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 

Authors

Hubert-VANNIER
Hubert VANNIER
CFA, Head of Securitised Assets – Amundi

CONTRIBUTORS

  • Sylvie Nonnon, Insurance Senior Advisor, at Amundi
  • Geoffrey Sauwala, Senior Portfolio Manager ABS/CLO, at Amundi
  • Amadou Loum, Senior Portfolio Manager ABS/CLO, at Amundi