Rental housing has been regarded as the new ‘frontier for financialisation’ since the 2007 financial crisis. But research examining financialisation of de-commodified rental housing is limited and is primarily focused on stock acquisitions by financial investors and the enabling role of either national or local governments. This critically overlooks the emergence of the financialised production of social rented housing, the interplay between levels of government (particularly with the regional level), and the leading role of the state in these processes. By combining a political sociology approach to policy instruments with a housing system studies perspective, the paper investigates how Italy, through the interplay between national, regional (Lombardy) and local (Milan) governments, led the financialisation of its social rented housing production. Through analyses of six decades of financial-legislative changes in the housing system regarding production/provision, finance and land supply, it identifies a three-stage journey towards financialisation: (1) the rise and fall of publicly-owned rental social housing (1950s to 1990s); (2) the regionalisation and marketisation of the sector up to the late 2000s; and (3) the upward transfer from the first local-scale experiment with the real estate mutual investment fund in Milan to the creation of a national-scale System of Funds for the production of social rented housing. The study shows that the re-commodification of housing and land initiated in the 1980s were intertwined and a conditio-sine-qua-non for financialisation; that the state played a crafting—rather than solely enabling—role in this process; and that trans-scalar legislative–financial innovations transformed social rented housing into a liquid asset class.