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Index Page 315 Monday, May 14, 2007 4:05 PM

Index

Refinancing (refi), 76–90. See also Fixed-to-fixed refinancings activity behavior, changes, 79–84 housing turnover, combination, 72 cost. See Lifetime refinancing cost decision, 286–288 destination product, 81e efficiency, 78–79, 278. See also Mort- gages concept, absence, 281 incentive, 85 example, 83e index, 77n, 84 opportunities, 79 option cost, 289e market cost, 288–290 rate, 287 paths, simulation, 211–212 taxes, 91 transactions, 78 types, 88–90 volume, generation, 78–79 Refinancing (refi) behavior. See Aggregate refinancing/prepayment behavior impact. See Mortgages model, 281–282 modeling, 279 Refinancing wave, 84 Region-specific factors, 91

Regression 230

coefficients,

calculation,

Reinvestment income, 220 Reinvestment rate, assumption, 264 Reinvestment returns, 264 Reinvestment risk, 206 Relative-value magic bullet, 261 REMICs. See Real Estate Mortgage

Investment Conduits Repo rate. See Implied repo rate Representative paths, 219 Reset (term), usage, 93 Residential mortgage-related prepay-

ments/losses, 47 Residuals. See Noneconomic residuals

combination, 190

315

Return analyses, 266 Return on equity (ROE), 223 Risk-averse borrowers, 251 Risk-based pricing, origination level, 47 Risk measures, 236–237

illustration, 238 Rolldown, impact, 245 Roll valuations, impact, 35 Run off strategy, 264

Savings threshold, 82 Scheduled principal payments, 220 S-curves, 72 example, 72–73 flatness, 73 steepness, 74 usage, 73 SDA. See Standard Default Assumption Seasoned mortgages, 290–291 Seasoned tranches, 290–291 Seasons (deal action), 103 Second lien loans, usage, 4 Securities creation, sale (proceeds), 171–172 home equity/manufactured housing loan backing, prepayment con- ventions, 62–63 OAS model output, 260e OAS output, 262e projected cash flows, 220 spread, 226 valuation, 208 Securities and Exchange Commission (SEC), registration. See Nonex- empt entry offerings Securities Exchange Act of 1934, 22n Securitization vehicle, 23 Securitized deals, unrated/residual com- ponents, 63–64 Senior CMOs deals, reverse engineering, 212–213 evaluation, 241 Senior MBS, evaluation, 241 Senior non-NAS cash flows, 182–183 Senior non-NAS principal cash flows, limited amount, 179 Senior pass-throughs, 23

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