Reintroducing securitisations to insurance portfolios

13 min read 30 Oct 19

Summary: 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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Please remember that past performance is not a guide to future performance.

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.

By James King, Head of Structured Credit. Vincent Charles-Gervais, Director and Senior Portfolio Manager, Structured Credit, Jo Tomkins, Investment Director, Structured Credit