New Solvency II capital charges still threat to ABS demand
European insurer demand for debt securitisations could vanish despite proposals for lower capital charges
Proposals to reduce Solvency II's capital charges on debt securitisations are insufficient and could lead to European insurers' demand for such assets drying up, according to analysts and investment managers.
The European Insurance and Occupational Pensions Authority (Eiopa) last week proposed a more granular treatment of securitisations.
Under the proposals, the capital charges for less risky issues would be reduced to 4.30% while those for riskier ones would rise to 12.50%. Current draft rules
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Asset allocation
Re-risking the balance sheet, allocations to illiquids grow
Sponsored feature: BNY Mellon
EU insurers lament barriers to infrastructure investment
European Commission’s efforts to attract insurers’ money could have opposite effect
The case for active portfolio management
Sponsored feature: Pimco
Examining the collateral and liquidity challenge: Derivatives in the insurance industry
Sponsored feature: Northern Trust
Insurers warm to risk factor diversification
Insurers are rethinking their investment process in terms of risk factors
Cuts to securitisation capital charges too small, say experts
But European Commission proposals can stop insurers becoming forced sellers of low-risk securitisations
UK annuity reforms may squeeze insurers' appetite for illiquid assets
Allocations to infrastructure and property expected to reduce following Budget
Canadian mortality data highlights longevity challenge for pension funds
Longevity risk transfer market must overcome fundamental issues
