C3 Phase III
Interest rate scenarios

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

• Legal disclaimer
• ESWG interest rate scenarios: September 2008
  (using Sept. 30, 2008 as starting curve)
• Interest rate generator
• Scenario picking tool
• Historic curve dates
• MRP formula and seed volatility
• Revised stochastic log volatility (SLV-1) curve interpolation logic
• Stochastic scenario set
• 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

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.

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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

	Interest rate generator (zipped Excel file)
	Scenario picking tool (zipped Excel file)
	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

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 Dianna Pell by phone or e-mail (202.223.8196, pell@actuary.org).

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