Develop the skillset essential to successful securitisation swaps management.
Securitisation Swaps provides an invaluable guide into this unique and complex class of derivatives for quants, structurers, traders, originators, issuers and lawyers to:
Securitisation Swaps provides an extensive toolkit of structuring techniques to mitigate non-vanilla swap risks, such as swap prepayment risk, swap extension risk and downgrade risk. Understanding and mastering these techniques will allow both buy side and sell side participants to optimise the pricing and risk characteristics of their structured funding trades.
We cover these risks in detail with comprehensive sections on risk mitigation techniques. The risk mitigation mechanisms, their modelling and legal aspects and their advantages and disadvantages are discussed in depth.
We show how to model securitisation swaps from the ground up, starting with the underlying loan pool dynamics. The impact of cash flow waterfalls and tranching is covered in detail, including two important conservation laws which explain how the properties of different tranches in the same structure impact one another. Prepayment risk, swap extension risk and downgrade risk including Monte Carlo modelling and the intuitive aspects underlying the models are comprehensively covered. Practitioners will be fully equipped to build and validate their own models, compute prices for each risk component and calculate critical risk metrics.
For readers without a background in swaps or derivatives, we also cover the foundations of vanilla interest rate and cross-currency swaps.
Securitisations and covered bonds involve complex legal documentation and numerous parties. Securitisation swaps explains the overall legal documentary framework, the rights, obligations and inter-relationships of each party and how to navigate through the documentation. We delve into the specific legal details relevant to asset and liability swaps. Topical and practical legal and regulatory aspects are also covered including: legal opinions, flip clauses, DPCs and the document execution process which is particularly complicated for securitisation swaps. The legal aspects of the various risk mitigation techniques are also covered in detail.
Securitisation swaps covers the three stages of deal management in detail, namely the pre-trade, deal close and post-trade phases. Putting a securitisation swap deal together involves numerous moving parts and interacting with numerous participants. At deal close, all of these aspects come together in a short, sometimes frenetic, timeframe. We provide invaluable practical, tested in real world, advice for navigating these stages, including a comprehensive deal checklist and how the overall swap pricing is put together. Accounting, risk management and risk framework aspects are also covered in detail, both for individual trades and for the discipline of managing the back-book portfolio of accumulated trades.
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.
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.
Spotting a gap in the market, a team of structured finance veterans have collaborated on a new publication on an under-explored topic, which bridges the gap between credit derivatives and securitisation.