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Index Page 302 Monday, May 14, 2007 4:05 PM

302

Anti-TTIB, 157 Asset-backed securities (ABSs). See Subprime ABSs Asset-backed securities (ABSs) struc- tures, 201 excess spread, 198e fundamentals, 186–193 Asset pools, 65 At-the-money amortizing 5/1 hybrid ARM, prepayment ramp, 95e At-the-money loans, 87 Available funds cap, 191 exposure, mitigation, 192 risk, 196 creation, 191 Average life duration, 101 stability, 125

Babbel, David F., 219n Back ratio, 6 Balance (conforming), execution (com-

parison), 173e Balance schedule, 121, 128 Bank bonds, 134. See also Front-loaded

bank bond average life profile, 137e creation, options, 135e–136e Banks

investment objectives/risk tolerances, 42 liquid floaters, usage, 140 Barbelled cash flows, 177 Base-case assumption. See Public Secu-

rities Association Base-case average life, 134 Baseline prepayments, 299 Baseline rate, 281 Base SDA curve, 67 Base servicing, 27

required servicing, 25 Basis risk, mitigation, 192 Beacon. See Equifax Bear flattener, 268 Bear steepener, 268 Benchmark yield, 230

curve, 265 Binomial model, 208–209

INDEX

Black volatility, 237 Bloomberg medians, 238, 271 speeds, usage, 245 usage, 244 BMA. See Bond Market Association Bond-equivalent yield. See Mortgage- backed securities Bond Market Association (BMA), 21 calendar, development, 33 rules, 34 Bonds. See Super-stable bonds average life profile, 132 coupon rate, 242 maturity date, 242 optionality, annual cost (proxy), 218 prepayments, variation, 128 price, stickiness, 234–235 price volatility, metrics, 229 principal payments, timing, 244 principal windows, 245 profile, 244 structure, stress, 251 structuring, 119e two-tiered character, 156 yield, 246 Bond-specific factors, 196 Borrower bankruptcy, 65n cost, 78 credit score, 90 equity accumulation, patterns, 14 loan utilization, willingness, 84 minimum/required payment, 15 recognition, 74 Boyce, William M., 281 Broken PAC, 121 Brown, Joel W., 66n Bruised PAC, 121 Buckets, 85. See also Duration; Effi- ciency buckets; Weighted average coupon Bullet agency debenture. See Parallel- shift scenarios Bullet rate, 284 Bull flattener, 268 Bull steepener, 268 Burnout. See Prepayments

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