Fixed + Floating - The Credit Podcast

Significant Risk Transfer (SRT) Mechanics: Capital Relief, Tranching, and Cycle Risk | Frank Benhamou (Cheyne Capital)

Significant Risk Transfers have quietly grown into a $1T+ hedged market — now bigger than European CLOs — and they sit at the centre of how banks manage RWAs, capital, and CET1 ratios. Full analysis: ⁠https://open.substack.com/pub/fixedfloating/p/significant-risk-transfer-has-quietly?r=718tew&utm_campaign=post&utm_medium=web⁠ [https://open.substack.com/pub/fixedfloating/p/significant-risk-transfer-has-quietly?r=718tew&utm_campaign=post&utm_medium=web] Josef Pschorn speaks with Frank Benhamou, Partner & Portfolio Manager and Head of SRT at Cheyne Capital, about the mechanics, pricing, and cycle behaviour of SRTs — from a $1B reference portfolio walk-through to what actually happens when defaults hit and banks can't roll their hedges. Key takeaways: * A bank hedging the first 80M of a 1B corporate pool can claim ~75% capital relief once the regulator agrees significant risk has transferred. * Annual SRT tranche issuance now sits around $30–35B against $350–400B of hedged portfolios, implying over $1T outstanding — larger than the European CLO market. * SRTs are funded insurance in tranched format — not CDS, not CLOs — with assets remaining on the bank balance sheet and the investor stepping into a true-up / true-down loss mechanism. * Returns sit at cash + 6–11%, with a triple-B-equivalent average pool rating that has been materially less volatile than CLO equity through recent stress. * In a downturn, banks restructure the reference pool itself — excluding chemicals, metals, or whichever sectors are under stress — rather than only paying wider spreads. * Despite the bull case, SRT does not drive loan origination at the deal level. It feeds into origination only at the macro level via freed-up capital. Frank Benhamou: https://www.linkedin.com/in/frankbenhamou [https://www.linkedin.com/in/frankbenhamou] Cheyne Capital: https://www.cheynecapital.com [ https://www.cheynecapital.com] Connect with Fixed + Floating: https://www.linkedin.com/company/fixed-floating [https://www.linkedin.com/company/fixed-floating] | https://twitter.com/FixedFloating [https://twitter.com/FixedFloating] | https://fixedfloating.substack.com/ [https://fixedfloating.substack.com/?utm_campaign=profile_chips] Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice. Recorded: 01.05.2026 #CreditAnalysis #FixedIncome #CorporateCredit #SignificantRiskTransfer #SRT #BankCapital #SyntheticSecuritisation #BaselIII #PrivateCredit #StructuredCredit

Liability Management in Software Credit: Covenant Erosion, Drop-Downs & the Xerox JV Maneuver | Sabrina Fox (Fox Legal Training)

Covenant quality is weakening at a measurable rate, and software credits are where it is going to matter most. Full analysis: https://open.substack.com/pub/fixedfloating/p/why-software-credits-are-lme-catnip?r=718tew&utm_campaign=post&utm_medium=web Josef Pschorn speaks with Sabrina Fox of Fox Legal Training [https://www.foxlegaltraining.com/] about the systematic erosion of lender protections in leveraged finance documentation and why software credits sit at the intersection of weak covenants and uniquely portable assets. Key takeaways: * LBO covenant quality deteriorated from 3.33 in 2023 to 3.53 in Q1 2026, compounding on a base that had been weakening since the early 2010s — 2024 saw a record 34 LME transactions * Software IP can be transferred to unrestricted subsidiaries, valued at board discretion without independent appraisal, and licensed back the same day — making drop-downs a low-friction exercise that standard covenant packages were never designed to prevent * Xerox circumvented its own J.Crew blocker by structuring a joint venture instead of a subsidiary, exploiting the definition of "subsidiary" as >50% voting power — a maneuver ION Platform lenders should be watching closely * Two pending court cases on creditor co-ops could determine whether lenders retain their primary collective defence mechanism against LMEs in 2026 Sabrina Fox: sabrina@foxlegaltraining.com Fox Legal Training: https://foxlegaltraining.com [https://foxlegaltraining.com] | LinkedIn: https://linkedin.com/in/sabrinafox [https://linkedin.com/in/sabrinafox] Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating [https://www.linkedin.com/company/fixed-floating] | X https://twitter.com/FixedFloating [https://twitter.com/FixedFloating] Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice. Recorded: 17.04.2026 #CreditAnalysis #FixedIncome #CorporateCredit #LiabilityManagement #SoftwareCredit #CovenantAnalysis #LeveragedFinance #DropDown #JCrewBlocker #IONPlatform #Xerox #DistressedDebt

Private Credit, Life Insurers, and Rating Arbitrage | Jakub Lichwa (TwentyFour AM)

A three-notch downgrade on a zero-default portfolio can more than double an insurer's capital requirement. Read the full investment breakdown on Substack: https://open.substack.com/pub/fixedfloating/p/when-annuities-meet-private-credit?r=718tew&utm_campaign=post&utm_medium=web [https://open.substack.com/pub/fixedfloating/p/when-annuities-meet-private-credit?r=718tew&utm_campaign=post&utm_medium=web] Catch our first deep dive with Jakub on the PE Insurance Flywheel (Episode 3): https://fixedfloating.substack.com/p/private-credits-insurance-flywheel [https://fixedfloating.substack.com/p/private-credits-insurance-flywheel] Josef Pschorn speaks with Jakub Lichwa of TwentyFour Asset Management about how PE-backed insurers use annuities to fund private credit exposure, why offshore reinsurance creates regulatory arbitrage, and where these capital structures begin to echo pre-2008 shadow banking patterns. Key Takeaways: * Rating downgrades hit capital requirements faster and harder than actual credit defaults * Private placements offer an illiquidity premium that structurally matches annuity durations * Asset-intensive reinsurance enables massive capital release through offshore affiliated structures * State guaranty funds provide backstops today that were absent in the shadow banking era Full analysis: https://open.substack.com/pub/fixedfloating/p/the-invisible-tech-moat?r=718tew&utm_campaign=post&utm_medium=web Connect with Fixed + Floating: LinkedIn ⁠https://www.linkedin.com/company/fixed-floating⁠ [https://www.linkedin.com/company/fixed-floating] | X ⁠https://twitter.com/FixedFloating⁠ [https://twitter.com/FixedFloating] Check out Jakub's work at TwentyFour Asset Management [https://www.twentyfouram.com/people/jakub-lichwa] Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice. Host/guest views are their own. Consult professionals before investing.   #CreditAnalysis #FixedIncome #CorporateCredit #PrivateCredit #Insurance #Annuities #RegulatoryArbitrage #Reinsurance #LifeInsurance #PEInsurance

Software Moats & AI Capex Risk: Why Dominant Firms Stay Dominant | James Bessen (Boston University) #09

Many dominant firms may be harder to disrupt today than popular narratives suggest. Josef Pschorn speaks with James Bessen of Boston University’s Technology & Policy Research Initiative about how proprietary software creates structural advantages for incumbent issuers, why AI capex may carry more tail risk than many investors assume, and how software complexity can create hidden credit risk. Key takeaways: * Proprietary software becomes a true moat when scale, data, and workflow complexity reinforce one another * AI capex may be more fragile than earlier infrastructure cycles * Software complexity can create regulatory and operational risks thattraditional credit analysis may miss * Technology spending can act as business-model defense, not just capex Full analysis: https://open.substack.com/pub/fixedfloating/p/the-invisible-tech-moat?r=718tew&utm_campaign=post&utm_medium=web James Bessen: TPRI at BU: https://sites.bu.edu/tpri/ [https://sites.bu.edu/tpri/] X: https://x.com/JamesBessen [https://x.com/JamesBessen] Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating [https://www.linkedin.com/company/fixed-floating] | X https://twitter.com/FixedFloating [https://twitter.com/FixedFloating] Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice. Recorded: 19.02.2026 #CreditAnalysis #FixedIncome #CorporateCredit #TechMoats #HighYield #ArtificialIntelligence #CompetitiveAdvantage #JamesBessen #TechCapex

Software Credit Below 80: Who Survives AI in a $40B Loan Market? | Alec Keblish & Matthew Hughes (9fin) #08

A growing pool of software loans is trading below 80 as the market reassesses durability, pricing power, and AI disruption risk. Josef Pschorn speaks with Alec Keblish and Matthew Hughes of 9fin about which software credits look fragile, which still have resilience, and how investors should distinguish repricing from real impairment in software credit. Key takeaways: * Loans below 80 need a more differentiated framework than simple “cheap or distressed” * Software business models will not be affected equally by AI * Recurring revenue and switching costs still matter, but not uniformly * Investors need to separate spread pain from lasting impairment risk Full analysis: https://open.substack.com/pub/fixedfloating/p/40b-below-80-a-credit-analysts-framework?r=718tew&utm_medium=ios [https://open.substack.com/pub/fixedfloating/p/40b-below-80-a-credit-analysts-framework?r=718tew&utm_medium=ios] Transcripts and analysis: https://fixedfloating.substack.com [https://fixedfloating.substack.com] Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating [https://www.linkedin.com/company/fixed-floating] | X https://twitter.com/FixedFloating [https://twitter.com/FixedFloating] Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice. #CreditMarkets #HighYield #PrivateCredit #LeveragedFinance #FixedIncome #SaaS #AIDisruption #SoftwareCredit #LBOs #PrivateEquity #CreditAnalysis #DistressedDebt #9fin #BDC #TechDebt