Difference between revisions of "Synthetic Securitisation"

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== Definition ==
 
== Definition ==
 
'''Synthetic Securitisation''' is a type of [[Securitisation]] structure that is constructed via a [[Credit Derivative]] transaction
 
'''Synthetic Securitisation''' is a type of [[Securitisation]] structure that is constructed via a [[Credit Derivative]] transaction
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== Examples ==
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* [[Synthetic Balance Sheet CDO]]
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== Market Structure ==
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=== Originators ===
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Originators of synthetic securitisation are mostly credit institutions<ref>EBA/DP/2019/01</ref>, in particular large/systemically important banks using [[Internal Ratings-Based Approach]] for calculating [[Basel II Advanced IRB Capital Model | capital requirements]] for [[Credit Risk]]. The originator is typically the [[Protection Buyer]].
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For originators, having another [[Credit Risk Management]] tool and being able to release capital have traditionally been the central benefits of a balance sheet synthetic securitisation.
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=== Investors ===
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Investors in synthetic securitisation are non-bank private entities, which are usually highly specialised in credit investing and experienced in portfolio due diligence. The main motivation for investors to invest in synthetic securitisation is search for higher yield and enhanced diversification of their investments
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== Asset Structure ==
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Predominant asset classes continue to be [[Large Corporates]] and [[SME Lending | SMEs]], followed by [[Trade Finance]]
  
  
 
[[Category:Synthetic Securitisation]]
 
[[Category:Synthetic Securitisation]]

Revision as of 17:59, 11 October 2019

Definition

Synthetic Securitisation is a type of Securitisation structure that is constructed via a Credit Derivative transaction

Examples

Market Structure

Originators

Originators of synthetic securitisation are mostly credit institutions[1], in particular large/systemically important banks using Internal Ratings-Based Approach for calculating capital requirements for Credit Risk. The originator is typically the Protection Buyer.

For originators, having another Credit Risk Management tool and being able to release capital have traditionally been the central benefits of a balance sheet synthetic securitisation.

Investors

Investors in synthetic securitisation are non-bank private entities, which are usually highly specialised in credit investing and experienced in portfolio due diligence. The main motivation for investors to invest in synthetic securitisation is search for higher yield and enhanced diversification of their investments

Asset Structure

Predominant asset classes continue to be Large Corporates and SMEs, followed by Trade Finance
  1. EBA/DP/2019/01

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