2021 Results and Financial Review
Solvency II sensitivities (Group shareholder view)
Changes in economic assumptions
Sensitivity
25 bps increase in interest rate
50 bps increase in interest rate
100 bps increase in interest rate
25 bps decrease in interest rate
50 bps decrease in interest rate
FY21 post capital deployment
Impact on surplus
FY20
Impact on cover ratio
Impact on surplus
Impact on cover ratio
£bn
£bn
0.2
pp
5 pp
0.3
pp
5 pp
0.3
9 pp
0.6
9 pp
0.4
15 pp
0.8
15 pp
(0.2)
(4)pp
(0.3)
(5)pp
(0.3)
(8)pp
(0.8)
(11)pp
50 bps increase in corporate bond spread¹
0.2
5 pp
0.0
2 pp
100 bps increase in corporate bond spread¹
50 bps decrease in corporate bond spread¹
Credit downgrade on annuity portfolio²
10% increase in market value of equity
25% increase in market value of equity
10% decrease in market value of equity
25% decrease in market value of equity
20% increase in value of commercial property
20% decrease in value of commercial property
20% increase in value of residential property
20% decrease in value of residential property
0.4
11 pp
(0.1)
3 pp
(0.4)
(8)pp
(0.1)
(3)pp
(0.5)
(8)pp
(0.5)
(6)pp
0.1
1 pp
0.2
1 pp
0.3
2 pp
0.5
3 pp
(0.1)
Opp
(0.2)
(0.3)
(2)pp
(0.6)
(1)pp
(5)pp
0.3
5 pp
0.8
(0.5)
(8)pp
(1.1)
8 pp
(11)pp
0.4
7 pp
0.6
6 pp
(0.6)
(9)pp
(0.7)
(7)pp
Changes in non-economic assumptions
10% increase in maintenance and investment expenses
10% increase in lapse rates
(0.7)
(10)pp
(1.0)
(9)pp
(0.3)
(3)pp
(0.3)
(2)pp
5% increase in mortality/morbidity rates - life assurance
(0.2)
(2)pp
(0.2)
(2)pp
5% decrease in mortality rates - annuity business
5% increase in gross loss ratios
(1.4)
(19)pp
(1.6)
(16)pp
(0.2)
(3)pp
(0.3)
(3)pp
All footnotes on pages 64-66
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