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STS ABS Opportunities and expectations for European insurance investment portfolios


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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