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.

Computing Greeks -- Hedging -- Value-at-Risk -- XVA -- Computing 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 -- A Simple Pricing Framework for 1-Factor Stochastic FX -- Full 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 -- Contingent Funding Valuation Adjustment -- What Is CFVA? -- Costs and Probabilities -- The CFVA Calculation -- Revaluation and Hedging -- Risk Limits -- Tenor -- Currency -- Purpose -- Mitigation Strategies -- Choice of Rating Agencies -- Contractual Protections -- Optimum Implementation of Counterparty Criteria -- Risk Transfer -- Collateralisation from Day One -- Replacement Risk -- Replacement of the Swap Provider -- Third-Party Guarantors -- Restructuring -- Mitigants -- Chapter 8 Deal Management -- Pricing -- The Total Swap Cost -- Pricing Transparency -- Execution Charges.

Deal Checklist for Swap Providers -- Closing the Deal -- The Pricing Call -- Executing the Documents -- Covered Bond Coupon Rounding -- Market Risk Management -- Measurement -- Monitoring -- Governance and Risk Limits -- Inform and Act -- Future Regulation -- Accounting -- Fair Value -- Revenue Reserves -- Fair Value Hierarchy of Valuation Inputs -- Glossary -- References -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.