Securitisation Swaps

Index

• ABS see asset‐backed securities
• account banks 13, 28–29
• accounting 194–197
• accumulation period 55–56
• agency agreements 28
• algebraic scripting 117
• alternative investment yields 91
• amortisation
  • controlled 48–49, 55, 111–112
  • credit card securities 55–57
  • expected 81
  • master trusts 19–20
  • pools 42
  • scheduled 17, 38
  • swap extension risk 129
• ancillary service providers 28–31
• arrangers 13
• asset‐backed securities (ABS) 31, 37–59
  • balance guarantee swaps 83
  • bullet tranches 47–48
  • controlled amortization 48–49
  • covered bonds 22–24, 31, 57–59
  • credit cards 55–56
  • liability swaps 70–72
  • master trusts 18–22, 50–55
  • pass‐through tranches 42–47
  • pool dynamics 37–42
  • rating 146–147
  • residential mortgage‐backed securities 48–49, 50–55
  • structures 42–59
  • tranche conservation laws 49–50
• asset swaps 27–28, 68–70
• asset transformation 16–17
• asset triggers 52–53
• assumption dependence 195
• auditors, comfort letters 30–31
• automated monitoring 189

• back‐office notifications 186
• back swaps 69–70, 137–138
• balance guarantee swaps (BGS)
  • concepts 80, 83–84
  • controlled amortisation 111–112
  • credit risk 111
  • cross‐currency 83–84, 85–89, 105
  • derivative value adjustments 108–110, 118
  • diversification 112–114
  • due diligence 115
  • intermediated 107–108
  • market risk factors 96–97
  • regulation 111
  • re‐hedging 84–90, 100
  • reserves 195–196
  • risk transfers 110–111
  • simulation 97–102
  • single‐currency 83–84, 89–90, 104–105
  • step‐ups 116
  • value‐at‐risk 106–108, 118
• bank bill swap rate (BBSW) 61
• bankruptcy
  • remoteness 9, 14, 21, 36
  • swap priorities ...