資産担保証券（ABS）
証券化におけるRWA負担の軽減
クレディ・アグリコル社のクオンツ部門が、資本中立性を達成するための新たな手法を提案しております。
シム、400億ドルのIM救済でコビッドの痛みを断ち切る
リキャリブレーションにより株式とコモディティのリスクウェイトを引き下げ、ABXの停止により一部のクレジットエクスポージャーは倍増
トゥエンティーフォーのABS担当責任者、発行増に伴う「焼き過ぎ」案件の回避について
新規発行者の中には、妥当な価格設定よりも厳しい価格設定をしているところもあるとアザ・ティーウエンは述べています。
BofA’s collateralised mortgage obligation holdings surge 263%
Second-quarter purchase in line with trend among top US dealers of expanding AFS books beyond Treasuries
Risk transfer and the shift from camaraderie to competition
The risk transfer market could be moving into a more competitive, more transactional and, some fear, riskier cycle
Legal & General to launch ABS funds amid rising pension demand
After 2022 gilt crisis, trustees and consultants turn to asset-backed securities to bolster portfolio liquidity and returns
NAIC softens its rating overhaul. Insurers still don’t like it
Insurers worry that the regulatory body could override credit ratings without sufficient explanation
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Equitable lobbies for concentration charge on riskier ABS
“Ultra-high correlation of losses” between lower-rated tranches requires new regulation, insurer says
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions