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Index Page 309 Monday, May 14, 2007 4:05 PM

Index

Loans balances, 10–12, 22 breakdown/grouping, 31–32 committed characteristic, 32 interest, payment, 16 issuance, 5 locked characteristic, 32 monthly payments, 83e prepayment behavior, 95 principal balance outstanding, remain- der, 14e recasting, 8 refinancing, 86 term, 12. See also Original loan term timeline, 32e Loan-to-value (LTV) loans, 20 Loan-to-value (LTV) ratios, 6, 41, 102 impact. See Prepayment speeds Loan-to-value (LTV) terms, 13–14 LOAS. See London Interbank Offered Rate Localized PACs, 179–182 average lives, 162 creation, 179–180 payment schedules, 182e Local liquidity condition, 21–22 Locked-out tranches, 114 Lockout. See Principal lockout expiration, 130 schedule, 174 London Interbank Offered Rate (LIBOR) assumption, 93 curve, 211, 217 floaters, creation, 154 LIBOR-based floaters, 190 LIBOR-flat reinvestment assumption, 265 LIBOR plus 50, 146 OAS (LOAS), 211, 259 values, 274 rates, 96. See also Initial LIBOR rate spread, 264 Longer-floating securities, purchase, 140 Long-term CPRs, 259 Long yield volatility, 211–212 Loss measurement, discussion, 64 terminology, 63–70

309

Loss severity, 20

assumptions, 70 measures, 69–70 rate, 70 Low-duration cash, 269 Lower-coupon mortgages, prepayments,

84 LPMI. See Lender-paid MI LTV. See Loan-to-value

Macaulay, Frederick, 227n Manufactured housing prepayment (MHP)

asset classes, 47 curve, 63 illustration, 64e Margin, 7 Market composition, changes (impact),

86 Market conditions, impact, 32 Market levels, changes, 261 Maturity-matched LIBOR swap curve,

284 Maturity-matched mortgage, 282, 291 Maximum interest, availability, 148 Maximum inverse coupon, 148 Max-leverage inverse, creation, 148 MBA. See Mortgage Bankers Associa-

tion MBSs. See Mortgage-backed securities McConnell, John J., 278 Media effects, 77, 292 Median speeds, publication (absence),

271 Metrics. See Credit

calculation, 271 MHP. See Manufactured housing pre-

payment MI. See Mortgage insurance Minimum floater coupon, 148

interest, 148 Modified duration, 227–228 Monte Carlo analysis, 258–263 Monte Carlo methodology, steps. See

Mortgage security Monte Carlo model, terminology, 211 Monte Carlo process, schematics, 215e–

216e

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