Index
Page numbers followed by an e indicate exhibits.
Page numbers followed by an n indicate notes.
45-bond portfolio
A
Absolute prepayment speed
Absolute priority rule
Absolute yield spread
ABSs. See Asset-backed securities
Accelerated sinking fund provision
Accrual tranches (Z bond)
Accrued interest (AI)
computation
Accumulation period
Acid-test ratio
Active management. See Unrestricted active management
degrees
mismatches
Active return
Active strategies
incorporation
Actual prepayments. See Effective collar; Initial collar
comparison. See Initial upper collar
Actual tracking error
predicted tracking error, contrast
Additional-bonds test covenant
Ad hoc auction system
Adjusted duration. See Effective duration
Affirmative covenants
After-tax yield
Agency
bonds. See Government agency bonds costs
problem mitigation
relationship
risk
Agency CMOs, valuation modeling
Agency MBSs (agency securities). See also U.S. agency MBSs
nonagency securities, contrast
Agency passthrough securities
trading/settlement procedures
Agent
AI. See Accrued interest
Alternative loans
Alternative spread measures
American option
callables
price. See Fixed income instrument
Amortization
period. See Principal amortization period
provision. See Early amortization
schedule. See also Level-payment, fixed-rate, fully amortized mortgage
Amortizing assets
Amortizing securities
Annual-pay bonds
BEY
comparison. See Semiannual bonds
Annuity payment
Appropriation-backed obligations
Arbitrage CDO
Arbitrage-free ...
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