Annual Report 2012 - Swiss Life

95 Market Consistent Embedded Value (MCEV)
5.1.2.2 SWAPTION IMPLIED VOLATILITIES AS AT 31 DECEMBER 2011
Economy 1 year option 2 year option 5 year option 10 year option 15 year option 30 year option
Switzerland 53.3% 47.3% 39.5% 45.3% 45.2% 31.4%
Euro Zone 38.5% 35.3% 30.3% 28.7% 29.3% 23.3%
United States 40.2% 36.9% 32.2% 28.4% 27.4% 32.8%
The equity implied volatilities are derived from the 10-year at-the-money equity put option prices.
5.1.2.3 EQUITY OPTION IMPLIED VOLATILITIES AS AT 31 DECEMBER 2012 AND 31 DECEMBER 2011
Volatility
Volatility
Economy Index 2012 2011
Switzerland SMI 20.2% 22.2%
Euro Zone EuroStoxx 50 24.7% 27.2%
United States S&P 500 26.6% 30.7%
The property volatilities are based on best estimate assumptions considering historical data.
5.1.2.4 Property volatilities used for the calculation as at 31 December 2012 and 31 December 2011
Volatility
Volatility
Economy 2012 2011
Switzerland 8.0% 8.0%
Euro Zone 13.0% 13.0%
5.1.3 Correlation assumptions
The correlation assumptions between different asset classes are based on historical market data. The
correlations between returns on equities and on 10-year zero coupon bonds are assumed to be 17% for
2012 and 13% for 2011.
Swiss Life – Annual Report 2012