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Index Page 310 Monday, May 14, 2007 4:05 PM

310

INDEX

Monte Carlo simulation overview, 209–210 superiority, 220 type, 275 usage. See Valuation Monthly borrower payments. See Amor- tizing/IO 5/1 Hybrid ARMs Monthly cash flow construction, illustration, 54–61 165% PSA, assumption, 111e–112e Monthly cash lays, 82 Monthly CDRs, 70e Monthly defaults, calculation, 68e–69e Monthly payment breakdown. See Fixed-rate loan Monthly prepayment speeds, calcula- tion, 52–54 Monthly principal cash flow, fixed dol- lar amount (assignation), 180 Monthly principal payments, 120e Monthly rates, 12 Mortgage ABS, 165 Mortgage ABS deals, 102 cash flow waterfall, schematic repre- sentation, 191e credit enhancement, 193–195 structuring, 187 Mortgage-backed securities (MBSs) analysis, 242, 246 bond-equivalent yield, 206 creation, 22–32 derivatives, 127 dollar rolls, trading, 37 evaluation. See Senior MBS face value, 27 interest rate risk, measurement, 225 portfolios, active management, 18 prepayment terminology, 57 prices. See Federal National Mort- gage Association returns/performance, 11 sector, relative value (evaluation), 47 structuring process, 42–43 techniques interest, divisions, 139 introduction, 99

principal, divisions, 107 total return, 220 trading, 32–37 universe, 141 Mortgage-backed market overview, 21 role. See Consumer lending rates structure, 33–34 Mortgage-backed securities (MBSs) val- uation, 295–298 framework, 295–296 Monte Carlo simulation, usage, 214 option-theoretic approach, 277–279 techniques, 205 Mortgage Bankers Association (MBA) method, 65 Refinancing Index, 77 ARM applications percentage, con- trast, 80e FHLMC, contrast, 78e Mortgage insurance (MI), 92. See also Lender-paid MI provider, 200 Mortgage loans mechanics, 11–16 prepayment, 50 usefulness, 42 Mortgage payment factor, 12 Mortgage products actively traded market, 21–22 risks, 16–20 structuring, 101–104 Mortgage rates term structure, 283–286 turnover, impact, 286 types, refinancing, 81 Mortgage-related ABSs, 165 Mortgage-related markets, losses/defaults, 63–64 Mortgage-related principal/interest, struc- turing differences, 140 Mortgages. See Seasoned mortgages amortizing assets, 99 attributes, 4–11 cash flows, 279 impact, 184

(MBSs)

securities

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