C-3 Phase II Market Risk requirements were adopted at the 6/11/2005 meeting of the Life Risk-Based Capital Working Group for year-end 2005 Life RBC. The NAIC Joint Executive (EX) Committee/Plenary adopted the proposal at their October 14, 2005 conference call.
1. Current Life RBC Instructions
2. June 2005 American Academy of Actuaries (AAA) Report - Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Annuities and Similar Products. [ PDF ]
3. Additional Guidance to Instructions:
a. Initial C-3 Phase II Results Subgroup Report [ PDF ]
4. Alternative Methodology Factors
a. Alternative Methodology Factor Instructions [ PDF ]
b. Alternative Methodology Setup Files [ Zip ]
c. Alternative Methodology Factors [ Zip ]
5. Pre-Packaged Asset Scenarios
The modeling requirement of C-3 Phase II can be completed using pre-packaged scenarios provided by the AAA. However, please keep in mind that use of the pre-packaged scenarios is not mandatory and companies can also use their own models to complete the modeling requirement specified by the RBC instructions.
a. Pre-Packaged Scenarios Instructions [ PDF ]
b. Pre-Packaged Scenarios Setup Files [ Zip ]
c. Scenario Picking Tool [ Zip ]
d. Pre-packaged scenarios in these asset classes/fund names, in zipped files:
1. Money market [ Zip ]
2. 3-month U.S. Treasury yields [ Zip ]
3. 6-month U.S. Treasury yields [ Zip ]
4. 1-year U.S. Treasury yields [ Zip ]
5. 2-year U.S. Treasury yields [ Zip ]
6. 3-year U.S. Treasury yields [ Zip ]
7. 5-year U.S. Treasury yields [ Zip ]
8. 7-year U.S. Treasury yields [ Zip ]
9. 10-year U.S. Treasury yields [ Zip ]
10. 20-year U.S. Treasury yields [ Zip ]
11. 30-year U.S. Treasury yields [ Zip ]
12. U.S. intermediate-term government bonds [ Zip ]
13. U.S. long-term corporate bonds [ Zip ]
14. Diversified fixed income [ Zip ]
15. Diversified balanced allocation [ Zip ]
16. Diversified large cap U.S. equity [ Zip ]
17. Diversified international equity [ Zip ]
18. Intermediate risk equity [ Zip ]
19. Aggressive or specialized equity [ Zip ]
6. C-3 Phase II Questions:
a. Procedure for submitting C-3 Phase II questions. [ Word ]
b. C-3 Phase II questions currently received with subgroup answers. (Updated 1/30/2006) [ Word ](Due to changes in the RBC calculation, some line numbers and other references in this document are outdated, but the information is still valid. If you have questions about this document contact Dan Swanson at dswanson@naic.org.)
7. Enhanced C-3 Phase I Interest Rate Generator [Excel]