Publications

Regulatory insight: European ABS under FTK. A match made in heaven?

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We analyze the treatment of European asset-backed securities (ABS) under the regulatory framework for Dutch pension funds (FTK). ABS loans are collateralized, leading to low expected losses. The overall required capital under FTK therefore decreases if ABS are funded with credits. At the same time, the expected return will typically increase. This makes an investment in ABS an attractive alternative to credits in the current low-yield environment.

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Regulatory insight: Capital requirements for mortgage loan investments under FTK, Solvency II and Basel III

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This article focuses on capital requirements for institutional investors who invest in Dutch mortgage loans and who are subject to FTK, Solvency II or Basel III. We discuss the stand-alone capital requirements for mortgages, but also the impact of these requirements on the overall balance sheet and solvency position.

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Regulatory insight: Minimizing the required capital under Solvency II for credit portfolios

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In this article we focus on constructing "Solvency II efficient" credit portfolios. We discuss how to minimize the solvency capital requirement (SCR) under the standard model of Solvency II for a given target return.

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Round table EMIR/Collateral Management

On 12 April 2017, Financial Investigator organized a round table to discuss the European Market Infrastructure Regulation (EMIR) and collateral management.

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What does a rate hike mean for the interest rate hedge policy of pension funds?

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We investigate the consequences of a possible rate hike for the interest rate hedge policy of Dutch pension funds.

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Regulatory insight: Impact of government-related private loans under Solvency II

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A private placement is a debt agreement where the loan is not stock exchange listed. These loans are less liquid than traditional fixed income instruments but compensate for this with an additional return and a low capital charge.

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Regulatory insight: Impact of mortgage investments under Solvency II

Interest from insurance companies in mortgage investments has surged in recent years. In this article, we focus on the impact of these investments for the capital requirements of insurers.

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Regulatory insight: Major impact IFRS-9 on insurance companies

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The International Financial Reporting Standards (IFRS) is the set of accounting principles for listed European companies. Consequently, IFRS is also the leading accounting framework for many insurance companies in Europe.

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An active approach to Long Term Investing

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Long Term Investing (LTI) is an interesting strategy for many institutional investors. Generally it fits well with their long-term targets and is closely linked with sustainable and socially responsible investing.

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