85
mitigate refinancing risk. Moody’s identified different mechanisms that lead to different levels of mitigation
for refinancing and time subordination. The level of overcollateralisation at deal inception is a key parameter
in this respect. Even in CPTCBs, a fire-sale of the cover pool at high discount rates might occur, if OC levels
are insufficient and as the breach of certain test, e.g. the amortisation test, may lead to an event of default.
Additional key elements are the evaluation of swap agreements, servicing and counterparty risks as well as
legal risks (set-off risk, commingling risk, claw-back risk).
CONCLUSION