We restructure concentrated real estate and mortgage exposure into rated, capital-efficient instruments — without disrupting long-dated liability matching or the insurer's strategic asset allocation.
European insurers hold substantial direct real estate exposure. Under Solvency II, direct property attracts a 25 per cent market risk shock — among the highest SCR charges in the standard formula. Securitised mortgage exposures, when correctly structured, can carry materially lower capital charges.
Insurers with concentrated real estate portfolios face two pressures at once: regulatory capital consumption and asset-liability mismatch. Securitisation addresses both.
By transferring the property portfolio to an Asset-Co and funding it through rated tranches, the insurer can retain economic exposure — typically through senior notes and an equity piece — while converting directly-held property into instruments with more favourable SCR treatment.
The structure is particularly efficient where the property is high-quality but concentrated, or where the insurer wishes to recycle capital into new liability-matching investments without a disruptive disposal.
Transfer of direct-held commercial and residential property into Asset-Co structures with rated note issuance. Standard tenor 5 to 7 years, extendable.
Securitisation of mortgage receivables originated by the insurance group or its lending subsidiary. Applies to both direct mortgages and book-acquired loan portfolios.
Structuring of senior tranches to qualify as matching-adjustment eligible assets under Solvency II, enabling favourable treatment in the insurer's own ALM calculation.
Documentation and data packages supporting the insurer's look-through reporting obligations for SCR calculation, including quarterly loan-level data and stress-test scenarios.
Tailored risk retention that balances the insurer's desire for continued upside with capital efficiency — horizontal, vertical or L-shaped retention depending on objectives.
Placement of non-retained tranches with pension funds, other insurers and specialist debt funds. Our placement network is European-wide, with particular depth in DACH.
Immediate 25 per cent shock to market value under the Solvency II standard formula. Full property risk concentrated in a single exposure class. No diversification benefit against other sub-modules within market risk.
Calculated via the Type 1 / Type 2 split and spread risk sub-module depending on characteristics. Typically carries lower capital charge than direct property but requires granular reporting and careful credit assessment.
Where the transaction is STS-compliant and the insurer holds senior notes, the spread risk capital charge can be meaningfully lower than direct mortgage or property exposure. Exact outcome depends on rating, maturity and STS status.
Non-senior or non-STS tranches carry higher spread risk charges under the standard formula, but remain calibrated to credit quality rather than property market risk. Suitable for opportunistic capital deployment with clear risk budget.
This table is for illustrative purposes only and does not constitute regulatory or capital advice. The specific capital treatment of any transaction depends on the insurer's jurisdiction, internal model status, exact transaction structure and current regulatory interpretation. SH works alongside the insurer's actuarial and regulatory teams throughout the structuring process.
For insurance balance sheets, the structural question is rarely whether to reduce real estate concentration — it is how to do so without disrupting long-dated liability matching. Securitisation is the instrument that answers both at once.
We begin with a portfolio review under NDA. Two to three weeks of analysis, no fee until mandate.
The output is a one-page indicative view: expected capital treatment of the restructured position, approximate all-in cost, principal structuring options and key execution risks. The insurer's actuarial and investment teams are included from the first meeting — we do not work around internal governance.
If the feasibility view warrants progression, a mandate letter formalises the engagement. Our fees are transaction-contingent in large part, aligning interests on successful execution rather than billable hours.
Typical time from mandate to issuance: four to six months for a straightforward portfolio, six to nine months for a novel structure or cross-border elements.