Insurers call for clarity on US agency risk weightings

Capital treatment under Solvency II unclear, say firms

mortgage-business

Securitisation specialists and insurers say they are uncertain how US agency mortgage-backed securities will be treated under Solvency II, with requests for clarification from regulators being met with silence.

Insurers, asset managers and bank analysts say they are unclear whether different types of agency bonds will be treated by supervisors as securitisations or corporate bonds after January 1, 2016, when the directive takes effect.

Market participants are calling for regulators to clarify

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