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Index Page 308 Monday, May 14, 2007 4:05 PM

308

In-the-money coupons, 73 In-the-money loan, 72, 87 In-the-money mortgage loans, 77 In-the-money-ness, concept, 74 In-the-money prepayment speeds, 73 In-the-money rates, 17 Inverse coupons, 149 Inverse face value, 156 Inverse floaters (inverses) absence, 146 combination, mechanics. See Floater/ inverse floater/TTIB combina- tion; Floaters coupon, pro rata changes (absence), 147 evaluation, 272–276 face value, 148 calculation, 156 combination, 156 incorporation, absence, 145 initial coupon, 156 leverage, 156 multiple, 149 yield matrices, usage, 256–258 Inverse initial coupon, 156 Inverse interest, 149 Inverse interest only (IIO) coupon, changes, 148 Inverse IO, 104 multiple, 148n Inverse IO tranches, fixed rate interest (allocation), 183e Inverse leverage, 156 Investment managers, investment objec- tives/risk tolerances, 42 Investors, cash flows, 16 Issuer, shelf, 22

Jumbo loans, 11

optimal MBS coupon, calculation, 38 Junior deal, 28 Junior loans, usage, 4

Kalotay, Andrew J., 277n, 281n, 284n Kalotay Yang Fabozzi (KYF)

approach, burnout (impact), 293 model, 277–280, 283

INDEX

implementation, 291 option-based mortgage valuation model, understanding, 283 recommendations, 293 report/findings, 288 representation. See Yield curve results, 289–290

Laggards, 278, 280

distribution, 297. See also Naive lag- gard distribution examination, 291–295 impact. See Value spacing changes, fair MBS coupon, 296e spreads distribution, 293–295 range, 291–292 Last cash flow bond, 108 Leapers, 278, 280

examination, 291–295 impact. See Value spreads, range, 291–292 Legal final maturities, 130 Legal recovery process, usage, 69–70 Lender aid, 91 Lender-paid MI (LPMI), 92 Lending rate, points calculation (sam-

ple), 40e Lesser-of contracts, 193 Level risk, 235–236 Leveraged sequentials, 177 Leveraged sequential structures

average life, percentage increase, 178e cash flows, average lives, 177e Leverage (multiple), 147 Levin, Alexander, 283n LIBOR. See London Interbank Offered

Rate Lien status, 4 Life CPRs, 259 Life insurance companies, investment

objectives/risk tolerances, 42 Lifetime refinancing cost, 280n Likely-case performance, 19 Loan collateral, deal backing, 185–186 Loan pool collateralization, 101

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