PIN A8.6.1

An Insurer is required to calculate an off-balance sheet asset risk component in respect of a Long-Term Insurance Fund, if the Insurer is, as at the Solvency Reference Date, a party to a derivative contract attributable to that fund, including a forward, future, swap, option or other similar contract, but not including:

(a) a put option serving as a guarantee;
(b) a foreign exchange contract having an original maturity of fourteen days or less; or
(c) an instrument traded on a futures or options exchange, which is subject to daily mark-to-market and margin payments.