152 Group performance review Annual Report 2012 Zurich Insurance Group
Risk review continued
Sensitivities for the Group’s Solvency I ratio and IFRS equity
(as of December 31, 2012)
Solvency I ratio 278% Monetary impact on total IFRS equity
2012 totaI IFRS equity: USD 36.9bn
Sensitivity of the Group’s Solvency I ratio to changes in:
Interest rate +100bps 232% USD – 5.6bn
Interest rate –100bps 327% USD +5.9bn
Equity markets +20% 296% USD +2.1 bn
Equity markets –20% 262% USD – 2.0 bn
Credit spreads1 +100bps 252% USD – 3.1bn
100%
Minimum capital
150%
Point at which
278%
Solvency I ratio
– +
requirement in FINMA
accordance with would
FINMA intervene
1
The credit spread sensitivity is applied to corporate debt, mortgages and euro currency government debt (excluding Germany).