19 unchanged sentences
The FVL calculation is directly affected by market factors, including equity levels, interest rate levels, credit risk, and implied volatilities, as well as policyholder behaviors, such as annuitization and lapse rates, and policyholder mortality.
−Removed: The tables below are estimates of the sensitivities to instantaneous changes in economic inputs (e.g., equity shock, interest rate shock etc.) or actuarial assumptions at June 30, 2021 of the FVL and of the fair value of specific derivative instruments held (hedge value) to partially offset the risk in the variable annuity guarantee reinsurance portfolio.
+Added: The tables below are estimates of the sensitivities to instantaneous changes in economic inputs (e.g., equity shock, interest rate shock etc.) or actuarial assumptions at September 30, 2021 of the FVL and of the fair value of specific derivative instruments held (hedge value) to partially offset the risk in the variable annuity guarantee reinsurance portfolio.
The following assumptions should be considered when using the below tables:
13 unchanged sentences
AA-rated credit spreads are a proxy for both our own credit spreads and the credit spreads of the ceding insurers.
−Removed: • The hedge sensitivity is from June 30, 2021 market levels and only applicable to the equity and interest rate sensitivities table below.
+Added: • The hedge sensitivity is from September 30, 2021 market levels and only applicable to the equity and interest rate sensitivities table below.
• The sensitivities are not directly additive because changes in one factor will affect the sensitivity to changes in other factors.
9 unchanged sentences
The unfavorable impact of timing effect on our FVL in a quarter is not reflected in the sensitivity tables below.
−Removed: For this reason, when using the tables below to estimate the sensitivity of FVL in the third quarter of 2021 to various changes, it is necessary to assume an additional $5 million to $45 million increase in FVL and realized losses.
+Added: For this reason, when using the tables below to estimate the sensitivity of FVL in the fourth quarter of 2021 to various changes, it is necessary to assume an additional $5 million to $45 million increase in FVL and realized losses.
Note that both the timing effect and the quarterly run rate impact to net income change over time as the book ages.
33 unchanged sentences
All our VA reinsurance treaties include annual or aggregate claim limits and many include an aggregate deductible which limit the net amount at risk under these programs.
−Removed: The tables below present the net amount at risk at June 30, 2021 following an immediate change in equity market levels, assuming all global equity markets are impacted equally.
+Added: The tables below present the net amount at risk at September 30, 2021 following an immediate change in equity market levels, assuming all global equity markets are impacted equally.
a) Reinsurance covering the GMDB risk only
5 unchanged sentences
As the shocks in the table above become incrementally more negative, the impact on the NAR and claims at 100 percent mortality begin to drop due to the specific nature of these claim limits, many of which are annual claim limits calculated as a percentage of the reinsured account value.
−Removed: There is also some impact due to a small portion of the GMDB reinsurance under which claims are positively correlated to equity markets (claims decrease as equity markets fall).
+Added: There is also some
+Added: impact due to a small portion of the GMDB reinsurance under which claims are positively correlated to equity markets (claims decrease as equity markets fall).
b) Reinsurance covering the GLB risk only
13 unchanged sentences
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.