Contributed By Homburger
The risk transfer in synthetic securitisation transactions is typically achieved by way of a derivative (eg, a credit default swap). The derivative transaction is usually documented by way of a standard master agreement (often, an International Swaps and Derivatives Association master agreement) and pertaining annexes. In terms of regulations, the Swiss Financial Market Infrastructure Act (the Swiss equivalent to the European Market Infrastructure Regulation) provides for a number of obligations that apply to derivatives trading in general, including risk mitigation, reporting and margin rules. In structuring a synthetic securitisation transaction, the aim is usually to structure the transaction in such a way as not to fall within the scope of application of Swiss margin rules, since they are generally considered as overly burdensome for an SPE.