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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The Author

Soraya Kazziha

Head of EMEA Client Analytics

Chitrang K. Purani

Portfolio Manager, Financial Institutions