22
Collateralised and securitised debt
22.4 Attribution on securitised debt
22.1 INTRODUCTION
Collateralised and securitised debt forms some of the more complex types of instrument traded in the fixed income markets. Fortunately, it is seldom necessary to delve into their details in order to treat them in attribution reports.
22.2 SECURITISATION
Securitisation is the process of pooling various types of debt, such as residential and commercial mortgages, car loans and credit card debt, into new types of liquid security such as bonds and pass-through securities. The most commonly encountered securitised bond is a mortgage-backed security, which, as the name implies, is backed ...
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