The Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS) has published a report on issues regarding the valuation of structured credit products.

The report looks at the impact for insurance undertakings arising from issues related to the valuation of structured credit products, especially illiquid ones, in the future Solvency II framework and under IFRS.

In relation to valuation the key points in the report include:

  • The economic balance sheet approach followed under Solvency II is the most useful basis for prudential supervisors.
  • CEIOPS supports the establishment of the IASB expert panel on valuation issues.
  • A high priority for the IASB expert group should be further guidance for the definition of an active market, forced or distressed sales, selection of inputs in valuation techniques and appropriate disclosure requirements.
  • Consistency in the use of valuation techniques is important.

CEIOPS is monitoring developments in this area and will follow up where appropriate.

View Report on issues regarding the valuation of structured credit products, (PDF 219KB), 19 August 2008