BANK 4.6.3 Securitisation structures

(1) A securitisation may be a traditional securitisation or a synthetic securitisation.
(2) In a traditional securitisation, title to the underlying assets is transferred to an SPE, and the cash flows from the underlying pool of assets are used to service at least 2 tranches. A traditional securitisation generally assumes the movement of assets off the originator's balance-sheet.
(3) A synthetic securitisation is a securitisation with at least 2 tranches that reflect different degrees of credit risk where the credit risk of the underlying pool of exposures is transferred, in whole or in part, through the use of credit derivatives or guarantees. In a synthetic securitisation, the third party to whom the risk is transferred need not be an SPE.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).