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Index Page 317 Monday, May 14, 2007 4:05 PM

Index

Super-stable structures, 271 Super-stable tranches (SSTs), 180

creation, 182 Support bond, 117, 136

average life/duration profile, 134e Support cash flows, 251 Support deal run, 254e Support tranches, 253–254 Support Z, 138 Survey rate, contrast. See Federal Home

Loan Mortgage Corporation Swap contracts, 192–193

Targeted amortization class (TAC)

bonds, 127–128 schedule, 128 Tax Reform Act of 1986, double taxa-

tion inefficiencies (remedy), 23n TBA. See To-be-announced Teaser rate, 8 Term to maturity, 22 Threshold refinancing pricing model,

279 Time horizon, evaluation, 264 Time tranching, 104, 108–114 To-be-announced (TBA) trade, 34 Total annual floater, 149 Total annual interest, availability, 148 Total costs, 173 Total estimated price change, 234 Total interest, availability, 156 Total return (TR)

analysis, 220–223, 263–270 calculation, example. See Six-month horizon difference, 267e methodology, 263–264 models, 270 Trade, failing, 37 Tranches. See Seasoned tranches

average lives, 133e cash flows, graphic representation, 130e effective upper bands, 126 falling out, 109 floater/inverse floater combination, 151e type, 242

317

Tranching, 23 Transaction costs, accounting, 76–77 Transition data, usage, 80 Transunion, 5–6 Treasury equivalents, 231–232 Trigger event, occurrence, 194–195 Trust IO/PO, creation/recombination, 143e TTIBs. See Two-tiered index bonds Turnover, 17, 74–76 FHLMC, contrast. See Housing turn- over impact. See Mortgages involvement, 71–72 model, 280–281 parametrization, 285–286 rate. See Implied turnover rate rates, scatterchart, 75 Two-tiered index bonds (TTIBs), 154– 158 combinations, mechanics. See Floater/ inverse floater/TTIB combination example. See Digital TTIB face value, 156, 157

Unleveraged sequentials, 177 Unleveraged sequential structures

average life, percentage increase, 178e cash flows, average lives, 177e Unscheduled principal payments, 48, 220 Up-front OC, 190 U.S. Bureau of the Census, periodic

adjustments, 75

VA. See Veteran Administration Valuation Monte Carlo simulation, usage, 208– 220 OAS analysis, 208–220 Value best guess, 210 leapers/laggards, impact, 292–293 Variable payment structures, 95 Very Accurately Dated Maturities (VADMs), 130 creation, 132 tranche, 133e

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