Structured Finance Commentary Summer 2022

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Structured Finance Commentary Summer 2022

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Conditions in the structured finance market have changed significantly, with rates up, spreads wider, and issuance falling off a cliff.

August 09, 2022

There are a lot of mixed messages in a market that has deteriorated very quickly. We take a look at the influencing factors, what is happening, and what could potentially be next.

Key Insights

  • An off-putting half: Risk off, with a recalibration of expected losses.
  • Subprime credit is deteriorating: Will there be contagion?
  • RMBS: AAAs pricing like BBs
  • CMBS: Steeper credit curve
  • Rates: As expected, and they got a 75-bps hike at the July 27 meeting, but maybe more would have been better?
  • ESG: A luxury in hard times or more important than ever?