Subprime Mortgage Credit Derivatives

Index

AAA paydowns, acceleration, 119

ABCDS. See Asset-backed credit default swap

ABSCP. See Asset-backed securities commercial paper

ABX.HE indices. See Asset-backed credit default benchmark indices

ABX indices. See Asset-backed credit default benchmark indices

Acceleration. See Senior tranches impact, 289

Additional fixed amounts, 135–1

Adjustable rate mortgages (ARMs), 16. See also

Hybrid ARM; Option ARM

CLTV/IO levels, 64

comparison, 69e–1e

interest-only period, 17

percentage, 149

resets, 243

rate, relationship. See Subprime loans

usage, 204

AFC. See Available funds cap

Affordability benchmark, change, 301

Affordability products, 17

creation, 272–1

development, 299–1

increase, 18

nonagency execution. See Mortgages

share, increase, 62

usage, delay, 8

Age-dependent effects, 193, 215

Agency execution

loans, qualification, 22

nonagency execution, contrast, 22–1

possibility, 8

Agency loans, level, 14

Agency MBSs, 89

backing, 3

Agency mortgages

GNMA guarantee, 3

usage, 3

Agency risk-based pricing, occurrence, 8

Agency share, decrease, 8

Alt-A 60/90+DQ, transition probability, 208e

Alt-A bond losses, 276

Alt-A collateral, 97

structures, comparison, 101e

Alt-A cumulative default/loss/severity, 208e

Alt-A deals, 76–1

examples, cash flows, 99e

OC, usage, 97–1

principal cash flows, 100e

residual/principal cash flows, 99e

six-pack structure, usage, 92

Alt-A default timing curve, 207e

Alt-A hybrid ARMs, comparison (problem), 18

Alt-A loans

characteristics, 9

loan rates, 90

migration,