| Description |
1 online resource (234 pages) |
| Contents |
Cover; Title Page; Copyright; Contents; About the Author; Foreword; Acknowledgements; Chapter 1 Introduction; Chapter 2 Overview of Structured Funding; Funding; Funding Instruments; Securitisation; The Securitisation Process; Structured Funding Participants; Asset and Cash Flow Transformation; Summary of Securitisation; Master Trusts; Securitisation and the GFC; Covered Bonds; Documentary Framework; Offer Document; Subscription Agreement; Sale Agreement; Trust Documentation; Servicing Agreement; Swaps; Ancillary Service Provider Documentation; Structured Funding Markets; Risks; Credit Risk |
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Market RiskLiquidity Risk; Prepayment Risk; Extension Risk; Downgrade Risk; Operational Risk; Legal Risk; Chapter 3 Asset-Backed Debt Structures; Loan Pool Dynamics; Derivation of Eq.; Pool Amortisation; Securitisation Structures; Standalone Structures with Pass-Through Tranches; Standalone Structures with Bullet Tranches; Standalone Structures with Controlled Amortisation Tranches; Tranche Conservation Laws; Master Trust RMBS Structures; Credit Card ABS Structures; Covered Bond Structures; Hard Bullets; Extendible Maturity Structures; Comparison of Structures |
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Chapter 4 Swaps in Structured FundingAn Overview of Vanilla Swaps; Interest Rate Swaps; Cross-Currency Swaps; Vanilla Swap Pricing; Asset Swaps; Liability Swaps; Standby Swaps; Swap Priority and Flip Clauses; Chapter 5 Swap Prepayment Risk; What is Swap Prepayment Risk?; The Expected Swap Schedule; Balance Guarantee Swaps; Re-Hedging; What Factors Drive Prepayment Rates?; Monte Carlo Modelling of Swap Prepayment Risk; Working with a Mixed Measure; Modelling Prepayment; Modelling the Market Risk Factors; Simulation Methodology; Greeks, Hedging and VaR; Computing Greeks; Hedging; Value-at-Risk |
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XVAComputing XVA for Swaps with Prepayment Risk; Intermediated Asset Swaps; Mitigation Strategies; Risk Transfer; Controlled Amortisation Structures; Reducing Prepayment Volatility via Diversification; Due Diligence and Surveillance; Duty of Continuous Disclosure; Step-Ups; System Issues and Whole-of-Life Deal Management; Trade Capture; Trade Maintenance; Risk Systems; Chapter 6 Swap Extension Risk; What is Swap Extension Risk?; Examples of Extension Risk; Dependence on the Capital Structure: Standalone SPVs; Extension Risk in UK RMBS Master Trusts; Covered Bond Extension Risk |
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A Simple Pricing Framework for 1-Factor Stochastic FXFull Pricing Framework in A Multi-Factor Setting; Mitigation Strategies; Pre-Trade Structuring versus Real-Time Hedging; Pre-Trade Structuring; Real-Time Hedging; Stress Testing; Chapter 7 Downgrade Risk; Rating Agency Criteria; Criteria Specifics; Examples; Legal Aspects; Updates of Counterparty Criteria; Trade Capture and System Challenges; The Competitive Landscape for Third-Party Swap Providers; Basel III and The Liquidity Coverage Ratio; Liquidity Transfer Pricing; Constructing the LTP Curve; Updating the LTP Curve |
| Summary |
Develop the skillset essential to successful securitisation swaps management Securitisation Swaps is a complete practitioner's guide to this unique and complex class of derivatives. This detailed examination follows the entire life cycle of securitisation swaps to give quants, structurers, traders, originators, issuers and lawyers a common reference for understanding their shared objective. Broad in scope to provide a common-ground perspective -- yet detailed enough to promote full understanding -- the discussion takes a distinctly cross-disciplinary approach that encompasses the multi-faceted knowledge base required to successfully execute these complex trades. Despite the fact that the size of the market is trillions of dollars in notional principal, securitisation swaps have thus far been neglected in both academic and practitioner literature. The numerous stakeholders that work together on these complex deals will all greatly benefit from a thorough understanding of their underlying risks and gain deep insight into the perspectives of each stakeholder. This invaluable guide provides multi-disciplinary insight that allows practitioners to: Manage securitisation swaps more effectively, from pre-trade structuring and modelling to post-trade risk management and accounting Understand the elements of securitisation and covered bonds, and how swaps mitigate risk in these types of transactions Explore how securitisation swaps differ from other derivatives and delve into their three specific risk factors -- swap prepayment risk, swap extension risk and downgrade risk Learn practical methods and strategies of risk management, accounting, pricing and transaction execution When securitisation trades go wrong, they become front-page news -- but when each participant understands accurate modelling, risk mitigation, optimal structuring, costs, pricing, commercial backgrounds and other integral practices, they are able to work together to achieve a shared objective. Securitisation Swaps provides the essential knowledge that streamlines and safeguards these important trades |
| Notes |
Contingent Funding Valuation Adjustment |
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Print version record |
| Subject |
Derivative securities -- Handbooks, manuals, etc
|
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Derivative securities.
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Derivative securities
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| Genre/Form |
Handbooks and manuals
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| Form |
Electronic book
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| Author |
Ender, Vlad
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|
Wilkinson, Andrew
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| ISBN |
9781119532309 |
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1119532302 |
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