14.56.06.86209001,2001,360
Net Reinsurance Recoverables105,0006,7460111,7463.55.16.87.63,8685,7027,6488,542
All Other Receivables (1)1,809-01,8094.54.54.54.581818181
Company Totals196,8096,7460203,5554.25.16.06.48,44910,28312,22913,123
Required Capital Amount for Reinsurance DependenceTotal Required Capital Amount
(13)(14)(15)(16)(17)(18)(19)(20)(21)(22)(23)(24)
SelectedMinimum
IndicatedAdjustment toReinsuranceRequired
ReinsuranceReinsuranceDependenceCapital for
DependenceDependenceFactorVaR 95VaR 99VaR 99.5VaR 99.6ReinsuranceVaR 95VaR 99VaR 99.5VaR 99.6
Receivable Balances:FactorFactor(13) + (14)(9)*[(15) - 1.0](10)*[(15) - 1.0](11)*[(15) - 1.0](12)*[(15) - 1.0]Dependance(9)+Max((16),(20))(10)+Max((17),(20))(11)+Max((18),(20))(12)+Max((19),(20))
Gross Agents' Balance (1)---000004,5004,5004,5004,500
Reinsurance Recoverables:
Affiliated1.0000.0001.00000000354521698782
Less: Funds Held1.0000.0001.0000000068100134150
Less: LOCs & Trusts (2)1.0000.0001.0000000093135180204
Unaffiliated1.2000.0001.2001,0631,5632,0952,3451,5636,8789,37912,56914,069
Less: Funds Held1.1500.0001.15015322530233801,0201,5002,3122,588
Less: LOCs & Trusts (2)1.1500.0001.1509313518020406209001,3801,564
Net Reinsurance Recoverables8171,2031,6131,8031,5635,4317,2659,26110,345
All Other Receivables (1)---0000081818181
(B4) Total Credit Risk Required Capital Amount:
Company Totals---8171,2031,6131,8031,56310,01211,84613,84214,926
Notes:
(1) Reflects a blended capital factor because of multiple categories that that were collapsed for presentation.
(2) Credit for acceptable letters of credit & trusts. Analysis performed by reinsurer and credit cannot exceed amount of uncollateralized recoverable.
Risk charge for acceptable letters of credit and trusts capped a 90% of the risk factor charged to the corresponding recoverables.
C.11_Sample Reserve Risk Calc
Exhibit 15
Loss & Loss Adjustment Expense Reserve Risk (B5)
($ Thousands)
(1)(2)(3)(4)(5)(6)(7)(8)(9)
Carried Net Loss and LAE Reserves
StatementAllocatedManualAdjustedDeficiencyDiscountAdjusted FactorAdjusted Reserves
Schedule P Line%$AmountAdjustmentAdjustment(2) + (3) + (4)FactorFactor(6) * (7)(5) * (8)
Homeowners/Farmowners1.76,000006,0001.000.9420.9425,652
Personal Auto Liability5.520,0000020,0001.000.9410.94118,813
Commercial Auto Liability5.219,0000019,0001.050.9300.97718,556
Workers Compensation11.040,0000040,0001.150.8240.94737,886
Commercial Multiperil4.115,0000015,0001.100.9050.99514,927
Medical Prof Liab - Occurrence5.018,0000018,0001.000.8820.88215,873
Medical Prof Liab - Claims Made6.122,0000022,0001.000.9110.91120,039
Special Liability3.312,0000012,0001.000.9140.91410,969
Other Liability - Occurrence9.133,0000033,0001.100.8560.94231,071
Other Liability - Claims Made7.728,0000028,0001.100.8910.98027,449
Products Liability - Occurrence3.613,0000013,0001.100.8320.91511,900
Products Liability - Claims Made4.416,0000016,0001.100.8750.96315,406
Property2.59,000009,0001.000.9530.9538,581
Auto Physical Damage1.76,000006,0001.000.9790.9795,871
Fidelity & Surety / Guaranty2.28,000008,0001.000.9250.9257,398
Other1.97,000007,0001.000.9520.9526,663
International3.011,0000011,0001.000.9440.94410,381
Reinsurance A3.312,0000012,0001.000.9230.92311,074
Reinsurance B8.029,0000029,0001.100.8430.92726,882
Reinsurance C1.76,000006,0001.000.9140.9145,482
Warranty1.97,000007,0001.000.9760.9766,833
Long Duration Contract UPR6.925,0000025,0001.001.0001.00025,000
Total100.0362,00000362,0001.060.8960.947342,709
Capital FactorsRequired Capital Amount
(10)(11)(12)(13)(15)(16)(17)(18)
(9) * (10)(9) * (11)(9) * (12)(9) * (13)
Schedule P LineVaR 95VaR 99VaR 99.5VaR 99.6VaR 95VaR 99VaR 99.5VaR 99.6
Homeowners/Farmowners0.2420.3640.4120.4261,3682,0572,3292,408
Personal Auto Liability0.1690.2500.2810.2913,1794,7035,2865,475
Commercial Auto Liability0.1940.2890.3260.3383,6005,3636,0496,272
Workers Compensation0.2230.3340.3770.3908,44812,65414,28314,775
Commercial Multiperil0.2390.3600.4060.4223,5685,3746,0606,299
Medical Prof Liab - Occurrence0.2990.4560.5200.5404,7467,2388,2548,571
Medical Prof Liab - Claims Made0.2510.3810.4320.4485,0307,6358,6578,978
Special Liability0.2000.2990.3380.3502,1943,2803,7083,839
Other Liability - Occurrence0.2830.4300.4870.5078,79313,36115,13215,753
Other Liability - Claims Made0.2880.4380.4970.5167,90512,02313,64214,164
Products Liability - Occurrence0.3650.5580.6340.6584,3446,6407,5457,830
Products Liability - Claims Made0.2890.4410.5010.5194,4526,7947,7187,996
Property0.2430.3660.4150.4302,0853,1413,5613,690
Auto Physical Damage0.1880.2790.3140.3251,1041,6381,8441,908
Fidelity & Surety / Guaranty0.2520.3810.4330.4481,8642,8193,2043,315
Other0.2060.3070.3460.3591,3732,0462,3062,392
International0.2390.3590.4060.4222,4813,7274,2154,381
Reinsurance A0.2560.3870.4400.4562,8354,2864,8735,050
Reinsurance B0.3320.5080.5770.5998,92513,65615,51116,102
Reinsurance C0.2740.4170.4740.4911,5022,2862,5992,692
Warranty0.1880.2790.3140.3261,2851,9072,1462,228
Long Duration Contract UPR0.1700.2500.2900.3004,2506,2507,2507,500
Total0.2490.3760.4270.44285,331128,878146,172151,618
Diversification Factor:x0.780.780.780.780.85
Growth Factor:x1.051.051.051.051.05
(B5) Reserve Risk Required Capital Amount:=69,886105,551119,715124,175164,564
C.12_Reserve Correlation Matrix
LARGE
Exhibit 6HOPALCALWCCMPMPLOCCMPLCMSPECLIABOLOCCOLCMPRODOCCPRODCMPROPPHYSFSFGMGOTHERINTLREINAREINBREINCWTY
Industry Reserve Development Correlation MatrixHO10.5976340.4651970.2295770.5876960.274740.2785150.6102130.2107880.2312650.2610210.2476350.6186210.4610300.2233300.6145020.2283830.2346620
PAL0.59763410.8050870.7090540.8286380.7755750.7676960.783260.6937660.7234730.7372890.4476350.7486330.7402550000.4255810.7411280.455960
MPLMPLSPECOLOLPRODPRODPHYSCAL0.4651970.80508710.6652140.8940940.8538820.8905540.8958940.6600930.6685180.8631270.2411080.7675610.7562250000.4712910.7141160.4766870
HOPALCALWCCMPMPLOCCMPLCMSPECLIABOLOCCOLCMPRODOCCPRODCMPROPPHYSDAMF&SOTHERINTLREIN AREIN BREIN CWTYWC0.2295770.7090540.66521410.8116280.8024070.8038590.6072380.8645360.889150.8149080.4607560.6532010.6710070.445969000.0647020.8314850.4358260
HO1.000.610.470.230.600.280.280.620.220.240.270.250.630.470.000.230.000.630.230.240.00CMP0.5876960.8286380.8940940.81162810.8476920.8458660.8396820.7529690.7900240.8218450.4505090.8227750.7316380.253813000.4484190.7942550.4641970
PAL0.611.000.820.720.850.790.780.800.710.740.750.460.760.760.000.000.000.430.760.470.00MPLOCC0.274740.7755750.8538820.8024070.84769210.9309740.7707280.7989380.7926610.8634040.2449960.7763170.7263460.249306000.4158920.8009360.4797510
CAL0.470.821.000.680.910.870.910.910.670.680.880.250.780.770.000.000.000.480.730.490.00MPLCM0.2785150.7676960.8905540.8038590.8458660.93097410.8085810.7904470.7477520.8667730.242810.773720.7292890.243629000.41790.8064330.4765290
WC0.230.720.681.000.830.820.820.620.880.910.830.470.670.680.460.000.000.070.850.440.00SPECLIAB0.6102130.783260.8958940.6072380.8396820.7707280.80858110.5019340.4862710.7686080.2452770.8128980.7387740000.6342440.6056180.4883820
CMP0.600.850.910.831.000.860.860.860.770.810.840.460.840.750.260.000.000.460.810.470.00OLOCC0.2107880.6937660.6600930.8645360.7529690.7989380.7904470.50193410.9124070.8197840.2511750.6758730.6614570.4525270000.8158470.2393510
MPL-OCC0.280.790.870.820.861.000.950.790.820.810.880.250.790.740.250.000.000.420.820.490.00OLCM0.2312650.7234730.6685180.889150.7900240.7926610.7477520.4862710.91240710.7622310.4894670.6340790.6806640.4674280000.8277770.2429570
MPL-CM0.280.780.910.820.860.951.000.830.810.760.880.250.790.740.250.000.000.430.820.490.00PRODOCC0.2610210.7372890.8631270.8149080.8218450.8634040.8667730.7686080.8197840.76223110.2389830.7372650.7510990.239326000.2426560.7943060.4621210
SPEC LIAB0.620.800.910.620.860.790.831.000.510.500.780.250.830.750.000.000.000.650.620.500.00PRODCM0.2476350.4476350.2411080.4607560.4505090.2449960.242810.2452770.2511750.4894670.23898310.2278950.2408610.2356440000.45982100
OL-OCC0.220.710.670.880.770.820.810.511.000.930.840.260.690.670.460.000.000.000.830.240.00PROP0.6186210.7486330.7675610.6532010.8227750.7763170.773720.8128980.6758730.6340790.7372650.22789510.8218820.228816000.5595550.5101040.257150
OL-CM0.240.740.680.910.810.810.760.500.931.000.780.500.650.690.480.000.000.000.840.250.00PHYS0.461030.7402550.7562250.6710070.7316380.7263460.7292890.7387740.6614570.6806640.7510990.2408610.82188210.208362000.2636090.4936560.2357530
PROD-OCC0.270.750.880.830.840.880.880.780.840.781.000.240.750.770.240.000.000.250.810.470.00FSFGMG0000.4459690.2538130.2493060.24362900.4525270.4674280.2393260.2356440.2288160.20836210000.42204500
PROD-CM0.250.460.250.470.460.250.250.250.260.500.241.000.230.250.240.000.000.000.470.000.00OTHER0.2233300000000000000100000
PROP0.630.760.780.670.840.790.790.830.690.650.750.231.000.840.230.000.000.570.520.260.00INTL000000000000000010000
PHYS DAM0.470.760.770.680.750.740.740.750.670.690.770.250.841.000.210.000.000.270.500.240.00REINA0.6145020.4255810.4712910.0647020.4484190.4158920.41790.634244000.24265600.5595550.26360900010.2111610.4414230
FID & SURETY0.000.000.000.460.260.250.250.000.460.480.240.240.230.211.000.000.000.000.430.000.00REINB0.2283830.7411280.7141160.8314850.7942550.8009360.8064330.6056180.8158470.8277770.7943060.4598210.5101040.4936560.422045000.21116110.4732910
OTHER0.230.000.000.000.000.000.000.000.000.000.000.000.000.000.001.000.000.000.000.000.00REINC0.2346620.455960.4766870.4358260.4641970.4797510.4765290.4883820.2393510.2429570.46212100.257150.2357530000.4414230.47329110
INTL0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.001.000.000.000.000.00WTY000000000000000000001
REIN A0.630.430.480.070.460.420.430.650.000.000.250.000.570.270.000.000.001.000.220.450.00
REIN B0.230.760.730.850.810.820.820.620.830.840.810.470.520.500.430.000.000.221.000.480.00
REIN C0.240.470.490.440.470.490.490.500.240.250.470.000.260.240.000.000.000.450.481.000.00MEDIUM
WTY0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.001.00HOPALCALWCCMPMPLOCCMPLCMSPECLIABOLOCCOLCMPRODOCCPRODCMPROPPHYSFSFGMGOTHERINTLREINAREINBREINCWTY
HO10.5925230.45950.2263990.5840350.2673520.2709280.6041220.2088730.2278790.25480.2425240.6120320.45425300.22050200.607450.2257530.230830
PAL0.59252310.7936920.7004750.8140890.7650430.7585760.7734910.6883040.7154490.7268230.442290.7402060.7323440000.4216430.7365390.4499160
CAL0.45950.79369210.6544470.886820.8403730.8832170.8868170.6504160.6642450.8535960.2364720.7578690.7464520000.4657930.7074290.4693660
WC0.2263990.7004750.65444710.8025630.7925660.7957520.6038950.8555870.8786420.8018540.4545010.6486180.6595610.440256000.0597730.8220710.4316850
CMP0.5840350.8140890.886820.80256310.8394810.8357030.8284620.7477710.7778630.8100650.4459740.8126950.7212940.249272000.4424650.7856240.4580850
MPLOCC0.2673520.7650430.8403730.7925660.83948110.9146670.7611650.7892440.7822430.848980.2398120.7657560.7165030.24385000.4127820.7921480.4710620
MPLCM0.2709280.7585760.8832170.7957520.8357030.91466710.7985160.7834630.7350560.8505860.238760.7651760.7192450.239751000.4143090.7978080.4687760
SPECLIAB0.6041220.7734910.8868170.6038950.8284620.7611650.79851610.4913420.4765550.759240.2401820.8033780.7284820000.6264840.6010860.4786840
OLOCC0.2088730.6883040.6504160.8555870.7477710.7892440.7834630.49134210.8988520.8108720.2450060.6701170.6515810.4463360000.8098250.2342120
OLCM0.2278790.7154490.6642450.8786420.7778630.7822430.7350560.4765550.89885210.748760.4808650.6272850.6683250.4612910000.8173630.2385490
PRODOCC0.25480.7268230.8535960.8018540.8100650.848980.8505860.759240.8108720.7487610.2353780.7306820.7389390.235577000.2380370.7856780.4555630
PRODCM0.2425240.442290.2364720.4545010.4459740.2398120.238760.2401820.2450060.4808650.23537810.2245040.236650.2314420000.45356400
PROP0.6120320.7402060.7578690.6486180.8126950.7657560.7651760.8033780.6701170.6272850.7306820.22450410.809840.225396000.5564350.4994310.2515250
PHYS0.4542530.7323440.7464520.6595610.7212940.7165030.7192450.7284820.6515810.6683250.7389390.236650.8098410.206919000.2572890.4836510.2317980
FSFGMG0000.4402560.2492720.243850.23975100.4463360.4612910.2355770.2314420.2253960.20691910000.4188200
OTHER0.22050200000000000000100000
INTL000000000000000010000
REINA0.607450.4216430.4657930.0597730.4424650.4127820.4143090.626484000.23803700.5564350.25728900010.2086850.4360660
REINB0.2257530.7365390.7074290.8220710.7856240.7921480.7978080.6010860.8098250.8173630.7856780.4535640.4994310.4836510.41882000.20868510.46590
REINC0.230830.4499160.4693660.4316850.4580850.4710620.4687760.4786840.2342120.2385490.45556300.2515250.2317980000.4360660.465910
WTY000000000000000000001
SMALL
HOPALCALWCCMPMPLOCCMPLCMSPECLIABOLOCCOLCMPRODOCCPRODCMPROPPHYSFSFGMGOTHERINTLREINAREINBREINCWTY
HO10.5846720.4482910.2213980.5778960.2559910.2591360.5946590.2058560.2223730.2452460.2347250.6016810.44396500.21622600.5966350.2217370.2250080
PAL0.58467210.7728230.6871820.7904950.7488750.7433140.7581130.6798280.7011920.7100550.434220.7271710.720240000.4155160.7295140.4407540
CAL0.4482910.77282310.6373410.8647880.8176380.8609640.8651760.6346050.6463710.8299920.229660.7414820.7269860000.4540090.6939590.4564430
WC0.2213980.6871820.63734110.7858220.7776680.7804220.5975370.8419320.8582050.7798280.4451790.6418530.6416150.431837000.0519120.8073660.4253550
CMP0.5778960.7904950.8647880.78582210.8244930.8205690.8113180.7373980.7599170.7924130.4378820.7947010.7050510.241183000.4332810.7712230.4480340
MPLOCC0.2559910.7488750.8176380.7776680.82449310.8871910.7454690.7745420.7628710.8252910.2322160.7497670.7012110.235913000.4076830.7786010.4579020
MPLCM0.2591360.7433140.8609640.7804220.8205690.88719110.7831830.7702570.7164750.8262250.2316440.7495740.7034340.232658000.4087810.7833560.4562130
SPECLIAB0.5946590.7581130.8651760.5975370.8113180.7454690.78318310.4741420.4622340.7451720.2320090.7875640.7127560000.6146190.5938120.4636930
OLOCC0.2058560.6798280.6346050.8419320.7373980.7745420.7702570.47414210.8741870.7954520.2359090.6615220.636180.4371570000.8003950.2264770
OLCM0.2223730.7011920.6463710.8582050.7599170.7628710.7164750.4622340.87418710.7286670.4659130.6137020.6486720.4497410000.7993420.2310550
PRODOCC0.2452460.7100550.8299920.7798280.7924130.8252910.8262250.7451720.7954520.72866710.2292340.7188640.7202320.229019000.231180.7717560.4451350
PRODCM0.2347250.434220.229660.4451790.4378820.2322160.2316440.2320090.2359090.4659130.22923410.2196440.2301820.2253010000.44408600
PROP0.6016810.7271710.7414820.6418530.7947010.7497670.7495740.7875640.6615220.6137020.7188640.21964410.7910540.220559000.5511770.4830010.2430440
PHYS0.4439650.720240.7269860.6416150.7050510.7012110.7034340.7127560.636180.6486720.7202320.2301820.79105410.204595000.2477040.4683720.2258060
FSFGMG0000.4318370.2411830.2359130.23265800.4371570.4497410.2290190.2253010.2205590.20459510000.41393200
OTHER0.21622600000000000