There are no two ways about it; unlocking insurance capital, the stated aim of Solvency II reforms, would have a transformative effect on the CLO market. European insurers — with upwards of €9trn in assets — have an allocation of less than 1% to securitisation (see the EIOPA Financial Stability Report June 2025), but the general consensus, based on US insurer behaviour, is that this is an underweight of 10% in nominal terms.
That’s a potential €1trn inflow into European securitisation.
Market participants have been working behind the scenes over the last several months to prepare for this, with early signs of progress already emerging. As 9fin reported, a Lloyd’s syndicatehas awarded Blackstone Credit a Solvency II-linked CLO mandate, while Chenavari Investment Managers has secured a CLO and ABS mandate from French insurer CNP Assurances.
Elsewhere, Aegon Asset Management, Conning Asset Management, and TwentyFour Asset Management are among managers preparing CLO funds to capitalise on the reforms.
Laura Coady, global head of CLOs and European head of liquid strategies for Blackstone Credit & Insurance, said Blackstone has been spending time educating those insurers using standardised models in order to get them up to speed with...
