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Index Page 316 Monday, May 14, 2007 4:05 PM

316

Senior/sub deals, 28–29 Senior/subordinate structure, 104

diagram, 29e Senior/subordination structure, 165 Senior tranches, 28 Sequential agency CMO, price-yield

table, 243e Sequential bonds, average life, 132e,

245–246 Sequential PAC, profile, 259e Sequential tranching, 108e Servicers, 4 Servicing, stripping, 160–161 Shelf registration, 22n Shifting interest bonds, leveraging, 179 Shifting interest mechanism, 168–169 Shifting interest structures, 29, 103, 165 Shifting interest technique, 29 Shift Percentage, 175 Short-current pay-sequential bonds, 180 Short-duration assets, 100 Short-reset ARM, 288 Short-term interest rate, simulation,

211–212 Short yield volatility, 211–212 Simple refinancing incentive, example,

82e Single monthly mortality (SMM)

CPR, relationship, 50 rate, 49–50 Six-month horizon, total return calcula-

tion (example), 222e SMM. See Single monthly mortality Soft penalties, 11 Splits, 28, 101

creation. See Parallel split Spot rate, 236 Spread duration, 237 Spread matrices, 242–258 Spread widening, contrast. See Convex-

ity SSTs. See Super-stable tranches Standard Default Assumption (SDA)

100%, prepayments (absence), 67e calculation, 68 curve. See Base SDA curve model, 66

INDEX

Stanton, Richard, 278 State-specific factors, 91 Static cash flow yield analysis, 206–207 Stepdown rate, 193, 194 Step-up provisions, 201 Stipulated trade, 34 Straight IO, 154 Stripped ARM products, 34 Structure creation, super-stable bond

(usage), 181e Structured deals, 99 Structure schematic, cash flow/loss allo-

cations (inclusion), 169e Structuring

band, 115 example, 132–138 issues/developments, 196–201 options (monthly principal), total face value paid (percentage), 137e Subordinate balances, 171e Subordinate classes, 23

size, 102 Subordinate deal, 28 Subordinate MBS, 70 Subordinates

collective trade, 172 shifting interest, example. See Fixed rate prime deal six-pack, 193 Subordination

direct dollar cost, 172 groups, separation, 171 usage, 28–29, 100 Subordination measurement

credit support, usage, 168e deal size, usage, 168e Subprime ABSs, 62

structure, principal/interest (decision tree/flows), 195e Subprime collateral pool, gross/net inter-

est/excess spread, 189e Subprime loans, 5

characteristics, 7 contrast. See Prime loans Super-NAS bonds, 175 Super-stable bonds, 179–182

payment schedules, 182

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