{"product_id":"securitisation-swaps-isbn-9781119532279","title":"Securitisation Swaps","description":"\u003cp\u003e\u003cb\u003eDevelop the skillset essential to successful securitisation swaps management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eSecuritisation Swaps \u003c\/i\u003eis 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.\u003c\/p\u003e \u003cp\u003eDespite 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:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eManage securitisation swaps more effectively, from pre-trade structuring and modelling to post-trade risk management and accounting\u003c\/li\u003e \u003cli\u003eUnderstand the elements of securitisation and covered bonds, and how swaps mitigate risk in these types of transactions\u003c\/li\u003e \u003cli\u003eExplore how securitisation swaps differ from other derivatives and delve into their three specific risk factors — swap prepayment risk, swap extension risk and downgrade risk\u003c\/li\u003e \u003cli\u003eLearn practical methods and strategies of risk management, accounting, pricing and transaction execution\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWhen 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. \u003ci\u003eSecuritisation Swaps\u003c\/i\u003e provides the essential knowledge that streamlines and safeguards these important trades.\u003c\/p\u003e \u003cp\u003eAbout the Author xiii\u003c\/p\u003e \u003cp\u003eForeword xv\u003c\/p\u003e \u003cp\u003eAcknowledgements xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOverview of Structured Funding 5\u003c\/p\u003e \u003cp\u003eFunding 5\u003c\/p\u003e \u003cp\u003eFunding Instruments 7\u003c\/p\u003e \u003cp\u003eSecuritisation 8\u003c\/p\u003e \u003cp\u003eThe Securitisation Process 8\u003c\/p\u003e \u003cp\u003eStructured Funding Participants 9\u003c\/p\u003e \u003cp\u003eAsset and Cash Flow Transformation 16\u003c\/p\u003e \u003cp\u003eSummary of Securitisation 18\u003c\/p\u003e \u003cp\u003eMaster Trusts 18\u003c\/p\u003e \u003cp\u003eSecuritisation and the GFC 21\u003c\/p\u003e \u003cp\u003eCovered Bonds 22\u003c\/p\u003e \u003cp\u003eDocumentary Framework 24\u003c\/p\u003e \u003cp\u003eOffer Document 24\u003c\/p\u003e \u003cp\u003eSubscription Agreement 25\u003c\/p\u003e \u003cp\u003eSale Agreement 25\u003c\/p\u003e \u003cp\u003eTrust Documentation 25\u003c\/p\u003e \u003cp\u003eServicing Agreement 27\u003c\/p\u003e \u003cp\u003eSwaps 27\u003c\/p\u003e \u003cp\u003eAncillary Service Provider Documentation 28\u003c\/p\u003e \u003cp\u003eStructured Funding Markets 31\u003c\/p\u003e \u003cp\u003eRisks 32\u003c\/p\u003e \u003cp\u003eCredit Risk 32\u003c\/p\u003e \u003cp\u003eMarket Risk 32\u003c\/p\u003e \u003cp\u003eLiquidity Risk 33\u003c\/p\u003e \u003cp\u003ePrepayment Risk 33\u003c\/p\u003e \u003cp\u003eExtension Risk 34\u003c\/p\u003e \u003cp\u003eDowngrade Risk 34\u003c\/p\u003e \u003cp\u003eOperational Risk 35\u003c\/p\u003e \u003cp\u003eLegal Risk 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset-Backed Debt Structures 37\u003c\/p\u003e \u003cp\u003eLoan Pool Dynamics 37\u003c\/p\u003e \u003cp\u003eDerivation of Eq. (3.1) 38\u003c\/p\u003e \u003cp\u003ePool Amortisation 42\u003c\/p\u003e \u003cp\u003eSecuritisation Structures 42\u003c\/p\u003e \u003cp\u003eStandalone Structures with Pass-Through Tranches 42\u003c\/p\u003e \u003cp\u003eStandalone Structures with Bullet Tranches 47\u003c\/p\u003e \u003cp\u003eStandalone Structures with Controlled Amortisation Tranches 48\u003c\/p\u003e \u003cp\u003eTranche Conservation Laws 49\u003c\/p\u003e \u003cp\u003eMaster Trust RMBS Structures 50\u003c\/p\u003e \u003cp\u003eCredit Card ABS Structures 55\u003c\/p\u003e \u003cp\u003eCovered Bond Structures 57\u003c\/p\u003e \u003cp\u003eHard Bullets 57\u003c\/p\u003e \u003cp\u003eExtendible Maturity Structures 58\u003c\/p\u003e \u003cp\u003eComparison of Structures 59\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSwaps in Structured Funding 61\u003c\/p\u003e \u003cp\u003eAn Overview of Vanilla Swaps 61\u003c\/p\u003e \u003cp\u003eInterest Rate Swaps 61\u003c\/p\u003e \u003cp\u003eCross-Currency Swaps 64\u003c\/p\u003e \u003cp\u003eVanilla Swap Pricing 66\u003c\/p\u003e \u003cp\u003eAsset Swaps 68\u003c\/p\u003e \u003cp\u003eLiability Swaps 70\u003c\/p\u003e \u003cp\u003eStandby Swaps 72\u003c\/p\u003e \u003cp\u003eSwap Priority and Flip Clauses 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSwap Prepayment Risk 79\u003c\/p\u003e \u003cp\u003eWhat is Swap Prepayment Risk? 79\u003c\/p\u003e \u003cp\u003eThe Expected Swap Schedule 80\u003c\/p\u003e \u003cp\u003eBalance Guarantee Swaps 83\u003c\/p\u003e \u003cp\u003eRe-Hedging 84\u003c\/p\u003e \u003cp\u003eWhat Factors Drive Prepayment Rates? 90\u003c\/p\u003e \u003cp\u003eMonte Carlo Modelling of Swap Prepayment Risk 91\u003c\/p\u003e \u003cp\u003eWorking with a Mixed Measure 92\u003c\/p\u003e \u003cp\u003eModelling Prepayment 93\u003c\/p\u003e \u003cp\u003eModelling the Market Risk Factors 96\u003c\/p\u003e \u003cp\u003eSimulation Methodology 97\u003c\/p\u003e \u003cp\u003eGreeks, Hedging and VaR 103\u003c\/p\u003e \u003cp\u003eComputing Greeks 103\u003c\/p\u003e \u003cp\u003eHedging 104\u003c\/p\u003e \u003cp\u003eValue-at-Risk 106\u003c\/p\u003e \u003cp\u003eXVA 108\u003c\/p\u003e \u003cp\u003eComputing XVA for Swaps with Prepayment Risk 108\u003c\/p\u003e \u003cp\u003eIntermediated Asset Swaps 109\u003c\/p\u003e \u003cp\u003eMitigation Strategies 110\u003c\/p\u003e \u003cp\u003eRisk Transfer 110\u003c\/p\u003e \u003cp\u003eControlled Amortisation Structures 111\u003c\/p\u003e \u003cp\u003eReducing Prepayment Volatility via Diversification 112\u003c\/p\u003e \u003cp\u003eDue Diligence and Surveillance 114\u003c\/p\u003e \u003cp\u003eDuty of Continuous Disclosure 115\u003c\/p\u003e \u003cp\u003eStep-Ups 116\u003c\/p\u003e \u003cp\u003eSystem Issues and Whole-of-Life Deal Management 116\u003c\/p\u003e \u003cp\u003eTrade Capture 116\u003c\/p\u003e \u003cp\u003eTrade Maintenance 117\u003c\/p\u003e \u003cp\u003eRisk Systems 118\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSwap Extension Risk 119\u003c\/p\u003e \u003cp\u003eWhat is Swap Extension Risk? 119\u003c\/p\u003e \u003cp\u003eExamples of Extension Risk 121\u003c\/p\u003e \u003cp\u003eDependence on the Capital Structure: Standalone SPVs 126\u003c\/p\u003e \u003cp\u003eExtension Risk in UK RMBS Master Trusts 127\u003c\/p\u003e \u003cp\u003eCovered Bond Extension Risk 127\u003c\/p\u003e \u003cp\u003eA Simple Pricing Framework for 1-Factor Stochastic FX 128\u003c\/p\u003e \u003cp\u003eFull Pricing Framework in a Multi-Factor Setting 132\u003c\/p\u003e \u003cp\u003eMitigation Strategies 133\u003c\/p\u003e \u003cp\u003ePre-Trade Structuring versus Real-Time Hedging 133\u003c\/p\u003e \u003cp\u003ePre-Trade Structuring 135\u003c\/p\u003e \u003cp\u003eReal-Time Hedging 138\u003c\/p\u003e \u003cp\u003eStress Testing 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDowngrade Risk 141\u003c\/p\u003e \u003cp\u003eRating Agency Criteria 142\u003c\/p\u003e \u003cp\u003eCriteria Specifics 144\u003c\/p\u003e \u003cp\u003eExamples 146\u003c\/p\u003e \u003cp\u003eLegal Aspects 149\u003c\/p\u003e \u003cp\u003eUpdates of Counterparty Criteria 151\u003c\/p\u003e \u003cp\u003eTrade Capture and System Challenges 153\u003c\/p\u003e \u003cp\u003eThe Competitive Landscape for Third-Party Swap Providers 155\u003c\/p\u003e \u003cp\u003eBasel III and the Liquidity Coverage Ratio 157\u003c\/p\u003e \u003cp\u003eLiquidity Transfer Pricing 159\u003c\/p\u003e \u003cp\u003eConstructing the LTP Curve 161\u003c\/p\u003e \u003cp\u003eUpdating the LTP Curve 162\u003c\/p\u003e \u003cp\u003eContingent Funding Valuation Adjustment 162\u003c\/p\u003e \u003cp\u003eWhat Is CFVA? 162\u003c\/p\u003e \u003cp\u003eCosts and Probabilities 163\u003c\/p\u003e \u003cp\u003eThe CFVA Calculation 165\u003c\/p\u003e \u003cp\u003eRevaluation and Hedging 170\u003c\/p\u003e \u003cp\u003eRisk Limits 171\u003c\/p\u003e \u003cp\u003eTenor 172\u003c\/p\u003e \u003cp\u003eCurrency 172\u003c\/p\u003e \u003cp\u003ePurpose 172\u003c\/p\u003e \u003cp\u003eMitigation Strategies 172\u003c\/p\u003e \u003cp\u003eChoice of Rating Agencies 173\u003c\/p\u003e \u003cp\u003eContractual Protections 174\u003c\/p\u003e \u003cp\u003eOptimum Implementation of Counterparty Criteria 174\u003c\/p\u003e \u003cp\u003eRisk Transfer 176\u003c\/p\u003e \u003cp\u003eCollateralisation from Day One 176\u003c\/p\u003e \u003cp\u003eReplacement Risk 177\u003c\/p\u003e \u003cp\u003eReplacement of the Swap Provider 178\u003c\/p\u003e \u003cp\u003eThird-Party Guarantors 178\u003c\/p\u003e \u003cp\u003eRestructuring 179\u003c\/p\u003e \u003cp\u003eMitigants 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDeal Management 181\u003c\/p\u003e \u003cp\u003ePricing 181\u003c\/p\u003e \u003cp\u003eThe Total Swap Cost 181\u003c\/p\u003e \u003cp\u003ePricing Transparency 183\u003c\/p\u003e \u003cp\u003eExecution Charges 184\u003c\/p\u003e \u003cp\u003eDeal Checklist for Swap Providers 185\u003c\/p\u003e \u003cp\u003eClosing the Deal 186\u003c\/p\u003e \u003cp\u003eThe Pricing Call 186\u003c\/p\u003e \u003cp\u003eExecuting the Documents 187\u003c\/p\u003e \u003cp\u003eCovered Bond Coupon Rounding 187\u003c\/p\u003e \u003cp\u003eMarket Risk Management 188\u003c\/p\u003e \u003cp\u003eMeasurement 189\u003c\/p\u003e \u003cp\u003eMonitoring 189\u003c\/p\u003e \u003cp\u003eGovernance and Risk Limits 189\u003c\/p\u003e \u003cp\u003eInform and Act 190\u003c\/p\u003e \u003cp\u003eFuture Regulation 193\u003c\/p\u003e \u003cp\u003eAccounting 194\u003c\/p\u003e \u003cp\u003eFair Value 194\u003c\/p\u003e \u003cp\u003eRevenue Reserves 196\u003c\/p\u003e \u003cp\u003eFair Value Hierarchy of Valuation Inputs 197\u003c\/p\u003e \u003cp\u003eGlossary 199\u003c\/p\u003e \u003cp\u003eReferences 201\u003c\/p\u003e \u003cp\u003eIndex 203\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eMARK AARONS\u003c\/b\u003e is Head of Investment Risk at a leading Australian funds manager and an Adjunct Associate Professor in the Centre for Quantitative Finance and Investment Strategies at Monash University. Previously he was Head of FICC Structuring at the National Australia Bank, where he built a leading securitisation swap business in both Australia and the UK. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eVLAD ENDER\u003c\/b\u003e is a director at Kauri Solutions, a financial markets consulting practice. Prior to founding Kauri Solutions, he spent eight years at National Australia Bank's London office. He also served as an Executive Director in the FICC Structuring team. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eANDREW WILKINSON\u003c\/b\u003e is a senior legal counsel in Australia who specialises in bespoke derivatives and securitisation. Previously, Andrew spent a decade in London working through the financial crisis and beyond for leading law firms Linklaters LLP and Weil, Gotshal \u0026amp; Manges.   \u003c\/p\u003e\u003cp\u003eS\u003ci\u003eecuritisation Swaps\u003c\/i\u003e provides the information needed to acquire a clear understanding of the structuring, pricing and risk management of securitisation swaps. This handbook is designed for all parties dealing with the complexity of structured funding, whether directly or as a service-provider. \u003c\/p\u003e\u003cp\u003eThe authors demystify the complex, multiple moving parts that comprise a securitisation swap and reveal how rigorous modelling and a wide variety of risk-mitigating structures can help manage these complex risks. The book highlights securitisation swaps in structured funding transactions where the underlying debt is residential mortgages in predominantly floating rate markets, auto loans and credit card receivables. This invaluable guide provides essential knowledge that can also be applied to other underlying asset classes. \u003c\/p\u003e\u003cp\u003eBoth sophisticated professionals and those with little or no securitisation knowledge will find \u003ci\u003eSecuritisation Swaps\u003c\/i\u003e to be a must-have handbook for developing a deep understanding of this unique and complex class of derivatives.\t \t  \u003c\/p\u003e\u003cp\u003ePraise for \u003c\/p\u003e\u003cp\u003e\u003cb\u003eSecuritisation Swaps\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\"A timely and succinctly written handbook catering to all structured finance practitioners in any capacity. The authors are ambitious in their coverage of all stages in the lifecycle of securitisation swaps and their management. I highly commend this guide which helps to dispel the complexity underlying these instruments, providing practical guidance and strategies that practitioners can utilise every day.\" \u003cb\u003e—Jamie Ng, Global Head of Finance, Funds and Restructuring, Ashurst\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\"Securitisation swaps are a critical, yet neglected area of finance markets. Mark, Vlad and Andrew have made a clear, much needed addition to the literature, from an introduction to the basics, through to a detailed discussion of all the key risks and how a transaction is put together from start to finish.\" \u003cb\u003e—Rohan Douglas, CEO, Quantifi, London\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\"Mark, Vlad and Andrew have done an outstanding job in the quality and breadth of content and its sheer accessibility.\" \u003cb\u003e—Chauncy Stark, Former General Manager, FX and Cross Asset Trading, National Australia Bank\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eAn Essential Guide to Understanding the Complexities of Securitisation Swaps\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eWritten by noted experts on the topic, \u003ci\u003eSecuritisation Swaps\u003c\/i\u003e offers an authoritative yet practical guide to understanding and managing the life cycle of securitisation swaps. The handbook examines every step of the cycle from pre-trade structuring and modeling to transaction management through post-trade risk management and accounting. \u003c\/p\u003e\u003cp\u003e\u003ci\u003eSecuritisation Swaps\u003c\/i\u003e explains how securitisation swaps are priced, what risks they carry and how the price and risk vary across the myriad structuring options. The handbook provides an introduction to the key elements of securitisation and covered bonds and explores how derivatives fit in this space. In general terms, the authors reveal the risk that derivatives mitigate in these transactions. \u003c\/p\u003e\u003cp\u003eSince securitisation swaps incorporate new risks and complexity into structured funding transactions, the book details how securitisation derivatives are different from other derivatives. It explores in depth the three specific risk factors which set them apart: prepayment risk, extension risk and downgrade risk. \u003c\/p\u003e\u003cp\u003eThe handbook offers all the stakeholders working on a deal (quants, structurers, traders, originators, lawyers and risk professionals) a detailed explanation of the deal lifecycle and contains practical suggestions on risk management, accounting, pricing and transaction execution specifics.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989998321893,"sku":"NP9781119532279","price":80.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119532279.jpg?v=1761786159","url":"https:\/\/k12savings.com\/products\/securitisation-swaps-isbn-9781119532279","provider":"K12savings","version":"1.0","type":"link"}