Securitisation Swaps : A Practitioner's Handbook

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 -- Market Risk -- Liquidity 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 -- Chapter 4 Swaps in Structured Funding -- An 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.