C3 Phase III
Economic Scenario Generators

Academy and SOA partner on economic scenario generators

The Academy and the Society of Actuaries (SOA) have joined resources to manage the economic scenario generators used in regulatory reserve and capital calculations. The latest version of the interest rate and equity generator is now on the SOA website. The SOA will provide frontline support and maintenance for the economic scenario generators. A joint Society of Actuaries/American Academy of Actuaries Project Oversight Group will oversee the generators and assist the SOA in providing technical support and direction for the current and future versions of the generators.

All versions of the generators, pre-packaged scenario sets, and documentation will be archived on this site. Academy members involved in creating and updating the generators will continue to work with the regulatory community and the SOA to refine the generators and implement regulatory requirements for economic scenario generators. Support questions should be directed to: ESGhelp@SOA.org.

These scenarios were developed by the Academy's Economic Scenario Work Group (ESWG).

• Legal disclaimer
• Interest rate FAQ (Updated) (PDF)
• Interest rate FAQ (PDF)
• ESWG interest rate scenarios: September 2009
  (using Sept. 30, 2009 as starting curve)
• ESWG interest rate scenarios: September 2008
  (using Sept. 30, 2008 as starting curve)
• Interest rate generator Dec. 2010
• Interest rate generator Dec. 2008
• Release notes version 7 (Dec. 2010)
• Scenario picking tool
• Historic curve dates
• MRP formula and seed volatility
• Revised stochastic log volatility (SLV-1) curve interpolation logic
• Stochastic scenario set: September 2009
• Stochastic scenario set: September 2008
• Questions and comments

(Note: Many of the files in the links below are zipped. They must be unzipped before they can be opened in Excel or another program. (Information about zipping and unzipping is available from WinZip or from technology staff at your workplace.)

Legal disclaimer

The Academy and the Society of Actuaries have taken reasonable steps to develop such scenarios and tools consistent with accepted actuarial principles and practices. However, the Academy and the SOA do not warrant these scenarios and tools as fit for use in any respect, and no warranty whatsoever should be assumed or implied by any individual of this product or its fitness for any particular purpose. Actuaries, insurers, regulators and other parties use these scenarios and tools at their own risk. The Academy and the SOA disclaim all responsibility for any party's use or misuse of its scenarios or tools and for any work product generated through use or misuse of the scenarios and tools.

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ESWG interest rate scenarios: September 2009

(Zipped files, which require Excel 2007 or a text editing tool)

1,000 interest rates scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields All the scenarios: Data from the 10 files above aggregated into a single file

10,000 interest rates scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields All the scenarios: Data from the 10 files above aggregated into a single file

	Interest rate generator (zipped Excel file) Dec. 2010
	Interest rate generator (zipped Excel file) Dec. 2008
	Scenario picking tool (zipped Excel file) Dec. 2008
	Historic curve dates (in yyyy.mm format, dates that provided the best fit for full yield curve interpolation; zipped CSV file)
	Mean reversion point (MRP) formula and seed volatility (zipped Excel file)
	Revised stochastic log volatility (SLV-1) curve interpolation logic (zipped Excel file)

Scenarios for use in the Stochastic Exclusion Test: September 2009

A stochastic exclusion test has been developed as a means of determining which blocks of business require the added effort of full stochastic analysis to determine regulatory minimum reserves and capital. The test requires running 16 specified scenarios and uses a formula to measure the degree to which results vary by scenario.

The test scenarios available here start from September 30, 2009.

General characterization of the scenarios

(Zipped files, which require Excel 2007 or a text editing tool)

Stochastic exclusion test scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields All the scenarios: Data from the 10 files above aggregated into a single file.

ESWG interest rate scenarios: September 2008

(Zipped files, which require Excel 2007 or a text editing tool)

1,000 interest rates scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields All the scenarios: Data from the 10 files above aggregated into a single file

10,000 interest rates scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields All the scenarios: Data from the 10 files above aggregated into a single file

Scenarios for use in the Stochastic Exclusion Test: September 2008

A stochastic exclusion test has been developed as a means of determining which blocks of business require the added effort of full stochastic analysis to determine regulatory minimum reserves and capital. The test requires running 16 specified scenarios and uses a formula to measure the degree to which results vary by scenario.

The test scenarios available here start from September 30, 2008. The scenarios include both interest rates and equity returns, since both are needed to perform full investment portfolio projections under principle-based approaches.

General characterization of the scenarios

(Zipped files, which require Excel 2007 or a text editing tool)

Stochastic exclusion test scenarios: 3-month U.S. Treasury yields 6-month U.S. Treasury yields 1-year U.S. Treasury yields 2-year U.S. Treasury yields 3-year U.S. Treasury yields 5-year U.S. Treasury yields 7-year U.S. Treasury yields 10-year U.S. Treasury yields 20-year U.S. Treasury yields 30-year U.S. Treasury yields U.S. International Small All the scenarios: Data from the 10 files above aggregated into a single file

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Questions and comments

The Economic Scenario Work Group continues to field questions, and it will be frequently updating these pages in response to questions it receives.

The work group also welcomes comments and suggestions, especially from those who have applied scenarios to a unique block of business.

• If you have a question, please contact Academy Life Policy Analyst John Meetz by phone or e-mail (202.223.8196, meetz@actuary.org).

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