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Securitisation Swaps
book

Securitisation Swaps

by Mark Aarons, Vlad Ender, Andrew Wilkinson
April 2019
Intermediate to advanced content levelIntermediate to advanced
232 pages
6h 58m
English
Wiley
Content preview from Securitisation Swaps

CHAPTER 8Deal Management

In preparing for battle, I have always found that plans are useless but planning is indispensable.

– Dwight D. Eisenhower

Chapters 57 dealt with the pricing, structuring and risk management of specific risks in isolation. In this chapter, we assemble all the building blocks and explain how a securitisation swap transaction is put together from start to finish.

One key aspect of securitisation swaps is that, despite their complexity and the skill and effort required to competently close a deal, they are just one component of a much larger transaction: the actual funding trade itself. For third party swap providers, it pays to engage with clients as far as possible in advance of any potential trade. When the issuance process is underway, often within tight timeframes, discussing the finer points of an esoteric derivative risk factor is far from ideal. Equally, in the event that a third‐party swap provider comes into a transaction late, they may find themselves under pressure to understand all of the risks inherent with the particular trade within the required timing for closing the issuance.

PRICING

The Total Swap Cost

The total cost of a securitisation swap, expressed in basis points over the mid‐market level (‘mid swaps’), is simply the sum of all the risk charges and other costs incurred by the swap provider. This is equally true for all swap providers (whether they are a third party or the originator). Table 8.1 lists the various components.

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Publisher Resources

ISBN: 9781119532279Purchase book