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Introduction to Securitization by VINOD KOTHARI, FRANK J. FABOZZI

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Index
Accounting standards
Accounting volatility, absence. See Synthetic CDOs
Accretion-directed bonds classes
creation
specialization
Accretion process
Accrual bonds (Z bonds)
class
structure, comparison
structuring
lockout period, months (number)
par value, lockout period (addition)
Actual/day count, usage. See Sterling-denominated swaps
Administrative agent. See Asset-backed commercial paper
duties. See also Commercial paper
role
Administrative receivership, usage
Agency CMOs
creation
qualification. See also Nonagency CMOs
usage
Agency costs, reduction
Agency deals
arbitrage transactions
structuring
Agency MBS deals, structuring summary
Agency passthrough securities, valuation alternative
Agreed-upon periodic interest rate American Skandia Life Assurance Company (ASLAC),
securitization transactions issuance
Amortization
calculation
triggers. See Early amortization triggers
Amortizing swap, notional amount (decline)
Annualized percentage rates (APRs)
Arbitrage. See Securities
activity, impact
profits, making
term, usage looseness
transactions
diversification, attainability
ramp-up risks, impact
Arbitrage cash CDOs
assets
flowchart
legal structure
reinvestment period
returns
Arbitrage CDOs
assets, purchase
examples
issuance, capability
pooling process, profit source
purpose
relevance
returns example
Arbitrage conduits
S&P definition
Arbitrage-free model
Arbitrage synthetic CDOs
collateral manager, appointment
creation
flowchart
income
ramp-up period
Arbitraging, purpose
Asset-aging ...

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