Addressing Key Valuation and Risk Considerations Under Solvency II

Solvency II, the Directive aimed at unifying the European Insurance market, protecting policyholders and improving risk processes, is set to go into effect in January 2016. Are you fully prepared to meet the Pillar 1 Valuation and Pillar 2 Liquidity requirements? If not, you are not alone. 

Complying with the Directive’s capital efficiency regime is presenting some significant challenges for UK Insurance Companies and their Asset Managers. Many have invested significant time and money in adjusting processes surrounding valuation transparency, hedging portfolio risk, risk-based reporting and analytics consistency. 

Join AllianceBernstein’s Erik Vynckier and FINCAD’s Christian Kahl for a complimentary seminar exploring best practices in valuation and risk analytics that are in use today at top tier firms and can help Insurers ensure compliance and competitive advantage. 

Best In Class hedging analytics to support optimal returns in a Global Solvency II environment

In this interactive session, we will look at a real life example of the growing trend whereby UK Insurance companies in the search for increased returns are taking on exposure to Investment Grade credit denominated in US Dollar (and other currencies) and reducing their traditional UK gilt portfolios. As a result they must enter into cross-currency basis swap agreements to create Sterling cash flows in order to qualify for the matching adjustment calculation under Sol II. This creates both the requirement for trades to be fully collateralised on a long term basis and the need for accurate analytics to calculate the necessary collateral amount and the optimal hedging. 

Using F3, FINCAD’s Enterprise Valuation and Risk Platform we will demonstrate:

-          The conversion of US Dollar and Euro cashflows back to Sterling
-          Valuation of the complete cross-currency hedge
-          Accurate calculation of required collateral for the trade employing multiple curve framework 
-          Matching adjustment calculation

Event Date
Tuesday, September 22, 2015
Event Location

40 Liverpool Street
Andaz Hotel
United Kingdom