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Standard Chartered Bank has priced its second balance sheet CLO, the latest issue under its active portfolio management programme. Start II CLO issued Eu240m of notes with five year bullet maturities. The deal was jointly arranged by Lehman Brothers and Stan Chart.

Insurers faced with a lack of retrocessional capacity are continuing to transfer risk to the capital markets, with two new catastrophe bonds launching last week. Liberty Mutual Insurance issued the first offering out of its newly established $750m principal at-risk variable rate note programme last Thursday. Lead managed by Goldman Sachs and Swiss Re Capital Markets, Mystic Re Ltd priced Series 2206-1, a $200m three-year bond rated BB+ by Standard and Poor's, paying 700bp over three month Libor.

Moody's has released a new ratings measure designed to give investors greater transparency in the performance static CDO tranches. The measure assigns a ratings equivalent expected loss measure to CDO tranches in static synthetic CDO tranches, which takes into account the fall in expected loss over time, or time decay of the tranche. This should allow investors to more easily compare tranches with different maturities.

Royal Bank of Scotland will price its two balance sheet securitisations shortly.

The potential breadth and depth of the international mortgage capital markets expanded this week as Countrywide Financial, the US mortgage lender, launched the first securitisation of US home equity loans in euros. Arranged and underwritten by BNP Paribas, the Eu100m tranche is part of a $1.75bn issue from Countrywide's shelf for securitising revolving home equity lines of credit (Helocs). These are typically second mortgages that US homeowners use like overdrafts.

The Spanish securitisation pipeline filled up further this week as two mortgage backed deals from Banco Santander Central Hispano and Caixa Catalunya and an SME loan securitisation from Caja de Ahorros del Mediterráneo came to market. These deals join a securitisation of consumer loans from Bancaja and an SME CLO from Bankinter and will add pressure to spreads in the sector that have already weakened more than most European ABS. Spanish RMBS spreads in secondary are around 13bp over Euribor for five year paper, compared with 11bp for Dutch and Italian paper and 10bp for UK prime.

Banca Intesa, Banca Nazionale del Lavoro and Morgan Stanley this week completed a Eu397m securitisation for Patrimonio dello Stato, a real estate fund set up by the Italian Treasury last year. Patrimonio 1 parcels 75 properties with a market value of Eu723m, leased to state entity Agenzia del Demanio (75% by passing rent) and other state (14.3%) and private sector entities.

Société Générale has priced the first series of its Keolis CPPI, which uses GVaR, or a gap value at risk computation for incorporating multiple strategies into the CPPI. The portfolio will be managed by Axa Investment Managers.

Fitch Ratings has affirmed all tranches in Kensington Group's RMS 17 transaction, despite its recent reserve fund draw. RMS 17 had already drawn on the fund in November 2005, however the fund was replenished to £20m by excess spread. The transaction drew £1.45m out of its reserve fund at its last payment date in May, its largest draw to date, leaving the fund at £18.55m.