Clerical Medical Managed Funds Limited

Clerical Medical Managed Funds Limited Annual PRA Insurance Returns for the year ended 31 December 2014 IPRU(INS) Appendices 9.1, 9.3, 9.4, 9.6

Balance Sheet and Profit and Loss Account Contents Form 2 Statement of solvency - long-term insurance business 1 Form 3 Components of capital resources 3 Form 13 Analysis of admissible assets 6 Form 14 Long term insurance business liabilities and margins 12 Form 15 Liabilities (other than long term insurance business) 13 Form 16 Profit and loss account (non-technical account) 14 Long Term Insurance Business: Revenue Account and Additional Information Form 40 Revenue account 15 Form 41 Analysis of premiums 16 Form 42 Analysis of claims 17 Form 43 Analysis of expenses 18 Form 44 Linked funds balance sheet 19 Form 45 Revenue account for internal linked funds 20 Form 46 Summary of new business 21 Form 47 Analysis of new business 22 Form 48 Assets not held to match linked liabilities 25 Form 50 Summary of mathematical reserves 26 Form 51 Valuation summary of non-linked contracts (other than 27 accumulating with-profits contracts) Form 53 Valuation summary of property linked contracts 29 Form 55 Unit prices for internal linked funds 31 Form 58 Distribution of surplus 32 Form 60 Long-term insurance capital requirement 33 Supplementary notes to the return 34 Additional information on derivative contracts 40 Additional information on controllers 41 Abstract of the Valuation Report 42 Directors' Certificate 47 Auditor's Report 48

24032015:18:19:04 Form 2 Statement of solvency - long-term insurance business Global business Solo solvency calculation Company GL/ registration UK/ day month year Units number CM R2 1580284 GL 31 12 2014 000 As at end of this financial year As at end of the previous year 1 2 Capital resources Capital resources arising within the long-term insurance fund 11 3405 3434 Capital resources allocated towards long-term insurance business arising outside the long-term insurance fund Capital resources available to cover long-term insurance business capital resources requirement (11+12) 12 22147 22056 13 25552 25490 Guarantee fund Guarantee fund requirement 21 2902 3146 Excess (deficiency) of available capital resources to cover guarantee fund requirement 22 22650 22344 Minimum capital requirement (MCR) Long-term insurance capital requirement 31 12 16 Resilience capital requirement 32 Base capital resources requirement 33 2902 3146 Individual minimum capital requirement 34 2902 3146 Capital requirements of regulated related undertakings 35 Minimum capital requirement (34+35) 36 2902 3146 Excess (deficiency) of available capital resources to cover 50% of MCR 37 24101 23917 Excess (deficiency) of available capital resources to cover 75% of MCR 38 23376 23131 Enhanced capital requirement With-profits insurance capital component 39 Enhanced capital requirement 40 12 16 Capital resources requirement (CRR) Capital resources requirement (greater of 36 and 40) 41 2902 3146 Excess (deficiency) of available capital resources to cover long-term insurance business CRR (13-41) 42 22650 22344 Contingent liabilities Quantifiable contingent liabilities in respect of long-term insurance business as shown in a supplementary note to Form 14 51 1

24032015:18:19:04 Form 2 Covering Sheet to Form 2 Global business A M Parsons Director D J Walkden Director R F C Taylor Director Date 24 March 2015 2

24032015:18:19:04 Components of capital resources Form 3 (Sheet 1) Global business Company GL/ registration UK/ day month year Units number CM R3 1580284 GL 31 12 2014 000 Core tier one capital General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year 1 2 3 4 Permanent share capital 11 1000 1000 1000 Profit and loss account and other reserves 12 24582 24582 24520 Share premium account 13 Positive valuation differences 14 Fund for future appropriations Core tier one capital in related undertakings 15 16 Core tier one capital (sum of 11 to 16) 19 25582 25582 25520 Tier one waivers Unpaid share capital / unpaid initial funds and calls for supplementary contributions Implicit Items 22 Tier one waivers in related undertakings 23 21 Total tier one waivers as restricted (21+22+23) 24 Other tier one capital Perpetual non-cumulative preference shares as restricted Perpetual non-cumulative preference shares in related undertakings Innovative tier one capital as restricted Innovative tier one capital in related undertakings 25 26 27 28 Total tier one capital before deductions (19+24+25+26+27+28) Investments in own shares Intangible assets Amounts deducted from technical provisions for discounting Other negative valuation differences Deductions in related undertakings Deductions from tier one (32 to 36) Total tier one capital after deductions (31-37) 31 25582 25582 25520 32 33 34 35 36 37 39 25582 25582 25520 3

24032015:18:19:04 Components of capital resources Form 3 (Sheet 2) Global business Tier two capital Company GL/ registration UK/ day month year Units number CM R3 1580284 GL 31 12 2014 000 General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year 1 2 3 4 Implicit items, (tier two waivers and amounts excluded from line 22) Perpetual non-cumulative preference shares excluded from line 25 Innovative tier one capital excluded from line 27 Tier two waivers, innovative tier one capital and perpetual noncumulative preference shares treated as tier two capital (41 to 43) Perpetual cumulative preference shares Perpetual subordinated debt and securities 41 42 43 44 45 46 Upper tier two capital in related undertakings 47 Upper tier two capital (44 to 47) 49 Fixed term preference shares 51 Other tier two instruments 52 Lower tier two capital in related undertakings 53 Lower tier two capital (51+52+53) 59 Total tier two capital before restrictions (49+59) 61 Excess tier two capital 62 Further excess lower tier two capital Total tier two capital after restrictions, before deductions (61-62-63) 63 69 4

24032015:18:19:04 Components of capital resources Form 3 (Sheet 3) Global business Total capital resources Company GL/ registration UK/ day month year Units number CM R3 1580284 GL 31 12 2014 000 General Long-term Total as at Total as at insurance insurance the end of the end of business business this financial the previous year year 1 2 3 4 Positive adjustments for regulated non-insurance related undertakings Total capital resources before deductions (39+69+71) Inadmissible assets other than intangibles and own shares Assets in excess of market risk and counterparty limits Deductions for related ancillary services undertakings Deductions for regulated non-insurance related undertakings Deductions of ineligible surplus capital Total capital resources after deductions (72-73-74-75-76-77) 71 72 25582 25582 25520 73 30 30 30 74 75 76 77 79 25552 25552 25490 Available capital resources for GENPRU/INSPRU tests Available capital resources for guarantee fund requirement Available capital resources for 50% MCR requirement Available capital resources for 75% MCR requirement 81 25552 25552 25490 82 25552 25552 25490 83 25552 25552 25490 Financial engineering adjustments Implicit items Financial reinsurance - ceded Financial reinsurance - accepted Outstanding contingent loans Any other charges on future profits Sum of financial engineering adjustments (91+92-93+94+95) 91 92 93 94 95 96 5

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 1 As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests UK insurance dependants Other insurance dependants Non-insurance dependants Other group undertakings Participating interests Shares Shares Shares Shares Shares 21 23 25 27 29 Debts and loans Debts and loans Debts and loans Debts and loans Debts and loans 22 24 26 28 30 Other financial investments Equity shares 41 Other shares and other variable yield participations 42 Holdings in collective investment schemes 43 21995 21914 Rights under derivative contracts 44 Fixed interest securities Variable interest securities Approved Approved 45 47 Other Other 46 48 Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits Other financial investments 56 Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal More than one month withdrawal Index linked Property linked 52 54 55 58 59 6

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 1 As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other 60 61 62 63 Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months 71 72 73 74 75 76 77 78 137 137 79 Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income 80 81 6 82 83 84 9 9 85 86 Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87) 89 22147 22060 7

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Total other than long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 1 As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) 91 22147 22060 92 93 30 30 94 95 96 97 98 99 100 101 102 22177 22090 Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance 103 8

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 1) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 10 As at end of this financial year As at end of the previous year 1 2 Land and buildings 11 Investments in group undertakings and participating interests UK insurance dependants Other insurance dependants Non-insurance dependants Other group undertakings Participating interests Shares Shares Shares Shares Shares 21 23 25 27 29 Debts and loans Debts and loans Debts and loans Debts and loans Debts and loans 22 24 26 28 30 Other financial investments Equity shares 41 Other shares and other variable yield participations 42 Holdings in collective investment schemes 43 29538 35522 Rights under derivative contracts 44 Fixed interest securities Variable interest securities Approved Approved 45 47 Other Other 46 48 Participation in investment pools 49 Loans secured by mortgages 50 Loans to public or local authorities and nationalised industries or undertakings 51 Loans secured by policies of insurance issued by the company Other loans 53 Bank and approved credit & financial institution deposits Other financial investments 56 Deposits with ceding undertakings 57 Assets held to match linked liabilities One month or less withdrawal More than one month withdrawal Index linked Property linked 52 54 55 58 59 740312 702434 9

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 2) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 10 As at end of this financial year As at end of the previous year Reinsurers' share of technical provisions 1 2 Provision for unearned premiums Claims outstanding Provision for unexpired risks Other 60 61 62 63 Debtors and salvage Direct insurance business Salvage and subrogation recoveries Reinsurance Dependants Other Other assets Policyholders Intermediaries Accepted Ceded due in 12 months or less due in more than 12 months due in 12 months or less due in more than 12 months 71 72 73 74 75 76 77 78 5788 5980 79 Tangible assets Deposits not subject to time restriction on withdrawal with approved institutions Cash in hand Other assets (particulars to be specified by way of supplementary note) Accrued interest and rent Deferred acquisition costs (general business only) Other prepayments and accrued income 80 81 1372 3500 82 83 84 10 10 85 86 Deductions from the aggregate value of assets 87 Grand total of admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (11 to 86 less 87) 89 777020 747446 10

24032015:18:19:04 Analysis of admissible assets Form 13 (Sheet 3) Global business Category of assets Total long term insurance business assets Company GL/ Category registration UK/ day month year Units of number CM assets R13 1580284 GL 31 12 2014 000 10 As at end of this financial year As at end of the previous year 1 2 Reconciliation to asset values determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting Total admissible assets after deduction of admissible assets in excess of market risk and counterparty limits (as per line 89 above) Admissible assets in excess of market and counterparty limits Inadmissible assets directly held Capital resources requirement deduction of regulated related undertakings Ineligible surplus capital and restricted assets in regulated related insurance undertakings Inadmissible assets of regulated related undertakings Book value of related ancillary services undertakings Other differences in the valuation of assets (other than for assets not valued above) Deferred acquisition costs excluded from line 89 Reinsurers' share of technical provisions excluded from line 89 Other asset adjustments (may be negative) Total assets determined in accordance with the insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (91 to 101) 91 777020 747446 92 93 94 95 96 97 98 99 100 78798 114095 101 1988 21978 102 857806 883519 Amounts included in line 89 attributable to debts due from related insurers, other than those under contracts of insurance or reinsurance 103 11

24032015:18:19:04 Long term insurance business liabilities and margins Form 14 Global business Total business/sub fund CMMF LONG TERM BUSINESS FUND Units 000 As at end of As at end of this financial the previous year year 1 2 Mathematical reserves, after distribution of surplus 11 740312 702434 Cash bonuses which had not been paid to policyholders prior to end of the financial year Balance of surplus/(valuation deficit) 13 3405 3435 Long term insurance business fund carried forward (11 to 13) 14 743717 705869 Claims outstanding Provisions 12 Gross 15 Reinsurers' share 16 Net (15-16) 17 Taxation 21 Other risks and charges 22 Deposits received from reinsurers 23 Creditors Debenture loans Direct insurance business 31 Reinsurance accepted 32 33223 40767 Reinsurance ceded 33 Secured 34 Unsecured 35 Amounts owed to credit institutions 36 Creditors Taxation 37 80 810 Other 38 Accruals and deferred income 39 Provision for "reasonably foreseeable adverse variations" Total other insurance and non-insurance liabilities (17 to 41) 49 33303 41577 Excess of the value of net admissible assets 51 Total liabilities and margins 59 777020 747446 41 Amounts included in line 59 attributable to liabilities to related companies, other than those under contracts of insurance or reinsurance Amounts included in line 59 attributable to liabilities in respect of property linked benefits 61 62 740312 702434 Total liabilities (11+12+49) Increase to liabilities - DAC related 72 71 773615 744011 Reinsurers' share of technical provisions 73 78798 114095 Other adjustments to liabilities (may be negative) 74 1988 21978 Capital and reserves and fund for future appropriations 75 3405 3434 Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (71 to 75) 76 857806 883518 12

24032015:18:19:04 Form 15 Liabilities (other than long term insurance business) Global business Company GL/ registration UK/ day month year Units number CM R15 1580284 GL 31 12 2014 000 Technical provisions (gross amount) As at end of As at end of this financial the previous year year 1 2 Provisions for unearned premiums 11 Claims outstanding 12 Provision for unexpired risks 13 Equalisation provisions Credit business 14 Other than credit business 15 Other technical provisions 16 Total gross technical provisions (11 to 16) 19 Provisions and creditors Provisions Taxation 21 Other risks and charges 22 Deposits received from reinsurers 31 Creditors Debenture loans Direct insurance business 41 Reinsurance accepted 42 Reinsurance ceded 43 Secured 44 Unsecured 45 Amounts owed to credit institutions 46 Creditors Taxation 47 4 Foreseeable dividend 48 Other 49 Accruals and deferred income 51 Total (19 to 51) 59 4 Provision for "reasonably foreseeable adverse variations" 61 Cumulative preference share capital 62 Subordinated loan capital 63 Total (59 to 63) 69 4 Amounts included in line 69 attributable to liabilities to related insurers, other than those under contracts of insurance or reinsurance 71 Amounts deducted from technical provisions for discounting 82 Other adjustments (may be negative) 83 Capital and reserves 84 22177 22086 Total liabilities under insurance accounts rules or international accounting standards as applicable to the firm for the purpose of its external financial reporting (69-82+83+84) 85 22177 22090 13

24032015:18:19:04 Form 16 Profit and loss account (non-technical account) Global business Company GL/ registration UK/ day month year Units number CM R16 1580284 GL 31 12 2014 000 This financial year Previous year 1 2 Transfer (to)/from the general insurance business technical account From Form 20 11 Equalisation provisions 12 Transfer from the long term insurance business revenue account Income 13 14 114 177 Value re-adjustments on Investment income 15 investments Gains on the realisation of investments Investment management charges, including interest Value re-adjustments on Investment charges 18 investments Loss on the realisation of investments Allocated investment return transferred to the general insurance business technical account Other income and charges (particulars to be specified by way of supplementary note) Profit or loss on ordinary activities before tax (11+12+13+14+15+16-17-18-19-20+21) 16 17 19 20 21 2 (161) 29 116 16 Tax on profit or loss on ordinary activities 31 25 4 Profit or loss on ordinary activities after tax (29-31) 39 91 12 Extraordinary profit or loss (particulars to be specified by way of supplementary note) 41 Tax on extraordinary profit or loss 42 Other taxes not shown under the preceding items 43 Profit or loss for the financial year (39+41-(42+43)) 49 91 12 Dividends (paid or foreseeable) 51 Profit or loss retained for the financial year (49-51) 59 91 12 14

24032015:18:19:04 Long-term insurance business : Revenue account Form 40 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 Financial year Previous year 1 2 Income Earned premiums 11 33784 15132 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 41791 39816 13 14 56905 20904 Other income 15 5 Total income 19 132485 75852 Expenditure Claims incurred 21 83491 88836 Expenses payable Interest payable before the deduction of tax Taxation 22 11117 9296 23 24 29 120 Other expenditure 25 Transfer to (from) non technical account 26 Total expenditure 29 94637 98252 Business transfers - in 31 Business transfers - out 32 Increase (decrease) in fund in financial year (19-29+31-32) 39 37848 (22400) Fund brought forward 49 705869 728269 Fund carried forward (39+49) 59 743717 705869 15

24032015:18:19:04 Long-term insurance business : Analysis of premiums Form 41 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year 1 2 3 4 5 Gross Regular premiums 11 30680 30680 15132 Single premiums 12 3104 3104 Reinsurance - external Regular premiums 13 Single premiums 14 Reinsurance - intra-group Regular premiums 15 Single premiums 16 Net of reinsurance Regular premiums 17 30680 30680 15132 Single premiums 18 3104 3104 Total Gross 19 33784 33784 15132 Reinsurance 20 Net 21 33784 33784 15132 16

24032015:18:19:04 Long-term insurance business : Analysis of claims Form 42 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year 1 2 3 4 5 Gross Death or disability lump sums 11 Disability periodic payments 12 Surrender or partial surrender 13 83491 83491 88836 Annuity payments 14 Lump sums on maturity 15 Total 16 83491 83491 88836 Reinsurance - external Death or disability lump sums 21 Disability periodic payments 22 Surrender or partial surrender 23 Annuity payments 24 Lump sums on maturity 25 Total 26 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 Disability periodic payments 42 Surrender or partial surrender 43 83491 83491 88836 Annuity payments 44 Lump sums on maturity 45 Total 46 83491 83491 88836 17

24032015:18:19:04 Long-term insurance business : Analysis of expenses Form 43 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year 1 2 3 4 5 Gross Commission - acquisition 11 Commission - other 12 Management - acquisition 13 Management - maintenance 14 11117 11117 9296 Management - other 15 Total 16 11117 11117 9296 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 Commission - other 42 Management - acquisition 43 Management - maintenance 44 11117 11117 9296 Management - other 45 Total 46 11117 11117 9296 18

24032015:18:19:04 Long-term insurance business : Linked funds balance sheet Form 44 Total business Units 000 Financial year Previous year 1 2 Internal linked funds (excluding cross investment) Directly held assets (excluding collective investment schemes) Directly held assets in collective investment schemes of connected companies Directly held assets in other collective investment schemes 11 165777 500268 12 578394 211108 13 Total assets (excluding cross investment) (11+12+ 13) 14 744172 711376 Provision for tax on unrealised capital gains 15 Secured and unsecured loans 16 Other liabilities 17 1817 8706 Total net assets (14-15-16-17) 18 742355 702670 Directly held linked assets Value of directly held linked assets 21 Total Value of directly held linked assets and units held (18+21) 31 742355 702670 Surplus units 32 2495 236 Deficit units 33 452 Net unit liability (31-32+33) 34 740312 702434 19

24032015:18:19:04 Long-term insurance business : Revenue account for internal linked funds Form 45 Total business Units 000 Financial year Previous year 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 year Other income 11 35591 15132 12 41796 34603 13 56905 20904 14 Total income 19 134293 70639 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 83491 88836 22 3990 4140 23 44 24 25 26 7127 Total expenditure 29 94608 93020 Increase (decrease) in funds in financial year (19-29) Internal linked fund brought forward Internal linked funds carried forward (39+49) 39 39685 (22381) 49 702670 725051 59 742355 702670 20

24032015:18:19:04 Long-term insurance business : Summary of new business Form 46 Total business Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year 1 2 3 4 5 Number of new policyholders/ scheme members for direct insurance business Regular premium business 11 Single premium business 12 Total 13 Amount of new regular premiums Direct insurance business 21 External reinsurance 22 Intra-group reinsurance 23 Total 24 Amount of new single premiums Direct insurance business 25 3104 3104 2990 External reinsurance 26 Intra-group reinsurance 27 3104 3104 Total 28 6208 6208 2990 21

22 24032015:18:19:04 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 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 6 765 Group managed fund 3104

23 24032015:18:19:04 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Pension / Reinsurance accepted external Product code number Product description Number of policyholders / scheme members Amount of premiums Number of policyholders / scheme members Amount of premiums 1 2 3 4 5 6 735 Group money purchase pensions property linked ELAS Regular premium business Single premium business

24 24032015:18:19:04 Form 47 Long-term insurance business : Analysis of new business Total business Units 000 UK Pension / Reinsurance accepted intra-group 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 6 735 Group money purchase pensions property linked CMIGL 3104

24032015:18:19:04 Long-term insurance business : Assets not held to match linked liabilities Form 48 Category of assets 10 Total long term insurance business assets Units 000 Unadjusted assets Economic exposure Expected income from assets in column 2 Yield before adjustment Return on assets in financial year 1 2 3 4 5 Assets backing non-profit liabilities and non-profit capital requirements Land and buildings 11 Approved fixed interest securities 12 443 1 0.27 Other fixed interest securities 13 443 1 0.27 Variable interest securities 14 2364 6 0.27 UK listed equity shares 15 Non-UK listed equity shares 16 Unlisted equity shares 17 Other assets 18 36708 33457 72 0.21 Total 19 36708 36708 80 0.22 Assets backing with-profits liabilities and with-profits capital requirements Land and buildings 21 Approved fixed interest securities 22 Other fixed interest securities 23 Variable interest securities 24 UK listed equity shares 25 Non-UK listed equity shares 26 Unlisted equity shares 27 Other assets 28 Total 29 Overall return on with-profits assets Post investment costs but pre-tax 31 Return allocated to non taxable 'asset shares' 32 Return allocated to taxable 'asset shares' 33 25

24032015:18:19:04 Long-term insurance business : Summary of mathematical reserves Form 50 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Life UK Pension Overseas Total Financial year Total Previous year 1 2 3 4 5 Gross Form 51 - with-profits 11 Form 51 - non-profit 12 349 349 483 Form 52 13 Form 53 - linked 14 818761 818761 816047 Form 53 - non-linked 15 Form 54 - linked 16 Form 54 - non-linked 17 Total 18 819110 819110 816530 Reinsurance - external Form 51 - with-profits 21 Form 51 - non-profit 22 Form 52 23 Form 53 - linked 24 Form 53 - non-linked 25 Form 54 - linked 26 Form 54 - non-linked 27 Total 28 Reinsurance - intra-group Form 51 - with-profits 31 Form 51 - non-profit 32 349 349 483 Form 52 33 Form 53 - linked 34 78449 78449 113613 Form 53 - non-linked 35 Form 54 - linked 36 Form 54 - non-linked 37 Total 38 78798 78798 114095 Net of reinsurance Form 51 - with-profits 41 Form 51 - non-profit 42 Form 52 43 Form 53 - linked 44 740312 740312 702434 Form 53 - non-linked 45 Form 54 - linked 46 Form 54 - non-linked 47 Total 48 740312 740312 702434 26

27 24032015:18:19:04 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members Amount of benefit Amount of annual office premiums Nominal value of units Discounted value of units Other liabilities 1 2 3 4 5 6 7 8 9 Amount of mathematical reserves 400 Annuity non-profit (CPA) 18 38 349

28 24032015:18:19:04 Long-term insurance business : Valuation summary of non-linked contracts (other than accumulating with-profits contracts) Form 51 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members Amount of benefit Amount of annual office premiums Nominal value of units Discounted value of units Other liabilities 1 2 3 4 5 6 7 8 9 Amount of mathematical reserves 400 Annuity non-profit (CPA) 349

29 24032015:18:19:04 Long-term insurance business : Valuation summary of property linked contracts Form 53 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Pension / Gross Product code number Product description Number of policyholders / scheme members Amount of benefit Amount of annual office premiums Nominal value of units Discounted value of units Other liabilities 1 2 3 4 5 6 7 8 9 Amount of mathematical reserves 725 Individual pensions property linked CMIGL 11853 541108 541108 541108 735 Group money purchase pensions property linked CMIGL 4065 165653 165653 165653 735 Group money purchase pensions property linked ELAS 21759 21759 21759 755 Trustee investment plan CMIGL 25686 25686 25686 765 Group managed fund 64555 64555 64555

30 24032015:18:19:04 Long-term insurance business : Valuation summary of property linked contracts Form 53 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 UK Pension / Reinsurance ceded intra-group Product code number Product description Number of policyholders / scheme members Amount of benefit Amount of annual office premiums Nominal value of units Discounted value of units Other liabilities 1 2 3 4 5 6 7 8 9 Amount of mathematical reserves 735 Group money purchase pensions property linked ELAS 21759 21759 21759 765 Group managed fund 56690 56690 56690

31 24032015:18:19:04 Long-term insurance business : Unit prices for internal linked funds Form 55 Total business Units 000 Fund name Type of fund Net assets Main series Unit management charge Price at previous valuation date Price at current valuation date 1 2 3 4 5 6 7 8 Change in price during year Property MF 17 - individual pension - property 749375 0.95 477.8000 542.1000 13.46

24032015:18:19:04 Long-term insurance business : Distribution of surplus Form 58 Total business / subfund CMMF LONG TERM BUSINESS FUND Units 000 Financial year Previous year 1 2 Valuation result Fund carried forward 11 743717 705869 Bonus payments in anticipation of a surplus 12 Transfer to non-technical account 13 Transfer to other funds / parts of funds 14 Subtotal (11 to 14) 15 743717 705869 Mathematical reserves 21 740312 702434 Surplus including contingency and other reserves held towards the capital requirements (deficiency) (15-21) 29 3405 3435 Composition of surplus Balance brought forward 31 3435 3457 Transfer from non-technical account 32 Transfer from other funds / parts of fund 33 Surplus arising since the last valuation 34 (30) (22) Total 39 3405 3435 Distribution of surplus Bonus paid in anticipation of a surplus 41 Cash bonuses 42 Reversionary bonuses 43 Other bonuses 44 Premium reductions 45 Total allocated to policyholders (41 to 45) 46 Net transfer out of fund / part of fund 47 Total distributed surplus (46+47) 48 Surplus carried forward 49 3405 3435 Total (48+49) 59 3405 3435 Percentage of distributed surplus allocated to policyholders Current year 61 Current year - 1 62 Current year - 2 63 Current year - 3 64 32

24032015:18:19:04 Long-term insurance capital requirement Global business Units 000 LTICR factor Insurance death risk capital component Life protection reinsurance 11 0.0% Classes I (other), II and IX 12 0.1% Classes I (other), II and IX 13 0.15% Classes I (other), II and IX 14 0.3% Classes III, VII and VIII 15 0.3% Total 16 Gross reserves / capital at risk Net reserves / capital at risk Insurance health risk and life protection reinsurance capital component Class IV supplementary classes 1 and 2 and life protection reinsurance Insurance expense risk capital component Life protection and permanent 31 0% health reinsurance 21 Reinsurance factor LTICR Financial year Form 60 LTICR Previous year 1 2 3 4 5 6 Classes I (other), II and IX 32 1% 349 0.85 3 4 Classes III, VII and VIII (investment risk) Classes III, VII and VIII (expenses fixed 5 yrs +) Classes III, VII and VIII (other) 33 1% 34 1% 35 25% Class IV (other) 36 1% Class V 37 1% Class VI 38 1% Total 39 3 4 Insurance market risk capital component Life protection and permanent 41 0% health reinsurance Classes I (other), II and IX 42 3% 349 0.85 9 12 Classes III, VII and VIII (investment risk) Classes III, VII and VIII (expenses fixed 5 yrs +) Classes III, VII and VIII (other) 43 3% 44 0% Class IV (other) 46 3% Class V 47 0% Class VI 48 3% 45 0% 818761 740312 Total 49 819110 740312 9 12 Long term insurance capital requirement 51 12 16 33

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *0201* Waiver and modification rules The FSA, on the application of the firm, made a direction under section 148 of the Financial Services and Markets Act 2000 in December 2010. The effect of the direction is to modify the provisions of INSPRU 3.1.35R and IPRU(INS) Appendix 9.3 so that a more appropriate rate of interest is used for assets taken in combination. *0301* Reconciliation of net admissible assets to total capital resources after deductions 000 Total of admissible assets after deduction of market risk and counterparty limits - Other than long term business assets Form 13 (SH) line 89 22,147 Total of admissible assets after deduction of market risk and counterparty limits - long term business assets Form 13 (NP) line 89 777,020 Mathematical reserves, after distribution of surplus Form 14 line 11 (740,312) Total other insurance and non-insurance liabilities Form 14 line 49 (33,303) 25,552 Components of capital resources treated as a liability in Form 15 - Total capital resources after deductions Form 3 Line 79 25,552 *0313* Reconciliation of profit and loss and other reserves to Form 16 000 Profit and Loss Account and other reserves as at 31 December 2013 Form 3 Line 12 Column 4 24,520 Profit and Loss Account and other reserves as at 31 December 2014 Form 3 Line 12 Column 3 24,582 Movement in Profit and Loss Account and Other Reserves (62) Reporting basis differences 1 Long Term Business Fund profit / (loss) retained for the financial year (30) Profit retained for the financial year Form 16 line 59 91 *1301 & 1308* Aggregate Value of Certain Investments The company held no investments meeting the specified criteria. 34

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *1304 & 1310* Set off of amounts long term insurance business Amounts have been set off to the extent permitted by generally accepted accounting principles. *1305 & 1319* Counterparty Limits The Company s investment guidelines set maximum counterparty limits in order to maintain the admissibility of assets in accordance with INSPRU 2.1.22. This is with the exception of approved securities and any holdings under the UCITS Directive, and includes exposures with both approved counterparties and other than approved counterparties. The exposure applies to long term business assets and other than long term business assets combined. There were no occasions during the financial period when limits were exceeded. *1306 & 1312* Exposure to large counterparties other than long term business There were no exposures to any counterparty subject to limits in INSPRU 2.1.22R(3) at 31 December 2014 which exceeded 5% of the base capital resource requirement and its long term insurance business liabilities, excluding property linked. *1318* Details of other adjustments to assets Long term insurance business Non Profit 000 Linked liabilities included in net asset value on PRA Form 13 Line 59 included as liability in IFRS accounts) 1,988 Balances held as liabilities in the Company accounts - 1,988 *1401* No provision for adverse changes under either GENPRU 1.3.30R to GENPRU 1.3.33R or INSPRU 3.2.17R and INSPRU 3.2.18R has been made. The Company considers asset valuations in the context of the requirements of GENPRU 1.3.30R to GENPRU 1.3.33R. The need for a provision for adverse variation is also considered by the Actuarial Function Holder. The Company's mark to model valuations are formally reviewed and signed off to provide additional comfort over robustness. The Company reviews any potential liquidity issues on assets on a regular basis and incorporates valuation adjustments if required. The Company reviews its investments to identify whether any provisions are required pursuant to INSPRU 3.2.17R and INSPRU 3.2.18R. Sufficient cover is held for all positions to match reasonably foreseeable adverse variations and no non-approved derivatives or quasi-derivatives are held. 35

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *1402* Liabilities a) Charges over assets There are no charges over assets. b) Potential capital gains tax liability There is no potential capital gains tax liability should the Company dispose of its assets at 31 December 2014. c) Contingent liabilities There are no contingent liabilities. d) Guarantees, indemnities or other contractual commitments affected other than in the ordinary course of insurance business and in respect of related companies. There are no such items. e) Other fundamental uncertainties The company is not aware of any fundamental uncertainties affecting its business. *1405* Details of other adjustments to liabilities 000 Linked liabilities included in net asset value on PRA Form 13 Line 59 (included as liability in IFRS accounts) 1,988 Balances held as assets in the Company accounts - 1,988 *1501* No provision for adverse changes under either GENPRU 1.3.30R to GENPRU 1.3.33R or INSPRU 3.2.17R and INSPRU 3.2.18R has been made. The Company considers asset valuations in the context of the requirements of GENPRU 1.3.30R to GENPRU 1.3.33R. The need for a provision for adverse variation is also considered by the Actuarial Function Holder. The Company's mark to model valuations are formally reviewed and signed off to provide additional comfort over robustness. The Company reviews any potential liquidity issues on assets on a regular basis and incorporates valuation adjustments if required. The Company reviews its investments to identify whether any provisions are required pursuant to INSPRU 3.2.17R and INSPRU 3.2.18R. Sufficient cover is held for all positions to match reasonably foreseeable adverse variations and no non-approved derivatives or quasi-derivatives are held. 36

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *1502* Liabilities a) Charges over assets There are no charges over assets. b) Potential capital gains tax liability There is no potential capital gains tax liability should the Company dispose of its assets at 31 December 2014. c) Contingent liabilities There are no contingent liabilities. d) Guarantees, indemnities or other contractual commitments affected other than in the ordinary course of insurance business and in respect of related companies. There are no such items. e) Other fundamental uncertainties There are no other uncertainties which it is necessary to disclose. *1601* Basis of conversion of foreign currency Rates of exchange prevailing at the time of the transaction have been used to convert amounts of income and expenditure in foreign currencies. Assets and liabilities denominated in foreign currencies are expressed in sterling at exchange rates ruling at 31 December 2014. CMMF is not exposed to foreign currency risk. *1603* Other income and charges 000 Net management charges retained by the Company 2 *1700* Form 17 has been omitted because all entries (including comparatives) would be blank. 2 *4002* Other Income 000 Property Fund Rebates 5 5 *4005* Basis of conversion of foreign currency Rates of exchange prevailing at the time of the transaction have been used to convert amounts of income and expenditure in foreign currencies. Assets and liabilities denominated in foreign currencies are expressed in sterling at exchange rates ruling at 31st December 2014. 37

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *4008* Management Services Aberdeen Asset Management and Insight Investment Funds Management Limited provided investment management services to the Company during the year. Management services are supplied by Clerical Medical Investment Group Limited and Scottish Widows Services. These services include premises, equipment, personnel, auditors, actuarial and legal advice, investment and accounts management, premium collection, claims administration and settlement. In return, the Company pays Clerical Medical Investment Group Limited all commission, fees and charges on business that are reinsured to the Company. *4009* Material Connected Party Transactions Name of connected party Relationship with connected party Amount 000 Description of transaction Clerical Medical Investment Group Limited Clerical Medical Investment Group Limited Parent undertaking 33,784 Premiums reassured inwards Parent undertaking 83,491 Claims reassured inwards *4401* Bases of asset valuation Linked assets are valued using the FCA Handbook Rules in GENPRU 1.3. Financial assets and instruments used to cover linked liabilities are stated at market value. Stock exchange securities and investments in collective investment schemes have been valued at bid prices. Investment property is shown at open market value as determined by independent valuation. Investment property valuations are carried out by persons who are members of the Royal Institute of Chartered Surveyors and were conducted in accordance with the "RICS Statement of Asset Valuation and Guidance Notes". Other assets have been valued using appropriate international financial reporting standards applicable to the firm for the purpose of its external financial reporting. The Rules in GENPRU 1.3.30 to GENPRU 1.3.33 may require management to make adjustments to these valuations. *4502* Details of items reported as 'other income' or 'other expenditure' Other expenditure 000 Property expenditure 7,126 Bank charges 1 Other expenditure Form 45 Line 26 7,127 *4701* New group schemes No new group schemes commenced in 2014. 38

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 NOTES TO THE FORMS *4802* Treatment of expected income for assets in default. No payment of interest is assumed in the event of assets in default. *4803* Where fixed and variable interest securities can be redeemed over a period at the option of the guarantor or issuer, the workout date has been assumed. Workout date is the date that the bond is being priced to (Bid). For bullet bonds, the workout date never changes. For bonds with early redemption features, workout date will be the 'worst' date. Worst date is the corresponding date of minimum yield for callable bonds, maximum yield for putable bonds, and maturity date for sinking funds. *4804* The weighted yield shown at column 4 for 'other assets' is age yield Asset Type Value Weighted Yield Collective Investment Schemes 25,297 0.27 Other 8,160 0.03 *4807* Included within the 'Other Assets' in economic exposure shown in column 2 of Form 48 are certificates of deposit and commercial paper investments where these are held within liquidity funds and are short dated. This is because they are not held as part of the long term investment strategy but instead are held as a means of improving the overnight cash deposit rates. They have therefore been treated as cash for the purposes of preparing column 2 of Form 48. *4900* Form 49 has been omitted on account of de minimis limits as per IPRU(INS) Rule 9.11. *4901* Rating agencies used The lowest rating of the agencies; Standard & Poors, Moody's and Fitch has been used. *5301* Treatment of administration funds Product code 765 Pension Managed Funds number of schemes under administration is 33. This number is made up of 26 investment only schemes and 7 full administration schemes. *5600* Form has been omitted on account of de minimis limits as per IPRU(INS) Rule 9.11. *6001* Insurance Health Risk Capital Component The gross annual premiums for this class of business are less than 1% of the gross annual premiums of the company so Forms 11 and 12 are not needed. The Insurance Health Risk Capital Component is calculated as the greater of 18% of annual premiums and 26% of gross claims. The capital required for PHI business is the same as if Forms 11 and 12 had been completed. 39

RETURNS UNDER THE ACCOUNTS AND STATEMENTS RULES CLERICAL MEDICAL MANAGED FUNDS LIMITED FINANCIAL YEAR ENDED 31st DECEMBER 2014 ADDITIONAL INFORMATION REQUIRED BY RULE 9.29 OF THE ACCOUNTS AND STATEMENTS RULES (a) Investment managers work to written authorities in respect of derivative transactions, approved, initially, by the Scottish Widows Group Board. Controls are applied to ensure that the authorities delegated to the investment managers are not exceeded. The use of derivatives is approved for hedging the investment portfolio against adverse movements in underlying markets or effecting policy switches between markets without trading the underlying securities. The use of derivatives is also allowed for the purpose of efficient portfolio management provided their substance would otherwise be permitted as a series of direct transactions. The use of derivatives is permitted, under separate specific Group Board approvals, for the purpose of matching contractual liabilities provided the relevant constraints, including constraints to limit counterparty risk, are determined and monitored in line with these Board approvals. (b) Written authorities do not prohibit entry into derivative contracts which were not, at the time of entry, reasonably likely to be exercised in order to ensure that investment managers are not prevented from entering into contracts that could enhance efficient portfolio management. There were, however, no such contracts entered into during the year ended 31st December 2014. (c) See (b) above. (d) At no time during the year did the company enter into a derivative or quasi-derivative contract which required a significant provision to be made for it under INSPRU 3.2.17R or did not fall within the definition of a permitted derivatives contract. (e) No consideration was received by the company during the year in return for granting rights under derivative contracts. 40