Chapter CFM72080

Published date16 April 2016
Record NumberCFM72080
Synthetic securitisation

Diagram of a synthetic securitisation

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A synthetic structure is used where no assets are sold by the originator.

A charitable trust is formed that owns the equity in an issuer SPV.

The originator enters into a credit default swap with the issuer SPV. For example, the originator pays premiums to the issuer SPV and in return receives protection against future default from the issuer SPV.

The issuer SPV sells securities (offering interest and principal) along with credit derivative premiums to third party investors and credit derivative counter-parties.

The proceeds from third party investors and credit derivative counter-parties from the sale of the securities and credit...

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