X hits on this document

60 views

0 shares

0 downloads

0 comments

11 / 20

Index Page 311 Monday, May 14, 2007 4:05 PM

Index

Mortgages (Cont.) derivatives products, valuation, 290 fair coupon, 289e investment, 19 KYF analysis, 284 option-based prepayment model, 279– 283 overview, 3–11 pools, principal/interest components (value), 290e prepayment risk dimension, 99 refinancing efficiency, 287e risks, 16–20 security, cash flows, 212 structures, 42 valuation, 283–291 value, refinancing behavior (impact), 293e yield, 206 Mortgage security theoretical value, computation, 214 valuation, Monte Carlo methodology (steps), 210–214 Mortgage servicing rights (MSRs), 25– 26, 158 Mortgage strips, 290 Mortgagors original coupon rate, 212 refinancing decisions, 291 Moving Treasury Average (MTA), 7–8 MSRs. See Mortgage servicing rights MTA. See Moving Treasury Average Multi-issuer GNMA II program, 26n Multiple. See Leverage

Naive distribution, 294 Naive laggard distribution, 294e

pool, value (factors), 295e NAS. See Nonaccelerated senior Negative amortization, 82

loans, availability, 82 Negative amortization ARM, 8

loans, payment structure, 15 Negative convexity, 18 Negative points, charging, 38 Net-interest margin (NIM) bond, 199 NIM. See Net-interest margin

311

No-cash refinancing, 6 Nominal spread, 205, 207, 238 Nonaccelerated senior (NAS) bonds,

104, 174–179 cash flows, 175e structures, 167 time tranching, 175–176 Nonaccelerated senior (NAS) Distribu-

tion Percentage, 175 Nonaccelerated senior (NAS) Percent-

age, 174–175 Non-agency bonds, evaluation, 270 Non-agency deals, 271–272 Noncontiguous IO hybrid ARM, 9 Noneconomic residuals, 103 Nonexempt entry offerings, SEC regis-

tration, 22n Non-FHA loans, 49 Nonfixed payment products

prepayment behavior, 92–96 reference, 93 Non-NAS bonds, acceleration, 176 Non-NAS cash flows. See Senior non-

NAS cash flows Nonrefinanceable mortgage

fair coupon, 285e rate, impact, 285–286 Nonrepayable mortgages, fair coupon,

285e Note rate loan, pooling options, 39e

OAC. See Option-adjusted convexity OAD. See Option-adjusted duration OAS. See Option-adjusted spread Obligor, relocation, 72 Office of Thrift Supervision (OTS), 19

method, 65 Optimal distribution percentage, 194 Optimal MBS coupon, calculation. See

Jumbo loans Option-adjusted convexity (OAC), 259 Option-adjusted duration (OAD), 228–

230, 259 convexity, relationship, 238 Option-adjusted spread (OAS), 207,

215–217 analysis, 258–263

Document info
Document views60
Page views60
Page last viewedFri Dec 09 03:37:13 UTC 2016
Pages20
Paragraphs262
Words5300

Comments