EU insurers increase derivatives holdings

Greater interest rate swap values push up interconnectedness risk of insurance sector

Exposures to derivatives ballooned at some European Union insurers in Q3, likely reflecting efforts by top firms to hedge duration against a backdrop of rock-bottom interest rates.

Data from the European Insurance and Occupational Pensions Authority (Eiopa) shows that on aggregate, firms reporting under the EU’s Solvency II framework had €220.4 billion ($243.2 billion) of derivatives outstanding at end-September, up +41% on Q2 and +120% on the year-ago quarter.

Derivatives accounted for 1.75%

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