Securitisation is making a strategic comeback in Europe.
On 29 October 2025, the European Commission published a Delegated Regulation amending Solvency II, significantly lowering the standard formula Spread SCR for securitisation investments.
Key takeaways
- The European Commission’s reform package, expected to be effective early 2027, aims to revitalise the EU securitisation market under the Saving and Investment Union initiative
- Changes affect the Securitisation Regulation, CRR, including LCR and Solvency II, primarily reducing capital charges and increasing the attractiveness of securitised assets for banks and insurers
- The Solvency Capital Requirement (SCR) will be recalibrated, especially for senior STS tranches, aligning them to covered bonds
- The reform adopts a more risk-sensitive approach, keeping higher charges for non-STS mezzanine tranches.
- Expected market effects: broader investor participation, tighter spreads, improved depth and liquidity, a more resilient and efficient market
- From an investment perspective:
- STS ABS are immediately attractive under current Solvency II rules
- CLOs offer high spreads but are limited by current SCR constraints
- Securitisations under the new rules unlock broader, capital efficient opportunities for insurers
You can now read the full whitepaper at the link below
