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.
KeywordsInterest Rate Interest Payment Payment Date Reserve Account Default Loan
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