Journey Simplification and Business Resilience
Summary of Milliman report on our ALM approach
•
Scope of review
Assess appropriateness of ALM strategy to manage
interest rate risk in non-par savings business
Review sensitivity of value of assets and liabilities to
changes in assumptions
-
FY20
Portfolios reviewed
-
■ Portfolio 1: Savings and Protection All non-single premium
non-par savings contracts and group protection products
■ Portfolio 2: All immediate and deferred annuities
Description
Interest rate scenarios
Interest rate +
Demographic scenarios
100% persistency and
low interest rates
Stress scenarios tested
Parallel shifts/ shape changes in yield curve within +- 150 bps
of March 31st 2020 Gsec yield curve
Interest rate variation + changes in future persistency/
mortality experience
Net asset liability position
Changes by < 4.5%
Changes by 7%
100% persistency with interest rates falling to 4% p.a. for
next 5 years, 2% p.a for years 6 -10 and 0% thereafter
Still remains positive
60
60
Opinion and conclusion
ALM strategy adopted for Portfolios 1 and 2 is appropriate to:
■ meet policyholder liability cash flows
☐
protect net asset-liability position thereby limiting impact on shareholder value
1. Opinion issued by Milliman Advisors LLP on ALM strategy (for non par business) basis FY20 disclosures
HDFC
LifeView entire presentation