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Index Page 318 Monday, May 14, 2007 4:05 PM

318

Veteran Administration (VA) housing credit support, 9–10 loan-level guarantees, 25 Volatility changes, 262 duration, 237 level, 226

WAC. See Weighted average coupon Wadden, William M., 66n WALA. See Weighted average loan age WAM. See Weighted average maturity Waterfall, 103 Weighted average coupon (WAC), 109 assumption, 77 basket, 85 buckets, 85 coupon, 27, 28 IO, 30 coupon, 32 usage. See Premium loans PO, 30, 32 range, 160 rate, 54 tranches, 161–163 Weighted average loan age (WALA), 51 Weighted average maturity (WAM), 54, 109 calculations, 56 Whippy paper, 272 Whippy supports, 117 Whipsaw rate scenario, 253

INDEX

Whole loan CMOs, 23–24 Whole-loan mortgages, 70 Wide-window front sequential, 178 Williams, George O., 281n, 284n

Yang, Deane, 277n Yield curve change scenarios, bullet agency deben- ture, 267e configuration, 264 flatness, 79 KYF representation, 295 parallel shift, 257 risk, 235–236 shape, 81, 262 shift, 226 characteristic, 264 steepness, 79, 208 Yield matrices, 241–258 usage. See Floaters; Inverse floaters Yield-to-price table, 242

Z-bonds, 128–132 face value, 131 generations, 129 inclusion/exclusion, example, 132e Zenios, Stavros A., 219n Zero-volatility OAS (Z-Vol OAS), 259, 261 Zero-volatility spread (Z-spread), 205, 207–208 calculation, 217

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