Fund securitisation makes capital vanish – and watchdog growl

Robert Mackenzie Smith
27 Feb 2020

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A securitisation technique that allows US insurance companies to lower the amount of capital they hold against private equity investments is attracting intense scrutiny from regulators and may result in a host of structured securities being reclassified for capital purposes.

The fuss centres on collateralised fund obligations (CFOs) – a type of securitisation similar to a collateralised loan obligation – backed by private equity assets. The structure parcels up fund investments into tranches

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