The proposed changes to the Dutch pension regulation FTK1 would significantly increase capital requirements for pension funds. Key changes include higher stress tests for equity risk (especially listed and private equity) and new capital charges for actively managed equity portfolios. On average, required capital for pension funds would rise from 21.7% to 26.6% of liabilities under the new rules. This could impact underfunded pension funds and require long-term recovery plans to meet solvency standards. Pension funds may need to carefully optimize their investment and hedging strategies to efficiently use their available risk budgets under the stricter proposed regulations.
This document summarizes a presentation on pricing variable annuity guaranteed living benefits given in 2009. It discusses how recent market trends have impacted pricing, including large losses announced by insurers, increased reserves, and changes to VA product designs. It also examines factors affecting pricing, such as lower interest rates, higher volatility, increased hedging costs, and higher asset correlations. The presentation argues that pricing assumptions may need to be adjusted to account for these changes in the economic environment.
Fifth Third Bancorp reported a Q3 2008 net loss of $56 million, compared to a net loss of $202 million in Q2 2008 and net income of $325 million in Q3 2007. Higher credit costs drove the results, as non-performing assets and net charge-offs increased, particularly for commercial and residential real estate loans in Florida and Michigan. However, core earnings were positive, with revenue growth across most business lines and expense control. While facing disruptions in capital markets and a weakening economy, the company remains well-capitalized with a Tier 1 capital ratio of 8.53%.
This document analyzes interest-only/principal-only (IO/PO) mortgage-backed securities. It finds that:
1) The PO security has much longer duration than the underlying mortgage pool and is highly sensitive to interest rate increases. In contrast, the IO security typically has negative duration and increases in value when rates rise.
2) A contingent-claims valuation model shows that IO values fall and PO values rise dramatically as rates approach the optimal prepayment point.
3) While risky, IO/PO securities can provide hedging opportunities for investors due to their differing interest rate sensitivities. However, their valuation depends on assumptions about prepayment behavior.
4) Market prices of traded
Looking to take advantage of the recent plunge in the price of GOLD? How about an FDIC Insured CD tied to the price of GOLD with a mimimum return of 2.50%? We are offering one this month with UNION BANK.
Print: http://bit.ly/1UVS5jB
Near the end of each calendar year, mutual insurance companies declare their dividend interest rates (DIRs) on participating whole life (WL) insurance policies for the following year.
Our latest M Intelligence piece provides information on the elements that drive changes in DIRs—as supported by historical DIR results, insurance company asset allocations, and investment returns.
This document provides contact information for Devon Energy's investor relations team. It also contains safe harbor language, noting that some statements in the presentation involve risk and uncertainties. Additionally, it includes a cautionary note about SEC definitions of reserves versus other resource estimates used in the presentation.
Remarks by Robert L. Reynolds, President and Chief Executive Officer, Putnam InvestmentsFinancial Advisor/Private Wealth Innovative Retirement SymposiumOrlando, Florida, March 12, 2013
One reason I was pleased to be invited is that Financial Advisor’s slogan, “Knowledge for the Sophisticated Investor,” echoes the core themes I want to talk with you about today. I believe that there is a crying need — among asset managers, advisors, and investors — for new thinking and new solutions.
Abraham Lincoln’s great adage “As our case is new, so we must think anew and act anew” has never been more relevant. Five years after the worst economic crisis to hit global capitalism in our lifetimes, we are still feeling the aftershocks. We find ourselves moving ever so tentatively into a financial future about which the only thing we seem sure of is that it will likely be very different than the investment world we all grew up with.
Core topics
To me, this suggests that the conventional wisdoms shaped by decades of high-return investing — first in equities from 1982 to 2000, then in fixed-income markets over most of this young century — need to be re-examined, revised, or even scrapped.
And while I certainly don’t claim to have all the answers, I do want to sketch some of the new solution-oriented approaches that Putnam sees emerging, such as innovative investment strategies, changed views on portfolio construction, greater risk-awareness, and advances in practice management, including new technologies to enable advisors to reach and influence clients.
I would also like to suggest three retirement policy innovations that the financial services industry should take the lead on — now.
Red views what lies beneath - the hidden cost of pension equity risk - marc...Redington
The document discusses how a recent change in banking regulation requires banks to hold capital to cover pension risk, including equity risk in pension portfolios. This represents a substantial increase in capital requirements for UK banks due to the large equity allocations in pension schemes. Implementing a volatility-controlled equity benchmark with downside protection through options could significantly reduce capital requirements by lowering equity risk, while maintaining return expectations. The capital reduction benefits are greater when pension liabilities are more hedged through interest rate risk management.
This document summarizes a presentation on pricing variable annuity guaranteed living benefits given in 2009. It discusses how recent market trends have impacted pricing, including large losses announced by insurers, increased reserves, and changes to VA product designs. It also examines factors affecting pricing, such as lower interest rates, higher volatility, increased hedging costs, and higher asset correlations. The presentation argues that pricing assumptions may need to be adjusted to account for these changes in the economic environment.
Fifth Third Bancorp reported a Q3 2008 net loss of $56 million, compared to a net loss of $202 million in Q2 2008 and net income of $325 million in Q3 2007. Higher credit costs drove the results, as non-performing assets and net charge-offs increased, particularly for commercial and residential real estate loans in Florida and Michigan. However, core earnings were positive, with revenue growth across most business lines and expense control. While facing disruptions in capital markets and a weakening economy, the company remains well-capitalized with a Tier 1 capital ratio of 8.53%.
This document analyzes interest-only/principal-only (IO/PO) mortgage-backed securities. It finds that:
1) The PO security has much longer duration than the underlying mortgage pool and is highly sensitive to interest rate increases. In contrast, the IO security typically has negative duration and increases in value when rates rise.
2) A contingent-claims valuation model shows that IO values fall and PO values rise dramatically as rates approach the optimal prepayment point.
3) While risky, IO/PO securities can provide hedging opportunities for investors due to their differing interest rate sensitivities. However, their valuation depends on assumptions about prepayment behavior.
4) Market prices of traded
Looking to take advantage of the recent plunge in the price of GOLD? How about an FDIC Insured CD tied to the price of GOLD with a mimimum return of 2.50%? We are offering one this month with UNION BANK.
Print: http://bit.ly/1UVS5jB
Near the end of each calendar year, mutual insurance companies declare their dividend interest rates (DIRs) on participating whole life (WL) insurance policies for the following year.
Our latest M Intelligence piece provides information on the elements that drive changes in DIRs—as supported by historical DIR results, insurance company asset allocations, and investment returns.
This document provides contact information for Devon Energy's investor relations team. It also contains safe harbor language, noting that some statements in the presentation involve risk and uncertainties. Additionally, it includes a cautionary note about SEC definitions of reserves versus other resource estimates used in the presentation.
Remarks by Robert L. Reynolds, President and Chief Executive Officer, Putnam InvestmentsFinancial Advisor/Private Wealth Innovative Retirement SymposiumOrlando, Florida, March 12, 2013
One reason I was pleased to be invited is that Financial Advisor’s slogan, “Knowledge for the Sophisticated Investor,” echoes the core themes I want to talk with you about today. I believe that there is a crying need — among asset managers, advisors, and investors — for new thinking and new solutions.
Abraham Lincoln’s great adage “As our case is new, so we must think anew and act anew” has never been more relevant. Five years after the worst economic crisis to hit global capitalism in our lifetimes, we are still feeling the aftershocks. We find ourselves moving ever so tentatively into a financial future about which the only thing we seem sure of is that it will likely be very different than the investment world we all grew up with.
Core topics
To me, this suggests that the conventional wisdoms shaped by decades of high-return investing — first in equities from 1982 to 2000, then in fixed-income markets over most of this young century — need to be re-examined, revised, or even scrapped.
And while I certainly don’t claim to have all the answers, I do want to sketch some of the new solution-oriented approaches that Putnam sees emerging, such as innovative investment strategies, changed views on portfolio construction, greater risk-awareness, and advances in practice management, including new technologies to enable advisors to reach and influence clients.
I would also like to suggest three retirement policy innovations that the financial services industry should take the lead on — now.
Red views what lies beneath - the hidden cost of pension equity risk - marc...Redington
The document discusses how a recent change in banking regulation requires banks to hold capital to cover pension risk, including equity risk in pension portfolios. This represents a substantial increase in capital requirements for UK banks due to the large equity allocations in pension schemes. Implementing a volatility-controlled equity benchmark with downside protection through options could significantly reduce capital requirements by lowering equity risk, while maintaining return expectations. The capital reduction benefits are greater when pension liabilities are more hedged through interest rate risk management.
Financial services sector - implications of FOFA, possible acquires of SFW, S...George Gabriel
SFW Australia is rated positively given its scarcity value as one of two listed vertically integrated wealth managers in Australia. The stock offers upside for strategic acquirers at its current sum-of-parts valuation of 42 cents per share. Potential acquirers include regional banks, third tier lenders, trustee companies, and diversified wealth managers seeking to expand their distribution networks and mitigate key person risks. The deferral of mandatory FOFA reforms to 2013 will drive further sector consolidation as smaller players exit and larger players pursue acquisitions.
U.S. Election Cliffhangers - BlackRock Investment Institutedtresemer
Financial markets can only focus on one scary thing at a time. The European debt crisis has been the shark closest to the boat for years. Now the US fiscal cliff - a perfect storm of tax hikes and spending cuts that may go into effect Jan. 1 - is moveing to the fore.
The document provides an overview of chapter 6 from a lecture on money, banking, and financial markets. It discusses:
1) The risk structure of interest rates, explaining three facts about differences in interest rates for bonds with varying levels of risk. Default risk, liquidity, and tax considerations can explain these facts.
2) The term structure of interest rates, identifying three facts about differences in rates for bonds of varying maturity. Expectations hypothesis and segmented markets theory aim to explain these facts, but each has limitations.
3) Liquidity premium and preferred habitat theories combine elements of the above theories to more fully explain the term structure facts, recognizing bonds are neither perfect substitutes nor completely segmented.
The document discusses how annuities can provide benefits over bond mutual funds in a rising interest rate environment. It notes that bond funds will decline in value as interest rates rise, while annuities such as the SecureLiving Index 7 provide guarantees such as principal protection. The annuity offers growth potential through index-linked interest credits, guaranteed lifetime income options, and other benefits. The document advocates allocating a portion of fixed income holdings to such annuities to reduce interest rate risk compared to bond funds.
- Ameriprise Financial's investment portfolio experienced increased unrealized losses during the third quarter of 2008 due to widespread spread widening across fixed income markets.
- The portfolio emphasizes high quality, diversified holdings including investment grade corporate bonds from industries like utilities and telecommunications as well as agency residential mortgage-backed securities.
- Total unrealized losses increased by $602 million in the third quarter, with the largest losses occurring in investment grade corporate bonds and state and municipal bonds.
AMI Perspective On Current Economic Crisis March 09jbenedict3
The document provides an overview of the current economic crisis from the perspective of AMI Investment Management. It discusses [1] how the crisis developed from the boom brought on by low interest rates and easy credit conditions, leading to overindebtedness; [2] the state of overindebtedness among households, firms, and governments; and [3] how the crisis unfolded as default rates rose and asset prices fell, destabilizing the financial system. It examines events like the Bear Stearns and AIG bailouts and the passage of TARP. The document considers where the economy and markets may be headed as the massive deleveraging process continues.
The document provides advice on navigating volatile stock markets. It recommends diversifying investments across different asset classes to reduce risk. When stocks decline, bonds and cash have historically provided stability. It also emphasizes maintaining a long-term perspective through market downturns and not abandoning a diversified portfolio.
Navigating stormy seas: Preparing for market volatilityJayme Lacour
The document provides advice on navigating volatile stock markets. It recommends diversifying investments across different asset classes to reduce risk. When stocks decline, bonds and cash have historically provided stability. It also emphasizes maintaining a long-term perspective through market downturns and not abandoning a diversified portfolio.
1. Webster Financial Corporation conducted an exchange of convertible preferred securities and trust preferred securities, which contributed to improvements in its Tier 1 common equity ratio and tangible common equity ratio.
2. The exchange raised $173 million in new Tier 1 common equity at a price more than double Webster's pre-exchange stock price.
3. As a result of the exchange and higher provision for loan losses, Webster reported a net loss of $31.6 million for the second quarter of 2009, compared to a net loss of $28.7 million in the second quarter of 2008.
This document discusses several approaches to discounting future losses, including income losses and life care costs, to present value. It notes that the discount rate should be based on risk-free investments according to Jones & Laughlin v. Pfeifer. However, it argues that using long-term treasury yields to discount losses may violate this principle by exposing plaintiffs to inflation risk not inherent in the losses. Short-term rates that match the inflation risk of losses are preferable. The document also discusses duration matching between plaintiff assets and liabilities.
The Fed kept interest rates unchanged but extended its bond-buying program to the end of the year. Regulations are limiting the ability of banks to make loans and interest rates are not affecting the economy as a result. Spain may need up to €62 billion to recapitalize its banks, and Moody's downgraded several large global banks as part of a long-term review. Earnings forecasts continue to be cut as global economic problems remain unsolved.
The document provides a weekly economic update and commentary from Joe Morgan. It includes:
1) Joe Morgan will be taking a break next week to experiment with human solar power in Mexico.
2) The "fiscal cliff" could weaken the economy in 2013 if policies are not changed, as taxes would increase and spending would decrease automatically.
3) Key stock market indices showed modest gains over the past week, while Treasury rates remained unchanged.
The document provides a weekly market outlook from UBS. It notes that additional turbulence is expected in the coming week due to heavy economic data releases and policy uncertainty. However, equity markets appear oversold and may be poised for a modest relief rally. Any sustained recovery will require confirmation that the economic recovery is on track, earnings impacts are modest and transitory, and policy remains supportive of growth. The document also discusses the challenges facing monetary policymakers and expectations that additional stimulus is unlikely, meaning markets will need to find comfort with the existing policy mix.
The Basel Committee proposes strengthening global capital and liquidity regulations to promote a more resilient banking sector and reduce risks of spillover from the financial sector to the real economy. Key proposals include raising capital requirements, enhancing risk coverage, introducing a leverage ratio, and addressing procyclicality and systemic risk. The proposals aim to improve the banking sector's ability to absorb shocks from financial stress by increasing quality and consistency of capital, supplementing risk-based requirements with a leverage ratio, and implementing countercyclical buffers and capital conservation measures.
Indicators Used to Identify Rich or Cheap OptionsRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
National Investment Fund for Credit Unions (NIFCU$) 2nd Quarter 2011 Market C...NAFCU Services Corporation
The U.S. economic recovery slowed in the second quarter of 2011, with GDP growth declining. Inflation remains a concern although wage growth remains weak. Gasoline prices have fallen but housing continues to struggle. The Federal Reserve has maintained interest rates near zero and ended its bond-buying program. There is uncertainty around raising the U.S. debt ceiling and the fiscal health of European countries continues to cause investor reluctance in European markets. The portfolio has maintained a short average maturity as extension opportunities provide little compensation for potential rising yields.
Aegon Fact Sheet Flexible Retirement in JapanAegon
Japan has the highest life expectancy globally and views flexible retirement as a necessity given its aging population. The government has implemented reforms like increasing the retirement age to 65 and allowing employers to offer yearly contracts to employees past 60. While employers prefer offering continued employment, there remains an opportunity to further embrace working past 65 and support employees who want to continue earning.
The document is a report from the Transamerica Center for Retirement Studies that examines the retirement outlook of unemployed and underemployed workers. Some key findings are that over half of those displaced less than a year are unemployed, while over half displaced over a year are underemployed. Nearly one in five of those unemployed over a year have dropped out of the workforce. The report provides recommendations to help improve the retirement readiness of unemployed and underemployed individuals.
Financial services sector - implications of FOFA, possible acquires of SFW, S...George Gabriel
SFW Australia is rated positively given its scarcity value as one of two listed vertically integrated wealth managers in Australia. The stock offers upside for strategic acquirers at its current sum-of-parts valuation of 42 cents per share. Potential acquirers include regional banks, third tier lenders, trustee companies, and diversified wealth managers seeking to expand their distribution networks and mitigate key person risks. The deferral of mandatory FOFA reforms to 2013 will drive further sector consolidation as smaller players exit and larger players pursue acquisitions.
U.S. Election Cliffhangers - BlackRock Investment Institutedtresemer
Financial markets can only focus on one scary thing at a time. The European debt crisis has been the shark closest to the boat for years. Now the US fiscal cliff - a perfect storm of tax hikes and spending cuts that may go into effect Jan. 1 - is moveing to the fore.
The document provides an overview of chapter 6 from a lecture on money, banking, and financial markets. It discusses:
1) The risk structure of interest rates, explaining three facts about differences in interest rates for bonds with varying levels of risk. Default risk, liquidity, and tax considerations can explain these facts.
2) The term structure of interest rates, identifying three facts about differences in rates for bonds of varying maturity. Expectations hypothesis and segmented markets theory aim to explain these facts, but each has limitations.
3) Liquidity premium and preferred habitat theories combine elements of the above theories to more fully explain the term structure facts, recognizing bonds are neither perfect substitutes nor completely segmented.
The document discusses how annuities can provide benefits over bond mutual funds in a rising interest rate environment. It notes that bond funds will decline in value as interest rates rise, while annuities such as the SecureLiving Index 7 provide guarantees such as principal protection. The annuity offers growth potential through index-linked interest credits, guaranteed lifetime income options, and other benefits. The document advocates allocating a portion of fixed income holdings to such annuities to reduce interest rate risk compared to bond funds.
- Ameriprise Financial's investment portfolio experienced increased unrealized losses during the third quarter of 2008 due to widespread spread widening across fixed income markets.
- The portfolio emphasizes high quality, diversified holdings including investment grade corporate bonds from industries like utilities and telecommunications as well as agency residential mortgage-backed securities.
- Total unrealized losses increased by $602 million in the third quarter, with the largest losses occurring in investment grade corporate bonds and state and municipal bonds.
AMI Perspective On Current Economic Crisis March 09jbenedict3
The document provides an overview of the current economic crisis from the perspective of AMI Investment Management. It discusses [1] how the crisis developed from the boom brought on by low interest rates and easy credit conditions, leading to overindebtedness; [2] the state of overindebtedness among households, firms, and governments; and [3] how the crisis unfolded as default rates rose and asset prices fell, destabilizing the financial system. It examines events like the Bear Stearns and AIG bailouts and the passage of TARP. The document considers where the economy and markets may be headed as the massive deleveraging process continues.
The document provides advice on navigating volatile stock markets. It recommends diversifying investments across different asset classes to reduce risk. When stocks decline, bonds and cash have historically provided stability. It also emphasizes maintaining a long-term perspective through market downturns and not abandoning a diversified portfolio.
Navigating stormy seas: Preparing for market volatilityJayme Lacour
The document provides advice on navigating volatile stock markets. It recommends diversifying investments across different asset classes to reduce risk. When stocks decline, bonds and cash have historically provided stability. It also emphasizes maintaining a long-term perspective through market downturns and not abandoning a diversified portfolio.
1. Webster Financial Corporation conducted an exchange of convertible preferred securities and trust preferred securities, which contributed to improvements in its Tier 1 common equity ratio and tangible common equity ratio.
2. The exchange raised $173 million in new Tier 1 common equity at a price more than double Webster's pre-exchange stock price.
3. As a result of the exchange and higher provision for loan losses, Webster reported a net loss of $31.6 million for the second quarter of 2009, compared to a net loss of $28.7 million in the second quarter of 2008.
This document discusses several approaches to discounting future losses, including income losses and life care costs, to present value. It notes that the discount rate should be based on risk-free investments according to Jones & Laughlin v. Pfeifer. However, it argues that using long-term treasury yields to discount losses may violate this principle by exposing plaintiffs to inflation risk not inherent in the losses. Short-term rates that match the inflation risk of losses are preferable. The document also discusses duration matching between plaintiff assets and liabilities.
The Fed kept interest rates unchanged but extended its bond-buying program to the end of the year. Regulations are limiting the ability of banks to make loans and interest rates are not affecting the economy as a result. Spain may need up to €62 billion to recapitalize its banks, and Moody's downgraded several large global banks as part of a long-term review. Earnings forecasts continue to be cut as global economic problems remain unsolved.
The document provides a weekly economic update and commentary from Joe Morgan. It includes:
1) Joe Morgan will be taking a break next week to experiment with human solar power in Mexico.
2) The "fiscal cliff" could weaken the economy in 2013 if policies are not changed, as taxes would increase and spending would decrease automatically.
3) Key stock market indices showed modest gains over the past week, while Treasury rates remained unchanged.
The document provides a weekly market outlook from UBS. It notes that additional turbulence is expected in the coming week due to heavy economic data releases and policy uncertainty. However, equity markets appear oversold and may be poised for a modest relief rally. Any sustained recovery will require confirmation that the economic recovery is on track, earnings impacts are modest and transitory, and policy remains supportive of growth. The document also discusses the challenges facing monetary policymakers and expectations that additional stimulus is unlikely, meaning markets will need to find comfort with the existing policy mix.
The Basel Committee proposes strengthening global capital and liquidity regulations to promote a more resilient banking sector and reduce risks of spillover from the financial sector to the real economy. Key proposals include raising capital requirements, enhancing risk coverage, introducing a leverage ratio, and addressing procyclicality and systemic risk. The proposals aim to improve the banking sector's ability to absorb shocks from financial stress by increasing quality and consistency of capital, supplementing risk-based requirements with a leverage ratio, and implementing countercyclical buffers and capital conservation measures.
Indicators Used to Identify Rich or Cheap OptionsRYAN RENICKER
Actionable trade ideas for stock market investors and traders seeking alpha by overlaying their portfolios with options, other derivatives, ETFs, and disciplined and applied Game Theory for hedge fund managers and other active fund managers worldwide. Ryan Renicker, CFA
National Investment Fund for Credit Unions (NIFCU$) 2nd Quarter 2011 Market C...NAFCU Services Corporation
The U.S. economic recovery slowed in the second quarter of 2011, with GDP growth declining. Inflation remains a concern although wage growth remains weak. Gasoline prices have fallen but housing continues to struggle. The Federal Reserve has maintained interest rates near zero and ended its bond-buying program. There is uncertainty around raising the U.S. debt ceiling and the fiscal health of European countries continues to cause investor reluctance in European markets. The portfolio has maintained a short average maturity as extension opportunities provide little compensation for potential rising yields.
Aegon Fact Sheet Flexible Retirement in JapanAegon
Japan has the highest life expectancy globally and views flexible retirement as a necessity given its aging population. The government has implemented reforms like increasing the retirement age to 65 and allowing employers to offer yearly contracts to employees past 60. While employers prefer offering continued employment, there remains an opportunity to further embrace working past 65 and support employees who want to continue earning.
The document is a report from the Transamerica Center for Retirement Studies that examines the retirement outlook of unemployed and underemployed workers. Some key findings are that over half of those displaced less than a year are unemployed, while over half displaced over a year are underemployed. Nearly one in five of those unemployed over a year have dropped out of the workforce. The report provides recommendations to help improve the retirement readiness of unemployed and underemployed individuals.
Aegon identifies five key trends shaping its operating environment: 1) changing demographics as populations age and customer preferences shift; 2) increased regulation around the world for financial services; 3) new digital technologies that open opportunities and risks; 4) prolonged low interest rates challenging returns; and 5) new capital rules that aim to strengthen consumer protection while raising questions. Aegon analyzes how these trends impact its business and what it is doing to address risks and opportunities.
Aegon reported its Q4 2015 results, serving 30 million customers worldwide. In the quarter, underlying earnings were EUR 478 million, gross deposits were EUR 22.3 billion, and net income was EUR 2,913 million. By region, underlying earnings were EUR 310 million in the UK, EUR 135 million in the Netherlands, EUR 54 million in New Markets, and EUR 26 million at Holding.
Sales increased 32% to EUR 2.75 billion in Q1 2015 compared to Q1 2014, however underlying earnings decreased 6% to EUR 469 million due to adverse claims. Net income also declined 19% to EUR 316 million. Gross deposits grew 39% to EUR 18.7 billion in Q1 2015, up from EUR 13.5 billion in the same period last year. Aegon aims to raise its stake in its Indian joint venture from 26% to 49% and is trialing new technologies like a video service for submitting insurance claims and a venture fund for financial sector startups.
Stress testing involves simulating the impact of exceptional but plausible risk factor changes on a bank's financial position. BASIC Bank uses stress testing techniques to quantify the effects of changes in credit, interest rate, exchange rate, equity price, liquidity, and other risks. Scenarios are developed to assess the bank's resilience under various adverse conditions, such as increases in non-performing loans, falls in collateral values, or defaults by major borrowers.
1) Solvency II switches insurance company liability discounting from prudent rates to market rates like swap curves, significantly impacting reserves and capital requirements.
2) Using pure swap rates could threaten solvency for some products, so regulators allow a liquidity premium added to swap rates for predictable cash flows if backed by high-quality corporate bonds.
3) The liquidity premium is now being replaced by a matching premium that provides similar benefits if insurer bond portfolios meet quality and duration standards, but poses new challenges around justifying assumptions and long-term investment strategies.
[LU] Focuspoint / A detailed look at the treatment of convertible bonds under...NN Investment Partners
NN Investment Partners takes a detailed look at the treatment of convertible bonds under the new Solvency II regulatory regime for European insurers, from November 2015.
[EN] A detailed look at the treatment of convertible bonds under the new Solv...NN Investment Partners
NN Investment Partners takes a detailed look at the treatment of convertible bonds under the new Solvency II regulatory regime for European insurers, from November 2015.
[CH] A detailed look at the treatment of convertible bonds under the new Solv...NN Investment Partners
NN Investment Partners takes a detailed look at the treatment of convertible bonds under the new Solvency II regulatory regime for European insurers, from November 2015.
[UK] A detailed look at the treatment of convertible bonds under the new Solv...NN Investment Partners
NN Investment Partners takes a detailed look at the treatment of convertible bonds under the new Solvency II regulatory regime for European insurers, from November 2015.
[JP] A detailed look at the treatment of convertible bonds under the new Solv...NN Investment Partners
1) The document analyzes how convertible bonds will be treated under the new Solvency II regulatory regime for European insurers, which requires them to hold a certain amount of capital.
2) It finds that a portfolio of convertible bonds managed by NN Investment Partners has a lower Solvency Capital Requirement (SCR) than a composite portfolio with a similar exposure to equities and bonds, making convertible bonds more efficient for insurers from a solvency perspective.
3) The convertible bond portfolio is also expected to generate returns comparable to equities but with less volatility, providing another advantage for insurers under the new capital constraints.
[LATAM EN] A detailed look at the treatment of convertible bonds under the ne...NN Investment Partners
NN Investment Partners takes a detailed look at the treatment of convertible bonds under the new Solvency II regulatory regime for European insurers, from November 2015.
Bladex's presentation outlines its positioning for growth opportunities in a post-Covid environment. Key points include:
1) Bladex has a differentiated balance sheet structure and the Latin American region is showing recovery, uniquely positioning Bladex to leverage new business opportunities.
2) Global and Latin American economic indicators show an optimistic outlook for 2021, with commodity prices and trade expected to support regional growth.
3) Bladex has enhanced its product offerings to address specific client needs through longer tenors, guarantee structures, and supply chain financing partnerships.
4) Internally, Bladex has undertaken strategic planning coordination to effectively align the bank for future opportunities in trade finance and corporate banking.
The document discusses the implications of Solvency II on asset management for insurance companies. It covers the following key points:
1) Under Solvency II, asset values will be marked-to-market, which increases the perceived riskiness of equity and other assets compared to a book value approach. This will impact return on capital calculations for different asset classes.
2) There is debate around what interest rate should serve as the risk-free rate for discounting insurance liabilities, with options including swap rates, government bonds, or AAA-rated corporate bonds. The choice will affect capital requirements and surplus.
3) Sovereign debt from different countries may receive different capital charges under Solvency
The Fundamental Review of the Trading Book (FRTB) is a major challenge for the banking sector. This new Accenture Finance & Risk Services presentation explores the key implications of the new requirements and highlights key differences with previously published standards. Access this link for more information on FRTB: http://bit.ly/1NnY1RN
This document discusses pension risk to corporate sponsors from three perspectives: scale, impact, and risk. It provides examples measuring a UK company's pension exposure compared to industry medians across these dimensions. Metrics examined include liabilities/deficit as a percentage of market capitalization, impact on debt ratios, and risk measures like value-at-risk and contributions-at-risk. The document advocates developing a pension risk management framework to guide investment strategy in line with the sponsor's objectives and constraints. It also discusses incorporating sponsor credit risk into funding projections from the trustee perspective.
Regulatory capital requirements pose a major challenge for financial institutions today.
As the Asian financial crisis of 1997 and rapid development of credit risk management revealed many shortcomings and loop holes in measuring capital charges under Basel I, Basel II was issued in 2004 with the sole intent of improving international convergence of capital measurement and capital standards.
This paper introduces Basel II, the construction of risk weight functions and their limits in two sections:
In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works.
The latter section is dedicated to studying the different parameters of risk weight functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient.
Basel II IRB Risk Weight Functions : Demonstration and AnalysisGenest Benoit
This paper introduces Basel II, the construction of risk weight functions and their limits in two sections:
In the first, basic fundamentals are presented to better understand these prerequisites: the likelihood of losses, expected and unexpected loss, Value at Risk, and regulatory capital.
Then we discuss the founding principles of the regulatory formula for risk weight functions and how it works.
The latter section is dedicated to studying the different parameters of risk weight
functions, in order to discuss their limits, modifications and impacts on the regulatory capital charge coefficient.
Key Takeaways:
- Macro Stress Tests for Scheduled Commercial Banks
- Performance of NBFCs and HFCs
- Network of the Financial System
- International and Domestic Regulatory Initiatives in the Financial Sector
Adrian Blundell-Wignall, OECD: "An optimal bank structure?"Global Utmaning
This document discusses optimal bank structure and reforming business models of banks. It argues that separation of high risk securities activities from core deposit banks is essential. Risky activities such as derivatives, prime brokering and market making should be put in ring-fenced non-operating holding company subsidiaries if they exceed 10% of a bank's business. A simple leverage ratio of 5% for core deposit banks would make them safer. Separating risky activities prevents cross-subsidization of risk and guarantees, reducing bank size and risk taking.
The presentation summarizes the bank's 1Q20 earnings results. It highlights the bank's strong financial position with ample liquidity, stable funding sources, and robust capitalization. Net interest income declined due to lower market rates but was partly offset by lower funding costs. Credit provisions were negligible while operating expenses remained stable. The commercial portfolio decreased on stricter underwriting amid COVID-19 but consists of high quality clients. Asset quality remained unchanged with adequate reserves to cover potential impacts.
The document discusses key concepts related to financial markets and institutions, including the primary ways capital is transferred between savers and borrowers, factors that influence interest rates, and risks associated with investing overseas such as country risk and exchange rate risk. It also examines theories about yield curves and the expectations hypothesis.
A bank�s balance sheet information is shown below (in $000). On Bala.pdfalfaknr
A banks balance sheet information is shown below (in $000). On Balance Sheet Items Face
Value Cash $121,600 Short-term government securities (<92 days.) 5,400 Long-term
government securities (>92 days) 414,400 Federal Reserve stock 9,800 Repos secured by federal
agencies 169,000 Claims on U.S. depository institutions 937,900 Loans to foreign banks, OECD
CRC rated 2 1,640,000 General obligations municipals 170,000 Claims on or guaranteed by
federal agencies 26,500 Municipal revenue bonds 102,900 Residential mortgages, category 1,
loan-to-value ratio 75% 5,000,000 Commercial loans 4,667,669 Loans to sovereigns, OECD
CRC rated 3. 11,600 Premises and equipment 455,000 Conversion Face Off Balance Sheet
Items: Factor Value U.S. Government Counterparty: Loan commitments: < 1 year 20% $300 1-5
year 50% 1,140 Standby letters of credit: Performance-related 50% 200 Direct-credit substitute
100% 100 U.S. Depository Institutions Counterparty: Loan commitments: < 1 year. 20% 100 > 1
year 50% 3,100 Standby letters of credit: Performance-related 50% 200 Direct-credit substitute
100% 56,400 Commercial letters of credit: 20% 400 State and Local Government Counterparty:
(revenue municipals) Loan commitments: >1 year 50% 100 2 Copyright 2020 McGraw-Hill
Education. All rights reserved. No reproduction or distribution without the prior written consent
of McGraw-Hill Education. Standby letters of credit: Performance-related 50% 135,400
Corporate Customer Counterparty: Loan commitments: < 1 year 20% 3,212,300 >1 year 50%
3,046,278 Standby letters of credit: Performance-related 50% 101,543 Direct-credit substitute
100% 490,900 Commercial letters of credit: 20% 78,978 Sovereign Counterparty: Loan
commitments, OECD CRC rated 1: < 1 year 20% 110,500 >1 year 50% 1,225,400 Sovereign
Counterparty: Loan commitments, OECD CRC rated 2: < 1 year 20% 85,000 >1 year 50%
115,500 Sovereign Counterparty: Loan commitments, OECD CRC rated 7: >1 year. 50% 30,000
Interest rate market contracts: (current exposure assumed to be zero.) < 1 year (notional amount)
0% 2,000 > 1-5 year (notional amount) 0.5% 5,000 1. What is the bank's risk-adjusted asset base
under Basel III? Find the appropriate risk-weight for the off-balance sheet items using Table 21-
7 (for the risk weights, you use Table 21-7 for BOTH on- and off-balance sheet items). Hint: For
OBS market contracts, the appropriate risk-weight is 1 or 100%. 2. To be adequately capitalized,
what are the bank's CET1, Tier I, and total risk-based capital requirements under Basel III? Hint:
Refer to Table 21-3. 3. Using the leverage ratio requirement, what is the minimum regulatory
capital required to keep the bank in the adequately-capitalized zone? Hint: Refer to Table 21-3. 3
. No reproduction or distribution without the prior written consent of McGraw-Hill Education. 4.
Disregarding the capital conservation buffer, what is the bank's capital adequacy level (under
Basel III) if the par value of its equity is $215,000, surplus value of e.
This document summarizes an investment webinar on cash management and fixed income assets in a low interest rate environment. Global interest rates are at historic lows, with rates on major currencies like the USD, GBP and EUR near or below 1%. This makes it difficult for trustees to achieve positive returns through cash investments. The document discusses options for cash management including money market funds and managing counterparty risk. It also covers the Federal Reserve's stimulus measures, the risks facing corporate bonds and banking sectors, and examples of fixed income portfolios that trustees could consider to pursue returns while managing risks.
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Reforming Dutch Pensions - New Capital Requirements for Existing Pension Rights
1. REFORMING DUTCH PENSIONS – HIGHER CAPITAL REQUIREMENTS
UNDER “FTK1” FOR EXISTING PENSION RIGHTS?
David van Bragt, senior specialist investment solutions, AEGON Asset Management
The Dutch pension agreement of 2011 has been the cause of heated –
and ongoing – debates. The agreement will lead to a major transition
from today‟s „harder‟ pension rights towards conditional or „soft‟ pension
rights, and should take effect as of 1 January 2013 or, if more time is
needed, as of 1 January 2014. The agreement of 2011 will be specified
in detail in 2012 in a new regulatory framework, commonly referred to
as the Financial Assessment Framework 2 (Financieel Toetsingskader 2) or “FTK2”.
However, with the introduction of FTK2, it is still very unclear, and controversial,
whether „hard‟ pension rights built up under the old system can be transformed into „soft‟
rights under the new framework. The existing FTK rules (“FTK1”) may therefore
continue to apply to all existing pension rights. Although much attention has been paid
to the consequences of FTK2, the changes to FTK1 that have been proposed by the
Dutch regulator are also likely to have a profound and ongoing effect on pension funds,
as the revised approach to risk will lead to stricter capital requirements.
A new FTK1 – changing capital requirements
In June 2011, the Dutch Central Bank (DNB) issued a proposal to revise the required solvency
capital for pension funds as laid down in the current FTK1 rules.[1] On 14 September 2011, the
proposal was sent to the Dutch Parliament for consideration. It is currently not known when these
new FTK rules will come into force.
Although the proposed changes to the FTK1 are significant, the underlying principle remains the
same – that the solvency capital of a pension fund should be sufficient to avoid a nominal funding
ratio of less than 100% with a probability of 97.5% over a one-year horizon. However, the required
capital calculation within today‟s FTK1 is now considered to be insufficiently prudent to meet this
criterion. For example, DNB estimates that the average funding ratio of Dutch pension funds at the
end of 2011 was 98%, and approximately 125 funds are expected to announce a reduction (of as
much as 7%) in pension rights in May 2012 in order to be able to reach the minimum required
funding ratio (105%) by the end of 2013.
The recent financial and economic crisis easily qualifies as a 2.5% event (in other words, such an
event can only be expected to occur once every 40 years on average) so it may be argued that the
current low funding levels are not necessarily the result of any inadequacy in the present FTK‟s
[1]
This document (‘‘Uitwerking herziening berekeningssystematiek Vereist Eigen Vermogen”), is available in Dutch at
http://www.rijksoverheid.nl/documenten-en-publicaties/notas/2011/09/14/berekeningssystematiek.html.
1 March 2012
2. required levels of capital. In addition, the solvency position of many Dutch pension funds was
already weakened before the recent financial crisis by the collapse of the dot-com bubble between
2000 and 2002.
Nevertheless, DNB has established, on the basis of updated time series, that the stress tests applied
to pension funds were insufficient in some areas. For example, the new DNB analysis led to an
equity stress test for developed markets of −30% (rather than −25%) and a much higher correlation
between credit risk and equity risk than previously supposed. In addition, the new proposals also
include a solvency buffer for active equity risk. This risk factor is not included in the current FTK
rules, which can lead to an underestimation of the required capital. For example, several pension
funds incurred significant additional losses during the financial crisis due to the underperformance of
their active equity portfolios.
FTK1 – a summary of proposed changes
The main changes to FTK1, as proposed by DNB, are summarised in the table below. The table
shows the current and new stress test parameters for each risk factor. It should be noted that there
is no prescribed „recipe‟ to determine the required capital for insurance technical risk (S 6) (for
example longevity, mortality, disability and lapse risk). Pension funds should therefore determine
their own capital requirement for insurance technical risk, using their own models.
Table 1: Overview of current and new FTK1 stress test parameters (source: DNB).
risk scenario risk factor sub factor current new
S1 interest rate risk factor 15-year interest decrease 0.77 0.75
equity developed markets 25% 30%
equity emerging markets 35% 40%
S2 equity risk
private equity 30% 40%
real estate 15% 15%
S3 currency risk 20% 15%
S4 commodities risk 30% 35%
AAA 40% 60 bps
AA 40% 80 bps
S5 credit risk A 40% 130 bps
BBB 40% 180 bps
<=BB 40% 530 bps
S6 insurance risk no prescribed rules no prescribed rules
based on tracking
S7 active risk N.A.
error and TER
The current and new correlations between the different risk scenarios are also shown in the table
below. These correlations are used to aggregate the capital requirements for the different risk
scenarios (S1 through S7) and determine the overall capital requirement.
2 March 2012
3. Table 2: Overview of current and new FTK1 correlations (source: DNB).
risk scenario risk scenario current correlation new correlation remark
when S1 is based on
S1 (interest rate risk) S1 (equity risk) 0.5 0.4
an interest rate decrease
when S1 is based on
S1 (interest rate risk) S5 (credit risk) 0 0.4
an interest rate decrease
S1 (equity risk) S5 (credit risk) 0 0.5
Larger capital charges for listed and private equity
One of the most significant changes under the proposed rules is to the magnitude of the „S2 shock.‟
In the equity risk scenario, this shock is increased by 5 percent. DNB argues that this accounts for
the relatively large downside risk and the high volatility of this asset class. Large losses also occur
more frequently than may be expected based on a normal distribution. The shock parameter for
private equity is also increased substantially (by 10 percent) in order to account for the leveraging
effect of debt, which is frequently used to finance these assets.
Different rating classes for credit bonds
For the credit risk scenario (the „S5 shock‟), DNB proposes to use different rating classes in order to
refine the applied capital charges. A separate shock for high yield investments (credit bonds with a
rating lower than BBB) has also been added. The credit bond stress scenario will be defined in terms
of an increase of the credit spread by a fixed number of basis points instead of as a relative increase
of credit spreads. DNB argues that this approach will reduce the pro-cyclical nature of the current
approach. Currently, the applied shock would increase (in an absolute sense) for stress situations
with high credit spreads. This would lead to very high capital charges for pension funds in already
difficult situations. In the new setup, this undesirable effect is mitigated by using a fixed increase of
the credit spread (per rating class). DNB, however, indicates that the required capital for credit risk
will on average increase under the new rules.
A new risk scenario for active equity risk
A new risk scenario („S7‟) for actively managed funds is also added in the DNB proposal. In the
current situation, there is no additional capital charge for active risk. DNB research has shown,
however, that in several cases the losses of pension funds during the recent financial crisis were
larger than to be expected based on the development of market indices. In the new proposal, the
required capital for active risk is based on the annual loss due to active management (corresponding
to a probability of 2.5%). This loss is linked to the (ex ante) tracking error of the fund and the costs of
active management in terms of the total expense ratio (TER). To limit the impact on reporting
requirements, active risk only applies for listed equity and can be ignored if the tracking error is
smaller than 1%.
Adjustment of correlation parameters
A correlation factor between credit risk and interest rate risk as well as a correlation factor between
credit risk and equity risk has also been added. The correlation between equity risk and interest rate
risk has also been set to a slightly lower value. DNB analyses show that a peak in the correlation
does not necessarily coincide with a peak in risk factors. The correlations are now based on the
3 March 2012
4. observed correlations during a period of market stress and not on the observed maximum values of
correlations.
Refinement of the calculation of currency risk and real estate risk
The calculations for currency risk („S3‟) and real estate risk (part of the „S2‟ module) will also be
refined. The current FTK1 rules use a single risk scenario of -20% (a depreciation of all foreign
currency positions by 20%). DNB argues that this underestimates the currency risk for assets in
emerging markets and overestimates the risk for a diversified portfolio in developed markets. For this
reason, the currency stress scenario will be refined according to the true risks. For portfolios with
well-diversified currency exposure, a shock of −15% can be used. In this case, the exposure to
emerging market currencies should be at most one third of the total currency exposure. If the
exposure to emerging market currencies is larger, the shock can increase (in an absolute sense) up
to −30%.
The calculation of the required capital for real estate will also become more detailed for non-listed
real estate. In the new setup, the applied stress test can become larger than the current shock (of
−15%), depending on the amount of debt financing.
Impact analysis by DNB
DNB has carried out an extensive impact analysis of these modifications, based on the reported
information of pension funds to DNB. As a result of the modifications, the required capital will on
average increase from 21.7% to 26.6% (relative to the market value of the liabilities). The average
increase is thus equal to 4.9%, which is approximately equal to €34bn (in total) for all Dutch pension
funds. The figure below gives an impression of the impact of these changes on the required funding
level of the average Dutch pension fund.
Figure 1: Impact of the new FTK1 guidelines on the required funding level for an average Dutch
pension fund. A comparison is made with the estimated actual funding ratio at the end of 2011
(source: DNB, AEGON).
140%
130%
+4.9%
120% (see Table 3)
110%
100%
90%
80%
actual funding ratio required funding ratio required funding ratio
(end of 2011) (current FTK1 rules) (new FTK1 rules)
It should be noted, however, that there are major differences between individual pension funds,
depending on their particular characteristics and their investment and hedging policies. For example,
for some funds the required capital will hardly change under the new FTK1 rules, whereas for a few
funds the required capital may double. The figure below provides an example of the differences
between individual funds, with each blue dot representing an individual pension fund.
4 March 2012
5. Figure 2: Impact of the new FTK1 guidelines on the required capital for Dutch pension funds. Each
blue dot represents one pension fund (source: DNB). The required capital is denoted as a
percentage of the market value of the liabilities. A required capital of 0% corresponds to a funding
ratio of 100%.
Solvency required
capital
(new FTK1 proposal)
Solvency required capital (at the end of 2010)
DNB also provides a break-down analysis on the level of individual risk scenarios. See the table
below, which shows the impact of the new rules in more detail. We should stress, however, that this
table gives results for the average pension fund. Results for individual pension funds can (and will
be) very different, depending on their investment policy and specific liabilities.
Table 3: Impact of the new FTK1 guidelines for the individual risk scenarios for an average Dutch
pension fund (source: DNB). The required capital is denoted as a percentage of the market value of
the liabilities.
S4 (commodities risk)
(with diversification)
diversification effect
S1 (interest rate risk)
S6 (insurance risk)
S3 (currency risk)
diversification)
S2 (equity risk)
S5 (credit risk)
S7 (active risk)
(without
total
total
current 8.9% 14.9% 2.3% 1.1% 1.1% 3.5% 0.0% 31.9% -10.2% 21.7%
new 10.0% 18.6% 1.8% 1.3% 2.6% 3.5% 1.5% 39.3% -12.7% 26.6%
difference 1.0% 3.6% -0.5% 0.2% 1.5% 0.0% 1.5% 7.4% -2.5% 4.9%
The largest differences (measured in percentage points) occur for equity risk, followed by credit risk
and active risk. Note however that, in a relative sense, the effect for credit risk is very large: the
required capital for this component more than doubles from 1.1% to 2.6%. Differences are more
modest for interest rate risk and commodities risk. On average, the capital requirements for currency
risk decrease slightly.
What will be the impact of these changes?
The proposed changes do not consist of a complete overhaul of the existing FTK1 rules, but are
mainly a recalibration and refinement of the applied stress tests. Nevertheless, the impact of the
proposed changes on the capital requirements for pension funds will be very substantial. A large
number of Dutch pension funds are currently underfunded and are not even able to meet the current
minimum requirements with respect to the required capital. Stated differently: many pension funds
5 March 2012
6. would be very happy to reach the minimum required funding ratio of 105% at the end of 2013. This is
very far removed from the average required funding level of 121.7% under the current FTK1 rules or
126.6% under the recalibrated FTK1 rules. These stricter capital requirements may thus have a
large impact in the medium to long term on sponsors of distressed pension funds and the
participants of these funds.
If pension funds do not meet their solvency required capital, they are obliged to submit a long-term
recovery plan to DNB.1 The plan contains specific measures to ensure that the fund meets the
required solvency capital within 15 years. The plan is based on a recent continuity analysis and must
at least contain:
An explanation of why the solvency requirement has been (or will be) violated;
The expected development of the technical provisions and investments; and
Specific measures to improve the solvency position of the fund within a maximum of fifteen
years to the required level, taking into account all liabilities of the fund.
How to proceed?
It is important to note that a pension fund is not allowed to increase its risk profile relative to the
situation before the solvency requirement was violated. The only „way out‟ is thus to make better use
of one‟s available risk budget. It therefore becomes even more important to carefully balance the
expected return and the required capital for individual assets and to exploit positive diversification
benefits on the portfolio level. It may also be attractive to apply a hedging strategy to reduce the
required capital.
In order to assess the overall effect of different investment and hedging policies, it is advisable for
pension funds to perform an Asset Liability Management (ALM) analysis. Once an ALM study has
been completed, it is also important to consider the current market situation and to allow for any
other tactical considerations. For example, the outcome of an ALM analysis may be that hedging
interest risk is strategically attractive. In order to implement this strategic aim, tactical considerations
need to be taken into account so that a choice can be made with respect to the optimal hedging
instruments. For example, when the market expectation is that interest rate levels are on the rise,
the hedging strategy may consist partly of swaptions instead of only swaps. This choice would limit
the downside interest rate risk, while allowing pension funds to benefit from the upside potential
when interest rate levels rise.2
Given the fact that FTK1 looks likely to continue to play a role in the regulation of pensions in the
Netherlands for some time into the future, it is important that pension funds are aware of the
proposed changes to the framework. Risk looks set to become more expensive, which in turn may
make derisking a more attractive option.
1
If the fund also does not meet the minimum required capital (a funding ratio of 105%) a short-term discovery plan
should be filed to DNB. This plan should outline how the fund reaches the minimum requirements within 3 years.
2
An example of this approach was discussed in a previous AEGON Global Pensions Newsletter (Protecting TNT’s pensions
– the benefits of swaptions).
6 March 2012
7. AEGON’s Derisking and FTK solutions
AEGON Global Pensions has developed pension derisking solutions for companies looking to
control or remove investment risk, interest rate risk, inflation risk and longevity risks.
Longevity insurance – Longevity insurance enables pension funds to protect themselves against
the risk that their employees will live longer than previously predicted. It allows companies to reduce
the volatility of their pension plans.
Pension buyouts and buy-ins in the Netherlands – By transferring all or part of your company‟s
pension liabilities to AEGON, you can remove the risks associated with your defined benefit plans,
protecting your company from both short-term volatility and long-term uncertainty.
Liability-Driven Investing (LDI) – LDI allows a pension fund to remove unrewarded interest and
inflation risk by matching its liabilities with assets.
FTK Reporting Services – AEGON provides various FTK Reporting Services to its clients in the
Netherlands. We continuously monitor all regulatory developments around FTK1 and FTK2. AEGON
Asset Management can advise pension funds in this area by re-assessing the fund‟s investment or
hedging policy in the light of upcoming changes. For example, AEGON Asset Management provides
ALM advice for pension funds using the ALM Scan and Stress Test service. Using these tools, the
evolution of the balance sheet and solvency position of a pension fund can be evaluated for a variety
of economic scenarios. With such an in-depth analysis, a robust investment and hedging policy can
be developed in collaboration with the pension fund.
To find out more about our derisking capabilities, please contact AEGON Global Pensions.
Tel: +31 (0)70 344 8931 | aegonglobalpensions@aegon.com | www.aegonglobalpensions.com
7 March 2012