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Index Page 314 Monday, May 14, 2007 4:05 PM

314

Prime mortgages, 101 Prime NAS bonds, 200–201 Principal divisions, 107 generation, 176–177 pass through, 99 Principal cash flows barbell characteristic, 137 front-loading, 179 generation, 115 Principal lockout, 245 Principal losses, absorption, 194 Principal-only (PO) creation, 30n example. See Digital PO percentage, 30 Principal-only (PO) deals, 159 Principal-only (PO) securities, 24, 127 Principal-only (PO) tranches, 139 Principal-only (PO) trust, 140 Principal payments derivation, 115 disbursement, 109, 124, 131, 144 payment rules, 110 receiving, 113 schedule, generation, 114 window, 242 Private label ARM deals, shifting inter- est mechanism, 169–170 Private label CMOs, structuring, 165 Private label credit enhancement, –174 Private label deals, 145, 165, 166 cleanup calls, inclusion, 166–167 loans collateralization, 166 stratification/coupon creation, exam- ple, 31e monthly principal cash flow alloca- tions, 176e senior portion, 172 subordinate tranches, 20 subordination percentage, 172 Private label pass-throughs, 23 Private label securitization, 28–32, 173 Private label senior structuring varia- tions, 174–186 Private label structures, problems, 179

INDEX

Private label tranches, analysis, 270– 272 Private label transactions, 22 types, 103 Probability distribution, 210 Product innovation, 3 Projected average life, shortening (limit), 134 Projected price, decline (limit), 134 Property sale/destruction, 72 Prospectus prepayment curve (PPC), 57, 242 asset classes, 47 ramp, 62 PSA. See Public Securities Association Public Securities Association (PSA) base-base assumption, 245 prepayment benchmark, 50–61 convention, 48 50 PSA, graphical depiction, 52e 100 PSA, graphical depiction, 51e, 52e 300 PSA, depiction, 52e speed, 117 Purchase-loan activity, generation, 79 PVCF. See Present value of the cash flow

Ramp, 51. See also Initial ramp; Pro-

spectus prepayment curve Rate-and-term refinancing, 6, 72 Rate-down scenarios, 246 Rate duration, 236 Rate shift timing, 264n Real estate

activity, level, 90 markets, evolution, 74 price appreciation, 76 Real Estate Mortgage Investment Con-

duits (REMICs), 23n Reference rate, 273 Refinanceable mortgage, fair coupon,

292e Refinancing-based prepayments, 73 Refinancing opportunities, 77

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