Reintroducing securitisations to insurance portfolios


In January 2019, regulations were introduced to help revive European ABS issuance via a new Simple, Transparent & Standardised (STS) framework. This significantly reduces capital charges for insurers to hold high-quality ABS compared to previous requirements under Solvency II.

  • The following paper looks to explore how insurers can introduce eligible securitisations to their investment portfolios.
  • European ABS has a strong multi-decade track record of low default rates, while often providing a spread over other fixed income securities.
  • STS eligibility is not restricted to new issues, which opens up a sizeable investment universe for potential portfolio diversification.

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