Question ID: 3571
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 84, 178
Status: Rejected
Date of submission: 20 May 2026
Question
What does allocation around private credit funds look like? Is there any detail on treatment of asset backed finance funds? Assets like forward flow agreements, consumer loans, royalties, etc. Since securitizations are treated unfavourably, what is a way to alleviate capital charges?
Background of the question
Trying to understand needs of European insurers and pensions to make attractive a private ABF fund.
EIOPA answer
This question has been rejected because it does not relate to the practical application or implementation of the legal framework covered by this Q&A process. This process is limited to clarifying the practical application or implementation of the regulatory framework and does not provide bespoke advice on the structuring of specific products or arrangements.
Under the Solvency II framework, the capital requirement depends on the nature, and economic substance of the underlying exposures, generally assessed through the look-through approach under Article 84 of Delegated Regulation (EU) 2015/35 for collective investment undertakings and other investments packaged as funds. For asset-backed finance exposures the standard formula treatment depends on the specific features of the exposure. Relevant modules may include, among others, spread risk, counterparty default risk, interest rate risk, currency risk, concentration risk or equity risk.
Where the exposure qualifies as a securitisation position, Article 178 of Delegated Regulation (EU) 2015/35 applies and determines the level of shocks according to the type of securitisation, its STS status, the seniority of the tranche, its credit quality step and its duration.
The undertakings remain responsible for assessing the risks of their exposures, and compliance with prudent person principle requirements.