X hits on this document

62 views

0 shares

0 downloads

0 comments

7 / 20

Index Page 307 Monday, May 14, 2007 4:05 PM

curves, 63e

period, 15

speeds, 62

product, 8–9

Index

307

Home price appreciation (HPA), 76 Horizon date, spreads, 265 Housing turnover, 250

combination. See Refinancing estimate, 74–75 FHLMC, contrast, 76e Howard, C. Douglas, 281n HPA. See Home price appreciation HUD. See Department of Housing and

Urban Development Hybrid ARM, 8

OAS analysis, 263 payments, 15 Hybrid market, cap function, 15n

IIO. See Inverse interest only Implied cost. See Funds Implied prepayment distribution, 296–

299 determination, 298e Implied repo rate, 35 Implied turnover rate, 75e Implied volatilities

change, 221 multiples, usage, 262e

Interest-only (IO) deals, 159 Interest-only (IO)-heavy cash flow, 173 Interest-only (IO) hybrid ARM, 96

payments, 15 Interest-only (IO) loans

attributes, 14 availability, 82 Interest-only (IO) negative durations, 24 Interest-only (IO) securities, 24, 127n Interest-only (IO) tranches, 139

creation, 142–143, 142e notional sizing, 143 sizing, 143–144 Interest-only (IO) trust, 140 Interest-on-principal, 220 Interest payments, annual division, 151e Interest rate path

cash flow, present value (determina- tion), 213–214 cash flow projection, 212–213 number, selection, 218–219 Interest rate risk, 209

measurement. See Mortgage-backed securities Interest rate type, 7–8

GSE. See Government sponsored enterprise Guaranty fees (g-fees), 10, 22, 25 buydowns, 38 multiple, quotation, 172 mechanism, 100

Hedge funds, investment objectives/risk

tolerances, 42 Hedge ratios, 231–232 Hedging, effectiveness, 47 HEP. See Home equity prepayment Hershovitz, Michael, 279n Heterogeneity, modeling, 279 High-coupon mortgages, 294 High-risk investments, 134 High-yielding security, 263 Historical prepayment speeds, 242 Ho, Thomas S.Y., 236 Home equity prepayment (HEP)

asset classes, 47

Imputed coupon, 279, 282 Income ratios, 6 Index matrix, 257 Initial LIBOR rate, 149 Initial loan, 8 Initial OC, 188

absence, 190 inclusion, 196 requirement, 196 Initial ramp, 95 Instantaneous rate shift scenarios, avail-

able funds, 192e Interest

calculation, 12 cash flow, 130 distribution, 158 components, display, 290 divisions, 139 Interest-on-interest, 220 Interest-only (IO)

Document info
Document views62
Page views62
Page last viewedFri Dec 09 22:28:52 UTC 2016
Pages20
Paragraphs262
Words5300

Comments