STS ABS: opportunities and expectations for European insurance investment portfolios

10 min read 5 Nov 20

Summary: The introduction of the EU’s simple, transparent and standardised (STS) securitisations framework has provided the potential for European insurers to diversify their fixed income allocation through senior asset-backed securities (ABS).

In the following paper, we look at the potential advantages of STS ABS, including the current yield premia, structural protections and liquidity profile of these assets. We also provide an overview of STS market activity in 2020 and explore how a typical STS ABS can be expected to withstand the challenges of Covid-19.

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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.