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2. Maturity Mismatches

C 52/2017 STA Effective from 1/4/2021

31.For synthetic securitisations, maturity mismatches may arise when protection is bought on securitised assets (when, for example, a bank uses credit derivatives to transfer part or all of the credit risk of a specific pool of assets to third parties). When the credit derivatives unwind, the transaction will terminate. This implies that the effective maturity of all the tranches of the synthetic securitisation may differ from that of the underlying exposures.