EU Solvency II amended: tailwind for AAA/AA tranches?

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EU Solvency II amended: tailwind for AAA/AA tranches?

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International SF Weekly

EU Solvency II amended: tailwind for

AAA/AA tranches?

The amended Solvency II - Delegated Regulation (EU) 2026/269, entered into force on 22 July 2026

10 March 2026 and will apply from 30 January 2027. Insurers and investors should Structured Finance

prepare to take advantage of the changes in the beginning of January 2027. EMEA, APAC, LatAm

ABS CMBS RMBS CLO

EU reduces Solvency 2 standard capital charges

The capital charges for senior AAA and AA rated STS tranches will be equal to the Alexander Batchvarov, CFA Int'l Str. Fin. Strategist

charges for covered bonds and inside the charges for corporates, while the charges for BofA Europe (Zurich)

senior STS exposures rated from single-A to single-B are the same for all (STS senior +41alexander.batchvarov@bofa.com44 297 7469

tranches of securitisation, corporates and covered bonds). The charges for non-senior Altynay Davletova, CFA

STS remain materially higher than those for corporates of comparable rating, despite Int'l MBS/ ABS Strategist

MLI (UK)

the double-digit ppts reduction from their current levels. The charges for senior non- +44 20 7995 3968

STS are now about 4 times higher than those for corporates (for non-senior STS – about altynay.davletova@bofa.com

8 times) which is not justified, in our view, and thus we would expect them to constrain Mark Nichol

Int'l CMBS/ABS Strategist

such securitisation investment by the insurers. EU capital charges for securitisation for MLI (UK)

insurers remain among the highest in the world. +44 20 7996 0965 mark.nichol@bofa.com

EUSR amendments under way DustinEuropeanWalpert,CLO StrategistCFA