Supplemental IE Report RSAI Sun & Marine - Royal and Sun Alliance

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Milliman Client Report Table 4.3 Simplified Balance Sheets for Marine as at 30 June 2011 £m Pre-transfers Post-transfers (before RI) Post-transfers (after RI) Assets Investments 72 157 152 Reinsurers' share of technical provisions 125 188 281 Debtors 35 43 43 Other Assets 3 3 2 Liabilities 235 391 478 Capital & Reserves 90 95 90 Technical provisions 142 283 283 Creditors 3 13 13 Other liabilities 0 0 0 Funds withheld premium to RSAI 92 Table 4.4 Simplified Balance Sheets for Sun as at 30 June 2011 235 391 478 £m Pre-transfers Post-transfers (before RI) Post-transfers (after RI) Assets Investments 372 400 400 Reinsurers' share of technical provisions 43 47 493 Debtors 121 127 127 Other Assets 119 131 83 Liabilities 655 704 1,102 Capital & Reserves 91 116 95 Technical provisions 473 494 494 Creditors 70 72 72 Other liabilities 22 23 23 Funds withheld premium to RSAI 0 0 419 655 704 1,102 4.14 Under the MIC Scheme and the PAGI (marine business) Scheme, RSAI will transfer assets to Marine equal to the net liabilities transferring plus an uplift to reflect the risk premium for the business being accepted. Based on the balance sheet position as at 30 June 2011 RSAI will transfer assets to the value of £84.2m to Marine. This will be made up of cash and a portfolio of US corporate bonds with durations of less than 2 years and credit rating of typically A or higher. The assets that will transfer to the funds withheld account will consist of cash and the bond portfolio transferred from RSAI, together with assets currently held by Marine to back its existing insurance liabilities. 4.15 Under the Sun Scheme, all assets will be transferred out of National Vulcan and Sea to Sun. Sun will issue shares to National Vulcan and Sea equal in value to the net value of assets transferring to Sun under the Sun Scheme. The assets that will form the funds withheld account will include a portfolio of euro-denominated fixed income securities currently held in Sun, with a market value (as at 30 June 2011) of £299m. The securities making up this portfolio are a mixture of corporate and government bonds, with an average duration of around 2 years and credit rating of mainly A- or higher. The funds withheld account will also be made up of around £52m of debtors, and £68m of cash. Supplemental Report of the Independent Expert 10 November 30, 2011
Milliman Client Report 4.16 The majority of the business transferring to RSAI under the RSAI Scheme is already hived-up to RSAI and therefore no additional assets will transfer to RSAI in relation to these liabilities. The liabilities that will transfer to RSAI that are not currently hived-up to RSAI are mainly in respect of business written in the overseas branches of Royal and Sun Alliance Insurance (Global) Limited and Royal International Insurance Holdings Limited. Under the RSAI Scheme, assets will transfer from these entities to RSAI. Such assets will include those currently backing the transferring liabilities, and will be composed of cash and fixed income securities. 4.17 I am satisfied that the nature of the assets to be transferred under the Schemes (and the PAGI Schemes), and that will form the funds withheld accounts, does not generate any material additional risk to the security of policyholders affected by the Schemes (and the PAGI Schemes). Supplemental Report of the Independent Expert 11 November 30, 2011
Page 1 and 2: Milliman Client Report Supplemental
Page 3 and 4: Milliman Client Report 1. INTRODUCT
Page 5 and 6: Milliman Client Report 2. BUSINESS
Page 7 and 8: Milliman Client Report 3.12 The mot
Page 9: Milliman Client Report 4.7 The RSA
Page 13 and 14: Milliman Client Report 6. POST-TRAN
Page 15 and 16: Milliman Client Report 7. OTHER CON
Page 17 and 18: Milliman Client Report 8. CONCLUSIO
Page 19: Milliman Client Report APPENDIX B.

Supplemental IE Report RSAI Sun & Marine - Royal and Sun Alliance

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