Fixed + Floating - The Credit Podcast

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

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

Cheyne Capital: https://www.cheynecapital.com

Connect with Fixed + Floating:

https://www.linkedin.com/company/fixed-floating | https://twitter.com/FixedFloating | https://fixedfloating.substack.com/

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

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 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: [email protected]

Fox Legal Training: https://foxlegaltraining.com | LinkedIn: https://linkedin.com/in/sabrinafox

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X 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

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

Catch our first deep dive with Jakub on the PE Insurance Flywheel (Episode 3): 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 | X ⁠https://twitter.com/FixedFloating⁠

Check out Jakub's work at TwentyFour Asset Management

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

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/
X: https://x.com/JamesBessen

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X 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

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

Transcripts and analysis: https://fixedfloating.substack.com

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X 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

Private credit’s pressure points are harder to see than its growth story.

Josef Pschorn speaks with John Giordano of Seaport Global about BDC redemptions, PIK income, valuation marks, and what current stress signals may be telling investors about the broader private-credit market.

Key takeaways:

• BDCs have become a major channel for private-credit risk
• Redemption pressure may matter more than many investors assume
• PIK income can obscure underlying borrower weakness
• Valuation marks deserve more scrutiny in illiquid markets

Full analysis: https://open.substack.com/pub/fixedfloating/p/bdcs-and-the-private-credit-puzzle?r=718tew&utm_campaign=post&utm_medium=web&showWelcomeOnShare=true 

Transcripts and analysis: https://fixedfloating.substack.com

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X https://twitter.com/FixedFloating

Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice.

#BDCs #PrivateCredit #PIK #BlueOwl #BlackRockBDC #CreditResearch #FixedIncome #SeaportGlobal #FixedFloating

In high yield, the highest nominal yield often produces the worst long-term result.

Josef Pschorn speaks with Greg Obenshain, Partner at Verdad Capital, about why yield-chasing can damage portfolios and how a more quantitative credit framework can improve underwriting and portfolio construction.

Key takeaways:

• The highest yields often come with the weakest outcomes
• Spread-chasing is not the same as good credit selection
• Factor-based credit frameworks can improve resilience
• Duration can behave like a form of known credit leverage

Full analysis: ⁠https://fixedfloating.substack.com/p/why-79-returns-beat-139-yields-the⁠

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X https://twitter.com/FixedFloating

Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice.

#QuantCredit #HighYield #FixedIncome #BondMarket #FactorInvesting #FoolsYield #CreditInvesting #VerdadCapital #GregObenshain #CreditPodcast #FixedFloating

INEOS has become one of the most important issuer-specific credit stories in European chemicals.Ineos Group analysis: ⁠https://fixedfloating.substack.com/p/ineos-group-holdings-all-hinges-onIneos Quattro analysis: https://fixedfloating.substack.com/p/e4-chemicals-overcapacity-crisisJosef Pschorn speaks with Timothy Riminton of Bloomberg Intelligence about Project One, leverage, legal structure, high yields, and the refinancing pressure that matters most for bondholders and credit investors.Key takeaways:

• Project One is central to the INEOS credit story
• Legal structure and entity-level differences matter
• High yields reflect more than just cyclical weakness
• Refinancing risk may still be underappreciated

Transcripts and analysis: https://fixedfloating.substack.com

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X https://twitter.com/FixedFloating

Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice.

#ineos #ChemicalsOvercapacity #HighYield #CreditStress #ProjectOne #fixedfloating #creditpodcast

Chemicals credit is facing a difficult mix of overcapacity, weak demand, and refinancing pressure.Full analysis: https://open.substack.com/pub/fixedfloating/p/e4-chemicals-overcapacity-crisis?r=718tew&utm_campaign=post&utm_medium=web&showWelcomeOnShare=trueJosef Pschorn speaks with Timothy Riminton of Bloomberg Intelligence about the sector-level credit setup, why European issuers may be especially exposed, and what chemicals may be signaling for broader high-yield and leveraged-credit markets.

Key takeaways:

• Global overcapacity is reshaping chemicals economics
• Europe’s cost structure is pressuring margins and competitiveness
• Weak utilization can quickly erode EBITDA and credit quality
• Refinancing pressure may still be underappreciated in spreads

Transcripts and analysis: https://fixedfloating.substack.com

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X https://twitter.com/FixedFloating

Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice.

Private credit is increasingly shaped by insurers, BDCs, and private-equity-backed balance sheets rather than by direct lending alone.

Full analysis: ⁠https://fixedfloating.substack.com/p/private-credits-insurance-flywheel?r=718tewJosef Pschorn speaks with Jakub Lichwa of TwentyFour Asset Management about how insurance capital, ALM constraints, and private-equity ownership are changing the structure of credit markets.

Key takeaways:

• Insurers are central to private credit’s funding model

• ALM and solvency frameworks shape allocation decisions

• PE-backed insurers create new incentive structures

• Market growth may also be building hidden fragility

Transcripts and analysis: https://fixedfloating.substack.com

Connect with Fixed + Floating: LinkedIn https://www.linkedin.com/company/fixed-floating | X https://twitter.com/FixedFloating

Disclaimer: Fixed + Floating is for informational purposes only. Not investment, legal, or tax advice.