Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
Allianz’s rollout of a new cash flow model in the first quarter changed its sensitivity to interest rate risk, improving the resilience of its Solvency II regulatory capital ratio.
The German insurer reduced the likely impact to its Solvency II ratio of a 50 basis point collapse in interest rates to -7%, down from -11% at end-2017 and -12% in March 2017.
On the flipside, the insurer’s sensitivity to a 50bp spike in interest rates increased to +5%, from +2% at the end of December and +11% in
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