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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.

  • SCI Capital Relief Trades Awards 2019

    Innovation of the Year: FCT Jupiter 2019

    Societe Generale’s US$3.4bn FCT Jupiter 2019 transaction has won SCI’s Innovatio...

    News    30 October 2019
  • Abacus case settled

    Sector developments and company hires

    Abacus case settled Judge Jennifer Frisch of the Minnesota District Court has terminated the Abacus...

    Market moves    29 October 2019
  • SCI Capital Relief Trades Awards 2019

    Impact Deal of the Year: Room2Run

    As the first-ever synthetic impact securitisation with a multilateral development bank (MDB), Room2R...

    News    29 October 2019
  • SCI Capital Relief Trades Awards 2019

    Transaction of the Year: Syon Securities 2019

    Lloyds Banking Group’s synthetic UK RMBS Syon Securities 2019 was motivated by prudent ris...

    News    28 October 2019
  • SCI Start the Week - 28 October

    A review of securitisation activity over the past seven days

    Transaction of the week Fannie Mae has priced its first credit risk transfer transaction referencin...

    News    28 October 2019
  • SCI Capital Relief Trades Awards 2019

    Arranger of the Year: Credit Suisse

    Credit Suisse is SCI’s Arranger of the Year in recognition of the variety of structures it...

    News    25 October 2019
  • Multifamily CRT debuts

    DUS, MCIRT programmes complemented

    Fannie Mae has priced its first credit risk transfer transaction referencing a pool of multifamily l...

    News    25 October 2019
  • SCI Capital Relief Trades Awards 2019

    Issuer of the Year: Santander

    Santander was one of the banks that actively participated in efforts to extend the STS designation t...

    News    24 October 2019
  • CRE CRT inked

    Innovative financial guarantee debuts

    Raiffeisen has completed an approximately €95m unfunded financial guarantee that references...

    News    24 October 2019
  • Correlation evolution

    Tranche trading continues to gain traction

    Bespoke and index tranche trading volumes have been increasing for the last few years, supported by...

    News Analysis    23 October 2019
  • Risk transfer round-up - 18 October

    CRT sector developments and deal news

    Nordea is rumoured to be prepping a corporate capital relief trade for this year. The Nordic lender&...

    News    18 October 2019
  • Best in class

    SCI Capital Relief Trades Awards winners revealed

    The winners of SCI’s inaugural Capital Relief Trades Awards were revealed at a ceremony la...

    News    18 October 2019
  • Positive impact

    Capital allocation factor debuts

    Societe Generale has completed an innovative risk transfer transaction that, for the first time, inc...

    News    16 October 2019
  • Meaningful constituent?

    Perceived difference between IRB, standardised banks narrowing

    Recent transactions imply that the difference between how IRB and standardised banks are perceived b...

    News Analysis    14 October 2019
  • Framework focus

    EBA synthetics paper welcomed, despite concerns

    Risk transfer market participants have welcomed the EBA’s discussion paper on STS syntheti...

    News Analysis    11 October 2019
  • CRT line-up finalised

    Awards ceremony to round off risk transfer event

    The line-up for SCI’s 5th Annual Capital Relief Trades Seminar on 17 October has been fina...

    News    11 October 2019
  • Risk transfer round-up - 10 October

    Capital relief trade sector developments and deal news

    RBS is rumoured to be readying a capital relief trade backed by project finance loans. According to...

    News    10 October 2019
  • Synthetic RMBS debut

    Non-GSE CRT deal prepped

    JPMorgan Chase Bank (JPMCB) is marketing what is believed to be the first rated synthetic mortgage r...

    News    10 October 2019
  • Rating challenges

    Limited appetite for rated senior mezz

    Issuers have typically refrained from seeking ratings on the senior mezzanine tranches of dual-tranc...

    News Analysis    7 October 2019
  • Risk transfer round-up - 4 October

    Capital relief trade sector developments and deal news

    HSBC is rumoured to be readying a corporate capital relief trade for 4Q19. According to SCI data, th...

    News    4 October 2019
  • Index ingenuity

    Credit derivatives strategy finds value in capital constraints

    With doveish central bank policy in the US and Europe having a tightening effect on yields across a...

    News Analysis    3 October 2019