Derivatives Interest Rate, Equities, Credit , FX
News
UK sets date to switch Solvency II curve to Sonia
Move from Libor-based risk-free rate curve expected to have a marginal impact on solvency ratios
Supervisors should step up Libor transition work, IAIS warns
A number of financial institutions are yet to start transition, research finds
UK life insurer faced £500m collateral call in midst of Covid-19 crisis
Situation is now "largely reversed"
AMP fined for derivatives reporting failures
Australian insurer also replaces chief risk officer
Japan regulator reveals insurers' JPY 32trn Libor challenge
All but JPY 6 trn of underwriters' asset and investment exposure runs through 2021
Eiopa spells out thoughts on Ibor transition
EU insurance authority suggests transition measures and liquidity minimums
Ageas boosts solvency with RT1 debt issue
Restricted tier 1 debt issued alongside tender for grandfathered RT1 debt
Eiopa investigation finds estimate of illiquidity in insurer liabilities
Major report also considers asset illiquidity for EEA insurers
Just Group boosts bulk annuity sales, pilots NNEG hedge transaction
Falling risk-free rates and house prices dent solvency ratio
Solvency II matching adjustment benefit rises above €77bn
Widening credit spreads and growing portfolios boost figures by 15%
Analysis
Profit emergence under IFRS 17: The Variable Fee Approach
Steven Morrison continues his series on profit emergence under IFRS 17 by considering financial risk and its impact on contracts with participation features – with a focus on the differences between the VFA and general measurement model, and the impact of risk mitigation
US Sifi designations: not exactly dead
The Federal Reserve's work on large insurer regulation appeared to receive a final nail in the coffin when Prudential's Sifi designation was removed this month. Insurers have rejoiced, but systemic risk regulation has not been buried entirely. Sarfraz Thind reports
IFRS 17 earnings recognition: challenges, opportunities and innovations
Luca Tres and Adam Robinson discuss IFRS 17 and its earning recognition criteria from a capital markets and insurance practitioner's perspective, and consider the challenges and the opportunities this presents
Finalists announced for InsuranceERM Awards
See which companies, teams and individuals have made the shortlist for this year's awards for risk and capital management
NN's Jan-Hendrik Erasmus: "the key issue is how to embrace technology"
NN Group's chief risk officer discusses with David Walker how the Dutch insurer is positioned for M&A, why Solvency II does not need to change, longevity risk hedging and today's technology and cyber challenges
Where next for economic scenario generators?
Insurers have for decades relied on economic scenario generators (ESGs) in their risk modelling, asset management and business steering. Christopher Cundy investigates what the next big developments might be in this important piece of modelling software