European Securitisation: Stepping into the spotlight

European securitisation is attracting growing interest and has moved to the centre of EU financial policy discussions in recent years. The current reform proposal, designed to review and potentially ease the capital requirements applying to banks and insurance companies, should be seen as the result of a debate shaped within the mature regulatory framework established after the global financial crisis.

• Attractive spreads: European securitisations can offer meaningful spread premium relative to similarly rated corporate bonds, including AAA-rated tranches which provide spreads versus swaps ranging from 40bps (prime Residential Mortgage-Backed Securities, or RMBS) up to 130bps (CLO primary)². 
• Low default rates: European securitisations, particularly senior tranches, have demonstrated low default rates over the past four decades. 
• Lower interest rate sensitivity: most securitisation tranches are floating rate instruments, with coupons typically linked to short term Euribor. This naturally reduces interest rate sensitivity and helps support portfolio stability in volatile rate environments. 
• Diversification³ beyond traditional bonds: securitisations provide exposure to assets with distinct risk drivers, helping to reduce correlation across credit segments and offering diversification beyond corporate or sovereign bond portfolios. 
• Liquidity: many securitisation investors typically have long-term mandates and can tolerate price volatility. During periods of market stress, they are generally less likely to engage in forced selling and may instead act opportunistically, buying securitisations at discounted prices, which can help support overall market liquidity.

Weekly Correlation Matrix: Bloomberg ABS Index vs. iBoxx 1-3y Indices from September 2018 to September 2025

Source: Bloomberg as of end of September 2025. 

In October 2025, the European Commission published a Delegated Regulation⁴ amending Solvency II⁵, with the aim of easing some of the longstanding regulatory barriers that currently constrain issuance and investment, thereby supporting additional lending to households and businesses. 

To achieve this, the Commission has proposed targeted amendments to several key regulations: the Securitisation Regulation, the Capital Requirements Regulation (CRR)⁶ and Solvency II. 

As a result, the revised regulations are currently expected to enter into force in early 2027, alongside the Solvency II measures scheduled for the end of January 2027.

Expected legislative pathway from consultation to entry into force

Source: Amundi. November 2025. This timeline reflects Amundi's expectations regarding the legislative pathway as of November 2025. It is provided for illustrative purposes only. Dates and steps are subject to change based on official legislative developments and do not constitute legal, financial or regulatory advice. Amundi expressly disclaims any liability for reliance on this information.

Regardless of the exact timing of implementation, market participants may seek to increase exposure to European securitisations ahead of any potential spread compression resulting from the revised regulatory framework.

Compared with covered bonds or other secured instruments, securitisation offers an efficient way to raise capital and free up balance sheet capacity. In particular, we expect the ABS and RMBS segments to benefit from this dynamic, potentially unlocking significant issuance volumes and creating additional opportunities for capital deployment.

Amundi’s European ABS investment team differentiates itself from its peers through investment expertise, disciplined risk management and ESG integration⁷. Amundi ABS Responsible, its European open-ended ABS fund, has the longest track record in the market, having launched in 2006 and bringing more than 20 years of proven experience and expertise. The fund provides broad exposure to the European ABS universe, including RMBS, consumer credit, auto loans and CLOs.

Amundi ABS Responsible has experienced no loss related to a default since launch. Its approach is fundamental and conservative, combining top-down allocation with bottom-up selection, complemented by opportunistic investments when the risk/reward profile is attractive. The fund is characterised by continuous credit monitoring, tranche-by-tranche analysis and protection strategies designed to limit drawdowns, including CDS/iTraxx protection strategies⁸.

The strong investment experience of the Amundi ABS Responsible portfolio managers is further reinforced by a dedicated and experienced team of ABS analysts. ESG is also a key differentiator, with proprietary ESG scoring applied to issuers and collateral, as well as normative and sector exclusions.

Finally, Amundi is structured to meet client needs through dedicated support teams, integrated management, back-office and risk functions, and a common IT infrastructure, all supported by the company’s international presence across 35 countries. This allows Amundi to offer a high degree of customisation, responsiveness and economies of scale.

[1] Diversification does not guarantee a profit or protect against a loss.

[2] Association for Financial Markets in Europe, AFME Q2 2025 Securitisation Report, 30 September 2025

[3] Diversification does not guarantee a profit or protect against a loss.

[4] A delegated regulation is an EU legal act used to supplement or amend non-essential parts of an existing EU law, without reopening the full legislative process. 

[5] Directive (EU) 2009/138/EG “Solvency II” has formed the prudential framework for insurers across the European Union since 2016.

[6] The Capital Requirements Regulation (CRR) covers the prudential framework for credit institutions. The main changes focus on the regulatory capital calculation rules for securitization exposures. 

[7] There is no guarantee that ESG considerations will improve the strategy or performance of the sub-fund. Please refer to Amundi's Responsible Investment Policy and Amundi's Sustainable Finance Disclosure Statement.

[8] Hedging strategies implemented through credit default swaps (CDS) and/or iTraxx indices, designed to reduce portfolio credit risk and limit potential drawdowns.