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Symmetric adjustment of the equity capital charge under Solvency II - Analysis and forecast for 2019 and 2020

Bron: Article David Bragt Aegon Asset Management - 14 maart 2019

Written by David van Bragt, Senior Consultant Investment Solutions and Rémi Lamaud, Head of Regulation and ALM at La Banque Postale Asset Management.

The Solvency II capital charge is an important aspect in portfolio construction and asset allocation for insurance companies. For equities a capital charge with a variable component – the symmetric adjustment – is used. This article explains the calculation of the symmetric adjustment and also makes a projection for the remainder of 2019 and 2020. This projection shows that the symmetric adjustment may well remain negative in the coming period, making equities - ceteris paribus - relatively attractive from a capital point of view.

Solvency II is the regulatory framework for European insurance companies since January 1, 2016. The solvency capital requirement (SCR) is a crucial element under Solvency II. Because Solvency II is a risk-based framework, riskier assets are typically charged with a higher SCR than less risky assets. An example is given below for different asset classes.

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