Discount Rates for Non-Life Insurance Policy Reserves

July 13, 2015 INSURANCE CIRCULAR LETTER NO. 037-15 SUPPLEMENTS: CL NO. 2015-32 TO : All Non-Life Insurance Companies and Professional Reinsurance Companies Doing Business in the Philippines SUBJECT : Discount Rates for Non-Life Insurance Policy Reserves Pursuant to Item 10 of the IC Circular Letter No. 2015-32 entitled Valuation Standards for Non-Life Insurance Policy Reserves , attached hereto are the schedules of Peso and Dollar spot and forward rates which will be used in discounting the cash flows in the calculation of policy reserves as of the following dates: Valuation Date Peso and Dollar Spot and Forward Rates 1. As of December 31, 2014 As of December 29, 2014, the last trading date in 2014 (Annexes A & A.1) 2. As of March 31, 2015 As of March 31, 2015 (Annexes B & B.1) 3. As of June 30, 2015 As of June 30, 2015 (Annexes C & C.1) The Peso spot and forward rates derived from the PDST-R2 rates and the Dollar spot and forward rates derived from the International Yield Curve from Bloomberg, shall be used for Peso-denominated and US Dollar-denominated policies, respectively. Please be guided accordingly. (SGD.) EMMANUEL F. DOOC Insurance Commissioner ANNEX A Peso Spot and Forward Rates as of December 29, 2014 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 2.4397% 2.4397% 51 4.5376% 4.5355% 2 2.7735% 3.1083% 52 4.5376% 4.5355% 3 3.1125% 3.7938% 53 4.5376% 4.5355% 4 3.3502% 4.0666% 54 4.5375% 4.5355% 5 3.3749% 3.4738% 55 4.5375% 4.5355% 6 3.6930% 5.2983% 56 4.5374% 4.5355% 7 4.0197% 6.0014% 57 4.5374% 4.5355% 8 3.9948% 3.8211% 58 4.5374% 4.5355% 9 3.9722% 3.7917% 59 4.5373% 4.5355% 10 3.9512% 3.7618% 60 4.5373% 4.5355% 11 4.0879% 5.4645% 61 4.5373% 4.5355% 12 4.2280% 5.7826% 62 4.5373% 4.5355% 13 4.3723% 6.1187% 63 4.5372% 4.5355% 14 4.5211% 6.4759% 64 4.5372% 4.5355% 15 4.6753% 6.8575% 65 4.5372% 4.5355% 16 4.8355% 7.2682% 66 4.5372% 4.5355% 17 5.0026% 7.7132% 67 4.5371% 4.5355% 18 5.1777% 8.1993% 68 4.5371% 4.5355% 19 5.3620% 8.7351% 69 4.5371% 4.5355% 20 5.5570% 9.3315% 70 4.5371% 4.5355% 21 5.3360% 1.0124% 71 4.5370% 4.5355% 22 5.1247% 0.7821% 72 4.5370% 4.5355% 23 4.9220% 0.5603% 73 4.5370% 4.5355% 24 4.7272% 0.3470% 74 4.5370% 4.5355% 25 4.5399% 0.1424% 75 4.5370% 4.5355% 26 4.5397% 4.5355% 76 4.5369% 4.5355% 27 4.5396% 4.5355% 77 4.5369% 4.5355% 28 4.5394% 4.5355% 78 4.5369% 4.5355% 29 4.5393% 4.5355% 79 4.5369% 4.5355% 30 4.5391% 4.5355% 80 4.5369% 4.5355% 31 4.5390% 4.5355% 81 4.5368% 4.5355% 32 4.5389% 4.5355% 82 4.5368% 4.5355% 33 4.5388% 4.5355% 83 4.5368% 4.5355% 34 4.5387% 4.5355% 84 4.5368% 4.5355% 35 4.5386% 4.5355% 85 4.5368% 4.5355% 36 4.5385% 4.5355% 86 4.5368% 4.5355% 37 4.5385% 4.5355% 87 4.5368% 4.5355% 38 4.5384% 4.5355% 88 4.5367% 4.5355% 39 4.5383% 4.5355% 89 4.5367% 4.5355% 40 4.5382% 4.5355% 90 4.5367% 4.5355% 41 4.5382% 4.5355% 91 4.5367% 4.5355% 42 4.5381% 4.5355% 92 4.5367% 4.5355% 43 4.5380% 4.5355% 93 4.5367% 4.5355% 44 4.5380% 4.5355% 94 4.5367% 4.5355% 45 4.5379% 4.5355% 95 4.5366% 4.5355% 46 4.5379% 4.5355% 96 4.5366% 4.5355% 47 4.5378% 4.5355% 97 4.5366% 4.5355% 48 4.5378% 4.5355% 98 4.5366% 4.5355% 49 4.5377% 4.5355% 99 4.5366% 4.5355% 50 4.5377% 4.5355% 100 4.5366% 4.5355% ANNEX A.1 Dollar Spot and Forward Rates as of December 29, 2014 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 0.5197% 0.5197% 51 3.9143% 3.8646% 2 0.8118% 1.1048% 52 3.9133% 3.8646% 3 1.3582% 2.4599% 53 3.9124% 3.8646% 4 1.9148% 3.6031% 54 3.9115% 3.8646% 5 2.2807% 3.7575% 55 3.9107% 3.8646% 6 2.5400% 3.8464% 56 3.9098% 3.8646% 7 2.8291% 4.5807% 57 3.9090% 3.8646% 8 3.1260% 5.2283% 58 3.9083% 3.8646% 9 3.4321% 5.9140% 59 3.9075% 3.8646% 10 3.7492% 6.6469% 60 3.9068% 3.8646% 11 3.8399% 4.7521% 61 3.9061% 3.8646% 12 3.9346% 4.9815% 62 3.9055% 3.8646% 13 4.0330% 5.2214% 63 3.9048% 3.8646% 14 4.1352% 5.4733% 64 3.9042% 3.8646% 15 4.2414% 5.7390% 65 3.9036% 3.8646% 16 4.2041% 3.6463% 66 3.9030% 3.8646% 17 4.1688% 3.6057% 67 3.9024% 3.8646% 18 4.1351% 3.5642% 68 3.9019% 3.8646% 19 4.1028% 3.5220% 69 3.9013% 3.8646% 20 4.0715% 3.4790% 70 3.9008% 3.8646% 21 4.0492% 3.6044% 71 3.9003% 3.8646% 22 4.0276% 3.5752% 72 3.8998% 3.8646% 23 4.0066% 3.5453% 73 3.8993% 3.8646% 24 3.9861% 3.5148% 74 3.8988% 3.8646% 25 3.9659% 3.4836% 75 3.8984% 3.8646% 26 3.9620% 3.8646% 76 3.8979% 3.8646% 27 3.9584% 3.8646% 77 3.8975% 3.8646% 28 3.9551% 3.8646% 78 3.8971% 3.8646% 29 3.9519% 3.8646% 79 3.8967% 3.8646% 30 3.9490% 3.8646% 80 3.8963% 3.8646% 31 3.9463% 3.8646% 81 3.8959% 3.8646% 32 3.9437% 3.8646% 82 3.8955% 3.8646% 33 3.9413% 3.8646% 83 3.8951% 3.8646% 34 3.9391% 3.8646% 84 3.8948% 3.8646% 35 3.9370% 3.8646% 85 3.8944% 3.8646% 36 3.9350% 3.8646% 86 3.8941% 3.8646% 37 3.9331% 3.8646% 87 3.8937% 3.8646% 38 3.9313% 3.8646% 88 3.8934% 3.8646% 39 3.9295% 3.8646% 89 3.8931% 3.8646% 40 3.9279% 3.8646% 90 3.8928% 3.8646% 41 3.9264% 3.8646% 91 3.8924% 3.8646% 42 3.9249% 3.8646% 92 3.8921% 3.8646% 43 3.9235% 3.8646% 93 3.8918% 3.8646% 44 3.9222% 3.8646% 94 3.8916% 3.8646% 45 3.9209% 3.8646% 95 3.8913% 3.8646% 46 3.9197% 3.8646% 96 3.8910% 3.8646% 47 3.9185% 3.8646% 97 3.8907% 3.8646% 48 3.9174% 3.8646% 98 3.8905% 3.8646% 49 3.9163% 3.8646% 99 3.8902% 3.8646% 50 3.9153% 3.8646% 100 3.8899% 3.8646% ANNEX B Peso Spot and Forward Rates as of March 31, 2015 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 2.3393% 2.3393% 51 5.3408% 5.1437% 2 2.8368% 3.3367% 52 5.3370% 5.1437% 3 3.0072% 3.3487% 53 5.3333% 5.1437% 4 3.1458% 3.5628% 54 5.3298% 5.1437% 5 3.1699% 3.2662% 55 5.3264% 5.1437% 6 3.4837% 5.0673% 56 5.3232% 5.1437% 7 3.8056% 5.7578% 57 5.3200% 5.1437% 8 3.9824% 5.2290% 58 5.3170% 5.1437% 9 4.1644% 5.6318% 59 5.3140% 5.1437% 10 4.3521% 6.0563% 60 5.3112% 5.1437% 11 4.4598% 5.5435% 61 5.3084% 5.1437% 12 4.5715% 5.8078% 62 5.3058% 5.1437% 13 4.6873% 6.0864% 63 5.3032% 5.1437% 14 4.8074% 6.3815% 64 5.3007% 5.1437% 15 4.9322% 6.6956% 65 5.2983% 5.1437% 16 5.0622% 7.0317% 66 5.2960% 5.1437% 17 5.1979% 7.3937% 67 5.2937% 5.1437% 18 5.3401% 7.7860% 68 5.2915% 5.1437% 19 5.4894% 8.2143% 69 5.2893% 5.1437% 20 5.6470% 8.6858% 70 5.2873% 5.1437% 21 5.6230% 5.1437% 71 5.2852% 5.1437% 22 5.6011% 5.1437% 72 5.2833% 5.1437% 23 5.5812% 5.1437% 73 5.2813% 5.1437% 24 5.5629% 5.1437% 74 5.2795% 5.1437% 25 5.5461% 5.1437% 75 5.2777% 5.1437% 26 5.5306% 5.1437% 76 5.2759% 5.1437% 27 5.5163% 5.1437% 77 5.2742% 5.1437% 28 5.5030% 5.1437% 78 5.2725% 5.1437% 29 5.4905% 5.1437% 79 5.2709% 5.1437% 30 5.4790% 5.1437% 80 5.2693% 5.1437% 31 5.4681% 5.1437% 81 5.2677% 5.1437% 32 5.4580% 5.1437% 82 5.2662% 5.1437% 33 5.4484% 5.1437% 83 5.2648% 5.1437% 34 5.4395% 5.1437% 84 5.2633% 5.1437% 35 5.4310% 5.1437% 85 5.2619% 5.1437% 36 5.4230% 5.1437% 86 5.2605% 5.1437% 37 5.4155% 5.1437% 87 5.2592% 5.1437% 38 5.4083% 5.1437% 88 5.2579% 5.1437% 39 5.4015% 5.1437% 89 5.2566% 5.1437% 40 5.3950% 5.1437% 90 5.2553% 5.1437% 41 5.3889% 5.1437% 91 5.2541% 5.1437% 42 5.3831% 5.1437% 92 5.2529% 5.1437% 43 5.3775% 5.1437% 93 5.2517% 5.1437% 44 5.3722% 5.1437% 94 5.2506% 5.1437% 45 5.3671% 5.1437% 95 5.2495% 5.1437% 46 5.3622% 5.1437% 96 5.2484% 5.1437% 47 5.3576% 5.1437% 97 5.2473% 5.1437% 48 5.3531% 5.1437% 98 5.2462% 5.1437% 49 5.3488% 5.1437% 99 5.2452% 5.1437% 50 5.3447% 5.1437% 100 5.2442% 5.1437% ANNEX B.1 Dollar Spot and Forward Rates as of March 31, 2015 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 0.6059% 0.6059% 51 3.6679% 3.6008% 2 0.9094% 1.2139% 52 3.6666% 3.6008% 3 1.4247% 2.4632% 53 3.6654% 3.6008% 4 1.9493% 3.5394% 54 3.6642% 3.6008% 5 2.1361% 2.8870% 55 3.6630% 3.6008% 6 2.1777% 2.3858% 56 3.6619% 3.6008% 7 2.5013% 4.4644% 57 3.6608% 3.6008% 8 2.8335% 5.1893% 58 3.6598% 3.6008% 9 3.1762% 5.9589% 59 3.6588% 3.6008% 10 3.5314% 6.7845% 60 3.6578% 3.6008% 11 3.5647% 3.8982% 61 3.6569% 3.6008% 12 3.6008% 3.9986% 62 3.6560% 3.6008% 13 3.6393% 4.1020% 63 3.6551% 3.6008% 14 3.6799% 4.2088% 64 3.6543% 3.6008% 15 3.7224% 4.3193% 65 3.6535% 3.6008% 16 3.7031% 3.4150% 66 3.6527% 3.6008% 17 3.6852% 3.3982% 67 3.6519% 3.6008% 18 3.6683% 3.3810% 68 3.6511% 3.6008% 19 3.6522% 3.3635% 69 3.6504% 3.6008% 20 3.6368% 3.3457% 70 3.6497% 3.6008% 21 3.6556% 4.0321% 71 3.6490% 3.6008% 22 3.6751% 4.0852% 72 3.6483% 3.6008% 23 3.6953% 4.1401% 73 3.6477% 3.6008% 24 3.7161% 4.1969% 74 3.6471% 3.6008% 25 3.7377% 4.2559% 75 3.6464% 3.6008% 26 3.7324% 3.6008% 76 3.6458% 3.6008% 27 3.7275% 3.6008% 77 3.6453% 3.6008% 28 3.7230% 3.6008% 78 3.6447% 3.6008% 29 3.7188% 3.6008% 79 3.6441% 3.6008% 30 3.7149% 3.6008% 80 3.6436% 3.6008% 31 3.7112% 3.6008% 81 3.6431% 3.6008% 32 3.7077% 3.6008% 82 3.6425% 3.6008% 33 3.7045% 3.6008% 83 3.6420% 3.6008% 34 3.7014% 3.6008% 84 3.6415% 3.6008% 35 3.6986% 3.6008% 85 3.6411% 3.6008% 36 3.6958% 3.6008% 86 3.6406% 3.6008% 37 3.6933% 3.6008% 87 3.6401% 3.6008% 38 3.6908% 3.6008% 88 3.6397% 3.6008% 39 3.6885% 3.6008% 89 3.6393% 3.6008% 40 3.6863% 3.6008% 90 3.6388% 3.6008% 41 3.6843% 3.6008% 91 3.6384% 3.6008% 42 3.6823% 3.6008% 92 3.6380% 3.6008% 43 3.6804% 3.6008% 93 3.6376% 3.6008% 44 3.6786% 3.6008% 94 3.6372% 3.6008% 45 3.6768% 3.6008% 95 3.6368% 3.6008% 46 3.6752% 3.6008% 96 3.6365% 3.6008% 47 3.6736% 3.6008% 97 3.6361% 3.6008% 48 3.6721% 3.6008% 98 3.6357% 3.6008% 49 3.6706% 3.6008% 99 3.6354% 3.6008% 50 3.6692% 3.6008% 100 3.6350% 3.6008% ANNEX C Peso Spot and Forward Rates as of June 30, 2015 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 2.4445% 2.4445% 51 4.7783% 4.7052% 2 2.7219% 3.0000% 52 4.7769% 4.7052% 3 3.0641% 3.7522% 53 4.7756% 4.7052% 4 3.8648% 6.3044% 54 4.7742% 4.7052% 5 3.9855% 4.4697% 55 4.7730% 4.7052% 6 3.8786% 3.3455% 56 4.7718% 4.7052% 7 3.7746% 3.1531% 57 4.7706% 4.7052% 8 4.0223% 5.7726% 58 4.7695% 4.7052% 9 4.2768% 6.3352% 59 4.7684% 4.7052% 10 4.5396% 6.9347% 60 4.7673% 4.7052% 11 4.5664% 4.8353% 61 4.7663% 4.7052% 12 4.5956% 4.9172% 62 4.7653% 4.7052% 13 4.6268% 5.0020% 63 4.7644% 4.7052% 14 4.6598% 5.0901% 64 4.7635% 4.7052% 15 4.6945% 5.1817% 65 4.7626% 4.7052% 16 4.7309% 5.2771% 66 4.7617% 4.7052% 17 4.7687% 5.3766% 67 4.7608% 4.7052% 18 4.8082% 5.4808% 68 4.7600% 4.7052% 19 4.8492% 5.5899% 69 4.7592% 4.7052% 20 4.8918% 5.7046% 70 4.7585% 4.7052% 21 4.8829% 4.7052% 71 4.7577% 4.7052% 22 4.8748% 4.7052% 72 4.7570% 4.7052% 23 4.8674% 4.7052% 73 4.7563% 4.7052% 24 4.8606% 4.7052% 74 4.7556% 4.7052% 25 4.8544% 4.7052% 75 4.7549% 4.7052% 26 4.8487% 4.7052% 76 4.7543% 4.7052% 27 4.8434% 4.7052% 77 4.7536% 4.7052% 28 4.8384% 4.7052% 78 4.7530% 4.7052% 29 4.8338% 4.7052% 79 4.7524% 4.7052% 30 4.8295% 4.7052% 80 4.7518% 4.7052% 31 4.8255% 4.7052% 81 4.7512% 4.7052% 32 4.8218% 4.7052% 82 4.7507% 4.7052% 33 4.8182% 4.7052% 83 4.7501% 4.7052% 34 4.8149% 4.7052% 84 4.7496% 4.7052% 35 4.8118% 4.7052% 85 4.7491% 4.7052% 36 4.8088% 4.7052% 86 4.7485% 4.7052% 37 4.8060% 4.7052% 87 4.7480% 4.7052% 38 4.8033% 4.7052% 88 4.7476% 4.7052% 39 4.8008% 4.7052% 89 4.7471% 4.7052% 40 4.7984% 4.7052% 90 4.7466% 4.7052% 41 4.7962% 4.7052% 91 4.7462% 4.7052% 42 4.7940% 4.7052% 92 4.7457% 4.7052% 43 4.7919% 4.7052% 93 4.7453% 4.7052% 44 4.7900% 4.7052% 94 4.7449% 4.7052% 45 4.7881% 4.7052% 95 4.7444% 4.7052% 46 4.7863% 4.7052% 96 4.7440% 4.7052% 47 4.7845% 4.7052% 97 4.7436% 4.7052% 48 4.7829% 4.7052% 98 4.7432% 4.7052% 49 4.7813% 4.7052% 99 4.7428% 4.7052% 50 4.7798% 4.7052% 100 4.7425% 4.7052% ANNEX C.1 Dollar Spot and Forward Rates as of June 30, 2015 Tenor/Term Spot Forward Tenor/Term Spot Forward (in years) Rate Rate (in years) Rate Rate 1 0.4986% 0.4986% 51 3.9949% 3.9197% 2 0.9443% 1.3920% 52 3.9934% 3.9197% 3 1.4650% 2.5145% 53 3.9920% 3.9197% 4 1.9952% 3.6026% 54 3.9907% 3.9197% 5 2.2658% 3.3552% 55 3.9894% 3.9197% 6 2.4288% 3.2474% 56 3.9882% 3.9197% 7 2.6886% 4.2619% 57 3.9870% 3.9197% 8 2.9549% 4.8382% 58 3.9858% 3.9197% 9 3.2287% 5.4450% 59 3.9847% 3.9197% 10 3.5112% 6.0894% 60 3.9836% 3.9197% 11 3.6387% 4.9225% 61 3.9826% 3.9197% 12 3.7705% 5.2313% 62 3.9815% 3.9197% 13 3.9068% 5.5562% 63 3.9806% 3.9197% 14 4.0479% 5.9000% 64 3.9796% 3.9197% 15 4.1943% 6.2657% 65 3.9787% 3.9197% 16 4.1904% 4.1317% 66 3.9778% 3.9197% 17 4.1885% 4.1585% 67 3.9769% 3.9197% 18 4.1884% 4.1861% 68 3.9761% 3.9197% 19 4.1898% 4.2145% 69 3.9753% 3.9197% 20 4.1925% 4.2438% 70 3.9745% 3.9197% 21 4.1669% 3.6568% 71 3.9737% 3.9197% 22 4.1423% 3.6277% 72 3.9729% 3.9197% 23 4.1186% 3.5979% 73 3.9722% 3.9197% 24 4.0956% 3.5676% 74 3.9715% 3.9197% 25 4.0732% 3.5366% 75 3.9708% 3.9197% 26 4.0673% 3.9197% 76 3.9701% 3.9197% 27 4.0618% 3.9197% 77 3.9695% 3.9197% 28 4.0567% 3.9197% 78 3.9688% 3.9197% 29 4.0520% 3.9197% 79 3.9682% 3.9197% 30 4.0476% 3.9197% 80 3.9676% 3.9197% 31 4.0434% 3.9197% 81 3.9670% 3.9197% 32 4.0396% 3.9197% 82 3.9664% 3.9197% 33 4.0359% 3.9197% 83 3.9659% 3.9197% 34 4.0325% 3.9197% 84 3.9653% 3.9197% 35 4.0293% 3.9197% 85 3.9648% 3.9197% 36 4.0262% 3.9197% 86 3.9643% 3.9197% 37 4.0234% 3.9197% 87 3.9638% 3.9197% 38 4.0206% 3.9197% 88 3.9633% 3.9197% 39 4.0180% 3.9197% 89 3.9628% 3.9197% 40 4.0156% 3.9197% 90 3.9623% 3.9197% 41 4.0132% 3.9197% 91 3.9618% 3.9197% 42 4.0110% 3.9197% 92 3.9614% 3.9197% 43 4.0089% 3.9197% 93 3.9609% 3.9197% 44 4.0069% 3.9197% 94 3.9605% 3.9197% 45 4.0049% 3.9197% 95 3.9600% 3.9197% 46 4.0031% 3.9197% 96 3.9596% 3.9197% 47 4.0013% 3.9197% 97 3.9592% 3.9197% 48 3.9996% 3.9197% 98 3.9588% 3.9197% 49 3.9980% 3.9197% 99 3.9584% 3.9197% 50 3.9964% 3.9197% 100 3.9580% 3.9197%