## Figure 1.12. Simulated Mark-to-Market Shocks to Assets and Liabilities (Percent)

## Source details

**Canonical URL:** [Figure 1.12. Simulated Mark-to-Market Shocks to Assets and Liabilities (Percent)](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-12.pdf)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-12.pdf.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-12.pdf.json)

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### Overview
- Y-axis tick values shown: –10, –8, –6, –4, –2, 0, 2, 4, 6, 8, 10
- Country labels (ISO codes as shown in the figure): AUTBELDEUESPFRAGBRITAJPNNLDNORPOR
  SWEUSA

### Scenario and shocks applied
- Shocks are applied to aggregate sector balance sheets of solo life insurers as of:
  - Europe: 2016:Q3
  - Japan: 2016:Q1
  - United States: 2015:Q4
- Asset price and rate shocks used:
  - Equity: –10 percent
  - Real estate: –6 percent
  - Sovereign debt yield changes:
    - AAA–A: –50 bps
    - BBB: +100 bps
    - < BBB: +100 bps
  - Corporate bond yield changes:
    - AAA–A: +50 bps
    - BBB: +150 bps
    - < BBB: +200 bps
  - Risk-free rates: –50 bps
- Cash flows are fixed.
- Derivative positions and loss absorption by policyholders and by taxes and regulatory adjustments are not taken into account.
  - Implication: results should be considered an upper-bound impact.

### Key findings displayed
- The figure reports simulated mark-to-market changes for:
  - Changes in liabilities
  - Changes in assets
- Values are reported in percent (vertical axis ranging from –10 to 10 percent).
- The simulation produces a set of asset and liability percentage changes for each ISO-coded country listed.

### Data sources and notes
- Sources: Bank of Japan; European Insurance and Occupational Pensions Authority; Life Insurance Association of Japan; Moody’s Investors Service; National Association of Insurance Commissioners; and IMF staff estimates.
- Abbreviation: bps = basis points.

*Source: figure1-12*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/pdf-data/figure1-12.pdf_