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. So, the C-3 Phase II Market Risk requirements will go into effect for year-end 2005 life RBC.
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 ]
7. Enhanced C-3 Phase I Interest Rate Generator [Excel]