Updates have been made to the treatment of securitisations under Solvency II. John Loughrey of GR-NEAM examines the implications for insurers.
The treatment of securitisations in Europe has gained some publicity recently with updates coming from the European Commission (EC) and the European Insurance and Occupational Pensions Authority (EIOPA) on Solvency II. In this article we review the changes and provide additional comments on our interpretation of the regulatory requirements of holding such assets on the balance sheet of an insurance firm.
Background
Asset-backed securities (ABS) have been used by investors to gain exposure to groupings of what would otherwise be highly illiquid and inaccessible assets. The underlying assets come in a variety of forms from auto loans to credit cards and from residential to commercial mortgages.
Solvency II, GR-NEAM, Regulation, Europe. EIOPA
