Module repack 

The single-asset repack note: what a limited-recourse SPV holds and owes.

An SPV buys a credit-risky bond, asset-swaps it with a bank and issues notes against the package. The SPV owns nothing but the bond, so its default is the bond issuer’s, and what it can pay on that default is what the bond recovers. The bank ranks first; when the swap’s close-out value owed to it exceeds the recovery, the shortfall is the repack gap — the bank’s credit-contingent risk facing the SPV, and, through limited recourse, a value transfer to the noteholders:

  PV(note) + PV(bank swap) = PV(collateral)       (conservation)
  PV(bank swap)            = V − G                 V the swap, G the gap

The note is a pure contract: the swap — an AssetSwap the SPV is the buyer of, on the collateral’s own risk-free flows, unchanged — the issuer whose default ends it, the notional, the waterfall and the termination events. Model parameters never live here: the gap is priced by the engine the note names, off the market.

Structs

CrossCurrencyTerms

What a cross-currency note’s swap adds to its package: the notes’ currency, the contract rate it was struck at (note units per collateral unit), and the keys each side discounts on.

RepackNote

A single-asset repack note: the SPV’s asset swap with the bank, the issuer whose default is the SPV’s, the notional, the waterfall, the termination events, the role it is booked from and the engine its gap is priced by.

ValuationTrigger

A valuation trigger: the deal terminates when the collateral’s market value falls below level of notional on a monitoring date, and the collateral is sold liquidation_lag_days later.

Enums

RepackEngine

How the gap is priced.

RepackError

A repack note that cannot be built.

RepackRole

Who holds the booked note.

Waterfall

The order the SPV pays out of what it holds on termination.