Tullett Prebon launches private equity hedge for Solvency II

Will reduce capital charge by at least 75%, inter-dealer broker claims

Kishore Kansal
Kishore Kansal, Tullett Prebon

Insurers can reduce their Solvency II capital requirements for holding private equity investments using a new hedging technique developed by Tullet Prebon.

The inter-dealer broker claims the risk mitigation technique, which uses a private equity derivative to limit volatility, can reduce the capital charge for private equity investments by between 75% and 100%

Under the current calibration of Solvency II's standard formula, private equity investments attract a capital charge of 49%, plus a

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