MINISTRY OF FINANCE NATIONAL PRIVATE INSURANCE COUNCIL ... · 1 MINISTRY OF FINANCE NATIONAL...

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MINISTRY OF FINANCE

NATIONAL PRIVATE INSURANCE COUNCIL (CNSP)

CNSP RESOLUTION No. 321 OF 2015.

Addresses technical provisions; assets reducing the technical provision coverage requirement;

underwriting, credit, operational and market risk capital; adjusted net equity; minimum capital

requirement; solvency regularization plan; retention limits; and criteria covering investments,

accounting standards, independent financial and actuarial auditing and the Audit Committee

with regard to insurance companies, open private pension entities, investment firms and

reinsurers.

THE SUPERINTENDENT OF THE PRIVATE INSURANCE AGENCY (SUSEP), in performance of the

duties assigned under Art. 34, sub-item XI of the addendum to Decree nº 60,459 of March 13,

1967, and taking into consideration the provisions of CNSP Proceeding No. 1/2015 and SUSEP

Proceeding No. 15414.000633/2015-18, announces that the NATIONAL PRIVATE INSURANCE

COUNCIL (CNSP), at an OGM held on May 18, 2015 and based on the provisions of Art. 32, sub-

items I, II, III and XI, Art. 84 of Decree No. 73 of November 21, 1966, Articles 3, sub-items III

and V, 37 and 74 of Supplementary Law No. 109 of May 29, 2001, Articles 3, § 1 and 4 of

Decree No. 261 of February 28, 1967, and Supplementary Law No. 126 of January 15, 2007,

DETERMINES:

Art. 1: To address technical provisions; assets reducing the technical provision coverage

requirement; underwriting, credit, operational and market risk capital; adjusted net equity;

minimum capital requirement; solvency regularization plan; retention limits; and criteria

covering investments, accounting standards, independent financial and actuarial auditing and

the Audit Committee with regard to insurance companies, open private pension entities,

investment firms and reinsurers.

Art. 2: For the purposes of this Resolution, consider:

I - supervised bodies: insurance companies, open private pension entities (OPPE), investment

firms and local reinsurers;

Continuation of CNSP Resolution nº 321, of 2015.

II - associated business: an entity, including one not set up in the form of a company, such as a

partnership, over which the investor has significant influence but which is not a subsidiary nor

a stake in a joint venture.

III - significant influence: the ability to participate in the financial and operational decisions of

the investee, without having formal individual or joint control over those policies.

IV - related companies:

a) associated companies, subsidiaries or equivalent;

b) related legal entities having a direct or indirect stake of 10% (ten percent) or more, through

the management and their relatives, up to the 2nd degree, together or individually, in the

capital of the other;

c) related legal entities having a direct or indirect stake of 10% (ten percent) or more, through

the management and their relatives, up to the 2nd degree, together or individually, in the

capital of the other; related legal entities with a direct or indirect stake of 10% (ten percent) or

more, through the controlling members (in the case of non-profit open private pension

entities) or shareholders of one of them, collectively or individually, in the capital or net

equity, as the case may be, in the other;

d) legal entities whose management is, wholly or in part, the same as that of the supervised

body, with the exception of posts in collegial bodies, provided for in the bylaws or internal

regulations, as long as the occupants do not exercise managerial powers;

e) related legal entities operating in the market under the same brand or trade name; and

V – adjusted net equity (ANE): the book value of the net equity or net worth, as appropriate,

adjusted for additions and deductions to determine, more qualitatively and precisely, the

available resources that enable the supervised body to perform its activities in the face of

fluctuations and adverse situations, which must be net of intangibles, assets whose valuation is

highly subjective or are already guaranteeing similar financial activities, as well as other assets

whose nature is considered by the regulatory body to be unsuitable to safeguard its solvency.

VI – the structure in the format contained in this sub-item:

TITLE I: QUANTITATIVE ELEMENTS ............................................................................................. 4

CHAPTER I: Technical Provisions ................................................................................................. 4

Section I: Insurance companies and OPPEs ................................................................................ 4

Section II: Investment firms ................................................................. 5

Section III: Local Resinsurers ……………......................................................................................... 6

Section IV: General Provisions of this Chapter ………………………………………………………………………. 7

CHAPTER II: Assets that reduce the need to cover Technical Provisions ……………..….…............. 7

CHAPTER III: Risk Capital to cover Underwriting, Credit, Operational and Market Risks …….….. 7

Section I: Risk Capital to cover Underwriting Risk …………………………………………………………………. 8

Section II: Risk Capital to cover Credit Risk ………………………….………………………………………………. 11

Section III: Risk Capital to cover Operational Risk ………………………..………………………………………. 11

Section IV: Risk Capital to cover Market Risk ………………………….……………………………………………. 11

CHAPTER IV: Adjusted Net Equity …………………………………………………………..……………………………. 15


CHAPTER V: Minimum Capital Requirement and Solvency Regularization Plan ….................... 16

Section I: Capital Requirements …............................................................................................. 17

Section II: Net Asset linkage …………………………………………………………………………………………………. 17

Section III: Solvency Regularization Plan …................................................................................ 17

TITLE II: QUALITATIVE ELEMENTS ............................................................................................. 19

CHAPTER I: Retention Limits for Insurance companies, OPPEs and Local Reinsurers …………… 19

CHAPTER II: Investment Criteria ............................................................................................... 21

Section I: Insurance companies, OPPEs, Investment firms and Local Reinsurers .………………… 22

Section II: Investment of Resources Required in Brazil to Guarantee an Admitted Reinsurer’s

Obligations ................................................................................................................................ 27

TITLE III: RULES ON TRANSPARENCY AND DISCLOSURE ............................................................ 25

CHAPTER I: Accounting Standards ............................................................................................ 25

CHAPTER II: Independent actuarial auditors ............................................................................ 25

Section I: Minimum Requirements …........................................................................................ 28

Section II: Independence Requirements ……………….…………………………………………………………….. 26

Section III: Responsibility of the Supervised bodies …………………..…………………………………………. 27

Section IV: Periodic changing of the Independent Actuary …………….…………………………………….. 27

Section V: Documents of the Independent Actuarial Audit …………………………………………………… 27

Section VI: Report of the technically responsible Actuary ……………………….……………………………. 32

Section VII: General Provisions of this Chapter …………………………………………………………………….. 33

CHAPTER III: Independent Accounting Auditors ........................................................................ 34

Section I: Independence Requirements of the Accounting Auditors ........................................ 34

Section II: Obligations ………………………………………………………………………………………………………….. 35

Section III: Responsibility of the Supervised bodies …………………..…………………………………………. 35

Section IV: Periodic changing of the Independent Accounting Auditors ………………………………. 36

Section V: Audit Committee …………………………………………………………..……………………………………. 36

Section VI: Applicability of the General Standards for Independent Accounting Auditors ...... 36

Section VII: Documents of the Independent Accounting Audit …….……………………………………… 40

Section VIII: Certification ……………………………………………………………………………………………………… 41

Section IX: General Provisions of this Chapter ……………………………………………………………………... 41

TITLE IV: FINAL CONSIDERATIONS ............................................................................................ 42


TITLE I

QUANTITATIVE ELEMENTS

CHAPTER I

Technical Provisions

Art. 3: The establishing of Other Technical Provisions (OTP) may be allowed in relation to a

product, plan or portfolio, in addition to those specified in this Chapter, subject to prior

authorization by SUSEP and as long as they are provided for in an actuarial technical note.

Section I

Insurance companies and OPPE

Art. 4: To guarantee their operations, insurers and OPPE must, whenever necessary, make the

following monthly technical provisions:

I – Provision for Unearned Premiums (PUEP);

II – Provision for Claims reported but not yet settled (RBNS);

III – Provision for Claims incurred but not yet reported (IBNR);

IV – Mathematical Provision for Future Benefit Payments (PFBP);

V – Mathematical Provision for Benefits Granted (PBG);

VI – Provision for Supplementary Coverage (PSC);

VII – Provision for Related Expenses (PRE);

VIII – Provision for Technical Surpluses (PTS);

IX – Provision for Financial Surpluses (PFS); and

X – Provision for Redemptions and other unsettled amounts (PRO).

Subsection I

Provisions for Premiums

Art. 5: A PUEP must be set up to cover amounts payable in relation to claims and expenses still

to arise.

Subsection II

Provisions for Claims

Art. 6: An RBNS must be set up to cover amounts that are expected to be paid in settlement of

payments relating to reported claims.

Art. 7: A provision for IBNR must be set up to cover amounts that are expected to be paid in

relation to claims incurred but not reported.

Subsection III

Mathematical Provisions

Art. 8: A PFBP must be set up before the event that generates the benefit has occurred, to

cover the commitments to participants or policyholders.

Art. 9: A PBG must be set up, once the event that generates the benefit has occurred, to cover

the commitments to participants or policyholders.


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Subsection IV

Other Provisions

Art. 10: A PSC must be set up whenever a shortage in technical provisions is ascertained.

Art. 11: A PRE must be set up to cover the claims expenses.

Art. 12: A PTS must be set up to guarantee the sums for the distribution of technical surpluses

arising from contractual operations, if such is provided for in the contract.

Art. 13: A PFS must be set up to guarantee the sums for distribution of financial surpluses, in

accordance with the prevailing regulations, if such is provided for in the contract.

Art. 14: The PRO covers other amounts outstanding that are not included in the other technical

provisions.

Section II

Investment firms

Art. 15: To guarantee their operations, the investment firms must, whenever necessary, set up,

on a monthly basis, the following technical provisions:

I – Mathematical Provision for Capitalization (MPC)

II – Provision for Distribution of a Bonus (PDB)

III – Provision for Redemption (PR)

IV – Provision for Prize Draws (PPD)

V – Supplementary Provision for Prize Draws (SPPD)

VI – Provision for Prize Draws Payable (PDP) and

VII – Provision for Administrative Expenses (PAE)

Subsection I

Provisions for Redemptions

Art. 16: An MPC must be set up before the event giving rise to redemption has occurred and

must cover the amounts received for capitalization.

Art. 17: A PDB must be set up before the event giving rise to a bonus distribution has occurred

and must cover the amounts determined for the bonus payment.

Art. 18: A PR must be set up that is in effect from the date of the event that gives rise to

redemption of the security and/or the event that gives rise to distribution of the bonus until

the date of settlement, or in accordance with other cases provided for in the legislation.


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Subsection II

Provisions for Prize Draws

Art. 19: The PPD covers the amounts received for the prize draw and must be set up before the

prize draw has been carried out.

Art. 20: An SPPD must be set up to supplement the coverage of the draws to be carried out.

Art. 21: A PDP must be set up that is in effect from the date the prize draw is held until the

date of settlement, or in accordance with other cases provided for in the legislation.

Subsection III

Other Provisions

Art. 22: A PAE must be set up to cover the anticipated expenses for administration of the

capitalization plans.

Section III

Local Reinsurers

Art. 23: To guarantee their operations, the local reinsurers must, whenever necessary, set up

the following technical provisions:

I – Provision for Unearned Premiums (PUEP)

II – Provision for Claims reported but not yet settled (RBNS)

III – Provision for Claims incurred but not yet reported (IBNR)

IV – Mathematical Provision for Future Benefit Payments (PFBP)

V – Mathematical Provision for Benefits Granted (PBG)

VI – Provision for Supplementary Coverage (PSC)

VII – Provision for Related Expenses (PRE)

VIII – Provision for Technical Surpluses (PTS) and

IX – Provision for Financial Surpluses (PFS)

Subsection I

Provisions for Premiums

Art. 24: A PUEP must be set up to cover the amounts payable in relation to claims and

expenses to be incurred.

Subsection II

Provisions for Claims

Art. 25: An RBNS must be set up to cover the amounts to be settled in relation to reported

claims.

Art. 26: An IBNR claims provision must be set up to cover the amounts to be settled in relation

to claims that have been incurred but not yet reported.


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Subsection III

Mathematical Provisions

Art. 27: The PFBP should cover the amount of the commitments assumed by local reinsurers in

their pertinent contracts, in order to guarantee the reinsured benefits that have not yet

started to be drawn.

Art. 28: The PBG should cover the amount of the commitments assumed by local reinsurers in

their pertinent contracts, in order to guarantee the reinsured benefits that have already

started to be drawn.

Subsection IV

Other Provisions

Art. 29: A PSC must be set up whenever a shortfall in the technical provisions is ascertained.

Art. 30: A PRE must be set up to cover the expenses in relation to claims.

Art. 31: A PTS must be set up to guarantee the amounts for the distribution of technical

surpluses arising from contractual operations, if such is provided for in the contract.

Art. 32: A PFS must be set up to guarantee the amounts for the distribution of financial

surpluses, in accordance with the prevailing regulations, if such is provided for in the contract.

Section IV

General Provisions of this Chapter

Art. 33: SUSEP shall address any fields or products that, due to their characteristics, should be

excluded from the setting up of any technical provisions dealt with in this Resolution.

CHAPTER II

Assets that reduce the need to cover Technical Provisions

Art. 34: The following may be offered as collateral assets to offset the need for technical

provision coverage, in accordance with the specific regulations published by SUSEP:

I – creditor rights;

II – reducing reinsurance and retrocession assets;

III – reducing judicial deposits; and

IV – reducing deferred acquisition costs.

Single paragraph: The assets provided to reduce the need for coverage of technical provisions

cannot be offered as collateral for other transactions.


CHAPTER III

Risk Capital to cover Underwriting, Credit, Operational and Market Risks

Art. 35: For the purposes of this Chapter, it shall be considered that:

I – underwriting risk: the possibility of incurring losses that confound the expectations of the

supervised body, directly or indirectly related to the technical bases utilized for calculating

premiums, contributions, shares and technical provisions;

II – underwriting risk capital (URC): variable amount of capital that a supervised body must

maintain, at all times, to guarantee the underwriting risk;

III – credit risk: the possibility of incurring losses associated with the policyholder or

counterparty’s, non-compliance with their respective financial obligations under the agreed

terms, and/or devaluation of the receivables due to a reduction in the risk rating of the

policyholder or counterparty;

IV – credit risk capital (CRC): variable amount of capital that a supervised body must maintain,

at all times, to guarantee the credit risk to which it is exposed;

V – operational risk: the possibility of incurring losses as a result of the failure, deficiency or

inadequacy of internal processes, employees or systems, or from fraud or external events,

including legal risk but excluding the risks relating to strategic decisions or the reputation of

the institution;

VI – external events: events occurring outside the supervised body, such as stoppages caused

by riots, strikes, revolts, acts of terrorism, uprisings, natural disasters, fires, blackouts or any

other event not directly related to the activities of the supervised body but that could cause

the failure or collapse of services essential to the performing of its operational activities;

VII – legal risk: the possibility of losses arising from fines, penalties or reparations as a result of

the action of supervisory and control bodies, as well as losses arising from unfavorable

decisions in judicial or administrative proceedings;

VIII – operational risk capital (RCoper): variable amount of capital that a supervised body must

maintain, at all times, to guarantee the operational risk to which it is exposed;

IX – market risk: the possibility of incurring losses due to fluctuations in the financial markets

that bring about changes in the economic appraisal of the assets and liabilities of the

supervised bodies;

X – market risk capital (RCmarket): variable amount of capital that a supervised body must

maintain, at all times, to guarantee the market risk to which it is exposed;

XI – direct reinsurance: reinsurance operations net of loading fee, cancellations, refunds and

discounts;

X – goodwill: an asset that represents future economic benefits to arise from other assets

acquired in a business combination, which are not individually identified and separately

recognized in the books.


Section I

Risk Capital to cover Underwriting Risk

Art. 36: This Section does not apply to transactions within the DPVAT (Personal Injury caused

by Land Vehicles) and DPEM (Personal Injury caused by Watercraft) insurance classes.

Art. 37: The underwriting risk capital of insurers and OPPE is to be calculated using the

standard risk factors listed in Addendums I to VII, following the correlation matrix and

equation shown in Addendum VIII.

§ 1: SUSEP shall regulate specific criteria that, if met by the insurers and OPPE, will enable the

calculation of the underwriting risk capital to be made using the reduced risk factors listed in

Addendums I to VII, following the correlation matrix and equation shown in Addendum VIII.

§ 2: Insurers that, on the date this Resolution comes into force, were already using the

reduced risk factors listed in Addendums I and II to calculate the underwriting risk capital shall

be allowed an adaptation period, to be defined by SUSEP, to bring their procedure into line

with the new criteria referred to in the preceding paragraph.

Art. 38: The portions of underwriting risk capital of the insurers and OPPE defined in

Addendums I, II and VII, the calculation of which depends on the historical data of the

transactions, are only to be calculated using the actual amounts involved.

Single paragraph: In the case of supervised bodies created from a split-off or supervised bodies

receiving portfolios transferred by other supervised bodies, the historical record of the

transactions received shall be treated according to the SUSEP regulations.

Art. 39: Calculation of the underwriting risk capital for insurance transactions shall be

performed on the basis set out in Addendums I, II and III, except in the case of the following:

I - free benefit generator life insurance (VGBL);

II - life insurance with guaranteed update plus performance (VAGP);

III - life insurance with guaranteed remuneration plus performance (VRGP);

IV - life insurance with guaranteed remuneration and no performance update (VRSA);

V - life insurance with immediate income (VRI);

VI - pure endowment;

VII - mixed endowment;

VIII - private individual - funeral insurance (class 1329);

IX - private individual - life (class 1391);

X - private individual - life (run-off) (class 0991); and

XI - other personal insurance structured according to the capitalization financial method or the

terminal funding method.

Art. 40: Addendums IV, V, VI and VII shall be used for calculating the underwriting risk capital

of open private supplementary pension and insurance transactions, except for those

mentioned in the preceding Article.

Art. 41: The underwriting risk capital of investment firms shall be calculated using the standard

risk factors and equations set out in Addendums IX to XII, following the correlation matrix in

Addendum XIII.

Single paragraph: SUSEP shall regulate the specific criteria for the investment firms to be able

to use the reduced risk factors listed in Addendums IX to XII.


Art. 42: The underwriting risk capital of the local insurers shall be comprised of the sum of two

parts:

I – the amount obtained by applying the insurers’ underwriting risk model to the proportional

reinsurance, taking into consideration the corresponding transactions and business lines to

which it relates; and

II – the amount obtained by applying the specific procedure, defined in Article 44, to the non-

proportional reinsurance and all other transactions not listed in item I.

Art. 43: In calculating the portion of underwriting risk capital referred to in item I of Article 42,

the following criteria shall be observed:

I – For risks assumed in Brazil, the business lines shall be defined according to the groups of

classes to which they belong, as shown in the following table:

Group of classes Business line

01 4

02 5

03 6

04 (run-off) 7

05 8

06 9

07 11

08 (run-off) 12

09 13

10 15

11 16

12 17

13 14

14 7

15 7

II – For risks assumed abroad, business line 17 (seventeen) shall be used; and

III – In defining the market segments, Region 2 (two) shall be used.

Art. 44: The specific procedure for obtaining the amount provided for in item II of Art. 42 must

meet the following criteria:

I – For reinsurance coverage structured according to the capitalization financial method and

for the granting of income, the required amount shall be equal to 4% (four percent) of the sum

of the mathematical provisions for benefits to be granted and benefits granted in relation to

direct reinsurance and accepted retrocessions, without deducting ceded retrocessions,

multiplied by the maximum percentage between 85% (eighty five percent) and the ratio

obtained from the sum of the mathematical provisions for benefits to be granted and benefits

granted, net of ceded retrocessions, and the sum mathematical provisions for benefits to be

granted and gross benefits granted, calculated on the last December base date;


II – For reinsurance coverage structured according to the pay-as-you-go or terminal funding

financial methods and risk transactions arising from insurance contracts covering damages, the

greatest of the following amounts:

a) 20% (twenty percent) of the total premiums retained over the last 12 (twelve) months; or

b) 33% (thirty three percent) of the annual average of total claims retained over the last 36

(thirty six) months.

Section II

Risk Capital to cover Credit Risk

Art. 45: This Section does not apply to transactions in the DPVAT and DPEM classes.

Art. 46: The credit risk capital of the supervised bodies shall be comprised of two parts and

shall be calculated according to the terms of Addendums XIV to XVI.

Section III

Risk Capital to cover Operational Risk

Art. 47: The operational risk capital of the supervised bodies is calculated according to the

criteria listed in Addendums XVII to XIX.

Section IV

Risk Capital to cover Market Risk

Art. 48: This Section does not apply to transactions in the DPVAT and DPEM classes.

Art. 49: For the purposes of this Section, it shall be considered that:

I – material cash flows: cash flows that, if omitted or poorly assessed, could, considering their

volume, nature and whether they are individual or collective, lead to material misstatement in

the assessment of market risk;

II – economic value: fair price to be paid or received in relation to a particular item, on the

base date of the cash flow calculation, if it were to be traded in the market or between

interested parties that have the same level of knowledge and bargaining power;

III – standard vertices: predetermined and standardized duration periods for grouping cash

flows according to the fixed interest rate, price index coupon or foreign currency coupon that

affects their economic assessment;

IV – net exposure: positive or negative algebraic sum, in reais, of the economic values of all the

material cash flows, rights and obligations whose valuation is subject to the variations of a

particular index, interest rate, foreign currency, share price or commodity price, which must be

calculated for each standard vertex or, where this does not apply, to the total cash flow; and

V – products with a financial surplus guarantee: insurance or pension products that guarantee

the policyholder or participant a portion of any profitability surplus on the investment

portfolio, expressed as a guaranteed minimum rate.

Single paragraph: The concept defined in item I must not be applied to cash flows arising from

financial assets, with must be estimated in their entirety.


Art. 50: The market risk capital of the supervised bodies is to be calculated as set out in this

Article, in accordance with the methods determined in Addendums XX to XXII.

§ 1: For application of the methodology described in Addendum XXI, the economic values of

the cash flows estimated by the supervised bodies shall be allocated in standard vertices

according to their duration and risk factor, in accordance with the procedure set out in

Addendum XX.

§ 2: For supervised bodies that do not have products with a financial surplus guarantee, or that

choose not to use the option provided for in § 3, the RCmarket shall correspond to the

RCmarket.general defined in Addendum XXI.

§ 3: Supervised bodies that have products with a financial surplus guarantee, provided they

have not yet allocated the surplus to a provision for the individual policyholder or participant,

may choose to calculate the amount of market risk capital for these products (RCmarket.surplus)

separately, according to the methodology set out in Addendum XXII, with the RCmarket in this

case defined by the sum of:

a) RCmarket.general: As defined in Addendum XXI, but considering only the net exposure in

relation to products without a financial surplus guarantee and products with such a guarantee,

for which the supervised body chooses not to use the option provided for in the above clause;

and

b) Ʃni=1 RCmarket.surplus: Sum of the RCmarket.surplus calculated, considering the net exposure for

each group i of products with financial surpluses (freely defined), which should include all the

products for which the supervised body chooses to use the option provided for in the above

clause.

§ 4: The amount of market risk capital that is effectively required shall correspond to:

a) 0% of the RCmarket to December 30, 2016;

b) 50% of the RCmarket between December 31, 2016 and December 30, 2017; or

c) 100% of the RCmarket as of December 31, 2017.

Subsection I

Minimum Criteria for estimating the Cash Flows

Art. 51: The supervised bodies should draw up a methodology manual, which is to be made

available to SUSEP, describing the techniques, assumptions, procedures and materiality criteria

adopted for estimating the cash flows.

Single paragraph: The period for preparation of the first version of the methodology manual

should coincide with that determined by SUSEP for the first submission of data by the

supervised bodies.

Art. 52: The calculation of the market risk capital must not consider cash flows in relation to:

a) Share holdings in subsidiaries or affiliates;

b) Tax credits arising from a tax loss or negative social contribution calculation base;

c) Intangible assets;

d) Real estate and closed-end real estate investment funds;

e) Rights and obligations in relation to the transactions of branches abroad;

f) Works of art;

g) Precious stones;

h) Any other assets excluded from the calculation of Adjusted Net Equity (ANE), in accordance

with the current regulations or a decision by the SUSEP;

i) Any other assets or liabilities excluded by a decision of the SUSEP, contained in a document

providing guidance on the calculating of market risk capital.


Art. 53: All the estimated cash flows must be gross of refunds, reimbursements and related

expenses and, if material, be considered as separate streams.

Art. 54: High frequency payments and receipts may be grouped into annual flows, or over a

shorter time period, the length of which should correspond to half the period considered in

the grouping.

Art. 55: To determine the economic value of the cash flows pertaining to general obligations

and rights in relation to insurance, pension, capitalization and reinsurance contracts, the

future amounts of payments and receipts must be discounted using the risk-free Term

Structure of Interest Rates (TSIR ), established by SUSEP, for the corresponding risk factor,

unless the supervised body has received express permission from the autonomous entity to

use its own TSIR.

Art. 56: When estimating the cash flows pertaining to rights and obligations in relation to

insurance, pension, capitalization and reinsurance contracts, a supervised body must apply

statistical and actuarial methods based on realistic assumptions.

Single paragraph: Where applicable, the supervised body must observe the SUSEP standards

and guidelines in relation to the Liability Adequacy Test (LAT) and adopt the same

methodology and assumptions used to carry out the LAT, except where the contents of this

Resolution or a specific guideline for calculating the market risk capital state the contrary.

Art. 57: Supervised bodies must not include in the market risk capital calculation the cash flows

pertaining to rights and obligations relating to the deferral phase of VGBL and PGBL plans.

Single paragraph: In cases referred to in the above clause, the supervised body must consider

only the cash flows arising from the exercising of the conversion into income option by the

policyholder or participant.

Art. 58: When estimating the cash flows of financial assets, the supervised bodies must not

consider reinvestment activities, but include only the assets that they actually hold at the time

of the appraisal.

Art. 59: For investment funds in which the supervised body holds a stake, the cash flows must

be considered only in proportion to the shares it holds, directly or indirectly.

§ 1: Whenever possible, the supervised body should consider the individual cash flows for each

asset that comprises the investment fund portfolios.

§ 2: In the case provided for in § 1, the cash flows for each investment fund asset should be

grouped according to the risk factor to which it is exposed, in accordance with the provisions

of Addendum XXI.

§ 3: Should it be impossible to identify the risk factor, maturity or net risk exposure of any

asset belonging to an investment fund, at any level, the total shares that the supervised body

holds, directly or indirectly, in that fund should be considered in calculating the corresponding

net exposure to the share risk factor, in accordance with the provisions of Addendum XXI.


Art. 60: The cash flows for financial assets whose profitability is pegged to a percentage of the

DI or Selic rate and whose contractual yield differs from that practiced by the market must be

used by the supervised body to determine the net exposure to the fixed interest rate risk

factor, in accordance with the provisions of Addendum XXI.

§ 1: In the case referred to in the above clause, the economic values of the cash flows must

only be considered in proportion to the difference between the contractual yield and the

market yield on that security.

§ 2: If the contractual yield of the asset exceeds the market yield on that security, the cash

flows, proportional to the difference, shall be considered a unit price oversold exposure. For

the opposite scenario, they shall be considered an overpurchased exposure.

Art. 61: Supervised bodies should estimate the cash flows for financial derivatives.

§ 1: In the case of futures contracts, in determining the net exposure to the risk factors listed

in Addendum XXI, consideration should be given to:

a) a cash flow with the same term and notional amount as the underlying asset; and

b) a cash flow similar to that of item "a" and term and value but with the opposite sign, which

will be considered in the calculation of the net exposure corresponding to the risk factor of

fixed interest rates, in accordance with the provisions of Addendum XXI.

§ 2: In the case of swaps, the cash flows should be considered for both long and short

positions.

§ 3: In the case of options, a cash flow should be included that is calculated as the product of

the delta of the option, the size of the contract and the value of the underlying asset.

Art. 62: Cash flows used for calculating the market risk capital should, at the very least, be

estimated upon the closure of the trial balances for the months of March, June, September

and December.

Single paragraph: SUSEP shall set the deadline for the first submission of data provided for in

this Resolution and shall provide guidance to the supervised bodies as to the form of delivery.


Subsection II

Transitory Provisions of this Chapter

Art. 63: A requirement for market risk capital in any proportion other than 0% of the RCmarket,

as provided for in items "b" and "c" of § 4 of Article 50, will only occur if, by December 31,

2016, regulations come into force that increase the sensitivity of the ANE to variations in the

economic values used to calculate the market risk capital.

§ 1: Alternatively, a new parameter may be introduced for the purpose of calculating the

capital adequacy that would meet the objective set out in the above clause.

§ 2: If the regulations referred to in this Article come into force after the abovementioned

date, the requirement for market risk capital in any proportion other than 0% of the RCmarket

would be as follows:

a) 50% of the RCmarket as of the date on which the aforementioned regulations come into force;

and

b) 100% of the RCmarket 1 (one) year later.

CHAPTER IV

Adjusted Net Equity

Art. 64: Calculation of the ANE shall be based on the accounting net equity or accounting

shareholders' equity, as appropriate, after the following deductions:

I – the value of equity stakes in financial and non-financial companiesa classified as permanent

investments, in Brazil or abroad, considering the added value and goodwill, as well as any

reductions to recovery value;

II – pre-paid expenses unrelated to reinsurance;

III – tax credits arising from tax losses in relation to income tax and a negative social

contribution base;

IV – intangible assets;

V - urban properties and real estate investment funds linked to urban property, considering

revaluations, impairment and depreciation, that exceeds 14% of the total adjusted assets;

VI - rural properties and real estate investment funds linked to rural properties, considering

revaluations, impairment and depreciation;

VII - deferred assets;

VIII - rights and obligations relating to the transactions of branches abroad;

IX - works of art;

X - precious stones; and


XI - credits from the sale of assets listed in the preceding items, observing the deduction rule in

item V in the case of the disposal of urban property.

§ 1: Consider as total adjusted assets, for the purposes of the provisions in item V, the balance

of the total assets net of the deductions listed in Items I, II, III, IV, VI, VII, VIII, IX, X and XI.

§ 2: Real estate investment funds linked to urban or rural property, provided they are open to

public trading, in accordance with the Brazilian Securities Commission (CVM) Instruction

dealing with the public offering of marketable securities, are not liable to the deductions

mentioned in item V and VI.

CHAPTER V

Minimum Capital Requirement and Solvency Regularization Plan

Art. 65. Consider, for the purposes of this Chapter:

I – capital base: the fixed amount of capital that the supervised body must maintain, at all

times, as provided for in Addendums XXIII to XXV, while for supervised bodies operating

exclusively in micro-insurance it shall be 20% (twenty percent) of the amount determined in

Addendum XXIII.

II – risk capital (RC): the variable amount of capital that the supervised body must maintain, at

all times, to guarantee the risks inherent in its operations, as provided for in Addendum XXVI;

III – Minimum Capital Requirement (MCR): the total capital that the supervised body must

maintain in order to operate, equivalent to the higher of the capital base, as defined in

Addendums XXIII to XXV, and the risk capital, as defined in Addendum XXVI;

IV – liquid assets: all the assets accepted by the National Monetary Council (CMN) in 100%

(one hundred percent) coverage of the technical provisions;

V – liquidity in relation to the RC: a situation where the supervised body holds an amount of

liquid assets that is in excess of the need to cover the technical provisions, equivalent to more

than 20% (twenty percent) of the RC;

VI – Solvency Regularization Plan (SRP): a plan that must be sent by a supervised body to the

SUSEP, in the manner determined in this Resolution, aimed at restoring a state of solvency

when there is a shortfall in the ANE in relation to the MCR of up to 50% (fifty percent) or when

the supervised body has insufficient liquidity in relation to the RC.

VII – local reinsurer: a reinsurer domiciled in Brazil and set up as a corporation, which has the

sole purpose the performing of reinsurance and retrocession transactions;

VIII – admitted reinsurer: a reinsurer domiciled abroad, with a representative office in Brazil,

that, meeting the requirements of Supplementary Law No. 126 of January 15, 2007 and the

rules applicable to reinsurance and retrocession activities, has been registered as such by the

Private Insurance Agency (SUSEP) to perform reinsurance and retrocession transactions;


Section I

Capital Requirements

Art. 66: Supervised bodies must show, every month, when closing their monthly trial balances,

an ANE that is equal to or above the MCR and liquidity in relation to the RC.

Art. 67: In the even of an ANE shortfall in relation to the MCR of up to 50% (fifty percent) or a

liquidity shortfall in relation to the RC, the supervised body must submit an SRP, in the manner

provided for in this Chapter, proposing an action plan aimed at restoring a state of solvency.

§ 1: An SRP will only be required if a shortfall is ascertained in 3 (three) consecutive months or,

specifically, in the months of June and December.

§ 2: A worsening of the ANE shortfall to the levels provided for in Articles 68 and 69 shall make

the supervised body subject to special treatment, under the terms of the prevailing legislation.

Art. 68: A supervised body shall be subject to the special treatment of direct management

supervision, pursuant to the prevailing legislation, if its ANE shortfall in relation to the MCR is

greater than 50% (fifty percent) and less than or equal to 70% (seventy percent).

Art. 69: A supervised body shall be subject to being placed in receivership, pursuant to the

prevailing legislation, if its ANE shortfall in relation to the MCR is greater than 70% (seventy

percent).

Section II

Liquid Asset linkage

Art. 70: Liquid assets in excess of the coverage need, as defined in this Chapter, shall be

recorded in an account linked to SUSEP, in accordance with the prevailing legislation.

Section III

Solvency Regularization Plan

Art. 71: The supervised body must submit the SRP to the SUSEP within 45 (forty-five) days from

the date the notification from the SUSEP was received.

Single paragraph: The SRP must be approved by the supervised body’s executive board and, if

there is one, supervisory board or steering committee.


Art. 72: The SRP must contain well-defined deadlines and targets and provide precise details of

the procedures to be adopted in order to resolve any shortfall, including the following

essential features:

I – identification of the factors that contributed to the shortfall;

II – identification of any problems in relation to assets and liabilities, growth of the business,

extraordinary exposure to risk, product diversification, reinsurance and any other factors that

the supervised body considers to be relevant; and

III – proposals for corrective action that the supervised body intends to adopt.

§ 1: The maximum period for the resolution of the ANE shortfall shall be 18 (eighteen) months

from the month following the date of receipt of the notification provided for in the main

clause of Article 71.

§ 2: The maximum period for the resolution of the liquidity shortfall in relation to the RC shall

be 6 (six) months from the month following the date of receipt of the notification provided for

in the main clause of Article 71.

§ 3: In the event of an adverse economic situation in the market of the supervised body or in

the financial situation, SUSEP may extend the periods referred to the preceding paragraphs by

up to 9 (nine) months and 3 (three) months, respectively.

§ 4: The SRP must additionally comply with the supplementary instructions that are issued by

SUSEP in specific regulations or in the notification mentioned in the main clause of Article 71.

Art. 73: The SRP shall be submitted for the decision of the SUSEP Technical Board.

§ 1: The decision mentioned in the above clause shall result in it being approved or rejected,

which shall be announced by the Office for Solvency Monitoring General Coordination (CGSOA)

and, in the case of rejection, confirmed by the SUSEP Steering Committee.

§ 2: In the event of the plan's rejection, SUSEP shall additionally inform the reasons underlying

its decision, and the supervised body shall have one more chance to submit, within a

maximum period of 45 (forty-five) days from the date of receipt of the notification, a new SRP.

§ 3: As long as this does not involve non-compliance with the laws or regulations in force, the

actions proposed in the SRP must be adopted by the supervised body even before the SUSEP

has declared its approval or rejection of the plan.


Art. 74: While carrying out the SRP, in order to facilitate its monitoring, the supervised body

must send to the SUSEP, at specified intervals, any reports that autonomous entity shall deem

to be necessary.

Single paragraph: Whenever it deems necessary, the SUSEP may request a review of the SRP,

which must be approved by the SUSEP Technical Board.

Art. 75: In the event of failure to submit an SRP, rejection of the SRP for the second time or

non-compliance with the SRP, the supervised body shall be subject to the special treatment of

direct management supervision, even if its ANE shortfall in relation to the MCR or liquidity

shortfall in relation to the RC is less than or equal to 50% (fifty percent).

Single paragraph: The SRP must contain an explicit statement that the executive board and, if

there is one, the supervisory board or steering committee are aware that, in the circumstances

provided for in the above clause, the supervised body shall be subject to the special treatment

of direct management supervision.

Art. 76: The SUSEP Steering Committee may, as an alternative to the special treatment in

relation to the situations set out in this Chapter and following analysis of the specific situation

of the supervised body, request the submitting of a new SRP to the SUSEP.

TITLE II

QUALITATIVE ELEMENTS

CHAPTER I

Retention Limits for the Insurance companies, OPPE and Local Reinsurers


I – isolated risk: the object or set of objects of the insurance or pension coverage of risk, the

possibility of being affected by the same loss generating event of which is significant; and

II – risk coverage: coverage for which the generating event is not the participant's survival past

a predetermined date.

Art. 78: The retention limit is the maximum amount of liability that insurers, OPPE and local

reinsurers may retain for each isolated risk, which is determined based on the values of the

respective ANE.


Art. 79: For calculation of the values of the retention limits, the insurers, OPPE and local

reinsurers must make an actuarial technical note, prepared by the technically responsible

actuary, available to SUSEP, observing the following:

I – the calculation must be performed using a scientifically proven method that can generate

consistent results;

II – the actuarial technical note containing the calculation methodology must be submitted to

SUSEP within five (5) business days from the date the request was received;

III – SUSEP may, at any time, as may be necessary in each case, determine for the insurer,

OPPE or local reinsurer the use of a specific method for calculating the retention limits or set

retention limit values that are different to those calculated by the supervised body; and

IV – in the situation provided for in item III of this Article, an insurer, OPPE or local reinsurer

may submit to the SUSEP a request to use its own method, the application of which shall be

dependent upon prior authorization by SUSEP.

Art. 80: The insurers, OPPE and local insurers must calculate their retention limits in the

months of February and August, but they are allowed to calculate new retention limits in the

other months of the year.

§ 1: The calculation base for calculating the values in the months between February and July

must be the ANE for December of the previous year.

§ 2: The calculation base for calculating the values in the months between August and January

must be the ANE for the previous June.

§ 3: The values of the retention limits must be submitted to the SUSEP in accordance with the

specific regulations.

§ 4: The values of the retention limits calculated for a specific base date shall come into effect

from the first day of the month following the calculation month.

§ 5: In the case of a capital increase, in cash or assets, paid in after the December or June base

date, the insurers, OPPE and local reinsurers may, in the month immediately following that

increase, calculate the retention limits based on the ANE for the month of the increase, which

shall come into effect from the first day of the month following the calculation month.

§ 6: For transactions involving the risk coverage of the supplementary pension products of the

insurers and OPPE, the retention limits must be calculated by type of risk coverage.

§ 7: For insurance transactions, the retention limits must be calculated by class.


§ 8: For reinsurance transactions, the retention limits must be calculated by group of classes.

§ 9: The provisions of this Article do not apply to survivor coverage transactions.

Art. 81: Retention limit values calculated by the insurers or OPPE that are less than or equal to

5% of the ANE do not require prior authorization by the SUSEP.

Single paragraph: Subject to prior authorization by the SUSEP, insurers or OPPE may be

allowed to use retention limits with a values greater than 5% of the ANE.

Art. 82: Insurers, OPPE and local insurers may not set retention limits and therefore cannot

accept risks when the amount of the book loss would be greater than the sum of the paid in

capital plus reserves provided for in the net equity.

Art. 83. Insurers, OPPE and local insurers must keep available, in digital format, for inspection

by the SUSEP, during a period of 5 (five) years, all the documentation and statistical data

corroborating their full compliance with the provisions of this Chapter.

CHAPTER II

Investment Criteria


I – colateral assets: assets linked to the securing of the provisions, in accordance with the

guidelines issued by the National Monetary Council (CMN);

II – CPR: Rural Product Note;

III – derivatives: contracts for financial assets or marketable securities whose trading value and

characteristics derive from other assets, that serve as their base of reference;

IV – risk factor: price index, interest rate, share index or asset price whose variations may have

an impact on the market value of the investment portfolio;

V – FIE: specially constituted investment fund or investment fund investing in the shares of

investment funds specially set up to directly or indirectly receive resources from supervised

bodies;

VI – investments: assets and operational formats of insurers, OPPE, investment firms or local

reinsurers, such as options, the forward market, futures and swaps, among others, and the

financial assets and the operational formats held by an admitted reinsurer, relating to the

resources required in Brazil to guarantee its obligations.

VII – portfolio protection: reducing the exposure to certain risk factors, in order to protect the

portfolio against possible variations in the fair value of an asset;

VIII – spot market position synthesis: using derivatives to synthesize financial structures traded

in the spot market;


IX – BM&FBOVESPA (Bolsa de Valores, Mercadorias e Futuros S.A.) - the São Paulo Stock

Exchange;

X – CETIP (Cetip S.A.) - Clearing House for the Custody and Financial Settlement of Securities;

and

XI – SELIC (Sistema Especial de Liquidação e Custódia) - Special System for Settlement &

Custody.

Section I

Insurance companies, OPPE, Investment firms or Local reinsurers

Art. 85: Management of the investments made by insurers, OPPE, investment firms or local

insurers should observe the following:

I – the princíiples of security, profitability, solvency and liquidity; and

II – specific features, such as the characteristics of its liabilities, with a view to maintaining the

necessary economic, financial and actuarial balance between the assets and liabilities.

Subsection I

Recording, Financial Settlement and Custody of Investments

Art. 86: The financial assets, including those comprising an FIE portfolio, should be:

I – held in custody or recorded in a registration system, in the name of the supervised body or

FIE, as appropriate, in specific individual accounts at the BM&FBOVESPA, CETIP or SELIC; or

II – deposited, if acceptable, in a custody account with a financial institution or entity

authorized by the Brazilian Central Bank (BCB) or the Brazilian Securities Commission (CVM) to

provide such service.

§ 1: Derivative transactions must be registered in the name of the insurer, OPPE, investment

firm, local reinsurer or FIE, in a system of registration at an institution duly authorized by the

BCB or CVM.

§ 2: Registration of the CPR used as a collateral asset or as part of an FIE portfolio whose

shares are used as collateral assets must identify any financial institution(s) sharing joint-

liability or state the number of the insurance policy that it secures, the name of the insurer and

the number of the SUSEP process stating the contractual terms and the actuarial technical

note.

§ 3: The insurer, OPPE, investment firm or local insurer needs to authorize the managers of the

systems, the institutions and the entities referred to in items I and II and § 1 to make the

information relating to its investments available to the SUSEP.


§ 4: Exclusively in regard to the investments comprising an FIE portfolio, the insurer, OPPE,

investment firm or local reinsurer, along with the fund management company, must authorize

the systems managers, institutions and entities referred to in items I and II and § 1 to make the

information concerning the composition of that portfolio available to the SUSEP.

§ 5: The provisions of item I apply to the managers of the assets securing the DPVAT insurance

technical provisions.

Art. 87: The property that is among the investments of the insurers, OPPE, investment firms or

local reinsurers is to be registered in their own name at a real estate registry office.

Single paragraph: The property sales contract, as well as any sale against payment in cash or in

installments, should also be registered under the terms of this Article.

Subsection II

Special Conditions for an FIE

Art. 88: In the case of an FIE whose shares are linked to securing technical provisions, repo

transactions can only be carried out in relation to assets securing technical provisions,

according to the CMN regulations.

Art. 89: FIE operations in the derivatives markets:

I - must be carried out exclusively for the protection of the portfolio, which may include

carrying out spot market position synthesis transactions;

II - must not generate, at any time, exposure that exceeds the value of the respective net

equity;

III - must not generate, at any time or cumulatively with the spot positions, exposure in

relation to each risk factor that exceeds the respective net equity;

IV - must not carry out uncovered option sales transactions; and

V - must not be carried out in the "unsecured" category.


§ 1: The use of derivatives by an FIE is conditional upon the fund regulations containing specific

clauses explaining the provisions of items I to V.

§ 2: The exposure resulting from the use of derivatives shall be considered, for classification of

the FIE portfolio within the criteria for diversification defined in its regulations, in its products

sold and in the guidelines issued by the CMN in relation to the collateral assets of technical

provisions.

§ 3: The provisions of item III of this Article shall only apply when the FIE shares are linked to

the securing of technical provisions.

Art. 90: It is forbidden for an FIE to have in its portfolio, directly or indirectly, investments in

the shares of investment funds whose performance in the derivatives markets generates, at

any time, exposure that exceeds the value of their net equity.

Subsection III

Investment Prohibitions

Art. 91: It is forbidden for an insurance company, OPPE, investment firm or local reinsurer to,

directly or indirectly:

I – perform derivative transactions that, at any time, generate exposure that exceeds the total

amount of the spot positions held;

II – perform derivative transactions in the “unsecured” category;

III – invest in the shares of investment funds whose involvement, directly or indirectly, in

derivative markets generates, at any time, exposure that exceeds the value of the respective

net equity;

IV – carry out uncovered option sales transactions;

V – invest funds in portfolios managed by private individuals, or in investment funds whose

portfolios are managed by private individuals;

VI – invest in assets abroad, except in the following cases:

a) those explicitly provided for in the CMN regulations;

b) those explicitly provided for in the regulations of the Brazilian Securities Commission

governing the assets that comprise investment fund portfolios;

c) investments made through affiliates or branches set up abroad, in compliance with Art. 54

of Decree nº 60,459, of March 13, 1967;

d) share holdings of a permanente nature in insurers, OPPE, investment firms, reinsurers or

similar, subject to prior approval by the SUSEP.

VII – invest in the shares of investment funds that do not have procedures for the assessment

and measurement of the investment portfolio risk;

VIII – provide a guarantee, surety or acceptance or take on a joint liability;

IX - grant loans or advances, or open a line of credit in any category to private individuals or

legal entities, especially those listed in Art. 17 of Law No. 7,492, of June 16, 1986, apart from

the exceptions specifically provided for in the current regulations;


X – carry out any commercial, financial or real estate transactions with:

a) its management or members of statutory committees, or their spouses, partners or relatives

up to the second degree;

b) companies in which any of the people referred to in sub-item “a” of this item participate,

except in the case of participation as a shareholder with a stake of up to 5% (five percent); and

c) a counterparty, even if indirectly, who is one of the private individuals defined in sub-item

“a” of this item or an affiliated company;

XI – invest in marketable securities issued by or the joint liability of affiliated companies;

XII – invest in the shares of investment funds whose portfolio contains marketable securities

issued by and/or the joint liability of the insurance company, OPPE, investment firm or local

reinsurer, its controlling shareholders, companies that it holds a direct or indirect controlling

stake in, or affiliated companies or other companies under joint control; and

XIII – invest in assets that were issued by, the joint liability of or otherwise secured by a private

individual.

§ 1: The transactions referred to in item I must be exclusively for the purpose of portfolio

protection and spot market position synthesis;

§ 2: The prohibition on joint liability, referred to in item VIII, does not apply to:

I – insurance company participation in co-insurance or retrocession transactions, or

II – local reinsurer participation in reinsurance or retrocession transactions.

§ 3: The prohibitions referred to in item X of this Article do not apply to:

I – transactions relating to the merger or demerger of assets for purpose of a share capital

increase or reduction;

II – policyholders or participants in plans that, in such status, conduct transactions with an

insurance company, OPPE, investment firm or local reinsurer, when these are in the exclusive

performance of their corporate purpose, in accordance with the specific regulations issued by

the SUSEP;

III – service provision operations, provided that the contractual remuneration is compatible

with market values and the contracts have been approved by and are overseen by the

supervisory board and executive board of the insurance company, OPPE, investment firm or

local reinsurer;

IV – transactions that, respecting the prevailing regulations, are agreed between insurers,

OPPE, investment firms or local reinsurers as a result of operational agreements whose sole

objective is the promotion of product marketing regulated under the National Private

Insurance System (SNSP); and

V – risk transfer agreements made between insurers and reinsurers.


§ 4: The prohibitions referred to in items XI and XII do not apply to securities issued by the

National Treasury to credits securitized by the National Treasury or to securities issued by the

states or municipalities that are the objects of contracts under the terms of Law nº 9,496, of

September 11, 1997, or Provisional Measure nº 2,185-35, of August 24, 2001.

§ 5: The prohibition referred to in item XII does not apply to shares comprising a market index

that is a benchmark for the fund's investment policy, provided that the proportional

participation of each share in that index is observed.

§ 6: The prohibition referred to in item XIII does not apply to:

I – financial assistance granted in accordance with specific regulations issued by the SUSEP; or

II – investments in the shares of investment funds whose portfolio contains assets issued,

under joint liability or in any other way guaranteed by a private individual, as long as the

administrator or management institution considers such assets as low credit risk, based on the

classification made by a rating agency operating in Brazil.

Art. 92: In addition to the provisions of Art. 91, exclusively with regard to collateral assets,

insurance companies, OPPE, investment firms or local reinsurers are prohibited from:

I – offering collateral assets to secure transactions in the futures markets or in any other

situations;

II – selling, pledging or in any other way encumbering collateral assets or the rights deriving

therefrom, without explicit prior authorization from the SUSEP;

III – leasing, lending or pledging marketable securities;

IV – conducting share transactions through private negotiations;

V – offering as collateral shares issued by companies that are not listed for trading in the stock

market or in over the counter markets run by a CVM accredited entity, except in the cases

already authorized by the CMN and approved by the SUSEP, in accordance with paragraphs 4

and 5 of Art.77 of Supplementary Law nº 109, of May 29, 2001;

VI – offering assets that have not been accepted under the terms of the CMN regulations;

VII – offering permanent shareholdings as collateral, except in the cases already authorized by

the CMN and approved by the SUSEP, in accordance with paragraphs 4 and 5 of Art.77 of

Supplementary Law nº 109, of May 29, 2001; or

VIII – offering CPR secured by the insurance company itself or by an affiliated company.

Subsection IV

General Provisions of this Section

Art. 93: The distribution of shares, debentures and other marketable securities, as well as the

subscription bonuses of listed companies and deposit certificates relating to shares that

comprise the investments of insurance companies, OPPE, investment firms, local reinsurers or

FIE must be previously registered with the CVM.


Single paragraph: The provisions of this Article do not apply to cases where the prior

registration of the distribution has been waived by the CVM.

Art. 94: The marketable securities that comprise the investments of insurance companies,

OPPE, investment firms, local reinsurers or FIE shall be identified using an ISIN (International

Securities Identification Number) code.

Section II

Investment of the Funds Required in Brazil to Secure the Liabilities of an Admitted Reinsurer

Art. 95: The funds required in Brazil to secure the liabilities of an admitted reinsurer are to be

held in accounts linked to the SUSEP and must be:

I – deposited, in foreign currency, in a bank authorized to operate in the foreign exchange

market in Brazil; or

II – invested, following conversion into reais, and deposited, in the name of the admitted

reinsurer, with a custodian or registered with a system of registration and deposited in specific

individual accounts held at the BM&FBOVESPA, CETIP or SELIC, as appropriate.

§ 1: The admitted reinsurer shall authorize the financial institution that maintains the account,

referred to in item I, to make available to the SUSEP the information relating to the daily

turnover and balance of such account.

§ 2: The admitted reinsurer shall authorize the managers of the systems, institutions and

entities, referred to in items I and II, to make available to the SUSEP the information pertaining

to its investments.

Art. 96: In relation to the funds required in Brazil to secure its liabilities, it is forbidden for an

admitted reinsurer, directly or indirectly, to:

I – lease, lend or pledge marketable securities;

II – have as a counterparty in its transactions, even if indirectly, the institution responsible for

the management of its investments or investment fund(s), or any of its affiliates;

III – have an affiliated company as a counterparty in its transactions, even if indirectly;

IV – invest in investment funds whose portfolios are managed by private individuals, or in

portfolios that are managed by private individuals;

V – invest in marketable securities issued by and/or the joint liability of the institution

responsible for managing its investments, or those if its affiliates;

VI – invest in marketable securities issued by and/or the joint liability of affiliated companies or

other companies that are under joint control;

VII – invest in investment funds whose portfolio contains marketable securities that were

issued by and/or are the joint liability of:

a) the institution responsible for the management of its investments or those of its controllers,

direct or indirect subsidiaries, affiliated companies or other companies that are under joint

control; or

b) the admitted reinsurer itself, its controllers, its direct or indirect subsidiaries, affiliated

companies or other companies that are under joint control.


VIII – invest in assets that were issued by, are the joint liability of or in any other way are

guaranteed by a private individual;

IX – offer assets that are not accepted under the terms of the CMN regulations.

Art. 97: The marketable securities that comprise the investments of the admitted reinsurer

shall be identified using an ISIN (International Securities Identification Number) code.

TITLE III

RULES GOVERNING TRANSPARENCY AND DISCLOSURE

CHAPTER I

Accounting Standards

Art. 98: The supervised bodies must observe the Accounting Standards, in accordance with the

specific regulations published by the SUSEP.

CHAPTER II

Independent Actuarial Auditing


I – independent actuary: the private individual or legal entity responsible for performing the

independent actuarial audit;

II – technically responsible actuary: the actuary responsible for calculating the technical

provisions, for the actuarial technical notes and for the actuarial information presented by the

supervised bodies to the SUSEP, as well as any other duties provided for in specific regulations;

III – member responsible for the independent actuarial auditing: a person with technical

responsibility, a director, manager, supervisor or any other person in a management role who

is a member of the team responsible for the work of the independent actuarial auditing;

IV – serious error: an error that results in material inaccuracy in the calculation of the technical

provisions or in the actuarial information submitted to the SUSEP;

V – Consistency test: comparison between the established and effectively observed amounts,

for the purpose of assessing the adequacy of the amounts estimated on previous base dates;

and

VI – actuarial recalculation: recalculation of the amounts estimated or determined on previous

base dates, using updated databases or different methodologies and assumptions to those

used originally.


Section I

Minimum Requirements

Art. 100: The members responsible for the independent actuarial auditing must meet, at the

very least, the following requirements:

I – have valid registration and specific certification with the Brazilian Institute of Actuaries

(IBA);

II – have more than 3 (three) years’ experience in providing actuarial services;

III – meet the independence requirements defined in this Chapter; and

IV – meet any other requirements set out in this Resolution and in the rules to be published by

the SUSEP.

Section II

Independence Requirements

Art. 101: Any of the following situations shall be considered non-compliance with the actuarial

auditing independence requirements:

I – any case of impediment or incompatibility for the provision of independent actuarial

auditing services provided for in the IBA rules and regulations received by the SUSEP;

II – existence of a marital or family relationship, without limit to degree in direct bloodline, to

the 3rd degree in terms of a common ancestor or up to the 2nd degree in terms of affinity,

between a member responsible for the independent actuarial auditing, at a supervised body or

at any of its subsidiaries, affiliates or equivalent, and an administrator, controlling shareholder,

partner or employee who has influence over the management of the business or who is

responsible for the actuarial services at the supervised body;

III – a direct or indirect shareholding, of a member responsible for the independent actuarial

auditing, in the supervised body or at any of its subsidiaries, affiliates or equivalent;

IV – existence, on the part of a member responsible for the independent actuarial auditing, of

a direct, immediate or mediate, financial interest or substantial indirect financial interest in the

supervised body, for business dealings of any kind or the carrying out of joint ventures;

V – participation in the provision of independent actuarial auditing services, by a member

responsible for the independent actuarial auditing, at the same supervised body during the

financial year preceding the periodic replacement determined in Art. 109;

VI – existence of a member responsible for the independent actuarial auditing who has or

continues to participate in the consulting services that have provided actuarial services to the

supervised body within the last 3 (three) years; and

VII – existence of a member responsible for the independent actuarial auditing who has or has

had, within the last 2 (two) years, a direct or indirect working relationship, as an employee,

administrator or collaborator on the payroll, with the supervised body.


§ 1: At the time of hiring, the independent actuary must provide a formal declaration stating

that the services shall not be in conflict with the situations described in items I to VII, either at

the time of hiring or throughout the period the services are provided.

§ 2: Should any of the situations described, regarding subsidiaries, affiliates or equivalent, arise

in relation to the the independent actuary, it would mean the prohibition of hiring and

retaining same.

Art. 102: The provisions of this Section do not waive the need for checking, by the supervised

bodies and independent actuaries, of other situations that could affect the independence of

the actuarial auditing services.

Art. 103: Supervised bodies are forbidden to hire a responsible member of the team involved

in the work of the independent actuarial auditing for the preceding year, for a position related

to services that would be considered as impediment or incompatibility for the provision of

independent actuarial auditing services or that would make it possible to influence the

management of the supervised body.

Art. 104: The supervised body should include in the contract for the provision of independent

actuarial auditing services a clause whereby the independent actuary undertakes to deliver a

document containing his or her policy of independence, which should also be made available

to the SUSEP.

Single paragraph: The document referred to in the above clause must show, in addition to the

situations provided for in this Regulation, any others that, at the discretion of the independent

actuary, could affect his or her independence, as well as his or her adopted internal control

procedures for monitoring, identifying and avoiding such situations.

Section III

Responsibility of the Supervised Bodies

Art. 105: Should non-compliance with the requirements of this Resolution be ascertained, the

supervised body shall be held liable and the actuarial services shall be considered void, in

terms of compliance with the regulations issued by the CNSP and the SUSEP.

Art. 106: The supervised bodies must provide independent actuary with all the data,

information and conditions necessary for the effective performance of the services provided.

Art. 107: The supervised bodies should take the necessary steps to immediately replace the

independent actuary in the event that any serious errors committed in the performing of his or

her duties are detected.

Art. 108: The supervised bodies should appoint a technically responsible director to answer to

the SUSEP for the monitoring, supervision and fulfillment of the actuarial procedures provided

for in the current regulations.

Single paragraph: The technically responsible director shall be held accountable for the

information provided and the occurrence of any situations indicating fraud, negligence,

carelessness or incompetence in the performing of his or her duties, without prejudice to the

application of the penalties provided for in the prevailing legislation.


Section IV

Periodic Replacement of the Independent Actuary

Art. 109: The supervised bodies shall, every 5 (five) complete financial years, replace the

independent actuary and the members responsible for the independent actuarial auditing.

§ 1: The return of an independent actuary or member responsible for the independent

actuarial auditing may only take place 3 (three) years after his or her replacement.

§ 2: Supervised bodies are to report to the SUSEP the reasons for the replacement of the

independent actuary or members responsible for the independent actuarial auditing, 15

(fifteen) days prior to the deadline set in the main clause, stating the justifications and

ensuring the independent actuary is aware of the justifications put forward.

§ 3: If the independent actuary disagrees with the reasons stated by the supervised body for

his or her replacement, he or she must send to the SUSEP the reasons for their disagreement,

within 15 (fifteen) days from the date they became aware of same.

Section V

Independent Actuarial Auditing Documents

Art. 110: The supervised bodies must ask the independent actuary to produce the following

documentos:

I – report on the independent actuarial audit;

II – actuarial opinion; and

III – any other documents requested by the SUSEP.

§ 1: In the case of DPVAT insurance, the engaging of independent actuarial auditing services is

the exclusive responsibility of the insurance company managing the consortia.

§ 2: The supervised bodies must keep on file all the documents referred to in this Article, in

digital or electronic format, for a minimum period of 5 (five) years.

Art. 111: The report on the independent actuarial audit should contain conclusive analysis of

the following:

I – the technical provisions, the amounts reducing the coverage requirements for the technical

provisions, databases, retention limits and reinsurance transactions, as provided for in

Addendums XXVII, XXVIII and XXIX;

II – the portfolios and plans showing shortfalls;

III – alignment of the data, assumptions and procedures used in calculating the Minimum

Capital Requirement, defined by the standards set by the SUSEP;

IV – alignment of the data, assumptions and procedures used in applying in-house

methodologies approved by the SUSEP and developed for determining the capital

requirements, where appropriate;

V – the solvency of the supervised body;

VI – the impact of the provisos made by the internal auditors or previous independent auditors

and the opinions of the technically responsible actuary, in relation to technical and actuarial

matters or factors that could affect the solvency of the supervised body; and


VII – any other studies that the independent actuary considers to be necessary.

§ 1: The SUSEP may call for other analyses, in addition to those specified in this Article.

§ 2: The supervised bodies must send to the SUSEP the report on the independent actuarial

audit and the actuarial opinion, together with a plan of action determined by the supervised

body to correct any problems ascertained by the independent actuary.

§ 3: The report on the independent actuarial audit must:

I – contain a clear and objective description of the methodology used in the preparation;

II – be made available to the supervised body by March 31st; and

III – be delivered to SUSEP by April 30th, together with the report of the technically responsible

actuary specified in Art. 113.

§ 4: The report on the independent actuarial auditing of the insurance company responsible

for managing the DPVAT insurance consortia should also be made available to all the

participating supervised bodies by April 30th.

§ 5: The base date for the preparation of the report on the independent actuarial audit is

December 31st of the year preceding its delivery to the SUSEP.

Art. 112: The actuarial opinion must contain:

I – a statement about the quality of the data that formed the basis for the preparation of the

independent actuarial audit, as well as the alignment of such data with those sent to the

SUSEP;

II – a conclusive assessment regarding the adequacy of the technical provisions and the

reinsurance or retrocession assets;

III – other significant situations observed in the analyses and studies performed; and

IV – the signature of the person with technical responsibility for the preparation of the

independent actuarial audit, indicating his or her MIBA registration number and the CNPJ and

CIBA registration numbers of the firm responsible for the preparation of the independent

actuarial audit, as the case may be.

Single paragraph: The actuarial report should be published together with the annual financial

statements.

Section VI

Report of the Technically Responsible Actuary

Art. 113: The technically responsible actuary is to prepare a report containing his or her

opinion about the documents produced by independent actuarial audit mentioned in Art. 110.

§ 1: In the event that the independent actuary confirms a shortfall in the technical provisions

or in the amounts offered to reduce the coverage requirements for the technical provisions,

the technically responsible actuary should present his or her explanation or the new

calculation methodology for same, together with the actuarial recalculation.

§ 2: The provisions of § 1 also apply to any other estimates, in relation to the actuarial

calculations, that have been identified in the independent actuarial audit as being inadequate.


§ 3: The supervised bodies must send to the SUSEP, by the April 30th deadline, the report

referred to in the main clause, bearing the signature of the technically responsible actuary and

of the technical director of the supervised body.

§ 4: The report referred to in the main clause must be kept on file, in digital or electronic

format, for a minimum period of 5 (five) years.

Section VII


Art. 114: The director with technical responsibility, the technically responsible actuary and the

independent actuary shall, individually or jointly, within 10 (ten) business days from the

confirmation of the fact, formally communicate to the SUSEP the existence of any:

I – serious errors;

II – fraud perpetrated by the management of the supervised body;

III - significant fraud perpetrated by employees of the supervised body or by third parties; and

IV – evidence that the supervised body is at risk of insolvency or discontinuation, including

failure to comply with laws and regulations.

Single paragraph: The director with technical responsibility, the technically responsible actuary

and the independent actuary must immediately communicate amongst themselves whenever

any of the events referred to in this Article are identified.

Art. 115: The contracts between the supervised bodies and their respective independent

actuaries must contain specific clauses authorizing access by SUSEP, at any time, upon formal

request, to the working papers of the independent actuary and any documents that have

served as a basis or evidence for the issuing of the reports specified in this Chapter.

Art. 116: The SUSEP has the right to, at any time, approve and/or determine the replacement

of the independent actuary appointed by the supervised body.

Art. 117: The SUSEP, at any time it deems necessary, may require that additional actuarial

services, not provided for in this Chapter, be carried out by independent actuary to be hired by

a supervised body.

Art. 118: In providing actuarial services to the supervised bodies, the actuarial rulings issued by

the IBA and accepted by the SUSEP, as well as the general actuarial standards, must be

observed, provided that they do not conflict with the legal provisions and regulations of the

CNSP and the SUSEP.

Art. 119: The supervised bodies may not hire or retain to perform the duties of an independent

actuary any person who was responsible for a serious error committed in the performing of

their functions, for a period of up to 5 (five) years, depending on the seriousness of the error,

in accordance with the specific regulations.

§ 1: In the event of a recurrence, the period referred to in the above clause shall be doubled.

§ 2: In the event that the error committed was not of a serious nature, the actuary shall be

given a warning, and in the event of a recurrence, the new error shall be considered a serious

one.


Art. 120: The SUSEP is hereby authorized to determine the minimum information to be

included in the documents specified in this Chapter.

Single paragraph: The SUSEP may ask the supervised body to present specific additional

assessments and reports, prepared by its technically responsible actuary or the independent

actuary, according to the needs in each case, as a supplementary supervision tool.

CHAPTER III

Independent Financial Auditing

Art. 121. For the purposes of this Chapter, it shall be considered that:

I – financial conglomerate: any group of companies, including financial holdings, that are

subject to common control or dominant influence and conduct financial activities in at least

two of the following sectors: banking, insurance or securities;

II – insurance group: any group of companies that are subject to common control or dominant

influence and conduct business and/or activities related to insurance, reinsurance, open

supplementary private pensions or capitalization;

III - leading institution within a financial conglomerate or insurance group: the one that

controls the financial conglomerate or insurance group;

IV – subsidiaries: those companies in which the investor, directly or Indirectly, holds the

shareholding rights that ensure a permanent controlling majority in corporate decisions and

the power to elect or dismiss most of the management;

V – equivalent to a subsidiary:

a) an affiliate, agency, branch, office or representative office abroad, whenever the respective

assets and liabilities are not included in the accounts of the investor, pursuant to specific

regulations;

b) a company in which the permanent shareholding rights, as set out in item II of Article 2, are

under joint control or are exercised under a voting agreement, regardless of the voting capital

percentage held; or

c) a fully-owned subsidiary, in which the investor is the only shareholder.

IX - independent financial auditor: private individual or legal entity, duly qualified and

registered with the CVM, engaged to provide independent financial auditing services; and

X - member responsible for the independent financial auditing: a person with technical

responsibility, a director, manager, supervisor or any other person in a management role who

is a member of the team responsible for the work of the independent financial auditing.

Section I

Independence Requirements of the Financial Auditor

Art. 122: In any of the following situations, the supervised bodies cannot hire or retain the

independent financial auditor:


I - impediment or incompatibility for the provision of the independent financial auditing

services provided for in the rules and regulations of the CVM, the CFC or the Brazilian Institute

of Independent Auditors (IBRACON); and

II - payment by the audited supervised body, alone or jointly with any of its subsidiaries,

affiliates or equivalent, of fees and reimbursement of the expenses of the independent

financial auditor, in relation to the base year of the financial statements that are the object of

the financial audit, equivalent to or greater than 25% (twenty-five percent) of the total billing

of the independent financial auditor in that year.

Single paragraph: At the time of hiring, the independent financial auditor must provide a

formal declaration that his or her services shall not correspond to the situations provided for in

items I and II at the time of hiring or during the period when the services are being provided.

Art. 123: The supervised bodies cannot hire a person who is a member of the team responsible

for the work of the auditing of the financial statements of the current and previous financial

years, for a position related to services that would be considered as impediment or

incompatibility for the provision of independent financial auditing services or that would make

it possible to influence the management of the supervised body.

Art. 124: At the time of hiring, the independent financial auditor must provide a document

containing his or her policy of independence, to the supervised body, for its Audit Committee,

and should also be made available, upon request, to the SUSEP.

Single paragraph: The document referred to in the above clause must show, in addition to the

situations provided for in this Regulation, any others that, at the discretion of the independent

financial auditor, could affect his or her independence, as well as his or her adopted internal

control procedures for monitoring, identifying and avoiding such situations.

Section II

Requirements

Art. 125: The financial statements of the supervised bodies must be audited by an independent

financial auditor.

§ 1: The supervised bodies may only hire independent financial auditors, whether private

individuals or legal entities, who are registered with the CVM and meet the minimum

requirements set out in this Chapter and by the SUSEP.

§ 2: Should non-compliance with the provisions of § 1 be ascertained, the manager shall be

held liable, the independent financial auditing services provided shall be considered void and

the supervised body shall submit for authorization by the SUSEP a proposal for replacement of

the independent financial auditor.

Section III

Responsibility of the Supervised Bodies

Art. 126: The supervised bodies are to provide the independent financial auditor with all the

data, information and conditions necessary for effective performance in the provision of the

services, as well as a Management Representation Letter, in accordance with the rules of the

Federal Accounting Board (CFC).


Art. 127: The bodies supervised shall appoint a director responsible for accounting, to answer

to the SUSEP for the monitoring, supervision and compliance with the rules and accounting

procedures established in the prevailing regulations.

§ 1: The director responsible for accounting shall be held accountable for the information

provided and the occurrence of any situations indicating fraud, negligence, carelessness or

incompetence in the performing of his or her duties, without prejudice to the application of

the penalties provided for in the prevailing legislation.

§ 2: At the supervised bodies, where an Audit Committee has not been set up under the terms

of Section V, the director responsible for accounting shall also be responsible for the

monitoring, supervision and compliance with the rules and procedures of independent

financial auditing provided for in the prevailing regulations.

Section IV

Periodic Replacement of the Independent Financial Auditor

Art. 128: The supervised bodies shall, every 5 (five) complete financial years, following the

issuing of the reports of the independent financial auditors on the financial statements closed

on the December 31st base date, replace the independent financial auditor and the members

responsible for the independent financial auditing.

§ 1: The time period established in the above clause for the obligatory periodic replacement of

the independent financial auditor and the responsible members begins in the 2015 financial

year.

§ 2: The return of an independent financial auditor or member responsible for the

independent financial auditing may only take place 3 (three) years after his or her

replacement.

§ 3: Supervised bodies are to report to the SUSEP the reasons for the replacement of the

independent financial auditor or members responsible for the independent financial auditing ,

15 (fifteen) days prior to the deadline set in the main clause, stating the justifications and

ensuring the independent financial auditor is aware of the justifications put forward.

§ 4: If the independent financial auditor disagrees with the reasons stated by the supervised

body for his or her replacement, he or she must send to the SUSEP the reasons for their

disagreement, within 15 (fifteen) days from the date they became aware of same.

Section V

Audit Committee

Art. 129: The supervised bodies that have, at the close of the last 2 (two) financial years,

shown an ANE of more than R$ 500,000,000 (five hundred million reais) or technical provisions

totalling over R$ 700,000,000 (seven hundred million reais) must set up a statutory body

known as an “Audit Committee”, by March 31st of the following financial year.

§ 1: The Audit Committee is to perform its duties as of the financial year in which it is set up.

§ 2: Use of the term “Audit Committee” must be limited to the statutory body set up under the

terms of this Chapter.

§ 3: In the case of supervised bodies participating in a financial conglomerate or insurance

group, the aforementioned conditions will be applicable considering the sum of the ANE or

Technical Provisions of each of the participating supervised bodies in the financial

conglomerate or insurance group.


§ 4: Supervised bodies that do not meet the conditions provided for in the main clause, but

nevertheless choose to set up an Audit Committee, must comply with the provisions of this

Resolution.

Art. 130: The Audit Committee must comprise a minimum of 3 (three) members, each serving

a maximum term of 5 (cinco) years.

§ 1: The number of members, the criteria for their appointment, dismissal, remuneration and

term of office, as well as the duties of the Audit Committee, must all be defined in the by-laws

of the supervised body.

§ 2: At least one of the members of the Audit Committee must be familiar with the accounting

and financial auditing areas in the markets in which the supervised body operates.

§ 3: The knowledge referred to in the previous paragraph must be supported by confirmation

that the following requirements have been met:

I - background compatible with the necessary corporate accounting knowledge;

II –knowledge of generally accepted accounting principles and ability to evaluate the

application of these principles in relation to the main accounting estimates;

III –experience in preparing, auditing, analyzing or evaluating financial statements that have

the level of coverage and complexity comparable to those of the company; and

IV – knowledge of internal controls.

§ 4: An Audit Committee member may only be reinstated 3 (three) years after the end of their

previous term.

§ 5: The function of an Audit Committee member cannot be delegated.

§ 6: In the case of a mandate less than that foreseen in the caput, this may be renewed up to a

maximum of five (5) years.

Art. 131: Supervised bodies that are members of a financial conglomerate or insurance group

may set up a single Audit Committee at the leading institution within the financial

conglomerate or insurance group.

§ 1: If the leading institution within the financial conglomerate or insurance group is not a

supervised body, exercising the option provided for in the above clause is subject to meeting

the requirements contained in this Section.

§ 2: If the option contained in the caput is adopted, the summary report prepared by the

leading institution’s Audit Committee, to comply with the requirements of § 2 of art. 136, must

specifically mention the supervised body and relevant issues related to it, independent of

being relevant to the leading institution within the financial conglomerate or insurance group.

Art. 132: Requirements for membership in the Audit Committee are:

I - Compliance with the rules that set conditions for the exercising of positions in statutory

bodies of supervised bodies;

II – Not being or not having been, during the current and previous fiscal year:

a) an employee or officer of the supervised body or its subsidiaries, affiliates or associated

companies;


b) or member responsible for independent financial auditing in the supervised body; or

c) member of the fiscal council of the supervised body or its subsidiaries, affiliates or

associated companies.

III - Not be a spouse, relative in direct or collateral line, to the third degree, and by affinity, to

the second degree, of the persons mentioned in lines "a" to "c" in the preceding item; and

IV - Not receive any other type of compensation from the supervised body or its subsidiaries,

affiliates or associated companies, other than that relating to his/her function as a member of

the Audit Committee.

Single paragraph: For supervised bodies that are under the control of the federal, state or

Federal District government, the following conditions also apply to exercising the function of

an Audit Committee member:

I - not being or not having been in the current year and the previous one the occupant of any

effective position or be on leave from the respective governments; and

II - not being or not having been in the current year and the previous one the occupant of any

paid position from the respective governments.

Art. 133: The Audit Committee is to report directly to the supervisory board of the supervised

body or of the leading institution within the financial conglomerate or insurance group, as the

case may be.

Single paragraph: if there is no supervisory board, the Audit Committee is to report to the

chairperson or CEO and the general shareholders’ meetings of the supervised body.

Art. 134: The duties of the Audit Committee are:

I - to establish operating rules for its own operation, which must be formalized in writing,

approved by the supervisory board or, if there isn’t one, by the chairperson or CEO of the

supervised body or by the supervisory board of the leading institution within the financial

conglomerate or insurance group and made available to the respective shareholders on the

occasion of a shareholders’ OGM;

II - recommend, to the administration of the supervised body, the company to be hired for the

rendering of independent financial auditing services, as well as the replacement of the current

provider of these services, when considered necessary;

III - review, prior to disclosure, the financial statements relating to the periods ending on June

30th and December 31st, including the notes to the financial statements, the management

reports and the Report of the Independent Auditors on the Financial Statements;

IV - evaluate the effectiveness of the internal and independent accounting audits, including

regarding the verification of compliance with legal requirements and applicable regulations, as

well as internal regulations and codes;

V - evaluate the acceptance, by the management of the supervised body, the

recommendations made by the independent and internal accounting auditors, or the reasons

for their non-acceptance;

VI - evaluate and monitor the processes, systems and controls implemented by management

for the receipt and handling of information about non-compliance by the supervised body with

the legal and regulatory provisions applicable to it, in addition to its internal regulations and

codes, ensuring that they implement effective mechanisms that protect the provider of the

information and his/her confidentiality;


VII – recommend to the chairperson or CEO of the supervised body or to the executive board

of the leading institution within the financial conglomerate or insurance group, correction and

improvement of policies, practices and procedures identified within the scope of its

attributions;

VIII – have a meeting, at least every six months, with the chairperson or CEO of the supervised

body or with the executive board of the leading institution within the financial conglomerate

or insurance group and those responsible for the independent financial auditing and for the

internal financial auditing, to verify compliance with its recommendations or inquiries,

including those relating to the planning of the work of the accounting audit, formalizing,

through minutes, the content of such meetings;

IX - verify, with regard to the meetings provided for in item VIII, compliance by the executive

board of the supervised body with its recommendations;

X – to meet with the Fiscal Council and the supervisory board of the supervised body or of the

leading institution within the financial conglomerate or insurance group, both at its own

request and the Committee’s initiative, to discuss policies, practices and procedures identified

within their respective areas of competences; and

XI – any other duties determined by the SUSEP.

Art. 135: The Audit Committee may, within its attributions, use the services of experts, but not

failing to fulfill its own responsibilities

Art. 136: The Audit Committee must draw up a document known as the Report of the Audit

Committee, at the end of every half year to June 30th and December 31st, containing, at the

very least, the following information:

I –activities carried out in the period within its attributions;

II – assessment of the effectiveness of the supervised body’s internal controls, reporting any

shortcomings that were detected;

III - description of the recommendations submitted to the President or CEO, specifying what

was not addressed, with the respective reasons;

IV - evaluation of the effectiveness of the independent and internal financial auditing,

including on the monitoring of compliance with legal and regulatory requirements applicable

to supervised body in addition to its internal regulations and codes, specifying detected

shortcomings; and

V - assessment of the quality of the financial statements for the respective periods, with

emphasis on the application of accounting practices adopted in Brazil and in compliance with

rules issued by CNSP and SUSEP, presenting detected shortcomings.

§ 1: Supervised bodies must make available to the SUSEP and the supervisory board or, if there

isn’t one, the chairperson or CEO of the supervised body or to the supervisory board of the

leading institution within the financial conglomerate or insurance group, the report referred to

in the provisions of the main clause, for a minimum period of 5 (five) years from when it was

prepared.

§ 2: The supervised bodies must disclose, together with the interim and annual financial

statements of the supervised body or of the leading institution within the financial

conglomerate or insurance group, a summary of the Report of the Audit Committee divulging

the main information contained in that document.

§ 3: In the case of supervised bodies where the summary of the Report of the Audit Committee

was disclosed in the financial statements of the leading institution within the financial

conglomerate or insurance group, that fact must be reported in the notes to the financial

statements of the respective supervised bodies.


Art. 137: Termination of the Audit Committee shall only occur when the supervised body no

longer meets the conditions defined in the main clause of Article 129 and only after it has

fulfilled its duties in relation to the financial years during which it functioned.

Seção VI

Da Aplicabilidade das Normas Gerais de Auditoria Contábil Independente

Art. 138. Na prestação de serviços de auditoria contábil independente para as supervisionadas,

deverão ser observadas as normas e procedimentos de auditoria contábil determinados pela

CVM, pelo CFC, e pelo Ibracon, subsidiariamente às normas do CNSP e da Susep.

Section VI

Applicability of the General Standards of Independent Financial Auditing

Art. 138: The financial auditing standards and procedures determined by the CVM, the CFC and

IBRACON, where they do not conflict with the rules of the CNSP and the SUSEP, are to be

observed in the provision of independent auditing services to the supervised bodies.

Section VII

Independent Financial Auditing Documents

Art. 139: The supervised bodies must ask the independent financial auditor to produce the

following documents:

I – Report of the Independent Auditor on the Financial Statements;

II – Comprehensive report on:

a) the adequacy of the accounting procedures and practices for disclosure of the information

in the financial statements;

b) the adequacy of the internal controls in relation to the risks incurred by the supervised

body, reporting any shortcomings identified in the course of the financial auditing, as well as,

where appropriate, any recommendations with a view to remedying those shortcomings; and

III – any other documents that may be requested by the SUSEP.

§ 1: The reports referred to in item II should include the opinions and action plan of the

supervised body for remedying the identified shortcomings and the deadlines for carrying out

the proposed action.

§ 2: The supervised bodies must maintain, for a minimum period of 5 (five) years, the Report of

the Independent Auditors on the Financial Statements, together with the abovementioned

reports, as well as any other documents relating to the financial audit that was carried out.

Art. 140: The supervised bodies should send to the SUSEP the documents referred to in items I,

II and III of Art. 139, resulting from the examination of the financial statements of June 30th

and December 31st, by October 31st of that same financial year and by April 30th of the

following financial year, respectively.

Art. 141: The quarterly questionnaires contained in the SUSEP Periodic Information Form

should be evaluated by the independent financial auditor and the supervised bodies are

required to submit to the SUSEP the respective report on the financial auditing within the

following specified periods:

a) 1st quarter questionnaire: by May 31st of the same financial year;

b) 2nd quarter questionnaire: by September 30th of the same financial year;

c) 3rd quarter questionnaire: by November 30th of the same financial year; and

d) 4th quarter questionnaire: by March 31st of the following financial year.


§ 1: The report of the independent financial auditor, specified in the main clause, must

describe the previously agreed procedures and the conclusions reached with regard to each

question.

§ 2: The location reinsurers must submit the reports of the financial auditors on the quarterly

questionnaires by the 30th day of the month following those set out in this Article.

Section VIII

Certification

Art. 142: The members responsible for the independent financial auditing of the supervised

bodies must be registered with the National Register of Independent Auditors (CNAI) and,

where applicable, must have passed in a specific examination prepared by the CFC, together

with IBRACON.

§ 1: Retaining certification, on the part of the professional, is conditional upon attending an

ongoing program of education, in the format and under the conditions established by the CFC.

§ 2: In the case of a financial auditor who has not performed the activities provided for in the

main clause for a period of 1 (one) year or more and has not met the requirements of the

ongoing program of education during that period, retaining a license is conditional upon

passing a new certification exam.

§ 3: The requirements mentioned in the main clause do not apply to the specialists who

provide support to the auditing of the financial statements.

Art. 143: The SUSEP is authorized to allow, at its discretion, certification by type of market or

set of activities.

Section IX


Art. 144: The director responsible for accounting, the independent financial auditor and the

Audit Committee, if there is one, must, individually or jointly, within 10 (ten) business days

from confirmation of the fact, formally communicate to the SUSEP the existence of any:

I - failure to comply with laws and regulations that jeopardize the continuity of the supervised

body;

II - fraud perpetrated by the management of the supervised body;

III - significant fraud perpetrated by employees of the supervised body or by third parties; and

IV - errors that result in material inaccuracies in the financial statements of the supervised

body.

§ 1: The concepts of error and fraud established in the rules and regulations of the CFC and/or

IBRACON are to be observed.


§ 2: The independent financial auditor, internal financial auditing and the Audit Committee

must immediately communicate amongst themselves whenever any of the events referred to

in this Article are identified.

Art. 145: The executive board of the supervised body must formally report to the independent

financial auditor and the Audit Committee or the CEO, within 24 (twenty-four) hours of

identification, the occurrence of any of the events referred to in Art. 144.

Art. 146: The contracts between the supervised bodies and the respective independent

financial auditors should include specific clauses authorizing SUSEP access at any time, upon

formal request, to the working papers of the independent financial auditor and to any

documents that have provided the basis or evidence for the issuing of any of the reports

specified in this Chapter.

Art. 147: The SUSEP has the right, at any time, to determine the replacement of the

independent financial auditor designated by the supervised body.

Art. 148: The SUSEP is hereby authorized to determine the minimum amount of information

that is to be included in the documents specified in this Chapter.

TITLE IV

FINAL CONSIDERATIONS

Art. 149: The SUSEP is hereby authorized to issue instructions and edit the supplementary

rules necessary for implementation of the terms of this Resolution.

Art. 150: This Resolution shall come into effect 30 (thirty) days after the publication date, with

the simultaneous revoking of CNSP Resolution nº 86, of August 19, 2002; CNSP Resolution nº

187, of April 29, 2008; CNSP Resolution nº 188, of April 29, 2008; CNSP Resolution nº 190, of

December 16, 2008; CNSP Resolution nº 226, of December 6, 2010; CNSP Resolution nº 228, of

December 6, 2010; Article 10 of CNSP Resolution nº 241, of December 1, 2011; CNSP

Resolution nº 265, of November 6, 2012; CNSP Resolution nº 271, of December 19, 2012; CNSP

Resolution nº 276, of January 30, 2013; CNSP Resolution nº 277, of January 30, 2013; CNSP



Resolution nº 292, of September 6, 2013; CNSP Resolution nº 300, of December 16, 2013;

CNSP Resolution nº 301, of December 16, 2013; CNSP Resolution nº 311, of June 16, 2014,

CNSP Resolution nº 312, of June 16, 2014, CNSP Resolution nº 316, of September 25, 2014;

and CNSP Resolution nº 317, of December 12, 2014.

Brasília, July 15, 2015.

ROBERTO WESTENBERGER

Superintendent of the Private Insurance Agency


------------------------------------------------------------------------------------------------------------------------------

3

ADDENDUM I

UNDERWRITING RISK CAPITAL - RISK OF WRITING/PRICING THE TRANSACTIONS

DEFINED IN ARTICLE 39 HEREOF

(Obs: não foi possível replica alguns símbolos, mas como não têm tradução, é só ver no original)

Art.1: Calculation of the amount of capital relating to the underwriting risk of writing/pricing

the transactions defined in Article 39 of this Resolution is to be based on the risk factors

contained in the tables of this Addendum, applying the following equation:

R.writing.damages = √ Ʃ51 i = 1 Ʃ51 j = 1 ( fprem i .premium m i ).( fprem j .premium m j ) ρprem i, j

Table 1 – Reduced Risk Factors

Risk of Writing/Pricing in Market Segment “i“

Business Line Region

1 2 3

1 0.23 0.23 0.23

2 0.24 0.24 0.24

3

4

5

6

7

8 0.26 0.24

9 0.36 0.36 0.36

10

11

12

13 0.30 0.30 0.30

14

15

16

17


44

Table 2 – Standard Risk Factors

Risk of Writing/Pricing in Market Segment “i“

Business Line Region

1 2 3

1 0.24 0.24 0.24

2

3 0.30 0.30 0.30

4

5

6

7

8 0.26

9 0.42 0.42 0.42

10

11

12

13

14

15

16

17


45

Single paragraph: Consider, for the purposes of this Addendum, the following definitions:

I – business line: the lines defined in Table 4 of Addendum III;

II – fprem i : factor relating to the risk of writing/pricing in market segment “i”;

III – premium m i : the amount of the premium withheld during the 12 months preceding the

month that "m" is calculated for market segment "i", and for premium calculation purposes

only those relating to risks already written should be considered;

IV – retained premiums: calculated according to the following equation: written premiums +

co-insurance premiums accepted – co-insurance premiums ceded – canceled premiums –

returned premiums – reinsurance premiums ceded + retrocession premiums accepted;

V – operational region: the regions defined in Table 3 of Addendum III;

VI – R.writing.damages: the amount of capital relating to the underwriting risk of

writing/pricing the transactions defined in Article 39 of this Resolution;

VII – market segment: a combination of business line and operational region, as defined in

Addendum III, within which the insurer operates or wishes to operate; and

VIII – ρprem i, j : the correlation factor for market segments "i" and "j", concerning the

writing/pricing risk, according to Table 1 of Addendum III.


46

ADDENDUM II

UNDERWRITING RISK CAPITAL - RISK OF CLAIMS PROVISIONS FOR THE TRANSACTIONS

DEFINED IN ARTICLE 39 HEREOF

Art.1: Calculation of the amount of capital relating to the underwriting risk of claims provisions

in relation to the transactions defined in Article 39 of this Resolution is to be based on the risk

factors contained in the tables of this Addendum, applying the following equation:

Rprov.damages = √ Ʃ17 k = 1 Ʃ17 l = 1 ( fprov k .claim m k ).( fprov l .claim m l ) ρprov k, l

Table 1 - Reduced Risk Factors

Risk of Claims Provisions for Business Line “k”

Business Line Fator (f prov k )

1 0.24

2 0.26

3 0.30

4 0.30

5 0.15

6 0.15

7 0.15

8 0.15

9 0.42

10 0.48

11 0.15

12 0.15

13 0.15

14 0.15

15 0.15

16 0.15

17 0.15


47

Table 2 – Standard Risk Factors

Risk of Claims Provisions for Business Line “k”

Business Line Factor (f prov k )

1 0.30

2 0.33

3 0.35

4 0.35

5 0.18

6 0.18

7 0.18

8 0.18

9 0.50

10 0.55

11 0.18

12 0.18

13 0.18

14 0.18

15 0.18

16 0.18

17 0.18


I – business lines: the lines defined in Table 4 of Addendum III;

II – fprov k : factor relating to the risk of claims provisions in business line “k”;

III – Rprov.damages: the amount of capital relating to the underwriting risk of claims provisions

for the transactions defined in Article 39 of this Resolution;

IV – claim m k : the amount of claims retained during the 12 months preceding the month that

“m” is calculated for Business line “k”;


48

V – retained claims: total claims incurred, net of reinsurance; and

VI – ρprov k, l : the correlation factor for business lines "k" and "l", concerning the claims

provision risk, according to Table 2 of Addendum III.


49

ADDENDUM III

UNDERWRITING RISK CAPITAL - CORRELATION MATRICES RELATING TO THE

WRITING/PRICING RISK AND CLAIMS RISK PROVISION AND DEFINITION OF THE MARKET

SEGMENTS

Art.1: The correlation matrix relating to the writing/pricing risk that is to be used in the

equation contained in Addendum I, comprising the correlations between the market segment

pairs, is shown in Table 1 of this Addendum:

Table 1

Correlation Matrix –Writing/Pricing Risk (ρ prem i, j )

i \ j 1 2 3 4 5 6 7 8 9 10

11

12

13

14

15

16

17

18

19

20

1

1.00

0.70

0.80

0.50

0.50

0.40

0.50

0.45

0.40

0.45

0.50

0.50

0.20

0.15

0.15

0.15

0.15

0.15

0.35

0.15

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25 (colocar todos os números no formato inglês, com pontos em vez de virgulas, como na 1ª linha)

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51


50

Table 1

Correlation Matrix –Writing/Pricing Risk (ρ prem i, j ) – continued

i \ j 21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

1

0.15

0.60

0.30

0.40

0.40

0.40

0.10

0.12

0.10

0.10

0.10

0.17

0.10

0.10

0.11

0.10

0.35

0.20

0.20

0.25

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24


26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51


51

Table 1

Correlation Matrix –Writing/Pricing Risk (ρ prem i, j ) – continued

i \ j 41 42 43 44 45 46 47 48 49 50 51

1 0.20 0.20 0.10 0.25 0.25 0.10 0.10 0.10 0.10 0.10 0.29

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24


26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51

52/53

Art.2: The correlation matrix relating to the claims provision risk risk that is to be used in the

equation contained in Addendum I, comprising the correlations between the business line

pairs, is shown in Table 2 of this Addendum:

Table 2

Correlation Matrix – Claims Provision Risk (ρ prov k, l )

k / l 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

1 1.00

0.70

0.80

0.89

0.50

0.50

0.50

0.60

0.85

0.85

0.50

0.50

0.52

0.65

0.50

0.50

0.50

2

3

4

5

6

7

8

9


11

12

13

14

15

16

17

54

Art.3: The market segments are determined by a combination of the operational regions and

and the business lines, as shown in Tables 3 and 4, below:

Table 3

Operational Region

Region States

1

Acre (AC), Alagoas (AL), Amapá (AP), Amazonas (AM), Bahia (BA), Ceará (CE), Federal District (DF), Goiás (GO), Maranhão (MA), Mato Grosso (MT), Mato Grosso do Sul (MS), Pará (PA), Paraíba (PB), Pernambuco (PE), Piauí (PI), Rio Grande do Norte (RN), Roraima (RR), Rondônia (RO), Sergipe (SE), Tocantins (TO)

2 Espírito Santo (ES), Minas Gerais (MG), Paraná (PR), Rio de Janeiro (RJ), Rio Grande do Sul (PAYG), Santa Catarina (SC)

3 São Paulo (SP)

Table 4

Business Lines

Business Line Name of the Business Line

Class Code Name of the Class

1 Residential 0114 Homeowners insurance

2 Condominium 0116 Condo insurance

55

3 Business 0118 Business insurance

0111 Traditional Fire insurance (run-off)

0112 Assistance – Goods in General

0115 Theft

0141 Loss of Profits

4 Other Property 0167 Engineering Risks

0171 Sundry Risks

0173 Bank insurance

0196 Named and Operational Risks

0542 Assistance and Other Coverage – Auto

0743 Stop Loss

5 Special Risks

0234 Petroleum Risks

0272 Nuclear Risks

0274 Satellite insurance

56

6 Civil Liability

0351 General Civil Liability

0310 Directors and Officers (D&O) Civil Liability

0313 Environmental Risk Civil Liability

0378 Professional Civil Liability

7 Hull 0433 Marine insurance (run-off)

0435 Aviation insurance (run-off)

0437 Hangar Civil Liability (run-off)

1417 Port Operator insurance

1433 Marine (Hull)

1535 Aviation (Hull)

1537 Hangar Civil Liability

1597 Air Carrier Civil Liability

57

Table 4

Business Lines – continued

Business Line

Name of the Business Line

Class Code

Name of the Class

8 Auto

0520 Personal Accident - Passengers

0523 Interstate and International Road Carrier Civil Liability (run-off)

0524 Extended Warranty / Warranty Extension – Auto

0525 Green Card international insurance certificate

0526 Popular Used Car insurance

0531 Auto body insurance

0544 International Carrier Personal Injury Civil Liability (run-off)

0553 Optional Civil Liability – Vehicles

0623 Interstate and International Road Carrier Civil Liability – Buses

0628 Optional Civil Liability – Buses

0644 International Carrier Personal Injury Civil Liability – Blue Card international certificate

1428 Optional Civil Liability – Watercraft

1528 Optional Civil Liability – Aircraft

9 Domestic Transport

0621 Transport in Brazil

0654 Road Carrier Civil Liability – Cargo

0655 Carrier Civil Liability – Cargo Deviation

58

10 Other Transport

0622 International Transport

0627 Intermodal Carrier Civil Liability (run-off)

0632 International Carrier Civil Liability – Cargo

0638 Rail Carrier Civil Liability – Cargo

0652 Air Carrier Civil Liability – Cargo

0656 Waterway Carrier Civil Liability – Cargo

0658 Multimodal Carrier Civil Liability – Cargo

11 Financial Risks

0739 Financial Guarantee (run-off)

0740 Private Obligations Guarantee (run-off)

0745 Public Obligations Guarantee (run-off)

0746 Rental Surety insurance

0747 Public Concessions Guarantee (run-off)

0750 Judicial Guarantee (run-off)

0775 Guarantee insurance – Public Sector

0776 Guarantee insurance – Private Sector

59

12 Credit

0748 Domestic Credit insurance

0749 Export Credit insurance

0819 Export Credit – Commercial Risks (run-off)

0859 Export Credit – Political Risks (run-off)

0860 Domestic Credit – Commercial Risks (run-off)

0870 Domestic Credit – Private Individual Risks (run-off)

13 Group Life 0929 Funeral insurance

0993 Life insurance

60

Table 4

Business Lines – continued

Business Line

Name of the Business Line

Class Code

Name of the Class

14 Other Personal

0936 Loss of Pilot’s License

0969 Travel insurance

0977 Credit insurance (except Mortgage and Rural)

0980 Educational insurance

0981 Accident insurance – Individual (run-off)

0982 Accident insurance

0984 Serious or terminal Illness

0987 Unemployment/Loss of Income

0990 Random Events

1336 Loss of Pilot’s License

1369 Travel insurance

1377 Credit insurance (except Mortgage and Rural)

1380 Educational insurance

1381 Accident insurance

1384 Serious or Terminal Illness

1387 Unemployment/Loss of Income

1390 Random Events

61

15 Mortgage

1068 Non-SFH Mortgage insurance (run-off)

1061 Private market Mortgage insurance – Lenders

1065 Private market Mortgage insurance – Other Coverage

16 Rural/Animals

1101 Agricultural insurance (without FESR coverage)

1102 Agricultural insurance (with FESR coverage)

1103 Livestock insurance (without FESR coverage)

1104 Livestock insurance (with FESR coverage)

1105 Aquaculture insurance (without FESR coverage)

1106 Aquaculture insurance (with FESR coverage)

1107 Forest insurance (without FESR coverage)

1108 Forest insurance (with FESR coverage)

1109 Rural Product Note insurance

1130 Farm Products and Improvements insurance

1162 Rural Lien

1163 Rural Lien - Public Financial Institutions (run-off)

1164 Animal insurance

62

17 Others

0195 Extended Warranty / Warranty Extension - Goods in General

1198 Farmers Life insurance

1279 Insurance Abroad

1285 Health – Local Reinsurer

1299 Branches Abroad

- Other classes not listed and not excluded by the regulations

63

ADDENDUM IV

UNDERWRITING RISK CAPITAL - RISK IN THE PROVISIONS FOR INCIDENTS OCCURRING

DURING THE TRANSACTIONS DEFINED IN ARTICLE 40 OF THIS RESOLUTION

Art.1: Calculation of the amount of capital relating to the underwriting risk of the provisions

for incidents occurring during the transactions defined in Article 40 of this Resolution is to be

based on the corresponding risk factor shown in Table 1 of this Addendum, when applying the

following equation:

R.prov.life.pens = risk factor x (IBNR + PBAR / PSL - ER)

Table 1 – Risk Factors for the IBNR and PBAR/RBNS Provisions

Reduced Risk Factor 26%

Standard Risk Factor 31%


I – ER: expected recovery, by the assignor, of claims and benefits incurred and not yet paid,

regarding the ceded risks in relation to the transactions defined in Article 40 of this Resolution;

II – IBNR: sum of the values of the provisions for incidents that had occurred but not been

reported by the base month for calculating the capital, in relation to the transactions defined

in Article 40 of this Resolution;

III – PBAR/RBNS: sum of the benefits of revisions of the values to stabilize and / or claims

provisions to settle in the month basis for calculating the capital, referring to the operations

defined in Article 40 of this Resolution; and soma dos valores das provisões de benefícios a

regularizar e/ou das provisões de sinistros a liquidar, no mês base de cálculo do capital,

referente às operações definidas no Article 40 desta Resolution; e

IV – R.prov.life.pens: the amount of capital relating to the underwriting risk of the provisions

for incidents in relation to the transactions defined in Article 40 of this Resolution, occurring in

the base month for calculating the capital.

64

ADDENDUM V

UNDERWRITING RISK CAPITAL – RISKS OF RISK COVERAGE, DURING THE COVERAGE PERIOD,

OF OPERATIONS IN THE TRANSACTIONS DEFINED IN ARTICLE 40 HEREOF

Art.1: The amount of capital concerning the underwriting risk of risk coverage, during the

period of coverage, structured by the distribution financial system, for transactions defined in

article 40 hereof, will be calculated based on the correspondent risk factors in the tables of this

Article, by the following equation:


Contracts Structured as Distribution – period of coverage

basei method coverage factori

Insured Amount (single payment) PAYG Death 0.11%

Insured Amount (single payment) PAYG Disability 0.10%

Amount of monthly income TF Death 19.73%

Amount of monthly income TF Disability 12.77%

65

Table 2 - Standard Risk Factors

Contracts Structured as Distribution – period of coverage

basei method coverage factori

Insured Amount (single payment) PAYG Death 0.13%

Insured Amount (single payment) PAYG Disability 0.11%

Amount of monthly income TF Death 22.74%

Amount of monthly income TF Disability 14.77%

§ 1: Consider, for the purposes of this Article, the following definitions:

I – basei: amount assessed in the base month of the calculation of the capital for each group

“i”, over which the risk factor is applied in order to obtain the request of the capital;

II – insured amount: sum of the retained amounts of insured capitals and guaranteed benefits

in insurance and open supplementary pension contracts, in the base month of the calculation

of the capital, payed as a single payment, for events yet to occur;

III – “i”: groups, defined by the combination of risk coverage and financial methods;

IV – TF: the terminal funding financial method;

V – PAYG: the pay-as-you-go financial method;

VI – R.death.disab.distr: capital amount referring to underwriting risk of risk coverages, during

the period of coverage, structured in the distribution financial method, for transactions

defined in Article 40 of this Resolution, in the base month of the calculation of the capital;

66

VII – monthly income amount: sum of amounts retained from monthly incomes guaranteed in

insurance and open supplementary pension contracts, in the base month of the calculation of

the capital; for events yet to occur; and

VIII – retained amounts: gross values net of amounts granted in reinsurance and coinsurance,

added to amounts accepted in retrocession and coinsurance.

§ 2: If the supervised body has contracts that guarantee an income in any other periodicity

than monthly, in order to obtain the monthly income amount, used as base for the calculation

of the capital, the supervised body will have to change it into monthly amounts in a

proportional way.

§ 3: The supervised bodies, in the transactions listed in item XI of Article 39 in this Resolution,

structured in the financial method of coverage capital distribution, which guarantee death

coverage, in the calculation of underwriting risk capital, will have to use the factors of death

coverage, and for any other guarantees, use the factors of disability coverage shown in Tables

1 and 2 of this Article.

Art.2: The amount of capital referring to underwriting risk of risk coverages, during the period

of coverage, structured in the financial method of capitalization, for transactions defined in

Article 40 of this Resolution, will be calculated based on the corresponding risk factors shown

in the tables of this Article, by the following equation:


I – basei: amount of the sum of mathematical provisions for future benefit payments (PFBP), in

the base month of the calculation, for each group “i”;

II – “i”: groups, defined by the combination of the type of coverage, benefit payment method

and contractual interest rate;

III – R.death.disab.cap: amount of capital referring to the underwriting risk of risk coverages,

during the period of coverage, structured in the financial method of capitalization, for

transactions defined in Article 40 of this Resolution, in the base month of calculation of the

capital; and

IV - contractual interest rate: interest rate, in the period of coverage, defined in the technical

bases of the contract.

§ 2: For plans that pay the insured amount or benefit in a single payment, for death coverage,

the risk factors are:

67


Benefit for Death in Capitalization – single payment

Contractual interest rate (x)

0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.18% 1.29% 2.80%


Benefit for Death in Capitalization – single payment


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.25% 1.70% 3.21%

§ 3: For plans that pay the insured amount or benefit in the form of income, for death

coverage, the risk factors are:

68


Benefit for Death in Capitalization – payment in the form of income


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.14% 1.53% 4.93%


Benefit for Death in Capitalization – payment in the form of income


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.16% 2.09% 5.93%

§ 4: For plans that pay the insured amount or benefit in a single payment, for disability



Benefit for Disability in Capitalization – single payment


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.18% 1.57% 3.46%

69


Benefit for Disability in Capitalization – single payment


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.23% 2.38% 4.48%

§ 5: For plans that pay the insured amount or benefit in the form of income, for disability



Benefit for Disability in Capitalization – payment in the form of income


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.10% 1.32% 5.55%

70


Benefit for Disability in Capitalization – payment in the form of income


0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%

0.14% 2.27% 7.08%

§ 6: The supervised bodies, in the transactions listed in item XI of Article 39 in this Resolution,

structured by the capitalization financial system, that guarantee death coverage, will have to

use the factors listed in paragraphs 2 and 3 of this Article, and, for the other guarantees, will

have to use the factors listed in paragraphs 4 and 5 of this Article for the calculation of

underwriting risk capital.

71

ADDENDUM VI

UNDERWRITING RISK CAPITAL – SURVIVOR COVERAGE RISKS

Art.1: The amount of capital corresponding to underwriting risk of endowment plans during

the period of coverage, will be calculated based on the corresponding risk factors of the tables

in this Article, by the following equation:

Single paragraph: Consider, for the purposes of this Article, the following definitions:

I – basei : amount of the sum of all mathematical provisions for future benefit payments

(PFBP), in the base month of the calculation of the capital, for each “i” grouping;

II – “i”: groups, defined by the combination of full life expectancy in the contractual table,

calculated in the way it is described in Article 7 of this Addendum, andcontractual interest

rates, following the tables in this Article;

III – R.pureendowm: amount of capital corresponding to underwriting risk of pure endowment

plans, during the period of coverage;

IV – contractual table: biometric table for male gender defined in the technical bases of the

contract; and

V - contractual interest rate: interest rate defined in the technical bases of the contract.


Pure Endowment


0% ≤ x ≤ 2%

2% < x ≤ 4%

4% < x ≤ 6%

x > 6%

Full life expectancy in the contractual table at 30 years

Under 50 0.75% 2.35% 5.21% 8.00%

Over 50 0.59% 2.03% 4.72% 7.63%

72


Pure Endowment


0% ≤ x ≤ 2%

2% < x ≤ 4%

4% < x ≤ 6%

x > 6%

full life expectancy in the contractual table at 30 years

Under 50 1.00% 2.84% 6.17% 9.20%

Over 50 0.82% 2.50% 5.65% 8.75%

Art.2: The amount of capital corresponding to mixed endowment plans’ underwriting risk

during the period of coverage, will be calculated by the following equation:


I - Factor.Death.Cap.Only: risk factor shown in tables 3 or 4 of Addendum V, concerning

contractual bases of plan “i”;

73

II - Factor.Endowm: risk fator shown in table 1 or 2 of this Addendum, concerning contractual

bases of plan “i”;

III – “i”: mixed endowment insurance plan;

IV - PFBP.Death: amount of the mathematical provision of benefits not yet granted, in the base

month of calculation of the capital, referring to death coverage of mixed endowment plan “i”;

V - PFBP.Surv: amount of the mathematical provision of benefits not yet granted, in the base

month of calculation of the capital, referring to survival coverage of mixed endowment plan

“i”; and

VI - R.mixedendowm: amount of capital, in the base month of calculation, referring to

underwriting risk of mixed endowment plans, during the period of coverage.

§ 2: If the mixed endowment plan provides disability coverage together with death and

survival coverage, the underwriting risk concerning disability coverage will have to be

calculated along with Addendum V.

Art.3: The capital amount concerning the underwriting risk of mathematical provisions of

granted benefits will be calculated by the following equation:

§ 1: The amount R.PGB1 will be calculated based on the risk factors shown in the tables in this

paragraph, by the following equation:

74


PBG – without surpluses nor reversals in the checking account

For plans with monetary correction different from the Referential Rate (RR)


Without contractual table

Contractual table

With full life expectancy of the contractual table at 60 years

Under 23 Over 23

x = 0% 0.12% 2.19% 0.86%

0% < x ≤ 1% 0.25% 2.88% 1.28%

1% < x ≤ 2% 0.69% 3.73% 1.88%

2% < x ≤ 3% 1.37% 4.86% 2.70%

3% < x ≤ 4% 2.29% 6.37% 3.92%

4% < x ≤ 5% 3.64% 7.86% 5.47%

5% < x ≤ 6% 5.39% 9.66% 7.22%

x > 6% 8.93% 12.34% 10.48%

75


PBG – without surpluses nor reversals in the checking account

For plans that use the Referential Rate (TR) as an index for monetary correction.



Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.05% 1.07% 0.48%

x > 6% 0.21% 1.94% 0.95%


PBG - without surpluses nor reversals in the checking account

For plans that use a monetary correction index different from the Referential Rate (TR)



Contractual table


Under 23 Over 23

x = 0% 0.15% 2.46% 0.98%

0% < x ≤ 1% 0.43% 3.30% 1.47%

1% < x ≤ 2% 0.94% 4.33% 2.20%

2% < x ≤ 3% 1.76% 5.66% 3.18%

3% < x ≤ 4% 2.80% 7.41% 4.55%

4% < x ≤ 5% 4.33% 8.99% 6.26%

5% < x ≤ 6% 6.19% 11.06% 8.21%

x > 6% 10.03% 14.23% 11.96%

76


PBG - with no surpluses nor reversals in the checking account

For plans that use the Referential Rate (EE) as an index for monetary correction.



Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.06% 1.21% 0.54%

x > 6% 0.28% 2.21% 1.09%

77

§ 2: The amount R.PMBC2 will be calculated, based on risk factors in the tables of this



PBG – Surpluses that were reverted via income increase

For plans that use a monetary correction index different from the Referential Rate (RR)



Contractual table


Under 23 Over 23

x = 0% 0.20% 3.89% 1.96%

0% < x ≤ 1% 0.38% 4.31% 2.40%

1% < x ≤ 2% 0.89% 4.66% 2.96%

2% < x ≤ 3% 1.60% 5.39% 3.52%

3% < x ≤ 4% 2.51% 6.45% 4.37%

4% < x ≤ 5% 3.77% 8.56% 5.53%

5% < x ≤ 6% 5.43% 10.44% 7.91%

x > 6% 9.80% 13.94% 11.50%

78


PBG - Surpluses that were reverted via income increase

For plans that use the Referential Rate (RR) as an index for monetary correction.



Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.06% 1.28% 0.67%

x > 6% 0.23% 1.99% 1.06%

79



For plans that use a monetary correction index different from the Referential Rate (RR)



Contractual table


Under 23 Over 23

x = 0% 0.24% 4.42% 2.25%

0% < x ≤ 1% 0.62% 4.91% 2.73%

1% < x ≤ 2% 1.18% 5.39% 3.41%

2% < x ≤ 3% 1.98% 6.19% 4.06%

3% < x ≤ 4% 2.99% 7.60% 4.98%

4% < x ≤ 5% 4.48% 9.84% 6.29%

5% < x ≤ 6% 6.23% 11.94% 8.75%

x > 6% 10.10% 14.59% 12.99%

80



For plans that use the Referential Rate (RR) as an index for monetary correction.



Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.07% 1.47% 0.74%

x > 6% 0.31% 2.27% 1.21%


I – basei: amount of the sum of mathematical provisions for benefits granted (PBG), in the base

month of capital calculation, of the corresponding plans, for each group “i”;

II - “i”: groups, defined by the combination of columns and lines in tables 3, 4, 5, 6, 7, 8, 9 and

10 of this Addendum, considering the index determined for monetary correction.

III - R.PBG: capital amount concerning mathematical provisions for granted benefits, in the

base month of the calculation;

IV- R.PBG1: capital amount , in the base month of the calculation, concerning underwriting risk

of mathematical provisions of granted benefits of plans that do not guarantee financial surplus

or that pay financial surplus directly in the client’s checking account;

V - R. PBG 2: capital amount , in the base month of the calculation, concerning the

underwriting risk of mathematical provisions of granted benefits of plans that divert financial

surplus by increasing the income amount of the client;

VI – contractual table: biometric table, in the period of income concession, for men, defined in

the technical bases of the contract; and

VII – contractual insurance rate: interest rate guaranteed in the period of income concession

and defined in the technical bases of the contract.

§ 4: The factors in the second column of the tables shown this Article, refer to contracts that

pay benefits as a fixed income, without guaranteeing contractual table in during the granting

period.

81

Art.4: The amount of capital concerning the underwriting risk of mathematical provisions of

benefits not yet granted of plans with no guarantees of a minimum remuneration and

monetary correction during the period of deferral will be calculated by the following equation,

based on the risk factors shown in the tables of this Article:


I – basei: amount of the sum of PFBPs, in the base month of the calculation of the capital, of

plans with no guarantee of minimum remuneration and monetary correction during the

deferral period, for each “i” group.

II - “i”: groups, defined by the combination of columns and lines in the tables 11 and 12 of this

Addendum;

III – Free Benefit Generator Life Insurance (VGBL): capital amount, in the base month of the

calculation, concerning underwriting risk of PFBPs of plans with no guarantee of minimum

remuneration and monetary correction during the deferral period;

IV – contractual table: biometric table, in the period of income concession, for male gender,

defined in the technical bases of the contract;

V – contractual interest rate: interest rate guaranteed in the period of income concession and

defined in the technical bases of the contract; and

VI - Table BR-EMS: biometric table, elaborated by an independent institution, with recognized

technical capacity, whose criteria of elaboration and update have been previously approved by

SUSEP, according to the specific regulation.


Risks in the PFBP



Contractual table


Table BR-EMS

Under 23 Over 23

x = 0% 0.01% 0.59% 0.05% 0.02%

0% < x ≤ 1% 0.02% 1.10% 0.22% 0.03%

1% < x ≤ 2% 0.07% 2.03% 0.61% 0.17%

2% < x ≤ 3% 0.49% 3.55% 0.99% 0.59%

3% < x ≤ 4% 1.17% 5.00% 2.58% 1.29%

4% < x ≤ 5% 2.25% 6.23% 4.10% 2.99%

5% < x ≤ 6% 4.00% 7.32% 5.52% 4.66%

82


Risks in the PFBP



Contractual table


Table BR-EMS

Under 23 Over 23

x = 0% 0.02% 0.79% 0.08% 0.03%

0% < x ≤ 1% 0.03% 1.30% 0.42% 0.04%

1% < x ≤ 2% 0.09% 2.74% 1.14% 0.20%

2% < x ≤ 3% 0.57% 4.32% 1.64% 0.68%

3% < x ≤ 4% 1.37% 5.85% 3.31% 1.49%

4% < x ≤ 5% 3.00% 7.16% 4.90% 3.21%

5% < x ≤ 6% 4.84% 8.34% 6.41% 4.90%

83

§ 2: The factors of the second column of tables 11 and 12 of this Addendum, refer to contracts

that offer only the option to pay income as a fixed income, without guaranteeing the

contractual table during the period of concession.

Art.5: The capital amount concerning underwriting risk of mathematical provisions of benefits

not yet granted, for coverage of survival, of plans that guarantee, during the deferral period,

remuneration by means of hiring an index of monetary correction, interest rate or biometric

table, will be calculated by the following equation:

84

§ 1: The amount R.Dif will be calculated, based on risk factors shown in the tables in this


85


PFBP risks during the deferral period



Financial Capitalization

Actuarial Capitalization

Tables with full life expectancy at 30 years

Under 50 Over 50

x = 0% 0.07% 0.12% 0.08%

0% < x ≤ 1% 0.15% 0.24% 0.16%

1% < x ≤ 2% 0.47% 0.60% 0.48%

2% < x ≤ 3% 0.99% 1.16% 1.00%

3% < x ≤ 4% 1.68% 1.96% 1.73%

4% < x ≤ 5% 2.66% 3.09% 2.77%

5% < x ≤ 6% 3.88% 4.43% 4.06%

x > 6% 6.31% 6.90% 6.59%

86



For plans that use the Referential Rate (RR) as index for monetary correction




Tables with full life expectancy at 30

years

Under 50 Over 50

0% < x ≤ 6% 0.02% 0.04% 0.03%

x > 6% 0.13% 0.29% 0.17%

87








Under 50 Over 50

x = 0% 0.11% 0.15% 0.12%

0% < x ≤ 1% 0.28% 0.39% 0.29%

1% < x ≤ 2% 0.68% 0.81% 0.69%

2% < x ≤ 3% 1.32% 1.49% 1.34%

3% < x ≤ 4% 2.08% 2.39% 2.14%

4% < x ≤ 5% 3.22% 3.73% 3.36%

5% < x ≤ 6% 4.67% 5.27% 4.89%

x > 6% 7.28% 7.91% 7.58%

88








Under 50 Over 50

0% < x ≤ 6% 0.03% 0.05% 0.04%

x > 6% 0.19% 0.36% 0.23%

I – The factors of the second column of tables 13, 14, 15 and 16 of this Addendum refer to

plans structured in the strictly financial capitalization method, while the factors of the third

and fourth columns refer to plans structured in the actuarial capitalization method.

§ 2: The amount R.Con will be calculated based on risk factors in the tables show in this

paragraph, by the equation:

89


PFBP risks related to the period of concession




Contractual table


Table BR-EMS

Under 23 Over 23

x = 0% 0.01% 0.75% 0.06% 0.02%

0% < x ≤ 1% 0.09% 1.32% 0.29% 0.20%

1% < x ≤ 2% 0.24% 2.12% 0.82% 0.49%

2% < x ≤ 3% 0.67% 3.73% 1.40% 0.77%

3% < x ≤ 4% 1.50% 5.22% 2.70% 1.57%

4% < x ≤ 5% 2.44% 6.56% 4.31% 3.41%

5% < x ≤ 6% 4.27% 7.68% 5.77% 5.19%

x > 6% 7.45% 9.46% 8.10%

90






Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.02% 0.91% 0.18%

x > 6% 0.48% 2.35% 1.33%

91






Contractual table


Table BR-EMS

Under 23 Over 23

x = 0% 0.02% 1.09% 0.11% 0.03%

0% < x ≤ 1% 0.18% 1.61% 0.59% 0.25%

1% < x ≤ 2% 0.49% 3.09% 1.60% 0.59%

2% < x ≤ 3% 0.81% 4.80% 1.92% 0.92%

3% < x ≤ 4% 1.81% 6.39% 3.70% 1.86%

4% < x ≤ 5% 3.48% 7.86% 5.42% 3.73%

5% < x ≤ 6% 5.47% 9.06% 6.98% 5.55%

x > 6% 8.95% 11.07% 9.54%

92






Contractual table


Under 23 Over 23

0% < x ≤ 6% 0.03% 1.31% 0.24%

x > 6% 0.62% 2.81% 1.74%

I – The factors in tables 17, 18, 19 and 20 of this Addendum refer to contracts that offer the

option to pay income exclusively as a fixed income, without guarantee of contractual table

during the period of concession.


I – basei: amount of the sum of PFBPs, in the base moth of the calculation of the capital, of the

concerned plans, of each “i” group;

93

II - “i”: groups, defined by the combination of columns and lines in the tables shown in the

present Article, considering the index determined for monetary correction;

III - R.PFBP.trad: amount of capital, in the base month of the calculation, concerning the risk of

PFBPs, for coverage of survival of plans that guarantee, during the period of deferral,

remuneration by means of hiring a monetary correction index, interest rate or biometric table;

IV- R.Dif: capital amount, in the base month of the calculation, concerning the underwriting

risk of the guarantees contracted during the period of deferral;

V - R.Con: capital amount, in the base month of the calculation, concerning the underwriting

risk during the period of deferral related to the period of concession;

VI – contractual table: in tables 13, 14, 15 and 16, it refers to the biometric table, guaranteed

during the period of deferral; and in tables 17, 18, 19 and 20, it refers to the guarantee, during

the period of income concession; both for male gender and defined in the technical bases of

the contract; and

VII – contractual interest rate: in tables 13, 14, 15 and 16, it refers to the interest rate

guaranteed during the period of deferral; and in tables 17, 18, 19 and 20, it refers to the

guarantee during the period of income concession; both defined in the technical bases of the

contract.

Art.6: The amount of capital concerning the underwriting risk of survival coverages will be

calculated by the following equation:

R.surv = R.pureendowm + Rmixedendowm + R.PBG + R.PFBP . vgbl + R.PFBP.trad

94

Single paragraph: Consider, for the purposes of this Addendum, R.surv as the amount of capital

concerning the underwriting risk of survival coverages, in the base month of the calculation of

the capital.

Art.7: For the purposes of calculation of the underwriting capital, the full life expectancy of

the contractual table will be calculated by the following equation:


I – e0x: full life expectancy of the contractual table at age x;

II – lx: number of survivors aged x years old, which is equal to lx = lx-1 x (1-qx-1); and

III – qx: death probability, in one year, of an individual x years old in the contractual table.

ADDENDUM VII

UNDERWRITING RISK CAPITAL – ADMINISTRATIVE EXPENSE RISK

IN THE TRANSACTIONS DEFINED IN ARTICLE 40 OF THIS RESOLUTION

Art.1: The amount of capital relating to the underwriting risk involved in administrative

expenses concerning the transactions defined in Article 40 of this Resolution, based on the risk

factors set out in Table 1 in this Article, is to be calculated using the following equation:

R.exps = frisk x C.risk + fsurviv x C.surviv

Table 1 – Risk Factors

Administrative Expense Risk

Reduced Risk Factor Standard Risk Factor

frisk 2.20% 2.60%

fsurviv 0.43% 0.51%


I – C.risk: the sum of the values of direct premiums and contributions over the past 12 months,

including the base month for calculating the capital, in relation to the distinct policies covering

survivors;

96

II – C.surviv: the sum of the values of direct premiums and contributions over the past 12

months, including the base month for calculating the capital, in relation to the survivor

coverage;

III – direct premiums: calculated according to the following equation: premiums written –

premiums cancelled – returned premiums; and

IV – R.exps: the amount of capital, in the calculation base month, relating to the underwriting

risk involved in administrative expenses concerning the transactions defined in Article 40 of

this Resolution.

97

ADDENDUM VIII

COMPOSITION OF THE UNDERWRITING RISK CAPITAL

Art. 1: The underwriting risk capital of the supervised bodies is to be set up in accordance with

the following equation and tables:

RCundw = √ V' x M x V

Table 1

Correlation Matrix

1.00 0.00 0.00 0.50 0.50 0.25 0.25

0.00 1.00 0.80 0.00 0.00 0.00 0.00

0.00 0.80 1.00 0.25 0.25 0.00 0.25

M = 0.50 0.00 0.25 1.00 0.75 0.25 0.25

0.50 0.00 0.25 0.75 1.00 0.50 0.25

0.25 0.00 0.00 0.25 0.50 1.00 0.25

0.25 0.00 0.25 0.25 0.25 0.25 1.00

98

Table 2

Portions that comprise the Underwriting Risk Capital

R.writ.dams

R.prov.dams

R.prov.life.pens

V = R. death.dis.allot

R.death.dis.cap

R.surviv

R.exps


I – URC: underwriting risk capital;

II – M: the correlation matrix shown in Table 1 of this Addendum;

III – V: the vector formed by the portions that comprise the underwriting risk capital, shown in

Table 2 of this Addendum; and

IV – V’: transposed from vector V.

99

ADDENDUM IX

UNDERWRITING RISK CAPITAL - RISK OF THE PRIZE DRAWS TO BE HELD

(Obs: não foi possível replica alguns simbolos .

Art.1: Consider, for the purposes of this Addendum, the following concepts and notations:

I – R.draws : the amount of capital, in relation to the underwriting risk of the investment firm,

to cover the risk of the prize draws that are to be held.

II – R.drawk : the amount of capital, in relation to the underwriting risk of the investment firm,

to cover the risk of the prize draws that are to be held, for all category/type k capitalization

plans.

III – category/type of capitalization plan: a set of capitalization plans of the same category

(traditional, planned purchase, popular or incentive) and type (single, monthly or periodic

payment), according to the classification shown in Table 1 of this Addendum.

IV – draw prize: the amount given by the investment firm to the prize draw winner, owner of

the savings bond that is picked out in any given prize draw.

V – NDMk : the number of bonds to be included, whether sold or not by the investment firm,

considering all the prize draws that the investment firm is committed to holding, for all series

and all capitalization plans in category/type k, during the 12 months from the reference date.

100

VI – ^mk : estimator of the proportion of unsold or inactive bonds at the time immediately

preceding the holding of each draw that the investment firm is committed to holding, for all

series and all capitalization plans in category/type k, during the 12 months from the reference

date.

VII – ^µk : estimator of the expected value of the draw prize for each bond to be included that

was sold by the investment firm and is active at the time the prize draw is held, considering all

the prize draws that the investment firm is committed to holding, for all series and all

capitalization plans in category/type k, during the 12 months from the reference date.

VIII – ^σk : estimator of the draw prize standard deviation for each bond included that was sold

by the investment firm and is active at the time the prize draw is held, considering all the prize

draws that the investment firm is committed to holding, for all series and all capitalization

plans in category/type k, during the 12 months from the reference date.

IX – fdraw : the value of the standard or reduced risk factor to be used in the equation for

calculating the amount of capital, in relation to the underwriting risk of the investment firm, to

cover the risk of prize draws that are to be held.

Art.2: The amount of capital, in relation to the underwriting risk of the investment firm, to

cover the risk of prize draws that are to be held, is be calculated using the following equation:

R.draws = √ Ʃ12 k=1 Ʃ12 l=1 ρk, l .( R.drawk ).( R.drawl )

101

Where:

R.drawk = fdraw. √ NDMk . [^µ2 k . (1 – ^mk ).( ^mk ) + ^σ2

k . (1 – ^mk ) ]

R.drawl = fdraw. √ NDMl . [^µ2 l . (1 – ^ml ).( ^ml ) + ^σ2 l . (1 – ^ml ) ]

fdraw = the value of the standard or reduced risk factor, according to the provisions of this

Addendum and shown in Table 2.

Art.3: The NDMk , ^mk , ^µk and ^σk are to be calculated on the basis of the criteria and

equations set out in Addendum XXII.

102

Table 1 – Category/Type of Capitalization Plan

Category/Type (k) Category of capitalization plan Type de capitalization plan

1 Traditional Single payment

2 Traditional Monthly payments

3 Traditional Periodic payments

4 Planned purchase Single payment

5 Planned purchase Monthly payments

6 Planned purchase Periodic payments

7 Popular Single payment

8 Popular Monthly payments

9 Popular Periodic payments

10 Incentive Single payment

11 Incentive Monthly payments

12 Incentive Periodic payments

103


Prize Draws to be Held Risk

fsort

Standard risk factor Reduced risk factor

2.58% 2.33%

104

ADDENDUM X

UNDERWRITING RISK CAPITAL - GUARANTEED PROFITABILITY RISK

(Obs: não foi possível replica alguns símbolos, verificar original


I – R.profitability: the amount of capital, in relation to the underwriting risk of the investment

firm, to cover the risk of guaranteed profitability.

II – R.profk : the amount of capital, in relation to the underwriting risk of investment firm, to

cover the risk of guaranteed profitability, for all the capitalization plans classified in group k.

III – capitalization plan group: a set of capitalization plans grouped according to the interest

rate offered, the monetary correction index of the Mathematical Provision for Redemption

(MPR) and the type of capitalization plan, according to the classification shown in Table 1 of

this Addendum.

IV – MPRk : the sum of the Mathematical Provision for Redemption made by the investment

firm for all the capitalization plans in group k.

V – fprofk : the value of the standard or reduced risk factor associated with group k that is to

be used in the equation for calculating the amount of capital, in relation to the underwriting

risk of the investment firm, to cover the guaranteed profitability risk.

Art.2: The amount of capital, in relation to the underwriting risk of the investment firm, to

cover the guaranteed profitability risk, is be calculated using the following equation:

R.profitability = √ Ʃ12 k=1 Ʃ12 l=1 ( R.profk ).( R.profl )

105

Where:

R.profk = fprofk . MPRk

R.profl = fprofl . MPRl

fprofk = the value of the standard or reduced risk factor associated with group k, according to

the provisions of this Resolution and shown in Table 2.

fprofl = the value of the standard or reduced risk factor associated with group l, according to

the provisions of this Resolution and shown in Table 2.

106

Table 1 – Capitalization plan groups

Group Interest rate p.a. under the MPR monetary Type of capitalization plan

(k) plan (i) correction index

1 i ≤ 1.23% TR Single payment

2 i ≤ 1.23% TR Monthly/Periodic payments

3 i ≤ 1.23% IPCA or other index Single payment

4 i ≤ 1.23% IPCA or other index Monthly/Periodic payments

5 1.23% < i ≤ 5.55% TR Single payment

6 1.23% < i ≤ 5.55% TR Monthly/ Periodic payments

7 1.23% < i ≤ 5.55% IPCA or other index Single payment

8 1.23% < i ≤ 5.55% IPCA or other index Monthly/ Periodic payments

9 i > 5.55% TR Single payment

10 i > 5.55% TR Monthly/ Periodic payments

11 i > 5.55% IPCA or other index Single payment

12 i > 5.55% IPCA or other index Monthly/ Periodic payments

108


Guaranteed Profitability Risk

Group (k) Standard risk factor Reduced risk factor

1 0.00% 0.00%

2 0.00% 0.00%

3 0.00% 0.00%

4 0.44% 0.37%

5 0.00% 0.00%

6 0.00% 0.00%

7 0.65% 0.58%

8 5.88% 5.23%

9 0.00% 0.00%

10 0.00% 0.00%

11 2.91% 2.68%

12 8.38% 7.42%

109

ADDENDUM XI

UNDERWRITING RISK CAPITAL - ADMINISTRATIVE EXPENSE RISK


I – R.expenses : the amount of underwriting risk capital required by the investment firms to

cover the administrative expense risk.

II – SBNR: the net revenue from savings bonds earned by investment firms in the 12 months up

to and including the reference date, considering the earnings from bonds and the return and

cancellation of same.

III – fexp : the value of the standard or reduced risk factor to be applied in the equation for

calculating the amount of underwriting risk capital required by the investment firms to cover

the administrative expense risk.

Art.2: the amount of underwriting risk capital required by the investment firms to cover the

administrative expense risk is to be calculated using the following equation:

R.expenses = fexp . SBNR

Where:

fexp = the value of the standard or reduced risk factor, as provided for in this Addendum and

shown in Table 1.

110


Administrative Expense Risk

fdraw

Standard risk factor Reduced risk factor

0.57% 0.49%

111

ADDENDUM XII

UNDERWRITING RISK CAPITAL – PROCEDURE FOR CALCULATING THE ESTIMATORS OF THE

PROPORTION OF UNSOLD OR INACTIVE BONDS, THE EXPECTED DRAW PRIZE VALUE AND THE

DRAW PRIZE STANDARD DEVIATION

(Note: It was not possible to replicate some symbols, check original version)


I – category/type of capitalization plan: a set of capitalization plans of the same category

(traditional, planned purchase, popular or incentive) and type (single, monthly or periodic

payment), according to the classification shown in Table 1 of Addendum IX.

II – NDMk : the number of bonds to be included, whether sold or not by the investment firm,

considering all the prize draws that the investment firm is committed to holding, for all series

and all capitalization plans in category/type k, during the 12 months from the reference date.

III – draw prize: the amount given by the investment firm to the prize draw winner, owner of

the savings bond that is picked out in any given prize draw.

IV – ^mk : estimator of the proportion of unsold or inactive bonds at the time immediately

preceding the holding of each draw that the investment firm is committed to holding, for all

series and all capitalization plans in category/type k, during the 12 months from the reference

date.

V – ^µk : estimator of the expected value of the draw prize for each bond to be included that

was sold by the investment firm and is active at the time the prize draw is held, considering all

the prize draws that the investment firm is committed to holding, for all series and all

capitalization plans in category/type k, during the 12 months from the reference date.

VI – ^σk : estimator of the draw prize standard deviation for each bond included that was sold

by the investment firm and is active at the time the prize draw is held, considering all the prize

draws that the investment firm is committed to holding, for all series and all capitalization

plans in category/type k, during the 12 months from the reference date.

112

VII – ndmk : the number of bonds included, whether sold or not by the investment firm,

considering all the prize draws held by the investment firm, for all series and all capitalization

plans in category/type k, in the 12 months up to the reference date.

VIII – nbsk : the number of bonds included that were sold by the investment firm and were

active at the time the prize draw was held, considering all the prize draws held by the

investment firm, for all series and all capitalization plans in category/type k, in the 12 months

up to the reference date.

IX – bond included in index i: a bond included in a draw held within the 12 months up to the

reference date, whether sold or not by the investment firm, considering all series and all

capitalization plans of a certain category/type, where index i unambiguously identifies that

bond.

X – vk, i : proportion of unsold or inactive bonds at the time immediately preceding the prize

draw for category/type k, whose bonds are included index i.

XI – ΅vk, i : proportion of unsold or inactive bonds on the last day of the month preceding the

holding of the prize draw for category/type k, whose bonds are included index i.

XII – DPk, i : value of the draw prize given by the investment firm to the prize draw winner,

owner of the savings bond included in index i, that is picked out in a category/type k prize

draw.

Art.2: The value of the NDMk is to be calculated by adding up the number of bonds to be

included in all the prize draws that the investment firm is committed to holding during the 12

months from the reference date, for all the capitalization plans in category/type k.

Single paragraph: If the number of bonds to be included in a particular future prize draw is a

random variable, the investment firm must calculate the average of the bonds included in

similar draws held within the 12 months up to the reference date, and use that value as an

estimator of the number of bonds to be included in that future prize draw.

Art.3: ^mk is to be calculated using the following equation:

^mk = 1 / ndmk .( Ʃi vk, i )

113

§ 1: If the investment firm does not have sample data on the proportion of unsold or inactive

bonds at the time immediately preceding the holding of the prize draw (vk, i), the investment

firm may calculate the using the ^mk using the proportion of unsold or inactive bonds on the

last day of the month preceding the holding of the respective draw (΅vk, i), applying the

following equation:

^mk = 1 / ndmk .( Ʃi ΅vk, i )

§ 2: In situations where the plan provides for mandatory inclusion, if the minimum sales

required for mandatory inclusion are reached, for the purpose of calculating the ^mk , it must

considered that the series was fully sold.

Art.4: the ^µk is to be calculated using the following equation:

^µk = 1 / nbsk .( Ʃi DPk, i )

Art.5: the ^σk is to be calculated using the following equation:

^σk = √ 1 / (nbsk – 1) . Ʃi (DPk, i – ^µk)2

Art. 6: If the investment firm does not have sample data on a particular category/type of

capitalization plan, with at least 30 bonds included in the prize draws held in the 12 months up

to the reference date, the investment firm is to calculate the estimators mentioned in this

Addendum using the data from its predictions and planning for the next 12 months.

§ 1: In the situação provided for in the above clause, the investment firm must inform SUSEP

that the calculation of the estimators is to be performed using the data from its predictions

and planning for the next 12 months, as from the reference date.

114

§ 2: SUSEP may, at any time, according to the needs of each case, request from the investment

firm the details and justification for the calculation of the estimators according to the situation

provided for in the above clause, as well as request the revision of the values calculated, or

even indicate the values to be considered.

Art. 7: Sample data relating to prize draws of the "instant award" type can only be considered

for the purpose of calculating the ^mk , ^µk and ^σk , if the investment firm can show that the

estimated percentage of bonds to be included in draws of the "instant award" type,

considering all the draws that the investment firm is committed to holding during the 12

months from the reference date, for all capitalization plans in category/type k, is less than

10%.

§ 1: the calculation of the estimated percentage referred to in the above clause, at less than

10%, must be explained by the investment firm and presented in the actuarial appraisal sent to

SUSEP on an annual basis.

§ 2: SUSEP may, at any times, according to the needs of each case, request the revision of the

estimated percentage, as it may also refuse to accept the explanation presented.

115

ADDENDUM XIII

UNDERWRITING RISK CAPITAL FOR INVESTMENT FIRMS

Art.1: The underwriting risk capital for investment firms is to be set up according to the

following equation and tables:

Table 1

Correlation Matrix

1.00 0.75 0.75

M = 0.75 1.00 0.75

0.75 0.75 1.00

Table 2

Items comprising the Underwriting Risk Capital

R.prizedraws

V = R.profitability

R.expenses


116

I - URC : underwriting risk capital;

II - M: correlação matrix, shown in Table 1 in this Addendum;

III - V: a vector formed by the items that comprise the capital relating to the capitalization

underwriting risk, shown in Table 2 in this Addendum; and

IV - V’: transposed from vector V.

117

ADDENDUM XIV

CREDIT RISK CAPITAL - PORTION 1

Art.1: Portion 1 of the credit risk capital refers to credit risk of exposure, in this Addendum, in

risk transfer transactions that have as counterparty insurers, reinsurers, OPPE and companies

providing capitalization plans.

Art.2: Portion 1 of the credit risk capital is to be calculated by the following equation:


I – cred1 RC : credit risk capital referring to portion 1;

II – fi: risk factor corresponding to counterparty “i”;

III – expi: value of exposure to credit risk of the counterparty ”i”;

IV – ρij: coefficient of the correlation between exposure to counterparties “i” e “j”, being ρij =

0,75 for every i ≠ j, and ρij = 1 if i = j;

V- counterparty “i” or “j”: each reinsurer and the set of insurance companies, of investment

firms and of OPPE debtors of the credits being adressed in the risk analysis.

VI – “r”: total number of counterparties, as defined in item V in this paragraph.

Art.3: The risk factor will be obtained depending on the type and risk rating of the

counterparty, based on the following tables:

118

Type 1 Type 2 Type 3

Level 1 1.93% 2.53% 3.04%

Level 2 – 4.56% 5.48%

Level 3 – 11.36% 13.63%

Table 1: Risk factors corresponding to counterparty “i” or “j”

Standard & Poor’s Co. Moody’s Investor Services Fitch Ratings AM Best

Level 1 AAA

AA+

AA

AA- Aaa

Aa1

Aa2

Aa3 AAA

AA+

AA

AA-

A++

A+

Level 2 A+

A

A- A1

A2

A3 A+

A

A- A

A-

Level 3 BBB+

BBB

BBB- Baa1

Baa2

Baa3 BBB+

BBB

BBB- B++

B+

Table 2: Risk levels of counterparty “i” ou “j” depending on the risk rating given by risk rating

agency.

Types of counterparty

Type 1 insurers, OPPE, companies providing capitalization plans and local reinsurers.

Type 2 admitted reinsurers

Type 3 eventual reinsurers

Table 3: Definition of the types of counterparty

119

§ 1: The supervised bodies will have to use one risk factor for every counterparty, in the way it

is defined in item V of the single paragraph in article 2 of this Addendum.

§ 2: The supervised bodies will be classified, for purposes of calculation of cred1 RC, as risk

level 1.

§ 3: If a reinsurer has more than one risk rating issued by risk rating agencies, and because of

that, presents more than one risk level, in the form of Table 2 in this Article, for purposes of

calculation of cred1 RC, the higher risk rating will be used.

§ 4: The supervised body that, abiding by the current legislation, has exposure to credit risk

having as counterparties reinsurers not certified by SUSEP as locals, admitted or eventual, will

have to consider, for purposes of calculation of cred1 RC, the set of these reinsurers as one

counterparty and apply the risk factors corresponding to risk level 3 and type 3.

Art.4: The value of exposure to credit risk having as counterparty a reisurer for insurers and

local reinsurers, will be the sum of the following amounts, respecting the down payment of

each portion:

I. (+) credits referring to premiums not yet received of overdue portions.

II. (+)credits referring to claims/benefits not yet recovered.

III. (+) credits referring to commissions and other credits not yet recovered

IV. (+) reinsurance and retrocession deferred premiums.

V. (+) amount of deferred commercial expenses referring to commissions payed to the

reinsurer multiplied by the exposure reduction factor (ERF).

VI. (-) provision for credit risk of the reinsurer.

VII. (-) charges, with the reinsurer, referring to amounts recorded as deferred reinsurance and

retrocession premiums and not yet settled.

Single paragraph: The amount of the exposure will have to be calculated separately regarding

every counterparty.

Art.5: The amount of the exposure to credit risk, having as counterparties insurers and OPPE,

for insurers, will be the sum of the following amounts, respecting the down payment of each

portion:

I. (+) credits referring to premiums not yet received from overdue portions of accepted

coinsurance.

II. (+) credits referring to claims not yet recovered from insurers.

III. (+) credits referring to commissions and other credits not yet recovered from insurers.

120

IV. (+) credits not yet received referring to the transaction of insurance portfolio transfer.

V. (+) credits not yet received referring to the transaction of supplementary pension portfolio

transfer.

VI. (+)amount of deferred commercial expenses referring to commissions payed to insurers

due to coinsurance transactions multiplied by the exposure reduction factor (ERF).

VII. (-) provision for credit risk referring to transactions with the insurers and the OPPE

Single paragraph: Insurance companies that still record credits not yet received referring to

contracts of risk transfer will also have to consider these amounts as exposure to credit risk,

net of the respective provision for credit risk.

Art.6: The amount of the exposure to credit risk, having as counterparts insurers, for local

reinsurers, will be the sum of the following amounts, respecting the down payment of each

portion:

I. (+) credits referring to premiums not yet received from overdue portions.

II. (+) credits referring to claims not yet recovered.

III. (+)credits referring to commissions and other credits not yet recovered.

IV. (+) deferred retrocession premiums.

V. (+)amount of deferred commercial expenses referring to commissions payed to insurance

companies multiplied by the exposure reduction factor (ERF)

VI. (-) provision for credit risk referring to transactions with insurance companies.

VII. (-) charges referring to amounts recorded as deferred retrocession premiums and not yet

payed.

Art.7: The amount of exposure to credit risk for the OPPE will be equal to the amount of

credits not yet received referring to supplementary pension portfolio transfers, net of the

respective credit risk provision.

Single paragraph: The OPPE that still have credits not yet received referring to risk transfer

contracts, will also consider these amounts as exposure to credit risk, net of the respective

credit risk provision.

Art.8: The amount of exposure to credit risk for investment firms will be equal to the value of

credits not yet received referring to capitalization portfolio transfers, net of the respective

credit risk provision.

Art.9: The amount of the FRE that will be applied over the amounts of deferred commercial

expenses will be of 12% (twelve per cent).

Art.10. The amounts of exposures to credit risk, which are adressed in articles 4, 5, 6, 7 and 8,

will be calculated by following criteria established in the guide of SUSEP’s Periodic Information

Form, by respecting the chart of accounts of the supervised bodies.

121

ADDENDUM XV

CREDIT RISK CAPITAL - PORTION 2

Art.1: Portion 2 of the credit risk capital refers to the credit risk of exposure in transactions

where the counterparties are not insurers, reinsurers, OPPE or investment firms, identified in

this Addendum.

Art.2: Portion 2 of the credit risk capital is to be calculated by the following equation:


I – RCcred 2: credit risk capital referring to portion 2;

II – RAFi: risk weighting factor referring to exposure “i”; and

III – expi: amount of the credit risk exposure to amounts, investments, credits, saving bonds or

rights “i” registered by the supervised body.

Art.3: The amounts of exposure to credit risk will be calculated by following criteria established

in the guide of SUSEP’s Periodic Information Form, by respecting the chart of accounts of the

supervised bodies.

Art.4: The risk risk weighting factor of 20% (twenty percent) will be applied to the following

exposures:

I – bank deposits;

II – amounts in transit;

III – open market investments;

IV – judicial and fiscal deposits;

V – Investments in fixed-income private bonds issued by financial institutions, with maturity

date in at least 3 months; and

VI – Amounts invested in Guaranteed Time-Deposit asset (DPGE) guaranteed by the Credit

Guarantee Fund (FGC) or with maturity date in at least 3 months.

122

Art.5: The risk weighting factor of 50% (fifty percent) will be applied to the following

exposures :

I – investments in fixed-income private bonds issued by financial institutions, with maturity

date superior to 3 months;

II – amounts invested in DPGE not guaranteed by FGC and with maturity date superior to 3

months; and

III – investments in derivatives resulting from transactions that are not settled in liquidation

systems of clearing houses and of liquidation authorized by the Brazilian Central Bank,

interposing itself to the clearing house as the central counterpart, in the terms of the current

legislation.

Art.6: The risk weighting factor of 75% (seventy-five percent) will be applied on the following

exposures:

I – premiums not yet received concerning overdue portions referring to direct insurance

premiums;

II – contributions not yet received from overdue portions concerning complementary pension

transactions;

III – credits not yet received from financial assistance to participants in plans following the

financial distribution method; and

IV – amount of the deferred commercial expenses concerning commissions payed to brokers,

agents and contracting parties multiplied by the factor that reduces exposure (REF).

Single paragraph: The REF described in item IV of this article will be equal to 12% (twelve

percent).

Art.7: The risk weighting factor of 100% (one hundred percent) will be applied on the following

exposures:

I – investments on non-federal fixed income public bonds;

II – investments on fixed income private bonds that are not issued by financial institutions;

III – investments on variable income bonds not classified as shares, derivatives or gold;

IV – investments not classified as fixed income bonds, variable income bonds or quotas of

investment funds;

V – amounts not yet received concerning credits of transactions with complementary

pensions, except for amounts corresponding to contributions not yet received of overdue

portions and contributions not yet received of active risks;

VI – credits from capitalization transactions, different from the definition described in Article 8

of Addendum XIV in this Resolution;

VII – other operational credits;

123

VIII –bonds and credits not yet received, except for financial assistance to participants, tax and

pension credits and judicial and fiscal deposits; and

IX – checks and payment orders not yet received.

Art.8: The risk weighting factor of 100% (one hundred percent) will have to be applied for

quotas of investment funds.

§ 1: It is possible to apply a risk weighting factor equivalent to the average of the FPRs

applicable to transactions pertaining to the fund portfolio, as if they were executed by the

investing institutions, weighted by the relative participation of each transaction in the total

value of the portfolio.

§ 2: The supervised body that wants to use the possibility in the 1st paragraph of this Article

will have to present to SUSEP, monthly, the results of the calculation referred to in that

paragraph.

§ 3: In the calculation of the risk weighting factor mentioned in the 1st paragraph of this

Article, the transactions present in the fund’s portfolio in the last working day of the month of

calculation will be considered.

§ 4: The monthly calculations of the risk weighting factor will have to be quarterly audited by

an independent accounting auditor, and the report of the audit must be at SUSEP’s disposal.

§ 5: The supervised body will have to inform, by means of the Quarterly Form in SUSEP’s

Periodical Information Form, if the calculations of the risk weighting factors related to the

months adressed in the form have been audited, in the terms of paragraph 4 of this Article,

and the independent accounting auditor who is responsible.

§ 6: Exposure referring to quota fund applications will be deduced, for purposes of calculation

of do RCcred 2, of the amounts of mathematical provisions of benefits not yet granted of PGBL

and VGBL plans.

Art.9: The risk weighting factor of 100% (one hundred percent) will be applied for relative

exposure to tax credits caused by temporal adjustments and the factor of 300%(three hundred

percent) will be applied for exposure relative to other tax and pension credits.

Art.10: The risk weighting factor of 0% (zero percent) will be applied for exposure for which

there is no specific FRP established in articles 4 to 9 of this Addendum.

Art.11: For purposes of evaluation of RCcred 2 c, the amounts of exposures, predicted in

Articles 4 to 9 of this Addendum, will have to be deduced from the respective provisions for

devaluation or for credit risk, depending on the case.

124

Art.12: For purposes of evaluation of RCcred 2, exposure concerning deductions of net book

value realized for calculation of ANE will not be considered.

ADDENDUM XVI

CREDIT RISK CAPITAL

Art. 1: The credit risk capital of the supervised bodies shall be calculated according to the

following equation:

RCcred = √ RCcred 1 2 + RCcred 2 2 + 1.50 X RCcred 1 X RCcred 2


I – RCcred - credit risk capital.

II – RCcred 1 - credit risk capital, portion 1; and

III – RCcred 2 - credit risk capital, portion 2.

126

ADDENDUM XVII

OPERATIONAL RISK CAPITAL

Art.1: The operational risk capital shall be calculated using the following equation:

RCoper = [ 30% x RCothers ; max (OPprem ; OPprov ) ]

§ 1: Consider, for the purposes of this Addendum, the following definitions:

I – RCoper : operational risk capital;

II – RCothers : risk capital calculated according to a specific standard, excluding the portion

related to operational risk and considering all the other risks to which a supervised body is

exposed and the correlations among them;

III – OPprem : the portion of the operational risk capital derived from the premiums earned,

obtained using the following equation:

OPprem = fpremLife x [ PREMLife + max ( 0 ; PREMLife – (fgrowth) x pPREMLife ) ] +

fpremNon-Life x [PREMNon-Life + max ( 0 ; PREMNon-Life – (fgrowth) x pPREMNon-Life ) ]

IV – OPprov : the portion of the operational risk capital derived from the technical provisions,

obtained using the following equation:

OPprov = fprovLife x PROVLife + fprovNon-Life x PROVNon-Life

V – reference date: the month that the operational risk capital calculation refers to;

127

VI – PREMLife : the amount of premiums earned on the products in the Life class, received

within the 12 months from the reference date;

VII – PREMNon-Life : the amount of premiums earned on the products in the Non-Life class,

received within the 12 months from the reference date;

VIII – pPREMLife : the amount of premiums earned on the products in the Life class, received

over the period of the 13th to the 24th month from the reference date;

IX – pPREMNon-Life : the amount of premiums earned on the products in the Non-Life class,

received over the period of the 13th to the 24th month from the reference date;

X – PROVLife : the amount of technical provisions related to the products in the Life class,

calculated in relation to the reference date;

XI – PROVNon-Life : the amount of technical provisions related to the products in the Non-Life

class, calculated in relation to the reference date;

XII – fpremLife : the risk factor to be applied to parts of the equation for calculating the

operational risk capital, corresponding to the premiums earned on the products in the Life

class;

XIII – fpremNon-Life : the risk factor to be applied to parts of the equation for calculating the

operational risk capital, corresponding to the premiums earned on the products in the Non-

Life class;

XIV – fprovLife : the risk factor to be applied to parts of the equation for calculating the

operational risk capital, corresponding to the technical provisions related to the products in

the Life class;

XV – fprovNon-Life : the risk factor to be applied to parts of the equation for calculating the

operational risk capital, corresponding to the technical provisions related to the products in

the Non-Life class;

XVI – fgrowth : the risk factor used in the equation for calculating the operational risk capital,

the effect of which is reflected in the increase of this capital, in the manner provided for in

item III, whenever the volume of earned premiums calculated over the 12 months from the

reference date comes to a greater amount than the total earned premiums calculated during

the period from the 13th to the 24th month.

§ 2: The amounts to be allocated to the risk factors mentioned in items XII to XVI of this Article

are defined in Addendum XVIII.

128

§ 3: Addendum XIX establishes the criteria for classification between the Life and Non-Life

classes of products sold by the supervised bodies, for the purpose of applying the equation

presented in this Addendum.

§ 4: SUSEP shall provide guidance on the methodology for calculating the earned premiums

and technical provisions mentioned in items VI to XI of this Article.

129

ADDENDUM XVIII

OPERATIONAL RISK CAPITAL - VALUES ATTRIBUTED TO THE RISK FATORES IN THE EQUATION

FOR CALCULATING THE CAPITAL

Art. 1: For the purpose of calculating the operational risk capital, the following values should

be attributed to the risk factors provided for in items XII to XVI of Article 1 in Addendum XVII.

RISK FACTOR VALUE

fprem Life 0.25%

fprem Non-Life 0.67%

fprov Life 0.08%

fprov Non-Life 0.41%

fgrowth 110%

130

ADDENDUM XIX

OPERATIONAL RISK CAPITAL – CRITERIA FOR CLASSIFYING PRODUCTS INTO LIFE OR NON-LIFE

CLASSES

Art. 1: Fur purposes of calculation of the operational risk capital, the classification of the

producrts commercialized by the insurance companies into life or non life classes will have to

consider the criteria shown in table below:

CODE OF THE PRODUCTS ACCORDING TO SUSEP CIRCULAR Nº 395/2009

CLASSIFICATION FOR PURPOSES OF CALCULATION OF

OPERATIONAL RISK CAPITAL

GROUP CLASS CLASS

09-People Group All classes LIFE

10-Home 61- non-SFH mortgage insurance-Pr

LIFE

10-Home All classes, except class 61 NON-LIFE

11-Rural 98-Rural Producer’s Life Insurance

LIFE

11-Rural All classes, except class 98 NON-LIFE

13-People Individual

All classes LIFE

All Others All classes NON-LIFE

Art. 2: For purposes of calculation of operational risk capital, products sold by OPPE are

classified as Life class.

Art. 3: For purposes of calculation of operational risk capital, the classification of products

which are sold by investment firms into Life or Non-Life classes will have to consider the

following criteria:

§1: Products for which the capitalization period is until 24 (twenty-four) months will be

classified as Non-Life.

§2: Products for which the capitalization period is superior to 24 (twenty-four) months will be

classified as Life.

131

Art. 4: For purposes of calculation of operational risk capital, products sold by local reinsurers

are classified as Non-Life.

§1 : If a product sold by a local reinsurer has only characteristics inherent to Life class products,

earned premiums and technical provisions regarding this product can be classified as Life for

purposes of calculation of operational risk capital.

§2: What has been established in §1º can only be applied upon SUSEP’s authorization and if it

is possible to assess the amounts listed in the article cited by means of data informed in

SUSEP’s Periodic Information Form.

Art. 5: In case of products not included in the present regulation, only SUSEP will decide its

classification into Life or Non-Life, for purposes of calculation of operational risk capital.

132

ADDENDUM XX

MARKET RISK CAPITAL – CASH FLOW GROUPING IN STANDARD VERTICES

Art. 1: For purposes of application of the methodology for calculating market risk, economic

values of cash flow estimated by the supervised bodies will be grouped in standard vertices

established in Table 1 of this Addendum, following their maturity dates and the risk factors to

which they are exposed, in accordance with what was established in Addendum XXI.

133

Table 1 – Standard Vertices

Period Pre Reference Rate Foreign currency

established coupons and Price Index Coupons

coupons

1 month (21 business days) X X

3 months (63 business days) X X X

6 months (126 business days) X X X

1 year (252 business days) X X X

1.5 years (378 business days) X X X

2 years (504 business days) X X X

2.5 years (630 business days) X X X

3 years (756 business days) X X X

4 years (1,008 business days) X X X



15 years (3,780 business days) X X

20 years (5,040 business days) X







134

§ 1: Cash flows with maturity (Ti) inferior to the term of the first standard vertex defined for

the concerned risk factor (Pfirst) will have to be allocated to this vertex proportionally to the

Ti/Pfirstof their economic values.

§ 2: Cash flows with maturity (Ti) superior to the term of the last standard vertex defined for

the concerned risk factor (Plast), will have to be allocated to this vertex proportionally to the

Ti/Plast of their economic values.

§ 3: Cash flows with maturity (Ti) between the term of the first (Pfirst) and the last standard

vertex (Plast) defined for the concerned risk factor, will have to be allocated to the vertices

adjacent to Ti, in accordance with the following criteria:

a) in the vertex immediately precedent (Pj), the fraction (Pj+1 – Ti)/(Pj+1 – Pj) of the economic

value of the flow will have to be allocated; and

b) in the vertex immediately subsequent (Pj+1), the fraction (Ti – Pj)/(Pj+1 – Pj) of the economic

value of the flow will have to be allocated.

§ 4: Cash flows with maturity (Ti) coinciding with the term of any standard vertex will have to

allocate all their economic values to those vertices.

135

ADDENDUM XXI

RISK CAPITAL BASED ON MARKET RISK - OVERALL

Art. 1: The market risk capital is calculated based on the following equation:

§ 1: Consider, for the purposes of this Addendum, the following definitions:

a) : matrix of market risk factors presented in tables 1 to 9 of this Addendum:

Table 1 – Risk Factor Matrix

A B C D

E F G H

136

Table 2 – Risk Factor Matrix – Section A

pre.21 pre.63 pre.126 pre.252 pre.378 pre.504 pre.630 pre.756 pre.1008 pre.1260 pre.2520 pre.3780 igpm.63 igpm.126 igpm.252 igpm.378 igpm.504 igpm.630 igpm.756 igpm.1008

pre.21

pre.63

pre.126

pre.252

pre.378

pre.504

pre.630

pre.756

pre.1008

pre.1260

pre.2520

pre.3780

igpm.63

igpm.126

igpm.252

igpm.378

igpm.504 No need do change values. They are already in english format.

igpm.630

igpm.756

igpm.1008

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

Table 3 – Risk Factor Matrix – Section B

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

pre.21

pre.63

pre.126

pre.252

pre.378

pre.504

pre.630

pre.756

pre.1008

pre.1260

pre.2520

pre.3780

igpm.63

igpm.126

igpm.252

igpm.378

igpm.504

No need do change values. They are already in english format.

igpm.630

igpm.756

igpm.1008

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

138

Table 4 – Risk Factor Matrix – Section C

ipca.3780

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008

tr.1260

tr.2520

tr.3780

tr.5040

pre.21

pre.63

pre.126

pre.252

pre.378

pre.504

pre.630

pre.756

pre.1008

pre.1260

pre.2520

pre.3780

igpm.63

igpm.126

igpm.252

igpm.378

igpm.504 No need do change values. They are already in english format.

igpm.630

igpm.756

igpm.1008

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

139

Table 5 – Risk Factor Matrix – Section D

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

pre.21

pre.63

pre.126

pre.252

pre.378

pre.504

pre.630

pre.756

pre.1008

pre.1260

pre.2520

pre.3780

igpm.63

igpm.126

igpm.252

igpm.378

igpm.504

No need do change values. They are already in english format.

igpm.630

igpm.756

igpm.1008

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

140

Table 6 – Risk Factor Matrix – Section E

pre.21 pre.63 pre.126 pre.252 pre.378 pre.504 pre.630 pre.756 pre.1008 pre.1260 pre.2520 pre.3780 igpm.63 igpm.126 igpm.252 igpm.378 igpm.504 igpm.630 igpm.756 igpm.1008

ipca.3780

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008

tr.1260 No need do change values. They are already in english format.

tr.2520

tr.3780

tr.5040

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

141

Table 7 – Risk Factor Matrix – Section F

igpm.1260

igpm.2520

igpm.3780

igpm.5040

igpm.6300

igpm.7560

igpm.8820

igpm.10080

igpm.11340

igpm.12600

ipca.63

ipca.126

ipca.252

ipca.378

ipca.504

ipca.630

ipca.756

ipca.1008

ipca.1260

ipca.2520

ipca.3780

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008


tr.2520

tr.3780

tr.5040

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

142

Table 8 – Risk Factor Matrix – Section G

ipca.378

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008

tr.1260

tr.2520

tr.3780

tr.5040

0

ipca.3780

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008


tr.2520

tr.3780

tr.5040

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

143

Table 9 – Risk Factor Matrix – Section H

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

ipca.3780

ipca.5040

ipca.6300

ipca.7560

ipca.8820

ipca.10080

ipca.11340

ipca.12600

tr.63

tr.126

tr.252

tr.378

tr.504

tr.630

tr.756

tr.1008


tr.2520

tr.3780

tr.5040

tr.6300

tr.7560

tr.8820

tr.10080

tr.11340

tr.12600

dollar.30

dollar.90

dollar.180

dollar.360

dollar.540

dollar.720

dollar.900

dollar.1080

dollar.1440

dollar.1800

dollar.3600

igpm

ipca

tr

ibovespa

dollar

commodity

144

b) : vector of net exposures (NE) in the format described as follows:

E =( ELpre,1 month … ELpre,15 years ELIGPM, 3 months … ELIGPM, 50 years ELIPCA, 3 months …

ELIPCA, 50 years ELTR, 3 monhts … ELTR, 50 years ELexchange1month …

ELexchange, 10 years ELIGPM ELIPCA ELTR ELshares ELcam ELcom )

Where:

I- ELpre, j: net exposure sensible to pre-determined interest rate variations in the standard

vertex j defined in Addendum XX;

II- ELIGPM, j: net exposure sensible to interest rate variations of IGP-M coupon in the standard


III- ELIPCA, j: net exposure sensible to interest rate variations of IPCA coupon in the standard


IV- ELTR, j: net exposure sensible to interest rate variations of TR coupon in the standard vertex j

defined in Addendum XX;

V- ELexchange, j: net exposure sensible to interest rate variations of exchange coupon in the

standard vertex j defined in Addendum XX;

VI- ELIGPM: net exposure subjected to IGP-M variation;

VII- ELIPCA: net exposure subjected to IPCA variation;

VIII- ELTR: net exposure subjected to TR variation;

IX- ELshares : net exposure subjected to variation in prices of shares;

X - ELcam: net exposure subjected to variation in prices of foreing currencies and gold; and

XI - ELcom: net exposure subjected to variation of prices of goods,

c) : transposed from the vector E.

§2: For purposes of the calculation described in the main section, net exposure to Long Term

Interest Rate (TJLP) and to the Base Financial Rate (TBF) will have to be considered as exposure

to TR.

§3o For purposes of the calculation described in the main section, net exposure to IGP-DI will

have to be considered as exposure to IGP-M, and exposure to PIC and INPC will have to be

considered as exposure to IPCA.

145

§4: Cash flow concerning legal liabilities, for those which the supervised body is not capable of

defining an appropriate risk factor, will be considered as exposed to IGP-M.

146

ADDENDUM XXII

MARKET RISK CAPITAL – GROUPS OF PRODUCTS WITH A FINANCIAL SURPLUS GUARANTEE

Art. 1: For each group i of products offering a financial surplus, for which the supervised body

chooses the option provided for in § 3 of Article 50 of this Resolution, the market risk capital

(RCmarket.surplus i) shall be calculated according to the following equation:

RCmarket.surplus i = RCmarket.general i – min [RCmarket.general i x RPsurplus i ; (PFSsurplus i

+ AVsurplus i) x (1 - PEsurplus i / 2 )]


a) RCmarket.general i : as defined in Addendum II, but considering only the net exposure for

the group of products i;

b) RPsurplus i : the lowest percentage of reversal of financial surpluses observed among the

products that comprise group i;

c) PFSsurplus i : total provisions for financial surpluses set up for the products that comprise

group i;

d) AVsurplus i : added value of the assets corresponding to product group i, defined as the

difference between the economic value and the book value of those assets; and

e) PEsurplus i : the estimated percentage erosion of policyholders or participants over the next

3 (three) months for product group i.

147

ADDENDUM XXIII

BASE CAPITAL – Insurance Companies and Open Private Pension Entities

Art. 1o For Insurance companies or OPPE organized as stock companies, the base capital will

be the sum of the fixed portion corresponding to the authorization to operate insurance or

private pension funds with the variable portion for operation in each one of the regions of the

country, listed in the table in the present article.

§ 1o The base capital’s fixed portion corresponds to R$ 1,200,000 (one million, two hundred

thousand reais).

§ 2o The base capital’s variable portion will be determined by the region where the insurance

company or OPPE has been authorized to operate, following the table below:

Region States Variable Portion (in reais)

1 AM, PA, AC, RR, AP, RO 120,000

2 PI, MA, CE 120,000

3 PE, RN, PB, AL 180,000

4 SE, BA 180,000

5 GO, DF, TO, MT, MS 600,000

6 RJ, ES, MG 2,800,000

7 SP 8,800,000

8 PR, SC, RS 1,000,000

Table of Variable Portion by Region

§ 3º The base capital to operate in the whole country corresponds to R$ 15,000,000 (fifteen

million reais).

Art. 2o The base capital for non-profit OPPEO will be equal to zero.

148

ADDENDUM XXIV

BASE CAPITAL – Companies providing Capitalization plans

Art. 1o For companies providing capitalization plans, the base capital will be the sum of the

fixed portion corresponding to authorization to operate capitalizations with variable portions,

depending on the operation in each one of the regions of the country, listed in the table in the

present addendum.

§ 1o The base capital’s fixed portion corresponds to R$ 1,800,000 (one million, eight hundred

thousand reais).

§ 2o The base capital’s variable portion will be determined by the region where the company

providing capitalization plans has been authorized to operate, following the table below:

Region States Variable Portion (in reais)

1 AM, PA, AC, RR, AP, RO 180,000

2 PI, MA, CE 180,000

3 PE, RN, PB, AL 270,000

4 SE, BA 270,000

5 GO, DF, TO, MT, MS 900,000

6 RJ, ES, MG 2,700,000

7 SP 3,600,000

8 PR, SC, RS 900,000

Table of Variable Portion by Region

§ 3o The base capital to operate in the whole country corresponds to R$ 10,800,000 (ten

million, eight hundred thousand reais).

149

ADDENDUM XXV

CAPITAL BASE – Local Reinsurers

Art. 1: For local reinsurers, the capital base that must be maintained, at all times, is R$

60,000,000 (sixty million reais).

150

ADDENDUM XXVI

VENTURE CAPITAL COMPOSITION

Art. 1.º Venture capital for the supervised body will be constituted based on the following

formula:

+VCoper

1.º For the purposes of this addendum, the concepts will be considered to be as follows:

I - VC – Venture capital, in the way it is defined in this Resolution.

II – VCi e VCj – portions of the capital based on risks “i” e “j”, respectively.

III - i, j – element of line “i“ and column “j“ of the correlation matrix in § 3.º of this article.

IV – VCoper – portion corresponding to operational risk capital, defined in this Resolution.

§ 2.º In the calculation of risk capital, VCi e VCj will be replaced by:

I – VCund – portion corresponding to underwriting risk capital, in this Resolution.

II - VCcred – portion corresponding to credit risk capital, in this Resolution.

III – VCmark – portion corresponding to market risk capital, in this Resolution.

§ 3.º The correlation matrix used for calculating the risk capital will be determined based

on table 1:

j i CR und CR cred CR mark

CR subs 1.00 0.50 0.25

CR cred 0.50 1.00 0.25

CR merc 0.25 0.25 1.00

Table I – Correlation Matrix for Calculation of VC

151

Art 2.º The supervised bodies will be able to send their own methodology for verification of

risk capital portions, provided that the following minimum requirements are met:

I – all risk capital portions have to be paid up;

II – the confidence level cannot be under 99%; and

III – the methodology must embrace all risk capital portions and its correlations.

§ 1.º SUSEP can, at any moment, define additional requirements to be observed by the

supervised bodies during the elaboration of their own methodology.

§ 2.º The supervised bodies that elaborate their own methodology can use it only for capital

request assessment after its authorization by SUSEP.

152

ADDENDUM XXVII

Independent Actuarial Audit - Insurance Companies and Open Private Pension Entities

Art. 1.º The independent actuary will have to, aside from evaluating the consistency between

the information used by the insurance company or open private pension entity for the

elaboration of actuarial calculations and financial statements and information in the database

sent to SUSEP, apply the due tests to verify the need of additional documental analysis, with

the purpose of obtaining certainty about the data to be used in the execution of his/her

activities.

Art. 2.º The independent actuary will have to analyze the technical provisions of the insurance

company or open private pension entity, in order to verify if the criteria established by the

current regulation, in actuarial technical notes and in technical bases of the plans are being

observed, and if the guidelines published in SUSEP’s website are being followed.

§ 1.º Methodologies and premises used in the calculation of technical provisions estimated by

supervised bodies will have to be analyzed.

§ 2.º Regardless of the used methodology, consistency tests of the estimated technical

provisions will have to be performed and presented.

§ 3.º The analysis of insurance technical provisions must be performed for each class, and it

may be presented by class grouping, provided that there is technical justification.

§ 4.º The analysis of technical provisions of open private pensions will have to be performed

for each plan, and it may be presented by plan grouping, provided that there is technical

justification and that minimum criteria of separation between new plans and blocked plans are

observed.

§ 5.º Technical provisions gross and net of reinsurance must be analyzed.

Art. 3.º Without prejudice to other analysis the independent actuary may find necessary, aside

from what has been set forth in the previous article, the following procedures for the analysis

of technical provisions must be considered:

I – Provision for Unearned Premiums (PUEP):

a) verify if the criteria for establishment defined in the specific regulation are being observed,

including exchange variation adjustments;

b) verify if the methodology used for defining initial hiring costs is appropriate; and

c) verify if the establishment of Provision for Unearned Premiums (PUEP-RVNE) is appropriate,

by performing consistency tests.

II – Provision for Claims Reported But Not Yet Settled (RBNS):

a) verify if the establishment of provisions is appropriate, including the eventual IBNER

adjustments, by performing consistency tests;

b) verify if the amounts recorded as expectation of receipt of salvage and recovery are

appropriate, by performing consistency tests; and

153

c) present the analysis related to this provision by separating administrative from legal claims.

III – Provision for Claims Incurred But Not Yet Reported (IBNR):

a) verify if the establishment of the provision is appropriate, by performing consistency tests;

and

b) verify if the amounts recorded as expectation of receipt of salvage and recovery are

appropriate, by performing consistency tests.

IV – Mathematical Provision for Future Benefit Payments (PFBP) and Mathematical Provision

for Benefits Granted (PBG): verify if the establishment of provisions is appropriate;

V – Provision for Related Expenses (PRE), Provision for Technical Surpluses (PTS), Provision for

Financial Surpluses (PFS), Provision for Redemptions and other unsettled amounts (PRO) and

Other Technical Provisions (OTP): for each one of those provisions, verify if the established

amounts are appropriate to ensure the fulfilment of the assumed obligations; and

VI – Provision for Supplementary Coverage (PSC):

a) analyze the Liability Adequacy Test (LAT) corresponding to, at least, the base date of

December 31st, verifying if its elaboration followed the specific regulations;

b) verify if the provison’s balance corresponds to the amount calculated in the LAT; and

c) verify if the LAT adjustment, used for purposes of binding guaranteeing assets, is being

considered by observing the specific regulation.

Single paragraph. This article does not apply to estimated technical provisions which amounts

are defined exclusively by SUSEP, in accordance with specific regulation.

Art. 4o The independent actuary will have to verify if the amounts offered as assets that

reduce the need to cover technical provisions by guaranteeing assets are being used in

accordance with the specific regulations, and follow the guidelines published in SUSEP’s

website, considering the following aspects:

I – credit rights:

a) verify if these amounts refer to premiums receivable, not due, corresponding to risks to be

incurred;

b) verify if the premiums base used to calculate credit rights corresponds to PUEP’s premiums

base used for calculation;

c) analyze the appropriateness and consistency of the balance related to PUEP-RVNE’s credit

rights.

II – reducing legal deposits:

a) verify if these amounts refer to amounts directly related to technical provisions; and

154

b) analyze if these amounts are being counted twice with reducing reinsurance assets.

III – reducing deferred acquisition costs:

a) verify if these amounts refer to expenses directly related to the amount of commercial

premiums and if they were deferred in accordance with each risk’s validity; and

b) verify if these amounts are calculated exclusively based on expenses effectively settled.

IV – reducing reinsurance assets:

a) analyze these amounts by type of contract and by type of reinsurance asset;

b) analyze if the reinsurance assets that reduce PUEP and PUEP-RVNE are being calculated

based on effectively paid and adequately deferred premiums.

c) verify if reinsurance assets that reduce RBNS correspond exclusively to recovery of claims

not yet settled; and

d) analyze if the recorded assets are in accordance with rules established by reinsurance

contracts.

§ 1.º The independent actuary will have to verify if amounts offered as reducing coverage

needs were not counted twice, and if the sum of the reducing amounts is not superior to the

corresponding technical provision.

§ 2.º The independent actuary will have to assess, aside from assets that reduce the need to

cover Technical Provisions, the appropriateness of reinsurance assets and of reinsurer credits

recorded in the balance sheet.

Art. 5.º Regarding reinsurance operations, the independent actuary must verify the accordance

with:

I – the minimum percentage of obligatory contracts with local reinsurers;

II – the limits for intra-group reinsurance operations with companies based overseas;

III – the limits for reinsurance operations with eventual reinsurers;

IV – the limits for risk transfer.

Art. 6o The independent actuary will have to verify the appropriateness of the used retention

limits, when applicable.

§ 1o It must be verified if the maximum value of responsibility retained in each risk individually

is inferior or equal to the corresponding retention limit informed, and if the specific

regulations and guidelines published in SUSEP’s website are being observed.

§ 2o The independent actuary will have to assess the calculation methodology used for

defining retention limits.

Art. 7o Operations relative to classes whose technical provisions have specific regulation must

be analyzed separately, in accordance with the specific features of each kind of operation.

155

ADDENDUM XXVIII

Independent Actuarial Audit - Capitalization

Art. 1.º The independent actuary will have to, aside from assessing the consistency of

information used by the companies providing capitalization plans for the elaboration of

actuarial calculations and financial statements’ information and information in the database

sent to SUSEP, apply the due tests to verify the need of additional documental analysis, with

the purpose of obtaining certainty about the data to be used in the execution of his/her work.

Art. 2.º The independent actuary will have to analyze the technical provisions of the

companies providing capitalization plans, by verifying if the criteria established by the current

regulation, in the actuarial technical notes and in the technical bases of the plans are being

observed, following the guidelines published in SUSEP’s website.

Art. 3.º In addition to what has been set forth in the previous article, the technical provision

analysis has to considerate, at least, the following items:

I – Mathematical Provision for Capitalization (MPC): present cash flow and verify if the return

on the applications is sufficient to ensure updating and capitalization of the bonds sold;

II – Provision for Distribution of a Bonus (PDB): present cash flow;

III – Provision for Redemption (PR): present cash flow;

IV – Provision for Prize Draws (PPD): present cash flow and verify if the prize draw fund raising

is sufficient to ensure the undertaken commitments;

V – Supplementary Provision for Prize Draws (SPPD):

a) analyze methodology for calculation of provisions; and

b) verify if the established amounts are appropriate when a comparison between the expected

amount of prize draws that will occur and the amount of Provision for Prize Draws is made.

VI – Provision for Prize Draws Payable (PDP): present cash flow;

VII – Provision for Administrative Expenses (PAE):

a) analyze methodology for calculation of provisions; and

b) verifiy if established amounts are appropriate and can ensure coverage of the plans’

administrative expenses.

VIII – Other Technical Provisions (OTP): verify if the criteria of establishment defined in

regulations and/or in actuarial technical notes are being observed.

Single paragraph. The analysis of technical provisions can be performed by plan or by plan

grouping.

156

ADDENDUM XXIX

Independent Actuarial Audit - Reinsurance

Art. 1.º The independent actuary will have to, aside from evaluating the consistency

between the information used by the local reinsurer for the elaboration of actuarial

calculations and financial statements information and information in the database sent to

SUSEP, apply the due tests to verify the need of additional documental analysis, with the

purpose of obtaining certainty about the data to be used in the execution of his/her activities.

Art. 2.º The independent actuary will have to analyze the technical provisions of the

local insurer, in order to verify if the criteria established by the current regulations, in the

actuarial technical notes and in the technical bases of the plans are being observed, and if the

guidelines published in SUSEP’s website are being followed.

§ 1.º Methodologies and premises used in the calculation of technical provisions

estimated by local reinsurers will have to be analyzed.

§ 2.º Regardless of the used methodology, consistency tests of the estimated technical

provisions will have to be performed and presented.

§ 3.º The analysis of reinsurance technical provisions must be performed by group or,

provided that there is technical justification, by group set or business line.

§ 4.º Technical provisions gross and net of retrocession must be analyzed.

§ 5.º The analysis of technical provisions will be performed in accordance with the type of

reinsurance contract.

Art. 3.º Without prejudice to other analysis the independent actuary may find necessary, aside

from what has been set forth in the previous article, the following procedures for the analysis

of technical provisions must be considered:

I – Provision for Unearned Premiums (PUEP):

a) verify the appropriateness of the provision establishment;

b) analyze if the premises used in the calculation of the provision are appropriate;

c) analyze adjustments due to exchange variations;

d) verify if the establishment of the Provision for Unearned Premiums for ongoing and not

issued risks (PUEP-RVNE) is appropriate, by performing consistency tests.

II – Provision for Claims reported but not yet settled (RBNS):

a) verify if the establishment of the provision was appropriate, including eventual IBNER

adjustments, by performing consistency tests; and

b) present the analysis related to this provision by separating administrative from legal claims.

III – Provision for Claims incurred but not yet reported (IBNR): verify if the establishment of the

provision is appropriate, by performing consistency tests;

157

IV – Mathematical Provision for Future Benefit Payments (PFBP) and Mathematical Provision

for Benefits Granted (PBG): verify if the establishment of the provision is appropriate;

V – Provision for Related Expenses (PRE), Provision for Technical Surpluses (PTS), Provision for

Financial Surpluses (PFS) and Other Technical Provisions (OTP): for each one of the provisions,

verify if the amounts identified are appropriate in order to ensure the fulfilment of each of the

undertaken obligations; and

VI – Provision for Supplementary Coverage (PSC):

a) analyze the Liability Adequacy Test (LAT) referring to, at least, the base date of December

31st, verifying if it was elaborated according to the specific regulation;

b) verify if the balance of the provision corresponds to the amounts identified at TAP; and

c) verify if the TAP adjustment, used for binding guaranteeing assets, is being considered in

accordance with the specific regulation.

Art. 4.º The independent actuary will have to verify if the amounts offered as amounts that

reduce the need of technical provision coverage by guaranteeing assets are being used in

accordance with the specific regulations, and follow the guidelines published in SUSEP’s

website, considering, at least, the aspects below:

I – credit rights: verify if these amounts are appropriate;

II – reducing judicial deposits:

a) verify if these amounts refer to amounts directly related to technical provisions; and

b) analyze if these amounts are being counted twice with reducing retrocession assets.

III – reducing deferred acquisition costs:

a) verify if these amounts refer exclusively to brokerage expenses, and if they are deferred in

the same way as PUED; and

b) verify if these amounts are calculated based exclusively on expenses effectively paid up.

IV – reducing retrocession assets:

a) analyze these amounts by type of contract and type of retrocession asset;

b) analyze if the retrocession asses that reduce PUEP and PUEP-RNVE are being calculated

based on the premiums effectively paid up and deferred in an appropriate manner;

c) verify if the retrocession assets that reduce RBNS correspond exclusively to recovery of

losses not yet paid; e

d) analyze if the recorded assets follow the rules set up by retrocession contracts.

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§ 1o The independent actuary will have to verify if the amounts offered as reducing need of

coverage were not counted twice, and if the sum of the reducing amounts is not superior to

the corresponding technical provision.

§ 2o The independent actuary will have to assess , aside from retrocession assets that reduce

need of coverage of the technical provisions, if the retrocession assets and credits from the

retrocessionaire recorded in the balance sheet are appropriate.

Art. 5o Regarding retrocession operations, the independent actuary will have to verify the

compliance with:

I – limits for intra-group retrocession operations with companies based overseas;

II – limits for retrocession operations with eventual reinsurers, and;

III – risk transfer limits.

Art. 6o The independent actuary will have to verify if the retention limits used by the local

reinsurer are appropriate.

§ 1o It must be verified if the maximum value of responsibility retained in each risk separately

is inferior of equal to the corresponding retention limit informed, observing the specific

regulations and the guidelines published in SUSEP’s website.

§ 2o The independent actuary will have to assess the methodology of calculation used for

defining retention limits.

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