Synthetic balance sheet securitisations

Market

Synthetic balance sheet securitisations

Far less market data on synthetic balance sheet securitisations is publicly available. In cooperation with the IACPM, the EBA, however, published a study in 2020 that analyses the synthetic market in greater depth. The study refutes the opinion held in some quarters that synthetic balance sheet securitisations are associated with high levels of default risk.

 

Performance of synthetic On-balance-sheet-securitisations in Europe

 

Source: EBA/IACPM analysis of 249 transactions in Europe over the period 2008-2018.

The solid performance of synthetic balance sheet securitisations was one of the main reasons why this type of securitisation was also made STS-eligible following the EBA and IACPM study.

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