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Derivatives

Derivatives are financial instruments that derive from an underlying asset such as a commodity, bond or currency. SCI’s derivatives coverage focuses on the structuring and trading of derivatives relating to securitisation and structured credit. The instruments covered are primarily: credit default swaps (CDS) and options; correlation trading through index tranches; total return swaps on credit and loan indices and baskets; bespoke tranches; and other new and unusual synthetic structures.

  • First steps

    STS synthetics paper receives qualified welcome

    The EBA’s final framework for STS synthetic securitisations has received an overall positi...

    News Analysis    5 June 2020
  • Risk transfer round-up - 5 June

    CRT sector developments and deal news

    Sabadell is rumoured to be readying an SME significant risk transfer deal for the second half of the...

    News    5 June 2020
  • Repricing of risk?

    Funded, unfunded investor collaboration to rise

    The outlook for the significant risk transfer market appears to be positive, at least in the short t...

    News Analysis    5 June 2020
  • Conduit CMBS on watch

    Sector developments and company hires

    Conduit CMBS on watch S&P has placed its ratings of 96 classes from 30 US conduit CMBS on...

    Market moves    4 June 2020
  • Renewables JV inked

    Sector developments and company hires

    Renewables JV inked By way of a joint venture, illimity Bank and VEI Green II have set up a securit...

    Market moves    29 May 2020
  • Risk transfer round-up - 29 May

    CRT sector developments and deal news

    ABN AMRO is rumoured to be readying a corporate capital relief trade that is expected to close in 3Q...

    News    29 May 2020
  • Pan-European guarantee fund launched

    Sector developments and company hires

    Pan-European guarantee fund launched The EIB board has approved a €25bn Pan-European Guara...

    Market moves    27 May 2020
  • Risk transfer round-up - 22 May

    CRT sector developments and deal news

    Santander is rumoured to be readying its fourth SME significant risk transfer deal from the Magdalen...

    News    22 May 2020
  • Moratoria mulled

    Payment holidays set to test CRT provisions

    Portfolios referencing loans subject to payment holidays may create a new sub-asset class within the...

    News Analysis    21 May 2020
  • SRTs eyed

    Pension funds target risk transfer

    Pension funds are targeting capital relief trade opportunities as the coronavirus crisis renders pri...

    News Analysis    21 May 2020
  • TALF subscription date announced

    Sector developments and company hires

    TALF subscription date announced The New York Fed has scheduled the first TALF ABS loan...

    Market moves    20 May 2020
  • Covid-19 relief initiative launched

    Sector developments and company hires

    Covid-19 relief initiative launched Community Capital Management has launched an initiative to in...

    Market moves    19 May 2020
  • SME CLO, SRT PD adjustments mooted

    Sector developments and company hires

    SME CLO, SRT PD adjustments mooted DBRS Morningstar is considering additional adjustments to refl...

    Market moves    18 May 2020
  • Conflict of interest charge settled

    Sector developments and company hires

    Conflict of interest charge settled The US SEC has charged Morningstar Credit Ratings for violating...

    Market moves    15 May 2020
  • Unknown unknowns

    Covid-19 modelling challenges persist

    Banks are running simulations in an effort to address the credit risk modelling challenges of the co...

    News Analysis    15 May 2020
  • SRTs unlocked

    BMO launches capital relief trade

    Bank of Montreal has finalised a US$132m five-year financial guarantee dubbed Manitoulin Muskoka Ser...

    News    15 May 2020
  • TALF CLO rules clarified

    Sector developments and company hires

    TALF CLO rules clarified The US Federal Reserve has clarified its CLO eligibility rules for TALF. I...

    Market moves    13 May 2020
  • Risk transfer round-up - 13 May

    CRT sector developments and deal news

    Bank of Montreal is rumoured to be prepping a corporate loan capital relief trade for 3Q20. The lend...

    News    13 May 2020
  • SFSF investments disclosed

    Sector developments and company hires

    SFSF investments disclosed The AOFM has disclosed the recent investments it has made under the Stru...

    Market moves    12 May 2020
  • Residual value buffer provided

    Sector developments and company hires

    Residual value buffer provided Volkswagen Financial Services UK will calculate a collateral resid...

    Market moves    11 May 2020
  • Drafting issues

    Assia Damianova, special counsel at Cadwalader, Wickersham & Taft LLP, considers the potenti...

    CRTs typically consist of a credit transfer instrument entered into between the credit institution a...

    Talking Point    11 May 2020