SW Funding plc (formerly Scottish Widows plc)

SW Funding plc (formerly Scottish Widows plc) Annual PRA Insurance Returns for the ended 31 December 2015 IPRU(INS) Appendices 9.1, 9.3, 9.4, 9.4A, 9.6

Balance Sheet and Profit and Loss Account Contents Long Term Insurance Business: Revenue Account and Additional Information Form 40 Revenue account 1 Form 41 Analysis of premiums 4 Form 42 Analysis of claims 7 Form 43 Analysis of expenses 10 Form 45 Revenue account for internal linked funds 13 Form 46 Summary of new business 14 Form 47 Analysis of new business 15 Supplementary notes to the return 19 Additional information on controllers 23 Statement of information on the with-profits actuary 24 Directors' Certificate 25 Auditor's Report 26 Any other information contained in the return 28

24032016:09:55:33 Long-term insurance business : Revenue account Form 40 Total business / subfund Summary Financial Previous 1 2 Income Earned premiums 11 7535389 640652 Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets 12 1481619 1359607 13 (6840885) 1791775 14 4933007 3035610 Other income 15 264448 268429 Total income 19 7373578 7096072 Expenditure Claims incurred 21 2432349 2138470 Expenses payable Interest payable before the deduction of tax Taxation 22 762123 765410 23 4276 2577 24 (106306) (55159) Other expenditure 25 236521 115619 Transfer to (from) non technical account 26 100000 Total expenditure 29 3328964 3066917 Business transfers - in 31 2135785 Business transfers - out 32 36486438 Increase (decrease) in fund in financial (19-29+31-32) 39 (30306039) 4029156 Fund brought forward 49 30306039 26276883 Fund carried forward (39+49) 59 0 30306039 1

24032016:09:55:33 Long-term insurance business : Revenue account Form 40 Total business / subfund With Profit Fund Financial Previous 1 2 Income Earned premiums 11 189607 230910 Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets 12 601820 722445 13 (458414) 961561 14 Other income 15 46984 37737 Total income 19 379996 1952653 Expenditure Claims incurred 21 1030844 1050743 Expenses payable Interest payable before the deduction of tax Taxation 22 13900 20695 23 2770 1914 24 5626 11351 Other expenditure 25 70790 64888 Transfer to (from) non technical account 26 Total expenditure 29 1123929 1149591 Business transfers - in 31 Business transfers - out 32 13550786 Increase (decrease) in fund in financial (19-29+31-32) 39 (14294718) 803063 Fund brought forward 49 14294718 13491655 Fund carried forward (39+49) 59 (0) 14294718 2

24032016:09:55:33 Long-term insurance business : Revenue account Form 40 Total business / subfund Non Participating Fund Financial Previous 1 2 Income Earned premiums 11 7345782 409742 Investment income receivable before deduction of tax Increase (decrease) in the value of non-linked assets brought into account Increase (decrease) in the value of linked assets 12 879799 637162 13 (6382471) 830214 14 4933007 3035610 Other income 15 217464 230692 Total income 19 6993581 5143419 Expenditure Claims incurred 21 1401506 1087727 Expenses payable Interest payable before the deduction of tax Taxation 22 748224 744714 23 1506 663 24 (111932) (66510) Other expenditure 25 165731 50732 Transfer to (from) non technical account 26 100000 Total expenditure 29 2205035 1917326 Business transfers - in 31 2135785 Business transfers - out 32 22935652 Increase (decrease) in fund in financial (19-29+31-32) 39 (16011321) 3226093 Fund brought forward 49 16011321 12785228 Fund carried forward (39+49) 59 0 16011321 3

24032016:09:55:33 Long-term insurance business : Analysis of premiums Form 41 Total business / subfund Summary UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Regular premiums 11 449334 3263753 3713087 3561817 Single premiums 12 22412 2667035 2689447 2706098 Reinsurance - external Regular premiums 13 80028 (4161431) (4081403) 1501987 Single premiums 14 13 744293 744306 1351171 Reinsurance - intra-group Regular premiums 15 159074 1333502 1492577 1779082 Single premiums 16 3452 708212 711665 995023 Net of reinsurance Regular premiums 17 210232 6091681 6301913 280748 Single premiums 18 18947 1214529 1233476 359905 Total Gross 19 471747 5930787 6402534 6267915 Reinsurance 20 242568 (1375423) (1132855) 5627262 Net 21 229179 7306210 7535389 640653 4

24032016:09:55:33 Long-term insurance business : Analysis of premiums Form 41 Total business / subfund With Profit Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Regular premiums 11 27061 36584 63645 76965 Single premiums 12 126452 126452 154590 Reinsurance - external Regular premiums 13 485 6 490 644 Single premiums 14 Reinsurance - intra-group Regular premiums 15 Single premiums 16 Net of reinsurance Regular premiums 17 26577 36578 63155 76321 Single premiums 18 126452 126452 154590 Total Gross 19 27061 163036 190097 231555 Reinsurance 20 485 6 490 644 Net 21 26577 163030 189607 230911 5

24032016:09:55:33 Long-term insurance business : Analysis of premiums Form 41 Total business / subfund Non Participating Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Regular premiums 11 422273 3227169 3649442 3484852 Single premiums 12 22412 2540583 2562995 2551509 Reinsurance - external Regular premiums 13 79544 (4161437) (4081893) 1501343 Single premiums 14 13 744293 744306 1351171 Reinsurance - intra-group Regular premiums 15 159074 1333502 1492577 1779082 Single premiums 16 3452 708212 711665 995023 Net of reinsurance Regular premiums 17 183655 6055103 6238758 204427 Single premiums 18 18947 1088077 1107024 205315 Total Gross 19 444685 5767752 6212437 6036361 Reinsurance 20 242084 (1375429) (1133345) 5626618 Net 21 202602 7143180 7345782 409742 6

24032016:09:55:33 Long-term insurance business : Analysis of claims Form 42 Total business / subfund Summary UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Death or disability lump sums 11 316145 115592 469 432206 378466 Disability periodic payments 12 13797 13797 20438 Surrender or partial surrender 13 405394 6737719 3196 7146309 3494089 Annuity payments 14 6780 674876 681657 671728 Lump sums on maturity 15 282029 628834 910863 1087939 Total 16 1024145 8157022 3665 9184832 5652661 Reinsurance - external Death or disability lump sums 21 77182 9839 87021 43606 Disability periodic payments 22 1364 1364 1774 Surrender or partial surrender 23 2043906 2043906 388716 Annuity payments 24 Lump sums on maturity 25 16808 16808 17859 Total 26 78546 2070553 2149099 451955 Reinsurance - intra-group Death or disability lump sums 31 76707 85353 235 162295 142862 Disability periodic payments 32 Surrender or partial surrender 33 47234 3991427 1598 4040259 2433838 Annuity payments 34 45140 45140 45276 Lump sums on maturity 35 8367 347323 355689 440261 Total 36 132308 4469243 1832 4603383 3062237 Net of reinsurance Death or disability lump sums 41 162255 20400 235 182890 191998 Disability periodic payments 42 12433 12433 18664 Surrender or partial surrender 43 358160 702386 1598 1062144 671535 Annuity payments 44 6780 629737 636517 626452 Lump sums on maturity 45 273663 264702 538365 629819 Total 46 813291 1617225 1833 2432349 2138468 7

24032016:09:55:33 Long-term insurance business : Analysis of claims Form 42 Total business / subfund With Profit Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Death or disability lump sums 11 61144 16863 235 78242 63899 Disability periodic payments 12 1138 1138 1138 Surrender or partial surrender 13 64878 378789 1598 445265 308279 Annuity payments 14 93052 93052 154697 Lump sums on maturity 15 160327 252984 413310 522891 Total 16 287487 741689 1832 1031008 1050905 Reinsurance - external Death or disability lump sums 21 Disability periodic payments 22 164 164 164 Surrender or partial surrender 23 Annuity payments 24 Lump sums on maturity 25 Total 26 164 164 164 Reinsurance - intra-group Death or disability lump sums 31 Disability periodic payments 32 Surrender or partial surrender 33 Annuity payments 34 Lump sums on maturity 35 Total 36 Net of reinsurance Death or disability lump sums 41 61144 16863 235 78242 63899 Disability periodic payments 42 974 974 974 Surrender or partial surrender 43 64878 378789 1598 445265 308279 Annuity payments 44 93052 93052 154697 Lump sums on maturity 45 160327 252984 413310 522891 Total 46 287323 741689 1832 1030844 1050741 8

24032016:09:55:33 Long-term insurance business : Analysis of claims Form 42 Total business / subfund Non Participating Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Death or disability lump sums 11 255001 98729 235 353964 314566 Disability periodic payments 12 12659 12659 19300 Surrender or partial surrender 13 340516 6358930 1598 6701044 3185810 Annuity payments 14 6780 581824 588604 517031 Lump sums on maturity 15 121703 375850 497553 565048 Total 16 736659 7415333 1833 8153824 4601756 Reinsurance - external Death or disability lump sums 21 77182 9839 87021 43606 Disability periodic payments 22 1200 1200 1610 Surrender or partial surrender 23 2043906 2043906 388716 Annuity payments 24 Lump sums on maturity 25 16808 16808 17859 Total 26 78382 2070553 2148935 451791 Reinsurance - intra-group Death or disability lump sums 31 76707 85353 235 162295 142862 Disability periodic payments 32 Surrender or partial surrender 33 47234 3991427 1598 4040259 2433838 Annuity payments 34 45140 45140 45276 Lump sums on maturity 35 8367 347323 355689 440261 Total 36 132308 4469243 1832 4603383 3062237 Net of reinsurance Death or disability lump sums 41 101111 3537 0 104648 128099 Disability periodic payments 42 11459 11459 17690 Surrender or partial surrender 43 293282 323597 0 616879 363256 Annuity payments 44 6780 536684 543464 471755 Lump sums on maturity 45 113336 11719 125055 106928 Total 46 525969 875536 0 1401506 1087727 9

24032016:09:55:33 Long-term insurance business : Analysis of expenses Form 43 Total business / subfund Summary UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Commission - acquisition 11 77162 12001 89164 139175 Commission - other 12 9199 113135 122334 125449 Management - acquisition 13 20226 132510 152736 138116 Management - maintenance 14 235802 78046 313848 316453 Management - other 15 32074 106274 138347 112173 Total 16 374463 441967 816429 831367 Reinsurance - external Commission - acquisition 21 Commission - other 22 Management - acquisition 23 Management - maintenance 24 Management - other 25 Total 26 Reinsurance - intra-group Commission - acquisition 31 Commission - other 32 54306 54306 65957 Management - acquisition 33 Management - maintenance 34 Management - other 35 Total 36 54306 54306 65957 Net of reinsurance Commission - acquisition 41 77162 12001 89164 139175 Commission - other 42 9199 58829 68028 59492 Management - acquisition 43 20226 132510 152736 138116 Management - maintenance 44 235802 78046 313848 316453 Management - other 45 32074 106274 138347 112173 Total 46 374463 387661 762123 765410 10

24032016:09:55:33 Long-term insurance business : Analysis of expenses Form 43 Total business / subfund With Profit Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Commission - acquisition 11 27 27 34 Commission - other 12 424 207 631 618 Management - acquisition 13 43 43 45 Management - maintenance 14 3398 8928 12326 19130 Management - other 15 874 874 868 Total 16 4695 9205 13900 20695 Reinsurance - external Commission - acquisition 21 Commission - other 22 Management - acquisition 23 Management - maintenance 24 Management - other 25 Total 26 Reinsurance - intra-group Commission - acquisition 31 Commission - other 32 Management - acquisition 33 Management - maintenance 34 Management - other 35 Total 36 Net of reinsurance Commission - acquisition 41 27 27 34 Commission - other 42 424 207 631 618 Management - acquisition 43 43 43 45 Management - maintenance 44 3398 8928 12326 19130 Management - other 45 874 874 868 Total 46 4695 9205 13900 20695 11

24032016:09:55:33 Long-term insurance business : Analysis of expenses Form 43 Total business / subfund Non Participating Fund UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Gross Commission - acquisition 11 77162 11974 89137 139141 Commission - other 12 8775 112928 121703 124831 Management - acquisition 13 20226 132468 152694 138071 Management - maintenance 14 232405 69117 301522 297323 Management - other 15 31200 106274 137474 111305 Total 16 369768 432762 802530 810671 Reinsurance - external Commission - acquisition 21 Commission - other 22 Management - acquisition 23 Management - maintenance 24 Management - other 25 Total 26 Reinsurance - intra-group Commission - acquisition 31 Commission - other 32 54306 54306 65957 Management - acquisition 33 Management - maintenance 34 Management - other 35 Total 36 54306 54306 65957 Net of reinsurance Commission - acquisition 41 77162 11974 89137 139141 Commission - other 42 8775 58622 67397 58874 Management - acquisition 43 20226 132468 152694 138071 Management - maintenance 44 232405 69117 301522 297323 Management - other 45 31200 106274 137474 111305 Total 46 369768 378456 748224 744714 12

24032016:09:55:33 Long-term insurance business : Revenue account for internal linked funds Form 45 Total business Financial Previous 1 2 Income Value of total creation of units Investment income attributable to the funds before deduction of tax Increase (decrease) in the value of investments in the financial Other income 11 12 265552 173290 13 (469987) 3145575 14 6487373 Total income 19 6282937 3318865 Expenditure Value of total cancellation of units Charges for management Charges in respect of tax on investment income Taxation on realised capital gains Increase (decrease) in amount set aside for tax on capital gains not yet realised Other expenditure 21 469700 495530 22 176725 144693 23 8960 23121 24 7233 3196 25 (5675) 823 26 12742555 17442 Total expenditure 29 13399498 684806 Increase (decrease) in funds in financial (19-29) Internal linked fund brought forward Internal linked funds carried forward (39+49) 39 (7116561) 2634059 49 7116561 4482502 59 7116561 13

24032016:09:55:33 Long-term insurance business : Summary of new business Form 46 Total business UK Life UK Pension Overseas Total Financial Total Previous 1 2 3 4 5 Number of new policyholders/ scheme members for direct insurance business Regular premium business 11 78832 251563 330394 613136 Single premium business 12 41073 41073 50988 Total 13 78832 292636 371468 664124 Amount of new regular premiums Direct insurance business 21 19848 719434 739282 980057 External reinsurance 22 Intra-group reinsurance 23 Total 24 19848 719434 739282 980057 Amount of new single premiums Direct insurance business 25 2407 2664588 2666994 2702750 External reinsurance 26 Intra-group reinsurance 27 Total 28 2407 2664588 2666994 2702750 14

15 24032016:09:55:33 Long-term insurance business : Analysis of new business (Sheet 1) Form 47 Total business UK Life / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members Amount of premiums Number of policyholders / scheme members Amount of premiums 1 2 3 4 5 6 300 Regular premium non-profit WL/EA OB 48 Single premium business 325 Level term assurance 2950 1239 330 Decreasing term assurance 5227 1000 340 Accelerated critical illness (guaranteed premiums) 345 Accelerated critical illness (reviewable premiums) 6314 3803 355 Stand-alone critical illness (reviewable premiums) 53 112 360 Income protection non-profit (guaranteed premiums) 93 365 Income protection non-profit (reviewable premiums) 370 Long-term care policy 6 24 380 Miscellaneous protection rider 1 395 Annuity non-profit (PLA) 410 Group Life 29161 3624 415 Collective Life 2284 415 Collective Life (Income Protection) 420 Group income protection 55

16 24032016:09:55:33 Long-term insurance business : Analysis of new business (Sheet 2) Form 47 Total business UK Life / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members Amount of premiums Number of policyholders / scheme members Amount of premiums 1 2 3 4 5 6 430 Group critical illness 35079 9840 Single premium business 500 Life UWP single premium - FOB Growth 500 Life UWP single premium - FOB Income 505 Life UWP whole life regular premium 3 2 510 Life UWP endowment regular premium - savings 700 Life property linked single premium 123 710 Life property linked whole life regular premium 2 1 715 Life property linked endowment regular premium - savings 36 7 720 Life property linked endowment regular premium - target cash

17 24032016:09:55:33 Long-term insurance business : Analysis of new business (Sheet 1) Form 47 Total business UK Pension / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members Amount of premiums Number of policyholders / scheme members Amount of premiums 1 2 3 4 5 6 170 Conventional deferred annuity with-profits - increments 138 Single premium business 180 Group conventional deferred annuity with-profits - increments 325 Level term assurance 400 Annuity non-profit (CPA) 4339 198592 401 Annuity non-profit (bulk transfer) 371 27074 405 Annuity non-profit (CPA impaired life) 650 19116 410 Group life 411 Group Death in Service Dependents' Annuituies 525 Individual pensions UWP 4 247 60 242 530 Individual pensions UWP - increments 2754 5215 535 Group money purchase pensions UWP 75 173 4 35 540 Group money purchase pensions UWP - increments 851 789 565 DWP national insurance rebates UWP 725 Individual pensions property linked 657 5762 8822 642846 725 Individual pensions property linked - annuities 43

18 24032016:09:55:33 Long-term insurance business : Analysis of new business (Sheet 2) Form 47 Total business UK Pension / Direct Insurance Business Product code number Product description Regular premium business Number of policyholders / scheme members Amount of premiums Single premium business Number of policyholders / scheme members Amount of premiums 1 2 3 4 5 6 730 Individual pensions property linked - increments 30415 326492 735 Group money purchase pensions property linked 250826 439361 13774 165837 740 Group money purchase pensions property linked - increments 239734 371596 745 DWP national insurance rebates property linked 69 750 Income drawdown property linked 9507 521756 755 Trustee investment plan 14549 905 Index linked annuity 906 Index linked annuity (bulk transfer) 3547 370335

Returns under Insurance Companies Legislation SW FUNDING PLC (formerly Scottish Widows plc) Supplementary notes to appendices 9.1 and 9.3 *4002* Other income and expenditure a) With Profit Fund Other income consists of the following amounts: 2015 000 Surplus relating to transferred policies in the Non-Participating Fund 46,984 Other income 46,984 Other expenditure consists of the following amounts: 2015 000 Annual management charges allocated to the Non-Participating Fund 56,546 Share of policyholder bonuses allocated to the Non-Participating Fund 8,000 Other expenditure adjustments 6,244 Other expenditure 70,790 19

Returns under Insurance Companies Legislation SW FUNDING PLC (formerly Scottish Widows plc) Supplementary notes to appendices 9.1 and 9.3 b) Non-Participating Fund Other income consists of the following amounts: 2015 000 Annual management charges levied on Unit-linked Funds 151,858 Annual management charges allocated from the With-Profit Fund 56,546 Share of policyholder bonuses allocated from the With-Profit Fund 8,000 Other income adjustments 1,060 Other income 217,464 Other expenditure consists of the following amounts: 2015 000 Impairment of subsidiaries 104,654 Transfer of surplus relating to transferred policies to the With-Profit Fund 46,984 Other expenditure adjustments 14,093 Other expenditure 165,731 The transfers and payments noted above, other than in respect of annual management charges on unit-linked funds, have been made in accordance with the Scheme covering the transfer of business from Scottish Widows Fund & Life Assurance Society to SW Funding plc. The annual management charges on unit-linked funds are received in accordance with the relevant reinsurance treaty. 20

Returns under Insurance Companies Legislation SW FUNDING PLC (formerly Scottish Widows plc) Supplementary notes to appendices 9.1 and 9.3 *4004* Business transfers out On 31 December 2015 the Company transferred the long-term fund along with the majority of the shareholders fund assets to Scottish Widows Limited ( SWL ), in accordance with a Court Scheme under Part VII of the Financial Services and Markets Act 2000 ( FSMA ). Of the total shown as a business transfer out on Form 40 Line 32, 34,351m is equal to the net of reinsurance mathematical reserves plus declared surplus transferred at the transfer date. No long-term insurance business has been carried on since the end, there is no intention to carry on further any such business The entity is not carrying on general insurance business. *4006* Basis of apportionment between long term funds The company maintains separate With Profits and Non-Participating sub-funds within the Long Term Business Fund. The company maintains separate underlying pools of assets (excluding property) for each fund; therefore there is no requirement to apportion investment return between the funds. Realised and unrealised gains, and investment income, arising on property investments are apportioned pro-rata between the With Profits Fund and the Non-Participating Fund according to the proportionate interest of each sub-fund in the property portfolio. The level of expenses and calculation of tax applicable to the With Profits Fund is governed by the Scheme of Transfer. *4008* Management services Arrangements are in force under which Scottish Widows Services Limited provides management and administration services to SW Funding plc. *4009* Material connected-party transactions The company pays reinsurance premiums to and receives reinsurance claims from a subsidiary company, Scottish Widows Unit Funds Limited, under a reinsurance agreement. The aggregate amount of premiums paid during the was 2,439m. The aggregate amount of claims received during the was 4,428m. *4502* Details of items recorded as Other income or Other expenditure The balance in Form 45 Line 14 relates to the following: 2015 000 SSGA Reinsurance Recapture 6,273,966 Unrealised appreciation on investments 181,074 Other income 32,333 Other income 6,487,373 21

Returns under Insurance Companies Legislation SW FUNDING PLC (formerly Scottish Widows plc) Supplementary notes to appendices 9.1 and 9.3 The balance in Form 45 Line 26 relates to the following: 2015 000 Insurance business transfer 12,742,060 Property expenses 461 Overdraft interest paid 34 Other income 12,742,555 22

SW FUNDING PLC (formerly Scottish Widows plc) Interim Prudential Sourcebook for Insurers 9.30 Statement required by Rule 9.30: Additional Information on Shareholder Controllers SW Funding plc is a wholly owned and controlled subsidiary of Scottish Widows Financial Services Holdings. Scottish Widows Financial Services Holdings is a wholly owned and controlled subsidiary of Scottish Widows Group Limited. Scottish Widows Group Limited is a wholly owned and controlled subsidiary of Lloyds Bank plc. Lloyds Bank plc is a wholly owned and controlled subsidiary of Lloyds Banking Group plc which was the ultimate shareholder controller of the insurer during the financial period. 23

SW FUNDING PLC (formerly Scottish Widows plc) Statement of Information on With-Profits Actuary Mr K Doerr was the With-Profits Actuary throughout 2015. 1. (a) Mr Doerr held no interest in any shares or debentures of the company at any time during the. During the Mr Doerr, together with his spouse, had a maximum beneficial interest in 367,493 Lloyds Banking Group plc ordinary shares during the period. Mr Doerr has options to acquire 22,156 Lloyds Banking Group plc ordinary shares, exercisable on 1 June 2016 at a price of 40.62p Mr Doerr is due to be allocated 5,919 Lloyds Banking Group plc ordinary shares in March 2016, 5,240 in March 2017 and 2,982 in March 2018 (up to 100% of each of these is subject to potential clawback). In addition he has a conditional award of up to 79,918 Lloyds Banking Group plc ordinary shares, granted in 2014. This is dependent on Lloyds Banking Group performance, and is due to vest in 2017. (b) Mr Doerr has an in force Individual Savings Account with a value at 31 December 2015 of 43,311. (c) (i) Mr Doerr s aggregate amount of remuneration and the value of any other benefits under his contract of employment with Scottish Widows and receivable by him during 2015 was 233,894. (ii) No other emolument, pension or compensation as a director of the insurer was received by Mr Doerr during the period. (d) Mr Doerr is also a member of the Scottish Widows Staff Retirement Benefits Scheme which entitles him to specified benefits in common with all other eligible employees of Scottish Widows. The costs of the Scheme are met by Scottish Widows. Mr Doerr was also eligible for Private Medical Insurance. 2. The insurer made a request to the actuary to furnish it with the particulars specified in paragraph (1) of rule 9.36. Pursuant to that request the actuary supplied the information in item 1 above. 24

SW FUNDING PLC (formerly Scottish Widows plc) Director s Certificate required by IPRU(INS) rule 9.34 and IPRU (INS) Appendix 9.6 We certify that: a) the return has been properly prepared in accordance with the requirements in IPRU (INS), GENPRU and INSPRU; b) we are satisfied that throughout the financial in question, the insurer has complied in all material respects with the requirements of the Fundamental Rules, SYSC as well as the provisions of IPRU(INS), GENPRU and INSPRU. c) in our opinion premiums for contracts entered into during the financial and the resulting income earned are sufficient, under reasonable actuarial methods and assumptions, and taking into account the other financial resources of the insurer that are available for the purpose, to enable the insurer to meet its obligations in respect of those contracts and, in particular, to establish adequate mathematical reserves; d) we have, in preparing the return, taken and paid due regard to- i. advice from every actuary appointed by the insurer to perform the actuarial function in accordance with SUP 4.3.13R The certificate required by IPRU(INS) Appendix 9.6 paragraph 1(1)(b)(ii) in respect of compliance since the end of the financial in question with the requirements in SYSC, Fundamental Rules and the provisions of IPRU(INS), GENPRU and INSPRU and ongoing compliance has not been provided. This is because these requirements have been replaced as from 1 January 2016, the commencement date of Solvency II, so the firm is subject to a new regulatory regime. A Lorenzo A M Parsons C J Thornton Date: 24 March 2016 25

Auditors report: Regulatory Return for a life insurance company SW Funding PLC (formerly Scottish Widows plc) Global Business Independent auditors report to the directors pursuant to rule 9.3(6) of the Interim Prudential Sourcebook for Insurers We have audited the following documents prepared by the insurer pursuant to the Accounts and Statements Rules set out in Part I and Part IV of Chapter 9 to IPRU(INS) the Interim Prudential Sourcebook for Insurers, GENPRU the General Prudential Sourcebook and INSPRU the Prudential Sourcebook for Insurers ( the Rules ) made by the Prudential Regulation Authority under section 137G of the Financial Services and Markets Act 2000: Forms 40, 41, 42, 43 and 45 (including the supplementary notes) on pages 1 to 13 ( the Forms ); We are not required to audit and do not express an opinion on: Forms 46 and 47 (including the supplementary notes) on pages 14 and 15; the statements required by IPRU(INS) rules 9.30 and 9.36 on pages 23 and 24; and the certificate required by IPRU(INS) rule 9.3(5) on page 25. Respective responsibilities of the insurer and its auditors The insurer is responsible for the preparation of the forms to be submitted under IPRU(INS) rule 9.3(5) under the provisions of the Rules. Under IPRU(INS) rule 9.11 the Forms are required to be prepared in the manner specified by the Rules and to state fairly the information provided on the basis required by the Rules. It is our responsibility to form an independent opinion as to whether the Forms meet these requirements, and to report our opinion to you. We also report to you if, in our opinion: adequate accounting records have not been kept, or returns adequate for our audit have not been received from branches not visited by us; or the Forms are not in agreement with the accounting records and returns; or we have not received all the information we require for our audit. This report has been prepared for the directors of the insurer to comply with their obligations under IPRU(INS) rule 9.3(6) and for no other purpose. We do not, in providing this report, accept or assume responsibility for any other purpose save where expressly agreed by our prior consent in writing. 26

Basis of opinion We conducted our work in accordance with Practice Note 20 'The audit of insurers in the United Kingdom (Revised)' issued by the Auditing Practices Board. Our work included examination, on a test basis, of evidence relevant to the amounts and disclosures in the Forms. The evidence included that previously obtained by us relating to the audit of the financial statements of the insurer for the financial. It also included an assessment of the significant estimates and judgements made by the insurer in the preparation of the Forms. We planned and performed our work so as to obtain all the information and explanations which we considered necessary in order to provide us with sufficient evidence to give reasonable assurance that the Forms are free from material misstatement, whether caused by fraud or other irregularity or error and comply with IPRU(INS) rule 9.11. Opinion In our opinion the Forms fairly state the information provided on the basis required by the Rules as modified and have been properly prepared in accordance with the provisions of those Rules. PricewaterhouseCoopers LLP Chartered Accountants 24 March 2016 27

SW FUNDING PLC (formerly Scottish Widows plc) Appointed Actuary s Certificate I certify that, in my opinion, the provisions of the Scheme of Transfer have been complied with and been given effect to in all material respects in relation to the Company. K Doerr With-Profits Actuary 24 March 2016 28