Securitisation
RBC, Scotiabank securitisation RWAs hit record highs
SEC-SA RWAs rise 23% across major Canadian banks, led by C$1.5bn increase at RBC
Equity and securitisation RWAs surge at Chinese banks
Eight of 12 lenders hit new highs for equity RWAs in Q4
UK securitisation reforms trump EU’s, say market players
Originators and investors could find UK securitised assets easier to deal with after tandem reviews
SRT issuance hits €260bn as capital relief grows
Banks cut capital ratios by over 40bp on average via SRT deals, BIS research shows
Ellington spinout hopes to ease whole-loan investing
Data hurdles have frustrated insurers as they look to increase allocations
CLO market dismisses First Brands contagion worries
But investors say larger concerns remain for the product’s riskiest tranches
EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Solvency II proposal may boost insurer CLO investments
But experts question whether European Commission proposal will draw insurers back to other securitised products
Rising systemic risk demands a new risk management paradigm
Reinsurers need insurance-linked securities to share burden of climate-related catastrophic risk
Synthetic deals drive securitisation RWA surge at EU banks
BNP Paribas and RBI lead Q4 rise
Santander’s operational, securitisation RWAs hit new highs
Record rise in op risk comes before Basel III implementation
Can Europe prepare ground for insurers in securitised products?
Convincing regulators to make investing more viable would be a first step to revitalising insurer interest
Credit portfolio manager of the year: UniCredit
Risk Awards 2025: A focus on economic value-added prompted a rapid expansion of the bank’s synthetic risk transfer activity
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Pricing and valuation systems 2024: market and vendor landscape
The landscape of pricing and valuation systems, considering the unique demands of different financial assets, as well as their market dynamics and interdependencies
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
Thames Water: a handy guide for worried counterparties
The UK’s largest water company – now junk-rated – has £1.3bn in swaps liabilities. Dealers ought to be safe, but face a host of headaches and questions
Sliced and sliced again: investors’ latest trick for risk transfer
‘Retranched’ synthetic securitisations offer higher yields, but questions remain over legality of structures
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high