Company: AEGOF
Filing Date: 2025-05-16
Form Type: 6-K
Source: 0001193125-25-121236
Chunk: 78

Company: AEGON LTD.
Filing Date: 2025-05-16
Form: 6-K
Chunk 78
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 zero. Equity risk shocks are calibrated based on Aegon’s own portfolio. In addition, the equity exposures are also shocked for equity volatility risks. For currency risk, the shocks are calibrated based on Aegon’s own portfolio. In addition, the Solvency PICM allows for diversification between exposures to different currencies, as opposed to no diversification between currency exposures in the Standard Formula. The Solvency PICM results for interest rate risks differ from the standard formula results for the following reasons:

| • |     | The standard formula interest rate shock only considers a parallel shift in the interest rate curve, whereas the Solvency PICM considers not only a parallel shift, but also a flattening and twisting of the interest rate 
 curve;                                                                                                                                                                                                                      |

| • |     | The Solvency PICM interest rate curve shocks are calibrated based on historical market data relevant for Aegon’s portfolio; |

| • |     | The Solvency PICM assumes that the Ultimate Forward Rate (UFR) does not change in a shock scenario, while the standard formula interest rate shock assumes that the whole curve moves, including the UFR; |

| • |     | In addition, the Solvency PICM includes a capital requirement for interest rate volatility risk; and |

| • |     | For Aegon UK, the interest rate risk under the Solvency PICM also includes an inflation shock on benefit payments and expenses, while the inflation shock on expenses is included in life expense risk under standard 
 formula.                                                                                                                                                                                                              |

Underwritting risk The Solvency PICM for longevity risk differs from the standard formula as follows:

| • |     | The Solvency PICM distinguishes between a population mortality shock and an experience factor shock while the standard formula assumes a fixed decrease in all mortality rates; and |

| • |     | The Solvency PICM projects mortality rates by age and gender, while the Standard Formula assumes the same shock for all ages and both genders. |

Policyholder behavior (lapse) risk for Aegon UK under the Solvency PICM is the aggregate of a parameter and a contagion shock, while under standard formula it is the greater of a parameter and a contagion stress. Furthermore, the shocks are calibrated on the Aegon UK portfolio, resulting in a larger shock size than under the standard formula, which leads to a higher SCR before diversification. The aggregate Solvency PICM expense risk shock for Aegon UK is higher