C3 Phase III
Interest rate scenarios
These scenarios were developed by the Academy's Economic Scenario Work Group (ESWG).
(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
From time to time, the American Academy of Actuaries makes available through its website or other means various scenarios and tools. The Academy takes reasonable steps to develop such scenarios and tools consistent with accepted actuarial principles and practices. However, the Academy does not warranty these scenarios and tools as fit for use in any respect, and no warranty should be assumed or implied by any individual.
Actuaries, insurers, regulators and other parties use the Academy's scenarios and tools at their own risk. The Academy disclaims 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.
ESWG interest rate scenarios: September 2008
(Zipped files, which require Excel 2007 or a text editing tool)
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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
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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
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Scenarios for use in the Stochastic Exclusion Test
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
| No. |
Interest rates |
Equity returns |
| 1 |
pop-up |
high |
| 2 |
pop-up |
low |
| 3 |
pop-down |
high |
| 4 |
pop-down |
low |
| 5 |
down-up |
high |
| 6 |
down-up |
low |
| 7 |
up-down |
high |
| 8 |
up-down |
low |
| 9 |
"anticipated" |
"anticipated" |
| 10 |
volatile short rates |
"anticipated" |
| 11 |
"anticipated" |
volatile |
| 12 |
deterministic scenario |
(for PBA deterministic reserve) |
| 13 |
delayed pop-up |
high |
| 14 |
delayed pop-up |
low |
| 15 |
delayed pop-down |
high |
| 16 |
delayed pop-down |
low |
(Zipped files, which require Excel 2007 or a text editing tool)
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 Dianna Pell by phone or e-mail (202.223.8196, pell@actuary.org).
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