PCS has submitted a response to EIOPA's consultative document on a possible re-assessment of the proposed capital requirements for, inter alia, the SME loan securitisation holdings of insurers. In its response, PCS expresses some concerns about EIOPA's apparent suggestion that such re-assessment could only be warranted if it were possible to distinguish SME loan securitisations from all other types of securitisations. PCS strongly argues that a re-assessment is warranted not because SME loan securitisations are different from all others but because SME loan securitisations are part of high quality securitisations whose performance and robustness makes them different from other types of securitisation. To the extent that the existing Solvency II proposals calibrate capital off non-high quality securitisations, they call for re-assessment. The PCS submission can be found here
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