Progressive insurers revise approach to sovereign risk

Some supervisors pressing firms to risk weight sovereign bonds

snakes-ladders-dice

Insurers say repeatedly that capital charges under Solvency II’s standard formula are too high. There is one asset class, though, which both the more conservative of firms and supervisors agree is treated too leniently: sovereign bonds.

Europe’s Solvency II legislation determines that sovereign bonds issued by European Union member states are exempt from capital charges relating to spread and concentration risk. This means that, providing they hedge against interest rate risk, insurers should tr

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: