Instructions for completion of Form 48
1. Line 11.1 + 21.1 must equal 13.11.1.
Line 12.1 + 22.1 must equal 13.45.1 + the relevant part of 13.84.1.
Line 13.1 + 23.1 must equal 13.46.1 + the relevant part of 13.84.1.
Line 14.1 + 24.1 must equal 13.47.1 + 13.48.1 + the relevant part of 13.84.1.
Line 15.1 + 25.1 must equal the relevant part of 13.41.1.
Line 16.1 + 26.1 must equal the relevant part of 13.41.1
Line 17.1 + 27.1 must equal the relevant part of 13.41.1 + 13.21.1 + 13.23.1 + 13.25.1 + 13.27.1.
Line 19.1 must equal line 19.2
Line 29.1 must equal line 29.2
Line 19.1 + 29.1 must equal Form 13.89.1 – 13.58.1 – 13.59.1.
2. Collective investment schemes (in line 13.43) and collective investment pools (in line 13.49) must be allocated in column 1 to line 18 or 28. In column 2 they must be allocated according to the underlying assets, but holdings of a type of asset within a collective investment scheme or pool of less than 5% of the assets for that collective investment scheme or pool may be grouped with the main type of underlying asset for that collective investment scheme or pool. An amount of collective investment scheme and collective investment pool assets not exceeding 1% of the total non-linked assets may be reallocated from column 1 to column 2 based on the stated investment objective instead of the actual underlying assets at the valuation date. Any gearing will reduce the amounts shown in “other assets” (which may therefore be negative in column 2).
3. Equity shares (lines 21, 23, 25 and 27 of Form 13) must be allocated in column 2 to lines 11, 15, 16, 21, 25 or 26 as appropriate if the undertaking is principally a holding company for equity shares or property. An amount of unlisted equity shares not exceeding 1% of the total non-linked assets may be reallocated from column 1 to column 2 based on the stated investment objective instead of the actual underlying assets at the valuation date.
4. Where there is an obligation to purchase any of the underlying assets or they are ‘in the money’ at the relevant date, derivative contracts must be allocated in column 2 as if the underlying asset had been purchased on the relevant date. Any assumed purchase of assets in respect of ‘in the money’ derivatives will reduce the amounts shown as “other assets” (which may therefore be negative in column 2).
5. For a with-profits fund the assets backing the non-profit business must equal the amount of the nonprofit mathematical reserves (lines 42, 45 and 47 of Form 50), plus the relevant part of the long- term insurance capital requirement and resilience capital requirement if these are backed by assets in that fund). The remaining assets must be treated as backing the with-profits business. For a fund without with-profits business all assets are to be included in lines 11-19. Allocation of assets to backmathematical reserves in the base scenario between lines 11-19 and 21-29 does not prevent switches between these lines for the purposes of the market risk scenario used in calculating the resilience capital requirement.
6. Where part of the with-profits business is with respect to business which falls within paragraph (1)(b) of the definition of with-profits fund and that part represents more than 10% of the total with-profitsmathematical reserves, the insurer must set out in a supplementary note (code 4801):
(a) where the insurer’s ‘asset share’ philosophy for the block of business assumes a variation of asset mix by duration of policy, the brand names of the bonus series in the block of business; and
(b) where the insurer’s ‘asset share’ philosophy for the block of business assumes an asset mix which is 5% more or less for any of the asset categories in lines 21 to 28 than the asset mix derived from lines 21 to 29 of column 2, the brand names of the bonus series in, and the asset mix for, the block of business.
7. The expected income in column 3 must be the amounts before deduction of tax which would be received in the next financial year on the assumption that the assets will be held throughout the year and that the factors which affect income will remain unchanged, but account must be taken of any changes in those factors known to have occurred by the relevant date (in particular changes of the type (1), (2), (3), (4), (5) and (6) in INSPRU 3.1.33R). The expected income shown in this Form must be that determined before any adjustments considered necessary because of rule INSPRU 3.1.41R andINSPRU 3.1.44R.
8. Where a particular asset is required to be taken into account only to a specified extent by the application of the admissibility limits, the expected income from that asset must be included only to the same extent.
9. The treatment of the expected income from any asset where the payment of interest is in default and the amount of interest involved must be stated in a supplementary note (code 4802).
10. The gross redemption yield in column 4 for fixed and variable interest securities must be calculated as in INSPRU 3.1.34R(2) before any allowance for tax required by INSPRU 3.1.29R, leaving out of account any adjustment considered necessary because of INSPRU 3.1.41R and INSPRU 3.1.46R. Where a number of assets with different gross redemption yields are held, the weighted average gross redemption yield must be calculated using as weights the value of the asset applicable for entry into column 2. Where securities may be redeemed over a period at the option of the guarantor or the issuer, the yield must be determined on the assumption that they will be redeemed at the date implied by the market valuation. If these securities represent more than 1% of fixed and variable interest assets (Form 49 line 61) a supplementary note (code 4803) must be provided explaining how the assumed redemption date was determined and stating the value of these assets. Subject to paragraphs 13 and 14, the yields to be inserted in column 4 for other categories of asset must be the running yields determined in accordance with INSPRU 3.1.33R to INSPRU 3.1.34R before any allowance for tax required by INSPRU3.1.29R. The entries at 48.19.4 and 48.29.4 must be the weighted average of the yields in column 4, where the weight given to each asset is the value of that asset applicable for entry into column 2. Assets not producing income must be included in the calculation.
11. Where the yield in column 4 for a type of asset shown at line 18 or 28 is significantly different from the weighted average of the yields for each asset of that type determined in accordance with INSPRU3.1.34R(2) before any allowance for tax required by INSPRU 3.1.29R, then the latter yield figure must be shown in a supplementary note (code 4804). For this purpose, the weighted average of the yields means an average yield weighted by the value of each asset of that type as entered in column 2.
12. Where an entry at 13.87.1 has resulted from excess exposure to a counterparty or excess concentration with a number of counterparties, the aggregate value of the assets of the insurer giving rise to exposure to such counterparties must be stated in a supplementary note (code 4805), together with the expected income from those assets.
13. To the extent that INSPRU 3.1.34R(2) has not been, or would otherwise not be required to be, applied to calculate the yield on equity shares or holdings in collective investment schemes, that rule may be ignored (in which case INSPRU 3.1.33R and INSPRU 3.1.34R(1) will apply, before any allowance for tax required by INSPRU 3.1.29R) for an amount up to the higher of £5 million or 5% of the value of equity shares and holdings in collective investment schemes required to be reported in Form 48.
14. To the extent that a yield greater than zero on equity shares or holdings in collective investment schemes is not needed for the purpose of determining rates of interest under INSPRU 3.1.28R, INSPRU3.1.33R and INSPRU 3.1.34R may be ignored for an amount of up to 1% of the value of equity sharesand holdings in collective investment schemes required to be reported in Form 48, and the relevant yield will be taken as zero.
15. Firms must state in a supplementary note (code 4806) which assets have been used to calculate the investment returns shown in lines 21-29 column 5. If the firm identifies a portfolio of assets to back asset shares the returns must be based on these assets. If there are several asset share portfolios the return must be based on the largest. The assets used to calculate the investment returns in column 5 will not necessarily be the same as those assets in columns 1 and 2. The returns in lines 21-29 are before allowance for tax and investment costs, as is the return disclosed in Appendix 9.4A paragraph 4(7).
16. Column 5 must be expressed as a percentage.