The continued low interest rate environment creates significant challenges for life insurers that depend on long-term yields to generate value for customers. Insurers are increasingly turning to a wider range of assets to seek yield, and in this paper we consider the risk and capital implications for European carriers investing in portfolios of mortgage loans. We discuss capital requirements, and the markets for commercial and residential mortgages. We conclude that these asset types have the potential to form a valuable component of life insurer investment portfolios.