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Index Page 305 Monday, May 14, 2007 4:05 PM

Index

Dollar rolls calculation, example, 36e market, financing (relationship), 34–37 valuation, 35 factors, 35 Dollar value of a basis point (DVBP // DV01), 227 Doubling test, 170 Dunn, Kenneth B., 278 Duration, 225–232. See also Average life; Dollar duration; Effective duration; Empirical duration; Modified duration; Partial dura- tions; Prepayments; Spread dura- tion; Volatility buckets, 101 calculation, 227–228 definition, 226, 227 estimate, 231 measures, assumptions, 226 risk measure, illustration, 226e DVBP. See Dollar value of a basis point Dynamic prepayment scenarios, 250–256 Dynamic scenarios, 255

Early speeds, impact, 126 Earnings per share (EPS), 117 Effective bands, 126

definition, 255 Effective cap, 184–185 Effective duration, 228–229 Efficiency buckets, 278 Embedded derivatives, usage, 196 Embedded options, 208 Embedded swaps, 197 Emery, Douglas R., 288n Emperica model, support, 5–6 Empirical duration, 230–231

measure, shortcoming, 231 EPS. See Earnings per share Equifax (Beacon), 5–6 Excess cash flows, 190 Excess servicing, 25

amount, 26 structuring, example, 160e Excess servicing IOs, 158–163

305

Excess servicing IO tranches, structuring

(schematic representation), 162e Excess servicing trust, 158 Excess spread, 102–103

utilization, 193 Experian, 5–6 Ex post performance attribution, 47

Fabozzi, Frank, 277n, 281n, 284n Fair Isaacs (FICO) model, 5–6 Fall out, 33 Family residential mortgage debt out- standing, total face value (Fed- eral Reserve statistics), 3 Federal Financial Institution Examina- tion Council (FFIEC) eligibility, 134 rules, 133 Federal Home Loan Mortgage Corpo- ration (FHLMC), 10 cash-out percentage, survey rate (con- trast), 88e loan guidelines, 22 note rate, 26 survey rate, average, 77 Federal Housing Administration (FHA) experience, 48 housing credit support, 9–10 loan guarantees, 10 loan-level guarantees, 25 prepayments experience, 48 usage, 49 Federal National Mortgage Association (FNMA) loan guidelines, 22 MBS prices, 298e note rate, 26 prices, 297e x 32nd behind FNMAs, 41 FFIEC. See Federal Financial Institution Examination Council FHA. See Federal Housing Administra- tion FHLMC. See Federal Home Loan Mort- gage Corporation FICO model. See Fair Isaacs model

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