7/28/2025
It’s finally happened. The day I feared has come to pass… No deals priced in European ABS for a week!
But ever the determined writer, I have conspired to see this as something of an opportunity. Indeed, it’s a chance to ask you, dear reader, how you’re feeling about the market so far this year and through to the end of the year.
Enter – the Freshly Squeezed Summer Survey.
It’s just a few short, sharp questions to be answered. And then, the idea is to analyse the results and share the most interesting findings with you in a later edition of the newsletter.
Complete the Freshly Squeezed Summer Survey here!
Despite a lack of issuance, there were some regulatory developments to chew over. The EU Commission also published a consultation on its proposals for Solvency II (the regulation that covers insurance firms). They are looking at changing the capital requirements for insurance companies holding securitizations and are looking for feedback until September 5th, 2025.
It’s a very long document (127 pages), but for securitization my initial reading is that the Commission is taking a pretty positive stance.
They clearly state that currently rules are not achieving the desired results as less than 1% of insurers’ portfolios are securitizations.
And as a result, the Commission is proposing lower capital charges on STS and non-STS securitizations. STS senior tranches would be brought down to roughly the same level as is applied to covered bonds of the same credit quality, while for non-STS, there is a commitment to have more risk sensitivity in its treatment. For example, non-STS senior tranches will be treated better than mezzanine or equity tranches, whereas previously, there has been no distinction.
There’s more to digest, but that feels like a welcome first step. You can read (and respond to the consultation) here.
In addition, the PRA has provided some feedback to responses of its consultations paper (CP)8/24 – Definition of Capital Restatement of CRR Requirements in PRA Rulebook, and parts of Chapter 3 and 7 of CP13/24 – Remainder of CRR: Restatement of assimilated law.
There’s quite a lot in the PRA’s document here too, but Section 4 on Securitization Supervisory Expectations feels promising for SRT. That’s because the PRA appears to be saying that unfunded investors (insurance) are now allowed as protection provider.
One friend said to me that senior management engagement rules are clearer now, whilst they were very vague before. However, it is explicitly written in this piece of regulation that you have possibility to hire an advisor to alleviate the engagement workload – that means advisors will be able to communicate more directly with the regulator on SRT approvals.
Read the full PRA doc here.
This week, I write to you from the beautiful sites of Lake Garda, in Italy. I’m a groomsman at the wedding of one of my good friends (the drummer in the band actually), which takes place in Pesaro on Wednesday. And so, we have decided to make a more elaborate trip out of it by visiting Milan and Lake Garda too.
So, if I return a few kilos heavier, you’ll know why!
That’s all from me this week. Please do fill in the survey, and hopefully, I’ll have some really interesting findings to share in the coming weeks.
Ciao,
Tom
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