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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.

  • 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
  • EC decision awaited

    Preferential capital treatment mooted for STS synthetics

    The EBA’s framework for STS synthetic securitisations (SCI 6 May) is broadly in line with...

    News Analysis    7 May 2020
  • CRM tool

    CBILS guarantees eligible for CRR recognition

    The UK PRA published at the end of April a statement clarifying whether Coronavirus Business Interru...

    News    7 May 2020
  • Risk transfer round-up - 7 May

    CRT sector developments and deal news

    BBVA is rumoured to be readying a capital relief trade for 2Q20. The lender has completed a total of...

    News    7 May 2020
  • STS synthetics proposals published

    Sector developments and company hires

    STS synthetics proposals published The EBA has published its proposals for developing an STS framew...

    Market moves    6 May 2020
  • Romanian SRT inked

    Uncapped guarantee completed

    The EIF and nine Romanian banks have completed an uncapped guarantee agreement from the SIUGI progra...

    News    5 May 2020
  • Ratings resilience

    Shorter pro-rata periods to benefit SRTs

    A sharp deterioration in asset performance due to the coronavirus fall-out may lead to sequential pa...

    News    5 May 2020
  • 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