固定收益证券期末总结Word格式.docx
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固定收益证券期末总结Word格式.docx
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Alloftheprimeandsub-primeloanscanbesecuritizedindifferentsectorsoftheRMBSmarket.
LoansthatsatisfytheunderwritingstandardoftheagenciesaretypicallyusedtocreateRMBSthatarereferredtoasagencymortgage-backedsecurities(MBS).
Allotherloansareincludedinwhatisreferredtogenericallyasnon-agencyMBS.
TheagencyMBSmarketincludesthreetypesofsecurities:
i.agencymortgagepass-throughsecurities
ii.agencycollateralizedmortgageobligations(CMOs)
iii.agencystrippedMBS
AgencyCMOsandstrippedCMOsarecreatedfrommortgagepass-throughsecurities.
Hence,agencyCMOsandagencystrippedMBSareroutinelyreferredtoasderivativeMBSproducts.
Amortgagepass-throughsecurity,orsimplypass-throughsecurity,isatypeofMBScreatedbypoolingmortgageloansandissuingcertificatesentitlingtheinvestortoreceiveaproratashareinthecashflowsofthespecificpoolofmortgageloansthatservesasthecollateralforthesecurity.
Becausethereisonlyoneclassofbondholders,thesesecuritiesaresometimesreferredtoassingle-classMBS.
Whenapass-throughsecurityisfirstissued,theprincipalisknown.
Overtime,becauseofregularlyscheduledprincipalpaymentsandprepayments,theamountofthepool’soutstandingloanbalancedeclines.
Thepoolfactoristhepercentageoftheoriginalprincipalthatisstilloutstanding.
Atissuance,thepoolfactoris1anddeclinesovertime.
Poolfactorinformationispublishedmonthly.
Paymentsofapass-throughsecurityaremadeeachmonth.
▪Neithertheamountnorthetimingofthecashflowfromtheloanpoolisidenticaltothatofthecashflowpassedthroughtoinvestors.
▪Servicingandotherfees.
▪Becauseofprepayments,thecashflowofapass-throughisalsonotknownwithcertainty.
Notallofthemortgagesthatareincludedintheloanpoolthataresecuritizedneedtohavethesamenoterateandthesamematurity.
Consequently,whendescribingapass-throughsecurity,theweighted-averagecouponrateandaweighted-averagematurityaredetermined.
Aweighted-averagecouponrate(WAC)isfoundbyweightingthenoterateofeachmortgageloaninthepoolbytheamountofthemortgageoutstanding.
Aweighted-averagematurity(WAM)isfoundbyweightingtheremainingnumberofmonthstomaturityforeachmortgageloaninthepoolbytheamountofthemortgageoutstanding.
AfteroriginationoftheMBS,theWAMofapoolchanges.Theremainingnumberofmonthstomaturityforaloanpoolisreferedasweightedaverageremainingmaturity(WARM).
Theweightedaverageofthenumberofmonthssincetheoriginationofthesecurityfortheloansinthepool.weightedaverageloanage(WALA).
Agencypass-throughsecuritiesareissuedby
i.GovernmentalNationalMortgageAssociation(GinnieMae)
ii.FederalNationalMortgageAssociation(FannieMae)
iii.FederalHomeLoanMortgageCorporation(FreddieMac)
Thepass-throughsecuritiesthattheyissuearereferredtoas:
i.GinnieMaeMortgage-BackedSecurities(MBS)
ii.FannieMaeGuaranteedMortgagePass-ThroughCertifications(MBS)
iii.FreddieMacMortgageParticipationCertificates(PC)
Donotbeconfusedbythegenericterm“MBS”andthepass-throughcertificatesthatGinnieMaeandFannieMaehaveelectedtorefertoasMBS.
Tovalueapass-throughsecurity,itisnecessarytoprojectitscashflow.
Thedifficultyisthatthecashflowisunknownbecauseofprepayments.
Theonlywaytoprojectacashflowistomakesomeassumptionabouttheprepaymentrateoverthelifeoftheunderlyingmortgagepool.
▪Theprepaymentrateassumediscalledtheprepaymentspeedor,simply,speed.
▪Theyieldcalculatedbasedontheprojectedcashflowiscalledacashflowyield.
Estimatingthecashflowfromapass-throughrequiresmakinganassumptionaboutfutureprepayments.
Severalconventionshavebeenusedasabenchmarkforprepaymentrates:
i.FederalHousingAdministration(FHA)experience
ii.theconditionalprepaymentrate
iii.thePublicSecuritiesAssociation(PSA)prepaymentbenchmark
Thefirstconventionisnolongerused.
ConditionalPrepaymentRate
▪Abenchmarkforprojectingprepaymentsandthecashflowofapass-throughrequiresassumingthatsomefractionoftheremainingprincipalinthepoolisprepaideachmonthfortheremainingtermofthemortgage.
▪Theprepaymentrateassumedforapool,calledtheconditionalprepaymentrate(CPR),isbasedonthecharacteristicsofthepoolandthecurrentandexpectedfutureeconomicenvironment.
•Itisreferredtoasaconditionalratebecauseitisconditionalontheremainingmortgagebalance.
▪TheCPRisanannualprepaymentrate.
▪Toestimatemonthlyprepayments,theCPRmustbeconvertedintoamonthlyprepaymentrate,commonlyreferredtoasthesingle-monthlymortalityrate(SMM).
▪AformulacanbeusedtodeterminetheSMMforagivenCPR:
SMM=1–(1–CPR)^(1/12)
AnSMMofw%meansthatapproximatelyw%oftheremainingmortgagebalanceatthebeginningofthemonth,lessthescheduledprincipalpayment,willprepaythatmonth.
▪Thatis,prepaymentformontht=
SMM×
(beginningmortgagebalanceformontht–scheduledprincipalpaymentformontht)
ThePublicSecuritiesAssociation(PSA)prepaymentbenchmarkisexpressedasamonthlyseriesofannualprepaymentrates.
▪ThePSAbenchmarkassumesthatprepaymentratesarelowfornewlyoriginatedmortgagesandthenwillspeedupwithseasoning
▪ThePSAbenchmarkassumesthefollowingCPRsfor30-yearmortgages:
i.aCPRof0.2%forthefirstmonth,increasedby0.2%peryearpermonthforthenext30monthswhenitreaches6%peryear
ii.a6%CPRfortheremainingyears
▪Thebenchmark,referredtoas“100%PSA”orsimply“100PSA,”isdepictedgraphicallyintheexhibit.
Mathematically,100PSAcanbeexpressedasfollows:
Ift≤30:
CPR=6%(t/30)
Ift>
30:
CPR=6%
wheretisthenumberofmonthssincethemortgageoriginated.
▪SlowerorfasterspeedsarethenreferredtoassomepercentageofPSA.
▪Forexample,150PSAmeans1.5timestheCPRofthePSAbenchmarkprepaymentrate.
▪Aprepaymentrateof0PSAmeansthatnoprepaymentsareassumed.
▪TheCPRisconvertedtoanSMMusing
BewareofConvention
▪ThePSAprepaymentbenchmarkissimplyamarketconvention.
▪ItistheproductofastudybythePSAbasedonFHAprepaymentexperience.
▪DatathatthePSAcommitteeexaminedseemedtosuggestthatmortgagesbecameseasoned(i.e.,prepaymentratestendedtoleveloff)after30monthsandtheCPRtendedtobe6%.
▪AstutemoneymanagersrecognizethattheCPRisashorthandenablingmarketparticipantstoquoteyieldand/orprice,butasaconventionindecidingvalueithasmanylimitations.
Housingturnovermeansexistinghomesales.
▪Cash-outrefinancingmeansrefinancingbyaborrowerinordertomonetizethepriceappreciationoftheproperty.
▪Rate/termrefinancingmeanstheborrowerhasobtainedanewmortgageontheexistingpropertytosaveeitheroninterestcostorshorteningthelifeofthemortgagewithnoincreaseinthemonthlypayment.
ForagencyMBS,therearetwootherminorreasonsforprepayments:
curtailmentsanddefaults.
▪Acurtailmentisaprepaymentofpartoftheoutstandingloanbalance.
▪Adefaultoftheborrowerresultsintheforeclosureofthepropertyandpaymentoftheprincipaloutstandingtothesecurityholders.
HousingTurnoverComponent
▪Studieshavefoundfactorsthathaveproducedarelativelystable,long-termlevelofhousingturnoverratesthatvarywithinareasonablerange.
▪ThefactorsintheBearStearnsmodeltoforecastprepaymentsduetohousingturnoverareseasoningeffect,housingpriceappreciationeffectandseasonalityeffect.
•AccordingtotheBearStearnsmodel,agingoccursfasterthanthePSAbenchmark,withprepaymentratesreaching6%CPRinabout15months(ratherthan30months)andprepaymentspeakingafter40monthsataround8%CPRandthenlevelingoffatjustbelow7.5%CPR.
TheLTVofaloanchangesovertime.
•Thisisduetotheamortizationoftheloanandthechangeinthevalueofthehome.
•IntheBearStearnsagencyprepaymentmodel,acompositehomeappreciationindex(HPI)isconstructed
▪Thereisawell-documentedseasonalpatterninprepayments.
•Thispattern,referredtoastheseasonalityeffect,isrelatedtoactivityintheprimaryhousingmarket,withhomebuyingincreasinginthespringandgraduallyreachingapeakinlatesummer.
•Mirroringthisactivityaretheprepaymentsthatresultfromtheturnoverofhousingashomebuyersselltheirexistinghomesandpurchasenewones.
Cash-outrefinancingisdrivenbypriceappreciationsinceoriginationoftheloansinthepool.
▪Aproxymeasureforpriceappreciationmustbeused.
▪FortheBearStearnsagencyprepaymentmodel,thepool’sHPIisused.
▪Aratiogreaterthan1meansthatthereisanincentivetorefinancewhilearati
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