Securitisation Swaps

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Praise for Securitisation Swaps "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." -Jamie Ng, Global Head of Finance, Funds and Restructuring, Ashurst "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." -Rohan Douglas, CEO, Quantifi, London "Mark, Vlad and Andrew have done an outstanding job in the quality and breadth of content and its sheer accessibility." -Chauncy Stark, Former General Manager, FX and Cross Asset Trading, National Australia Bank An Essential Guide to Understanding the Complexities of Securitisation Swaps Written by noted experts on the topic, Securitisation Swaps 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. Securitisation Swaps 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. Since 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. The 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.