Fitch: Teleconf 7/26 on Prism Feedback, Available Capital, Calibration and Introductory Period.

NEW YORK & LONDON -- Fitch Ratings will hold a conference call on Wednesday, July 26 at 10 a.m. ET / 15:00 BST to discuss today's launch of the formal 'introductory period' of Prism; the just-released 'beta' version of the capital model; and the recent release of its two latest exposure drafts now available on the Fitch web site: 'Prism - Insurance Rating Calibration Measures' and 'Defining Available Capital for an Insurance Company in Prism'.

Prism, Fitch's global stochastic capital model, represents a major step forward in third-party analysis of global insurer capital quality.

Teleconference participants in the U.S. and Canada should call 877-241-2557 five minutes prior to the 10:00 a.m. ET / 15:00 BST start time and reference conference ID # 3485921. International callers, including those from the U.K., should dial 706-643-7396. To ensure there are sufficient telephone lines available, please use internal conferencing capabilities, if possible, for multiple listeners at a single location.

A replay of the teleconference will be available two hours after the call ends and will be available through Aug. 2. For the Replay, U.S. and Canadian participants should 800-642-1687; International 706-645-9291. The conference ID number for the replay is also 3485921.

In addition, this teleconference replay will be archived on the Fitch web site. To this end, soon after the teleconference, go to appropriate link at the 'Teleconference & Online Events' section, which is located under 'Resource Library' at www.fitchratings.com.

The agenda for the Conference Call will be:

1) Brief highlights of market feedback on the initial wave of Prism methodology documents whose exposure period closed the week of July 10th.

2) High-level introduction and discussion of the calibration points under a Tail Value-at-Risk (Tail-VaR) methodology that the agency will use to align capital requirements with the default risk implied by insurer financial strength (IFS) rating grades. The report provides transparency and substantiation for the rating-grade thresholds used by Prism through the use of historical default data dating back to the early 1900s.

3) A short review of the adjustments Fitch will make to locally reported accounting capital to derive Available Capital for Prism and the rationale behind them. The agency believes that a suitable definition of available capital is essential for a meaningful comparison to the required capital calculation, and this is an area where Fitch has noted differing approaches at insurers.

4) Description of the formal 'introductory period' of Prism model. This 'beta' version of Prism, now available for life and non-life insurers in the United States, allows insurers to examine preliminary results of how they would perform under Prism, and what their capital requirements may be at various ratings thresholds. All U.S. insurers -- both those currently rated by Fitch and those that are not -- may participate in Beta testing.

All documents relating to Prism are also available on www.fitchratings.com/prism.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.