Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition

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

base servicing, 29–30

fixed rate loan, refinancing, 78

payments, 9

products, trading, 37

unpopularity, 88

Adverse selection, 96, 172

Agency ARM market, pooling practices, 29–30

Agency ARM pools, 32

Agency-backed MBS, 245–246

Agency CMOs

deal, creation, 25–26

key rate durations, 273e

total returns, 270e–272e

Agency inverse floater, yield-to-index matrix, 261e

Agency MBS

analysis, 281

creation, 27–30

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

ARM loans, 15–16

exclusion, 52

schemes, alternatives, 80

types, 9–10

Annualized total return, calculation, 227

Anti-TTIB, initial coupon rate, 160

Asset-backed securities (ABSs) deal

residual, 196

structural components, 201–202

structuring, focus, 207–208

Asset-backed securities (ABSs) structures

basis risk, 197–198

excess spread, 205e

fundamentals, 194–199

Asset-backed securities (ABSs) transactions, ...