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Index Page 304 Monday, May 14, 2007 4:05 PM

304

COR. See Charge-off rate Corporate bonds, callable/refundable feature, 286 Corporate treasures, liquid floaters (usage), 140 Corridor-cap floaters, 154, 182–186 Corridor floater, effective cap, 185e Countrywide, CWALT 2005-J9 deal (language), 59, 61 Coupon adjustment, 104 boosting, 141–145 execution, 172 interest, receiving, 152 mortgage, spread, 226 rate, reduction, 144e stripping, 141–145 IIOs, usage, 152–154 CPR. See Conditional prepayment rate Creation value, 274 Credit classification, 5–7 curing, 91 exposure, analysis, 19 guarantees, 9–10 impact. See Prepayment speeds metrics, 25 quality, 22 scores, 5–7 support, usage. See Subordination measurement Credit enhancement, 22–23, 101–102. See also Private label credit enhancement cost, association, 172 occurrence, 38 perspective, 197 Credit-related losses, 28 Credit risk, 19–20 assessment, 5 degrees, variation, 99 exposure, hedging/management, 47 management, 140 Crossover point, 255 Cross-sector differences, 272 Cultural changes, 3 Cumulative default rate (CDX), 66

INDEX

Curtailment, 48 CUSIP. See Committee on Uniform Secu- rities Identification Procedures

Davidson, Andrew, 279n Davidson-Hershovitz model, implemen-

tation, 279 Deals, credit structure (factors), 195–196 Deal size, usage. See Subordination mea-

surement Deannualized CDR, 67–68 Decision tree. See Subprime ABSs Deep mortgage insurance (deep MI),

199–200 Default risk, 19–20 Defaults, 19–20

assumptions, 70 incidences, 90 measurement, 47 discussion, 64 measures, 65–69 terminology, 63–70 Deferred interest, treatment, 82 Delinquencies, 19

differences, 65n incidences, 90 measures, 64–65 terminology, 63–70 Demographic changes, 3 Dented PAC, 121 Department of Housing and Urban

Development (HUD), 9–10 Depository institutions

aggressiveness, 140 investment objectives/risk tolerances, 42 Digital PO, 157

example, 158 Digital TTIB, 157

example, 158e Discount loans

grossed up technique, 30 groups, 30 Discount margin (DM), 256–257 Discount/premium split, 152 DM. See Discount margin Dollar duration, 227

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