Hefty capital charges on subordinated securitisation tranches proposed in the latest draft of Solvency 2 will blunt insurers' appetite for the asset class, market participants warned last week. Under planned rules set to be published in September by the European Commission, insurance companies will not be heavily penalised to hold the most senior tranche of an ABS deal, lower ones will be hit by much heftier capital charges. "Who's going to invest the resources necessary to do sophisticated analysis to buy securitisations if they think they will be heavily penalised by capital charges?" said Steve Gandy, head of DCM solutions at Santander global banking and markets.
展开▼
