Milliman Market Monitor London - 28 February 2020

Equity markets started the month strongly as they initially shrugged off concerns about the coronavirus epidemic. However, by month-end, they had posted extreme losses as the virus spread worldwide and concerns grew over its impact on global growth. The FTSE 100 plunged by 9%, having lost 12% for the year so far. Equity markets in developed economies suffered heavier losses than those in emerging markets. The British government bonds index gained 1.4% in February. GBP Solvency II Risk-free rates decreased at all terms for the second month in a row. CPI inflation increased by 50 basis points to 1.8% in January. Realised volatilities surged higher for all major indices during the second half of the month, with the Euro Stoxx 50 index posting a realised volatility in excess of 31% at month-end. The S&P 500 had a realised volatility of 29.1% at month-end, almost double its historical average, while the FTSE 100 has this figure at 27.3%.