At the end of the contract term, our precise financial objective is either zero (for the annuity) or 10,000 real/nominal (for the endowment). To achieve that result, by how much must we adjust the initial pricing discount rate?

Extracted figures for capital and income contracts, for both inflation cases, are shown as tables, either as actual values or in absolute terms.

For a fully inflation-protected endowment fully invested in conventional bonds over the blend experience, the MtM approach would have required an adjustment of 0.64% pa, whereas the Off approach would have required an adjustment of 0.42% pa (see chart as well). Mark-to-market isn’t always worse than off-market but it mostly is.