The European Commission has published the long-awaited final Delegated Regulation supplementing the Solvency II Directive, which (amongst other things) sets the capital requirements for insurance companies investing in securitisation transactions. Based on earlier advice received from the European Insurance and Occupational Pensions Authority (EIOPA), the Commission has retained the distinction between "Type 1" (high quality) and "Type 2" (all other) securitisations, noting that it has introduced "special requirements for high quality securitisation" based on EIOPA's advice (and focusing on criteria related to structural features, the characteristics of the underlying assets, transparency and underwriting processes). Note that "Type 1" and "Type 2" designations now replace the earlier concepts of "Type A" and "Type B" as set out in EIOPA's earlier advice. The requirements for Type 1 and Type 2 securitisations, the related capital charges, and other key provisions relating to investments in securitisations, as set out in the detailed Delegated Regulation, are summarised in a Feature Piece in this Edition of the SCM Briefing.
European Commission Delegated Regulation