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Index Page 306 Monday, May 14, 2007 4:05 PM

306

FICO score, 6, 7 Financial conditions, illiquidity, 21 Financial engineers, 278 Financial status, documentation, 6–7 Financing, relationship. See Dollar rolls Financing-adjusted returns, 223 Finnerty, John D., 288n Fixed income investments, holders, 16 Fixed income markets, segments, 100 Fixed income portfolio managers, 18 Fixed maturity bond, performance pro- file, 18e Fixed-period ARM, 8 Fixed rate agency pooling, 25–27 Fixed-rate conventional market, cumu- lative percentage, 86e, 87e Fixed rate interest, allocation. See Floating rate tranche; Inverse IO tranches Fixed-rate loan, monthly payment break- down, 13e Fixed rate MBS, parity prices, 246 Fixed rate prime deal, subordinates (shifting interest example), 170e Fixed-to-ARM refinancing, 80 activity, 88 availability/popularity, increase, 83–84 importance, growth, 81 Fixed-to-fixed refinancings, 82e Floater/inverse floater/TTIB combina- tion, 104 mechanics, 155e Floater/inverse IO (IIO) combination, 104 creation, 152 parent tranche, usage, 144 structuring, 183 Floaters, 139 cap, decrease, 147–148, 150 combination, mechanics. See Floater/ inverse floater/TTIB combination coupons, 149 creation, maximum amount, 148 deals, 145 evaluation, yield matrices (usage), 256–258 formula, 149 inverse combination mechanics, 150e

INDEX

inverse floaters combinations, 145–154 ratios, 148 treatment, 146 Floaters, maximum amount, 158 Floating rate mortgage ABS structures,

146 Floating rate tranche, fixed rate interest

(allocation), 147e, 183e FNMA. See Federal National Mortgage

Association Forward-looking measure, 231 Forward market, 33

mechanism, 34–35 Four-tranche sequential-pay structure

accrual bond class, inclusion, 131e example, 109e Front-loaded bank bond, 137 Front month, 35 Full faith and credit, 10 Fully amortizing alternatives, 83e Fully amortizing loans, 8 Funds, implied cost, 35

Geography, impact. See Prepayment speeds G-fees. See Guaranty fees GNMA. See Government National Mortgage Association Good-day delivery, 34 Government National Mortgage Asso- ciation (GNMA) loans, 10 guidelines, 22 pooling rules, 26n securities, buyout, 91 Government sponsored enterprise (GSE), 10 deals, inclusion (absence), 166 guaranty fee, payment, 172 cost, 41 involvement, 166 loan purchase, 27 MBS issuance, 296 securities issuance, 22n up-front fee, 26 Gross coupon interest, 57 Gross WAC, 258

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