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- W4240734029 abstract "Securitisation swaps are deeply embedded inside the asset-backed structures they support. This chapter covers the spectrum of common underlying structures in order to lay a foundation for the securitisation swap modelling. Residential mortgages, auto loans, credit card receivables, commercial mortgages and corporate loans all have very different maturity profiles. The chapter establishes a bottom-up approach, following the money from the individual loans and loan pools, then investigating how they are transformed via cash flow waterfalls. There are four types of principal repayment formats for the underlying loans in a securitisation or covered bond: fully principal amortising loan, partial principal amortising loan, zero amortisation loan and scheduled amortisation loan. The original and simplest securitisation structure is a standalone special purpose vehicle issuing pass-through notes. The most important feature of an residential mortgage-backed securities master trust from the swap providers' perspective is the seller share." @default.
- W4240734029 created "2022-05-12" @default.
- W4240734029 date "2018-12-21" @default.
- W4240734029 modified "2023-09-23" @default.
- W4240734029 title "Asset‐Backed Debt Structures" @default.
- W4240734029 doi "https://doi.org/10.1002/9781119532330.ch3" @default.
- W4240734029 hasPublicationYear "2018" @default.
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