Derivatives Interest Rate, Equities, Credit , FX

News

Allianz GI barred from US after "massive fraudulent" Structured Alpha scheme

Asset manager transfers $120bn assets to Voya IM, pays $6bn in fraud case

Low rates lead German insurers to use more derivatives

Regulator reviews latest trends

Aegon carries on hedging to tame earnings volatility

Analysts query plans to offload US variable annuity book

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%

Insurers desperate for regulators to provide Libor clarity

Transition to Sonia hampered by questions over Solvency II discount rate

US variable annuities reform wins Moody's approval

The rating agency views the reform as credit positive

IASB will not change IFRS 17 aggregation requirements

But amendments for credit card contracts and risk mitigation option approved

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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

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