Introduction to Securitization

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 ...