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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 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
  • Nascent stages

    CRT mezz investor base needs time to develop

    The pace of growth of the risk transfer market is likely to be tied to the development of the synthe...

    News    3 October 2019
  • Problem solving

    Credit derivative hedges mooted in a deteriorating environment

    The end of the credit cycle and fears over global geopolitical and natural events are driving Europe...

    News Analysis    3 October 2019
  • STS synthetics framework unveiled

    EBA publishes landmark consultation

    The EBA has published its long-awaited discussion paper on its proposals for an STS framework for sy...

    News Analysis    25 September 2019
  • Competitive boost

    QMP expiration levels playing field

    The US Treasury’s plan to reform the country’s housing system is expected to lev...

    News    13 September 2019