Synthetic ABS

Jan 2017: Resonance II. BNP securitised a portfolio of 400 corporate loans worth €5billion using a guarantee instead of the more common CDS to transfer credit risk.

A gtee enabled amortisation of costs rather than using MtM accounting (which can be more volatile). The mezz tranche was taken entirtely by an EU pension fund and the jnr piece held by BNP. The loans were not identified (selection is based on pool criteria).

Substantial capital relief achieved. Details here.