Abstract
The modelling of the cashflows in a securitisation deal consists of two steps: the modelling of the cash collections from the asset pool and the distribution of the collections to the note holders and other transaction parties. The first step is to model the cash collections from the asset pool, which depends on the behaviour of the pooled assets. The second step is to model the payment waterfall, that is, the distribution of the cash collections to the issuer, the servicer, the note holders and other transaction parties. In this chapter, we make some general comments on the cashflow modelling of securitisation deals.
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Notes
- 1.
One could also calculate the proportion according to the notes fraction of the current outstanding principal amount. In this case the proportions might vary over time.
- 2.
Remember that \(B^{(A)}_C(m) = B^{(A)}_C(m+1) + P^{(A)}_P(m+1), m=0,1,2,\ldots m_T-1\), see (2.28).
Reference
Moody’s Investor Service : Contradictions in terms: variations in terminology in the mortgage market. International Structured Finance, Special, Report, 9 June 2000
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Campolongo, F., Jönsson, H., Schoutens, W. (2013). Cashflow Modelling. In: Quantitative Assessment of Securitisation Deals. SpringerBriefs in Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29721-2_2
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DOI: https://doi.org/10.1007/978-3-642-29721-2_2
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