Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition
by Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
INDEX
AAA-rated senior bonds, 173
Accretion, 131
Accretion-directed (AD) bonds, 132
Accretion-directed (AD) cash flows, generation, 131e
Accretion-directed (AD) tranches, 130–134
Accretion direction, 106
Accrual bond class, 133e
Adjustable rate agency pooling, 29–30
Adjustable-rate mortgage (ARM), 8–9
fixed rate loan, refinancing, 78
payments, 9
products, trading, 37
unpopularity, 88
Agency ARM market, pooling practices, 29–30
Agency ARM pools, 32
Agency CMOs
key rate durations, 273e
Agency inverse floater, yield-to-index matrix, 261e
Agency MBS
analysis, 281
Agency PAC, yield-to-price table, 252e
Agency PAC CMO
average lives/modified durations, 257e
yield-to-price table, 256e
Agency pass-through, cash flow allocation, 28e
Agency pooling, private-label deal execution (contrast), 173–176
Agency pools, cash flow generation, 44–45
Agency support CMO, yield-to-price table, 251e
Alternative-A loans (alt-A loans), 5, 7–8
securitization, 174
Amortizations
exclusion, 52
schemes, alternatives, 80
Annualized total return, calculation, 227
Anti-TTIB, initial coupon rate, 160
Asset-backed securities (ABSs) deal
residual, 196
structural components, 201–202
Asset-backed securities (ABSs) structures
excess spread, 205e
Asset-backed securities (ABSs) transactions, ...