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Synthetic securitisation
       
 
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Synthetic securitisation

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Synthetic securitisation
A first-loss basket Swap structure that references a Portfolio of bonds, loans or other financial instruments held on a firm’s Balance Sheet. The technique replicates the Credit risk transfer benefits of a traditional Cash Securitisation while retaining the assets on Balance Sheet. Advantages over Cash Securitisation include reduced cost, ease of execution and retention of on-Balance Sheet funding advantage.
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