We analyze the impact of proposed changes in the National Association of Insurance Commissioners’ capital charges on the fixed income investment portfolios of U.S.-domiciled life insurers. Starting from an estimated current fixed income allocation for the sector, we discuss possible shifts in the optimal allocation that would result from the proposed changes in risk weights, and their possible market implications.

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Soraya Kazziha

Responsable de l’Analyse client EMOA

Chitrang K. Purani

Gérant de portefeuilles, Institutions financières