Insurance
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Regulatory arbitrage in the use of insurance in the new standardized approach for operational risk capital
Basel’s new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will likely have an incentive to insure recurring losses. Such insurance can meaningfully reduce…
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Solvency ratios of EU life insurers continued to fall in Q3
In contrast, the median capital ratio of groups and non-life firms increased
Equity derivatives house of the year: Citi
Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
State regulators could lead on CFTC climate risk plans
Sympathetic rulemakers don’t need to wait for a change of federal government, say experts
Covid chaos ate into EU insurers’ own funds
Aggregate ratio of own funds to SCR fell 14 percentage points in Q1
EU insurers’ fund holdings battered by Covid in Q1
Total asset portfolios declined 6% through Covid shock
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
Equity hedges bolstered Axa through Covid crisis
Economic hedges contributed €425 million to H1 income
Eurozone insurers dived back into bonds in Q2
Net purchases of debt securities amounted to €15.1 billion over Q2
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Op risk data: losses plummet during lockdown
Also: Wirecard dominates legacy losses; SEB hit with massive AML fine. Data by ORX News
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Top European insurers bet on private equity
Allianz and Axa had a combined €29 billion at end-2019
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year
US insurers built up holdings of shaky bank loans in 2019
Non-investment grade loans make up 80% of insurer loan exposures
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Aegon, Allianz Solvency II ratios diverge under coronavirus stress
Aegon cites volatility adjustment for buoying capital position through the crisis
Top insurers mark down CLO holdings following Covid-19 tumult
MetLife discloses $773 million unrealised loss
Covid-19 chaos drains Axa’s Solvency II ratio
French insurer’s regulatory capital ratio is at its lowest since the Solvency II regime took effect