X hits on this document

56 views

0 shares

0 downloads

0 comments

3 / 20

Index Page 303 Monday, May 14, 2007 4:05 PM

Index

Busted PAC, 121

Call risk, 16 Capital markets, importance, 37–38 Cash flow. See Barbelled cash flows; Senior non-NAS cash flows barbell process, 123 breaks, 245 impact, 280 profile, smoothing, 129 projection. See Interest rate path remainder, payment, 121, 128 stressing, requirement, 263 structuring, 41–43 logic, 100–101 yield, 228 Cash-out activity, proportion, 89 Cash-out loan, 88 Cash-out percentage, real estate aggre- gate value quarterly change (con- trast), 89e Cash-out refinancing, 6, 72, 76, 250 proportion, 88–90 Cash P&L, 223 Cash window, 27 Catalyst, 175–176 CDR. See Conditional default rate CDX. See Cumulative default rate Charge-off rate (COR), 65, 66 Cleanup calls, inclusion. See Private label deals Closed universe, 107–108 CLTV. See Combined LTV CMO-and-cash portfolios, 269 CMOs. See Collateralized mortgage obligations CMT. See Constant Maturity Treasury Collateral, 272 average life, 114e structuring, 119e balances, 171e pool, stripping, 142e, 143e principal, allotment, 147 Collateralized mortgage obligations (CMOs), 23n creation, 110 deals, 34–35

303

reverse engineering. See Senior CMOs structures, 212–213 viewpoint, 107 evaluation. See Senior CMOs prices/spreads/risk measures, 239e sequential pay structure, 133e structure, PAC/support bond (inclu- sion), 119e, 124e structuring, fundamentals, 104–105 trades, involvement, 113 tranches, 209 Collateral-specific factors, 196 Combined LTV (CLTV), 6 Committee on Uniform Securities Iden- tification Procedures (CUSIP) name, 242 Companion bonds, 117 Complete prepayment, 48 Conditional default rate (CDR), 47, 65. See also Monthly CDRs assumption, 61 Conditional prepayment rate (CPR), 48, 185 assumption. See Constant CPR assump- tion relationship. See Single monthly mor- tality usage, 49–50 Consensus prepayment speeds, 271 Constant CPR assumption, 62 Constant Maturity Treasury (CMT), 7–8 Constant OAS, assumption, 264 Constant-OAS horizon pricing, 265 Consumer lending rates (generation), MBS markets (role), 37–41 Consumer mortgage market, overview, 3 Conventional loans, 10, 49 products, 87 Convexity, 225, 232–235. See also Neg- ative convexity adjustment, 234 definition, 232 price adjustment, 233–234 relationship. See Option-adjusted dura- tion risk measure, illustration, 233e spread widening, contrast, 235e

Document info
Document views56
Page views56
Page last viewedWed Dec 07 22:38:33 UTC 2016
Pages20
Paragraphs262
Words5300

Comments