New Omnibus II yield curve extrapolation proposals ‘a significant ALM challenge for insurers’
Duration of long-term liabilities could be significantly reduced, finds Goldman Sachs analysis
The latest proposal for extrapolating the Solvency II risk-free yield curve could lead to significant ALM challenges for insurers, according to Goldman Sachs Asset Management.
The curve extrapolation method put forward by the European Parliament’s Econ Committee in its draft of Omnibus II will significantly reduce the duration of the Solvency II liabilities of long-term books of business such as annuities and fundamentally change its exposure to curve shape, analysis by the bank found.
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