Weekly Issue Archive »

Issue 827 - 13th January

  • News Analysis

    • CLOs
      • Balancing the equation

        Positive start for CLO assets and liabilities

        The first two weeks of 2023 have seen both a tightening in CLO liabilities and a rise in asset prices. At the same time, the triple-A bid appears to be reemerging. “The end of 2022 left a question mark for the CLO market, but 202...

    • Structured Finance
      • Unemployment eyed

        Labour market key to Euro ABS outlook

        Some deterioration – both in collateral and ratings performance – across the European securitisation market is expected this year, given current global economic pressures. However, S&P suggests in its outlook for the secto...

  • News

    • Structured Finance
      • SCI Start the Week - 9 January

        A review of SCI's latest content

        Last week's news and analysis Looking east CEE SRT issuance prospects gauged Risk transfer expansion Polish SRT deal flow grows Scores on the doors Affordable housing gets top of the bill in new FHFA scorecard Synthetic RMBS launched ...

    • Capital Relief Trades
      • Tight pricing persists

        BNP Paribas executes synthetic securitisation

        BNP Paribas has finalized the ninth synthetic securitisation from the Resonance programme. The latest transaction from the programme priced broadly in line with Resonance seven. The transaction features a €374.9m mezzanine tranche that ref...

      • First CAS since September

        B1 levels contract

        Fannie Mae has priced its CAS 2023-R01, its first appearance in the CAS market for four months. The bookrunners were BoA Securities and Barclays. The $429.9m BBB+ M1 tranche was priced at SOFR plus 240bp, the $247.2m BBB- M2 tranche was priced at...

      • Capital boost

        Capital requirements set to rise

        EU bank capital requirements are expected to rise this year thanks to Pillar two increases and higher countercyclical buffers. However, bank capital positions have been normalizing since the peak of the coronavirus crisis. According to new research...

      • Correlation risk

        New report sheds light on post Covid correlations

        Credit Benchmark has published a new White paper on credit correlations showing how they’ve become more positive after the coronavirus pandemic, but the researchers qualify that correlations have been dropping since late 2021. Nevertheless,...

  • Market Moves

    • Structured Finance
      • CAS trade launched

        Sector developments and company hires

        Fannie Mae is in the market with its first CAS trade of 2023, designated CAS 2023-R01, consisting of M-1, M-2 and B-1 notes. The A minus-rated $429.9m M1 has a tranche thickness of 2% and credit support of 2.90%, while the BBB-rated $247.2m M2 has...

      • Cyber cat bond debuts

        Sector developments and company hires

        Cyber cat bond debuts Specialist insurer Beazley has launched what is believed to be the first cyber catastrophe bond. The US$45m private Section 4(2) bond is tradeable under Rule 144A resale and provides Beazley with indemnity against all perils i...

      • Call for additional index granularity

        Sector developments and company hires

        Call for additional index granularitySFA has submitted a letter to Fannie Mae and Freddie Mac in response to their Social Index (SCI 19 October 2022) that strongly advocates for additional transparency and granularity in how existing social metrics a...

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