Index IndexConstraints ConstraintsDPM Map DPM Map

boemd_tIM.01.02.01.03 - Life internal model risk outputs - Percentile data

0.1%0.5%1.0%2.5%5.0%10.0%25.0%50.0%75.0%90.0%95.0%97.5%99.0%99.5%99.9%Biting Scenario Stress
C0030C0040C0050C0060C0070C0080C0090C0100C0110C0120C0130C0140C0150C0160C0170C0180
Risk ComponentR0007
Market R0008
EquityR0009
Well diversified equity portfolio total annual returnR0010
Equity volatilityR0019
Change in equity volatility 1 year ATM put optionR0020
Change in equity volatility 10 year ATM put optionR0030
PropertyR0039
Property commercial portfolio total annual returnR0040
Property residential portfolio total annual returnR0050
Property volatilityR0059
Change in property volatility 10 year ATM optionR0060
Interest rateR0069
Change in risk free zero coupon bond spot yield Term 2R0070
Change in risk free zero coupon bond spot yield Term 5R0080
Change in risk free zero coupon bond spot yield Term 10R0090
Change in risk free zero coupon bond spot yield Term 15R0100
Change in risk free zero coupon bond spot yield Term 25R0110
Change in risk free rate component of IAS19 discount rateR0120
Interest rate volatilityR0129
Change in implied interest rate volatility on 5 X 15 ATM swaptionR0130
InflationR0139
Change in implied inflation spot yield Term 2R0140
Change in implied inflation spot yield Term 5R0150
Change in implied inflation spot yield Term 10R0160
Change in implied inflation spot yield Term 15R0170
Change in implied inflation spot yield Term 25R0180
CreditR0189
Change in AAA rated ZCB spot yield spread (over RF) Term 2R0190
Change in AAA rated ZCB spot yield spread (over RF) Term 5R0200
Change in AAA rated ZCB spot yield spread (over RF) Term 10R0210
Change in AAA rated ZCB spot yield spread (over RF) Term 15R0220
Change in AA rated ZCB spot yield spread (over RF) Term 2R0230
Change in AA rated ZCB spot yield spread (over RF) Term 5R0240
Change in AA rated ZCB spot yield spread (over RF) Term 10R0250
Change in AA rated ZCB spot yield spread (over RF) Term 15R0260
Change in A rated ZCB spot yield spread (over RF) Term 2R0270
Change in A rated ZCB spot yield spread (over RF) Term 5R0280
Change in A rated ZCB spot yield spread (over RF) Term 10R0290
Change in A rated ZCB spot yield spread (over RF) Term 15R0300
Change in BBB rated ZCB spot yield spread (over RF) Term 2R0310
Change in BBB rated ZCB spot yield spread (over RF) Term 5R0320
Change in BBB rated ZCB spot yield spread (over RF) Term 10R0330
Change in BBB rated ZCB spot yield spread (over RF) Term 15R0340
Change in B rated ZCB spot yield spread (over RF) Term 2R0350
Change in B rated ZCB spot yield spread (over RF) Term 5R0360
Change in B rated ZCB spot yield spread (over RF) Term 10R0370
Change in B rated ZCB spot yield spread (over RF) Term 15R0380
Change in credit spread component of IAS19 discount rateR0390
Swap spreadR0399
Change in spread of swaps over gilts spot yield Term 2R0400
Change in spread of swaps over gilts spot yield Term 5R0410
Change in spread of swaps over gilts spot yield Term 10R0420
Change in spread of swaps over gilts spot yield Term 15R0430
Change in spread of swaps over gilts spot yield Term 25R0440
CurrencyR0449
Change in exchange rate, EUR to GBPR0450
Change in exchange rate, USD to GBPR0460
Life u/wR0468
LongevityR0469
Expectation of life at male age 50 (overall)R0470
Expectation of life at male age 65 (overall)R0480
Expectation of life at male age 80 (overall)R0490
Expectation of life at female age 50 (overall)R0500
Expectation of life at female age 65 (overall)R0510
Expectation of life at female age 80 (overall)R0520
Expectation of life at male age 50 (under mis-estimation risk)R0530
Expectation of life at male age 65 (under mis-estimation risk)R0540
Expectation of life at male age 80 (under mis-estimation risk)R0550
Expectation of life at female age 50 (under mis-estimation risk)R0560
Expectation of life at female age 65 (under mis-estimation risk)R0570
Expectation of life at female age 80 (under mis-estimation risk)R0580
Expectation of life at male age 50 (under trend risk)R0590
Expectation of life at male age 65 (under trend risk)R0600
Expectation of life at male age 80 (under trend risk)R0610
Expectation of life at female age 50 (under trend risk)R0620
Expectation of life at female age 65 (under trend risk)R0630
Expectation of life at female age 80 (under trend risk)R0640
Mortality catastropheR0649
Mortality catastrophe for age 25 (Overall)R0650
Mortality catastrophe for age 40 (Overall)R0660
Mortality catastrophe for age 55 (Overall)R0670
Mortality catastrophe for age 75 (Overall)R0680
Mortality catastrophe for age 25 (flu/similar epidemic)R0690
Mortality catastrophe for age 40 (flu/similar epidemic)R0700
Mortality catastrophe for age 55 (flu/similar epidemic)R0710
Mortality catastrophe for age 75 (flu/similar epidemic)R0720
Mortality catastrophe for age 25 (Other)R0730
Mortality catastrophe for age 40 (Other)R0740
Mortality catastrophe for age 55 (Other)R0750
Mortality catastrophe for age 75 (Other)R0760
MortalityR0769
Change in mortality rate at male age 25R0770
Change in mortality rate at male age 40R0780
Change in mortality rate at male age 55R0790
Change in mortality rate at female age 25R0800
Change in mortality rate at female age 40R0810
Change in mortality rate at female age 55R0820
Health u/wR0828
MorbidityR0829
Change in inception rate at male age 25R0830
Change in inception rate at male age 40R0840
Change in inception rate at male age 55R0850
Change in inception rate at female age 25R0860
Change in inception rate at female age 40R0870
Change in inception rate at female age 55R0880
Change in recovery rate at male age 25 (claiming for 12 months)R0890
Change in recovery rate at male age 40 (claiming for 12 months)R0900
Change in recovery rate at male age 55 (claiming for 12 months)R0910
Change in recovery rate at female age 25 (claiming for 12 months)R0920
Change in recovery rate at female age 40 (claiming for 12 months)R0930
Change in recovery rate at female age 55 (claiming for 12 months)R0940
Life u/wR0948
LapseR0949
Change in lapse rates for with-profits endowmentR0950
Change in lapse rates for unit-linked endowmentR0960
Change in lapse rates for protection productsR0970
Change in lapse rates for unit-linked investment bondsR0980
Change in lapse rates for unit-linked individual pensionsR0990
Change in lapse rates for unit-linked group pensionsR1000
Mass lapse rate for with-profits endowmentR1010
Mass lapse rate for unit-linked endowmentR1020
Mass lapse rate for protection productsR1030
Mass lapse rate for unit-linked investment bondsR1040
Mass lapse rate for unit-linked individual pensionsR1050
Mass lapse rate for unit-linked group pensionsR1060
GAR take-upR1069
Change in guaranteed annuity rate take-upR1070
Proportion marriedR1079
Change in proportion marriedR1080
ExpenseR1089
Change in base acquisition expense assumptionR1090
Change in base investment expense assumptionR1100
Change in base servicing expense assumptionR1110
Change in expense inflation R1120

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