C3 Phase II Pre-packaged asset scenarios: December 2005

C3 Phase II Pre-packaged asset scenarios: December 2005

• About the revised interest-rate generator

To supplement its recommendations for implementing C3 Phase II, the Academy’s Life Capital Adequacy Subcommittee has developed two sets of the pre-packaged scenarios. The December 2005 scenarios are intended to enhance, not replace, the original March 2005 scenarios.

Also provided are documentation and guidance for using the scenarios, and a tool that allows companies to select a subset of representative scenarios from the full sample of 10,000. The December package also includes an enhanced version of the C3 Phase I RBC interest-rate generator. Much of this material was developed by Geoffrey Hancock for the LCAS.

• Legal disclaimer
• March 2005 scenarios
• December 2005 scenarios
• Underlying the scenarios
• Questions? For more information, please email John Meetz at: meetz@actuary.org.

(Note: Many of these files are zipped. They must be unzipped before they can be opened in Excel or another program. (Info 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 pre-packaged scenarios and tools. The Academy takes reasonable steps to develop such pre-packaged scenarios and tools consistent with accepted actuarial principles and practices. However, the Academy does not warranty these pre-packaged 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 pre-packaged scenarios and tools at their own risk. The Academy disclaims all responsibility for any party's use or misuse of its pre-packaged scenarios or tools and for any work product generated through use or misuse of the pre-packaged scenarios and tools.

December 2005 scenarios

	January 2006 LCAS report documenting models and parameters used in the pre-packaged scenarios and providing guidance on scenario use, in PDF format
	A scenario picking tool, a utility that selects a representative subset of size N, user-specified, in a zipped Excel file
	An enhanced version of the C3 Phase I RBC interest-rate generator, in a zipped Excel file. This file contains the same Excel spreadsheet that is available on the NAIC website, and it is current as of August 2010.
	Pre-packaged scenarios in these asset classes/fund names, in zipped Excel files: Money market 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. intermediate-term government bonds   U.S. long-term corporate bonds   Diversified fixed income   Diversified balanced allocation   Diversified large cap U.S. equity   Diversified international equity   Intermediate risk equity   Aggressive or specialized equity