Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation by Frank J. Fabozzi & Steven V. Mann

Author:Frank J. Fabozzi & Steven V. Mann [Fabozzi, Frank J.]
Language: eng
Format: epub
ISBN: 9780470922095
Publisher: Wiley
Published: 2010-09-16T22:00:00+00:00

The above measure is then annualized.

The second measure is the cumulative default rate and it reflects the total defaults to date relative to the original principal balance. That is,

CONCEPTS PRESENTED IN THIS CHAPTER (IN ORDER OF PRESENTATION)

Collateral

Securitized

Real estate-backed asset-backed securities

Amortization

Scheduled principal repayment

Amortization schedule

Scheduled principal repayment

Scheduled amortization

Net interest (coupon)

Servicing spread

Prepayment

Curtailment

Involuntary prepayment

Prepayment risk

Lockout period

Penalty period

Passthrough coupon rate

Weighted average coupon rate

Weighted average maturity

Pool factor

Conditional prepayment rate

Single-monthly mortality rate

Public Securities Association (PSA) prepayment benchmark

Prospectus prepayment curve

Average life

Weighted average life

Tranches

Collateralized mortgage obligation

Paythrough security

Agency CMOs

Structuring the deal

Principle pay down window

Accrual tranche

Planned amortization class (PAC) tranche

Support tranche

PAC I tranche

Level I PAC tranche

PAC II tranche

Level II PAC tranche

Scheduled tranche

PAC III tranche

Level III PAC tranche

Prime loan

Subprime loan

Prime deal

Subprime

External credit enhancements

Internal credit enhancements

Nonsenior tranches

First loss tranche

Shifting interest mechanism

Level of subordination

Subordinate interest

Stripped mortgage-backed security

Interest-only (IO) strip

Principal-only (PO) strip

Mortgage strip

Principal-only mortgage strip

Interest-only mortgage strip

Amortizing assets

Nonamortizing assets

Absolute prepayment speed

Loss curve

Loss severity

Conditional default rate

Monthly loss

Cumulative default rate

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