9:46 - Example of traditional securitization 10:02 - Example of synthetic securitization 11:33 - Definition of Synthetic Risk Transfer 13:57 - The justification for regulatory capital 14:25 - Defining regulatory capital frameworks 22:22 - Structuring an SRT 26:41 - Executing an SRT (no counterparty risk) 27:49 - Alternative SRT (consult your advisor regarding counterparty risk) 33:36 - I think it's reasonable to expect reference asset shenanigans, where possible, on the part of hedge funds and other sophisticated entities 36:12 - Defining cost of capital (I think realized cost of capital could be lower if the reference asset deteriorates) 43:36 - I need to really ponder this comment because I'm imagining possible edge cases (do these things trade on the secondary market? If so are their position limits?) 49:26 - Wouldn't that count against RWA?
The answer to the question "why were and are CRTs mainly a Fannie & Freddie affair" is that these transactions were initially designed as yet another way to use the GSEs as money printers. I have no dog in that hunt, and I am not a boomer with meme stocks, but most parties agree on that. He just can't say it. The GSEs are historically being fleeced by a huge margin in terms of the risk they're actually transferring, and what the value of that risk transfer really is.
9:46 - Example of traditional securitization
10:02 - Example of synthetic securitization
11:33 - Definition of Synthetic Risk Transfer
13:57 - The justification for regulatory capital
14:25 - Defining regulatory capital frameworks
22:22 - Structuring an SRT
26:41 - Executing an SRT (no counterparty risk)
27:49 - Alternative SRT (consult your advisor regarding counterparty risk)
33:36 - I think it's reasonable to expect reference asset shenanigans, where possible, on the part of hedge funds and other sophisticated entities
36:12 - Defining cost of capital (I think realized cost of capital could be lower if the reference asset deteriorates)
43:36 - I need to really ponder this comment because I'm imagining possible edge cases (do these things trade on the secondary market? If so are their position limits?)
49:26 - Wouldn't that count against RWA?
The answer to the question "why were and are CRTs mainly a Fannie & Freddie affair" is that these transactions were initially designed as yet another way to use the GSEs as money printers. I have no dog in that hunt, and I am not a boomer with meme stocks, but most parties agree on that. He just can't say it. The GSEs are historically being fleeced by a huge margin in terms of the risk they're actually transferring, and what the value of that risk transfer really is.
Excellent listen. Thank you for covering this and for digging into this. Keep at it. Keep these guys honest, and keep us informed.
What happens when one DTCC member fails or defaults on their swaps?
non-stop jargon. waste of time if you are not familiar with their jargon.
Я люблю Казахстан
It was too jargony. Needed a bottom line. But it does improve in the last 25% of the interview.