In the run-up to implementation of Solvency II, arrangers and managers are seeking guidance on how the new rules will apply to insurance investors in securitisations, managed CLOs and credit funds, including the treatment of these assets in the insurer’s capital calculation and how managers should cater for the capital impact when structuring transactions.
While the actual capital calculation depends on an insurer’s entire investment portfolio, in this article we aim to give an overview of the framework to assist with understanding the capital drivers which impact investment decisions.
The information provided is not intended to be a comprehensive review of all developments in the law and practice, or to cover all aspects of those referred to.
Readers should take legal advice before applying it to specific issues or transactions.
