Aegon to make internal model adjustments to reduce volatility of NL Life capital ratio

Written by Adam Cadle

11/12/2020

Aegon is to make internal model adjustments to reduce the volatility of its NL Life capital ratio.

In its latest capital markets update, Aegon said this is to mitigate credit spread basis risk which will reduce sensitivity to market movements and increase the reliability of remittances.

Addressing the need to improve the resilience of the NL Life balance sheet, Aegon said: “NL Life has identified improvements to its internal model that mitigate volatility caused by the basis risk between the EIOPA VA reference portfolio and its own asset portfolio. We expect these improvements to be implemented for year-end reporting, and that they will be in place until changes arising from the Solvency II review are enacted.”

The insurer said residential mortgages are still seen as an attractive asset category with proven resilience.

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