28 Feb 2020 IFoA Equity Release Mortgages Working Party Discussion Paper

The Institute and Faculty of Actuaries’ Equity Release Mortgages Working Party, of which I am Chair, has today published a Discussion Paper on the economic valuation of Equity Release Mortgage assets in the context of the PRA’s Effective Value Test.

Economic valuation of ERM assets involves some interesting challenges that arise from the asset’s illiquidity, the illiquidity of its property collateral, and the limited availability of relevant observable prices to reference in allowing for the valuation impact of some of the asset’s key features. Nonetheless, we hope that this paper’s content can provide actuaries with some helpful insights that build on some of the recent research published in this field.

We look forward to engaging with the actuarial community and others interested in the economic valuation of these assets and welcome your feedback.

The paper can be downloaded here.