Synthetic Securitisation

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04/10/2023
ECB: The European significant risk transfer securitisation market
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24/08/2023
ECB Supervision Newsletter for SRT securitisations

ECB Supervision Newsletter for SRT securitisations

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10/11/2022
Impact of the SA Output Floor on the European Securitisation Market

This research paper examines the impact on the European securitisation market of the introduction by regulators of the Standardised Approach (SA) Output Floor. This rule change forms one of the final elements of Basel III. It requires that advanced banks, those which calculate regulatory capital based on the Internal Ratings Based Approach (IRBA), hold the greater of (i) IRBA capital and (ii) a percentage of the capital one obtains when the alternative SA is employed. Key takeaways These findings suggest that implementation of the SA Output Floors will disfavour one asset class substantially while benefiting another asset class with no clear […]

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03/06/2022
Synthetic Workshop

Synthetics Workshop – A presentation setting out information on synthetics

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08/07/2021
Synthetic STS Part 2

PCS has crafted an online workshop for all those who want to better understand the new STS regime for synthetic/on-balance-sheet securitisations.  It is designed for all stakeholders, from those with only the most basic knowledge of securitisations but interested in understanding synthetics to practitioners who seek to measure the impact of the new STS regime on their documentation and transaction structures. The aim of the workshop is to provide insight and understanding around the rationale and approach of the new regime rather than be a “laundry list” of provisions and rules copied from the legislation. We will also go through […]

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08/07/2021
Synthetic STS Part 1

PCS has crafted an online workshop for all those who want to better understand the new STS regime for synthetic/on-balance-sheet securitisations.  It is designed for all stakeholders, from those with only the most basic knowledge of securitisations but interested in understanding synthetics to practitioners who seek to measure the impact of the new STS regime on their documentation and transaction structures. The aim of the workshop is to provide insight and understanding around the rationale and approach of the new regime rather than be a “laundry list” of provisions and rules copied from the legislation. We will also go through […]

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06/05/2020
EBA Report on a Framework for synthetic STS Securitisations (2020)
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06/05/2019
EBA dicussion paper on STS Framework for Synthetic Securitisation (2019)
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06/05/2015
EBA Report on synthetic STS Securitisations (2015)
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