Small reinsurers ‘shortening bond durations’ to protect against interest rate volatility

Companies prepared to take ALM mismatch to access higher yields on reinvestment

Reinsurers are shortening the maturity of their asset portfolios to protect against the risk of volatile interest rates, analysts at Fitch Ratings say.

Smaller firms, with invested assets of £10 billion or less, are limiting the maturity of new bond purchases to less than a year. The rating agency says such a strategy seeks to reduce the impact of suddenly rising interest rates on fixed-income books, while offering the flexibility to reinvest matured assets in higher yielding assets when the