Abstract
In this article, the authors review the use of interest rate derivatives in securitization transactions for hedging and yield enhancement. Three types of interest rate derivatives commonly used in securitizations are interest rate swaps, interest rate caps, and interest rate corridors. Because these derivatives are over-the-counter or dealer products, not exchange-traded products, they expose the trust to counterparty risk. The authors discuss how counterparty risk is managed in securitizations, including the use of a rating trigger and methods for determining swap termination payments.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
