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Index Page 313 Monday, May 14, 2007 4:05 PM

Index

313

Planned amortization classes (Cont.) SSTs, structuring (contrast), 180 structure, realized prepayment speeds (impact), 122e structuring process, 114 Planned amortization classes (PACs) bonds protection, 214 series, creation, 124–127 total par value, 124 Plug, action, 108–109 PO. See Principal-only Pool, 22 Pooling options. See Note rate loan practices, 26 Pooling up, practice, 27 Pool WACs, 159 usage, 85 Portfolio barbells, 269 PPC. See Prospectus prepayment curve Preexisting loans, payoff, 77 Preidentified pools, trading ability, 33 Premium loans groups, 30 WAC IO, usage, 41 Prepayments, 11 activity, drivers, 74–90 annual spikes, 95 attribution, 17 behavior, 71–74. See also Aggregate refinancing/prepayment behav- ior; Nonfixed payment products burnout, 209, 282–283 behavior, 278 classification, 279 convention, terminology, 47–63 distribution. See Implied prepayment distribution duration, 237 effects, mitigation, 11 estimation, 52 exposures, hedging/management, 47 leveraging effect, 119 measurement, 47 penalties, 11 proceeds, dedication, 190n

performance, 71 prioritization, 104 projections, Bloomberg report, 244n ramp. See At-the-money amortizing 5/1 hybrid ARM ramping, 250–251 risk, 16–18 dimension. See Mortgages scenarios, 244–245. See also Dynamic prepayment scenarios spike, 95 stability, 95 vectors, 250–256, 268 Prepayment S-curves, 73e Prepayment speeds, 71. See also Con- sensus prepayment speeds; His- torical prepayment speeds change, 16 exposure, 264n consensus, 271 credit, impact, 90–91 decline, 95 factors, 90–92 forecast/projection, 74 geography, impact, 91 LTV ratios, impact, 91–92 measurement, 17 range, designation, 114 underestimation, 49 vector, usage, 278 whipsaw motion, 136 Present value, determination. See Inter- est rate path Present value of the cash flow (PVCF), 228 Price appreciations, 17 compression, 234–235 difference/drop, 35 effects, illustration, 235e sensitivity measures, 238 spread, 238 Pricing benchmark, 264 Prime deal, 188 Prime loans, 5 characteristics, subprime loan char- acteristics (contrast), 7

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