Simple, transparent and standardised: the changing shape of securitisation

Insights

M&G Investments

18/04/2019

Insurance companies retrenched from investment in securitised debt following the global financial crisis, a trend further catalysed by the introduction of Solvency II in 2016, which put stringent capital requirements on insurers investing in most of this asset class. Today, simple, transparent and standardised (STS) securitisations offer Solvency II-regulated insurers access to certain senior securitised debt at similar capital charges to bonds. This paper explains the key points and new capital charges involved.

  • New regulation intended to improve investor confidence in senior, high quality European ABS is now in force
  • Simple, transparent and standardised (STS) securitisations offer Solvency II-regulated insurers access to certain senior securitised debt at similar capital charges to bonds
  • Investors also benefit from new, more stringent transparency, risk retention and due diligence obligations on sponsors and originators

The value of investments will fluctuate, which will cause prices to fall as well as rise and investors may not get back the original amount they invested.

Read the paper