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.

  • WAM guidelines finalised

    Sector developments and company hires

    WAM guidelines finalised The EBA has published its final guidelines on the determination of the wei...

    Market moves    4 May 2020
  • Risk transfer round-up - 1 May

    CRT sector developments and deal news

    Deutsche Bank is rumoured to be readying a large corporate capital relief trade for 2Q20. The bank&a...

    News    1 May 2020
  • Landmark guidance

    Implicit support guidelines published

    The EBA has published landmark implicit support guidelines as part of its post-coronavirus intervent...

    News Analysis    1 May 2020
  • Prudential flexibility reiterated

    Sector developments and company hires

    Prudential flexibility reiterated The European Commission has adopted a package to help facilitate...

    Market moves    29 April 2020
  • Opportunistic buying

    Covid-19 kicks off secondary SRT market

    Capital relief trade secondary market activity has received a boost from the coronavirus fallout as...

    News Analysis    28 April 2020
  • Recovery boost

    Weatherford revolvers fully repay amid negative outlook

    A new case study from SCI has revealed that oil and gas firm Weatherford International is referenced...

    News Analysis    24 April 2020
  • Forbearance risks

    Pre-2015 GSE deals could suffer losses

    As the coronavirus spreads and servicers offer mortgage forbearance plans to struggling obligors, ce...

    News    17 April 2020
  • Coverage cleared

    Debut programmatic ILW trade executed

    Tremor last week executed what is believed to be the first programmatic ILW trade via an online auct...

    News    16 April 2020
  • Discounted opportunities

    Insurers target SRT secondary market

    Insurers are now targeting the capital relief trades secondary market in search of discounted opport...

    News    16 April 2020
  • Bilateral activity

    Opportunistic capital redeployment underway

    The European ABS market appears poised to diverge between central bank-eligible issuance and opportu...

    News Analysis    15 April 2020
  • Risk transfer reboot

    Large corporate SRTs prepped

    Capital relief trade issuance is set for a comeback in 2Q20 as a handful of banks are readying large...

    News Analysis    14 April 2020
  • EIF calls for guarantee applications

    Sector developments and company hires

    EIF calls for guarantee applications The European Commission has unlocked €1bn from the Eu...

    Market moves    8 April 2020
  • Stochastic modelling

    IFRS 9 challenges persist amid pandemic

    Supervisors have advised banks to embed the effects of government programmes, such as payment morato...

    News Analysis    8 April 2020
  • ESG catalyst?

    Positive impact SRTs gaining traction

    Significant risk transfer is primarily associated with achieving favourable capital treatment. Howev...

    News Analysis    3 April 2020
  • Breathing space?

    EU banks benefit from Basel 3 delay

    The Basel Committee's decision last week to delay implementation of the final Basel 3 rules...

    News    2 April 2020
  • CECL delayed

    EU banks await IFRS 9 relief

    The US Fed, the FDIC and the OCC last week approved an extension of the new credit loss accounting s...

    News    31 March 2020
  • Closing the gap

    Audentia Global investor relations head Sophia Vanco and chief of staff Nick Makin answer SCI's ques...

    Q: How and when did Audentia Global become involved in the capital relief trades market? NM: Aude...

    The Structured Credit Interview    26 March 2020
  • Call for TALF expansion

    Sector developments and company hires

    BlackRock hired The New York Fed has retained BlackRock Financial Markets Advisory as a third-party...

    Market moves    25 March 2020
  • CRT deals disclosed

    Intesa publishes capital management strategy

    Intesa Sanpaolo has released details of its capital management strategy, following the release of it...

    News    23 March 2020
  • Economically efficient

    Study supports reduction of PD estimates

    A new study undertaken by Open Source Investor Services (OSIS) suggests that capital relief trades a...

    News Analysis    20 March 2020
  • Credit event definitions

    UTP category brings less uniformity

    The EBA’s guidelines on default definitions have brought less uniformity to credit event d...

    News Analysis    20 March 2020