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 ...

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