Commission slashes ABS charges in delegated acts
The final version of the Solvency II delegated acts includes much-reduced capital charges for securitisation, despite a lack of clarity on the empirical data used to justify them
The European Commission is seeking to encourage insurers to invest in infrastructure and securitisations with a range of concessions featured in the Solvency II delegated acts, published today.
The acts slash the standard formula capital charge for Type 1 BBB rated securitisations to 3% per year of modified duration. This is a substantial reduction from the 5% floated in a draft version of the document circulated in July, and a huge cut from the 20% charge initially proposed by the European
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