Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors

Index

ABCDS. See Asset-backed CDS

ABCP. See Asset-backed commercial paper

ABS. See Asset-backed securities

Absolute prepayment speed, 109, 403, 405

ABX. See Asset-backed securities index

ABX.HE. See Asset-backed securities index

Accepted Servicing Practices, 359

definition, 366

standard, violation, 361

Accounts, age, 92–93

Actively traded indexes, 242e–243e

Additional basis risk, 70

Adjustable-rate mortgage (ARM)

loans. See Hybrid ARMs

origination, 40

refinancing sensitivity. See Hybrid ARM

refinancing sensitivity

Adjustable-rate repayment analysis, 41–45

Adjustable-rate second lien loans risk multipliers, level, 52–53

Advance rates, 180

AFC. See Available funds cap

Affinity programs, 83

Age of the accounts. See Accounts

Aircraft. See Commercial aircraft

airline usage, worldwide fleet, 476e

base value, 467–468

cash flow, modeling, 471–475

downturns, susceptibility. See Wide-body aircraft

factor-derived lease rate, approximation, 472

future lease cash flow, estimation, 471–472

lease rate factor curve, 472e

lease rates, 478–479. See also Out-of-production aircraft lease rates

leasing asset, defining, 479–481

management, lessors, 477e

market. See Narrow-body aircraft market;

Wide-body aircraft market

value, 468

number. See Young aircraft

operating expenses, fuel (impact), 481–482

operators, number, 480

ownership cost

accelerated depreciation, 474e

straight line depression, 474e

pools, diversification, 467

production, number, 480

types, fleet size, 483e

valuations, risk, 467

value, ...