《债券市场：分析与策略（第七版）》Ch13

Chapter13

NonagencyResidentialMortgage-BackedSecurities

13-1Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallLearningObjectivesAfterreadingthischapter,youwillunderstandthetwosectorsofthenonagencymortgage-backedsecuritiesmarket:privatelabelandsubprimethestructureofanonagencymortgage-backedsecuritiestransactionhowcreditriskisredistributedinanonagencymortgage-backedsecuritiestransactionthedifferentcreditenhancementmechanismshowdefaultsaremeasuredhowprepaymentsaremeasuredthesubprimecrisisinthesummerof200713-2Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancementSecuritieswithoutagovernmentguaranteeoraGSEguaranteemustbestructuredwithadditionalcreditsupporttoreceiveaninvestment-graderating.Thisadditionalcreditsupportisneededtoabsorbexpectedlossesfromtheunderlyingloanpoolduetodefaults.Thiscreditsupportisreferredtoasacreditenhancement.13-3Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)WhenratingagenciesassignaratingtothebondclassesinanonagencyMBS,theylookatthecreditriskassociatedwithabondclass.Basically,thatanalysisbeginsbylookingatthecreditqualityoftheunderlyingpoolofloans.Giventhecreditqualityoftheborrowersinthepoolandotherfactorssuchasthestructureofthetransaction,aratingagencywilldeterminethedollaramountofthecreditenhancementneededforaparticularbondclasstoreceiveaspecificcreditrating.Theprocessbywhichtheratingagenciesdeterminetheamountofcreditenhancementneededisreferredtoassizingthetransaction.13-4Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)TherearestandardmechanismsforprovidingcreditenhancementinnonagencyMBS.Whenprimeloansaresecuritized,thecreditenhancementmechanismsandthereforethestructuresarenotcomplicated.Incontrast,whensubprimeloansaresecuritized,thestructuresaremorecomplexbecauseoftheneedforgreatercreditenhancement.Therearefourformsofcreditenhancement:senior-subordinatedstructureexcessspreadovercollateralizationmonolineinsurance13-5Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)Senior-SubordinatedStructureInasenior-subordinatedstructure,twogeneralcategoriesofbondclassesarecreated:aseniorbondclassandsubordinatedbondclasses.Forexample,considerthefollowinghypotheticalnonagencyMBSstructureconsistingof$400millionofcollateral:BondClass PrincipalAmount CreditRatingX1 $350million AAAX2 $20million AAX3 $10million AX4 $5million BBBX5 $5million BBX6 $5million BX7 $5million notrated13-6Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)Senior-SubordinatedStructureThebondclasswiththehighestrating(BondClassX1fromthepreviousoverhead)isreferredtoastheseniorbondclass.Thesubordinatedbondclassesarethosebelowtheseniorbondclass.Therulesforthedistributionofthecashflow(interestandprincipal)amongthebondclassesaswellashowlossesaretobedistributedareexplainedintheprospectus.Thererulesarereferredtoasthedeal’scashflowwaterfall,orsimplywaterfall.Basically,thelossesaredistributedbasedonthepositionofthebondclassinthestructure.Lossesstartfromthebottom(thelowestorunratedbondclass)andprogresstotheseniorbondclass.13-7Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)Senior-SubordinatedStructureWecancomparewhatisbeingdonetodistributecreditriskinanonagencyMBSwithwhatisdoneinanagencyCMO.InanagencyCMO,thereisnocreditriskforGinnieMaeissuedstructuresandthecreditriskoftheloanpoolforFannieMaeandFreddieMacissuedstructureisvieweduntilrecentyearsassmall.WhatisbeingdoneincreatingthedifferentbondclassesinanagencyCMOistheredistributionofprepaymentrisk.Incontrast,inanonagencyMBS,thereisbothcreditriskandprepaymentrisk.Bycreatingthesenior-subordinatedbondclasses,creditriskisbeingredistributedamongthebondclassesinthestructure.Hence,whatisbeingdoneiscredittranching.Whenthebondclassesaresoldinthemarket,theyaresoldatdifferentyields.Obviously,thelowerthecreditratingofabondclass,thehigheristheyieldatwhichitmustbeoffered.13-8Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureAlmostallexistingsenior-subordinatedstructuresbackedbyresidentialmortgageloansalsoincorporateashiftinginterestmechanism.Thismechanismredirectsprepaymentsdisproportionatelyfromthesubordinatedbondclasstotheseniorbondclassaccordingtoaspecifiedschedule.Therationalefortheshiftingintereststructureistohaveenoughsubordinatedbondclassesoutstandingtocoverfuturecreditlosses.13-9Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureThebasiccreditconcernthatinvestorsintheseniorbondclasshaveisthatalthoughthesubordinatedbondclassesprovideacertainlevelofcreditprotectionfortheseniorbondclassattheclosingofthedeal,thelevelofprotectionmaydeteriorateovertimeduetoprepaymentsandcertainliquidationproceeds.Theobjectiveistodistributethesepaymentsofprincipalsuchthatthecreditprotectionfortheseniorbondclassdoesnotdeteriorateovertime.13-10Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureThepercentageofthemortgagebalanceofthesubordinatedbondclasstothatofthemortgagebalancefortheentiredealiscalledthelevelofsubordinationorthesubordinateinterest.Thehigherthepercentage,thegreaterthelevelofprotectionfortheseniorbondclass.Thesubordinateinterestchangesafterthedealisclosedduetoprepayments.Thatis,thesubordinateinterestshifts(hencetheterm“shiftinginterest”).13-11Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureTheprospectuswillspecifyhowdifferentscheduledprincipalpaymentsandprepaymentswillbeallocatedbetweentheseniorbondclassandthesubordinatedbondclass.Thescheduledprincipalpaymentsareallocatedbasedontheseniorpercentage.Theseniorpercentage,alsocalledtheseniorinterest,isdefinedastheratioofthebalanceoftheseniorbondclasstothebalanceoftheentiredealandisequalto100%minusthesubordinateinterest.13-12Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureAllocationoftheprepaymentsisbasedontheseniorprepaymentpercentage(insomedealscalledtheaccelerateddistributionpercentage).Thisisdefinedasfollows:Seniorprepaymentpercentage+Shiftinginterestpercentage×SubordinateinterestThe“shiftinginterestpercentage”intheformulaaboveisspecifiedintheprospectus.13-13Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureExample.Toillustratethe“shiftinginterestpercentage”formula,supposethatinsomemonththeseniorinterest(orseniorprepaymentpercentage)is82%,thesubordinateinterestis18%,andtheshiftinginterestpercentageis70%.TheseniorprepaymentpercentageforthatmonthisSeniorprepaymentpercentage+Shiftinginterestpercentage×Subordinateinterest=82%+0.70×18%=94.6%13-14Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureTheprospectuswillprovidetheshiftinginterestpercentagescheduleforcalculatingtheseniorprepaymentpercentage.Acommonlyusedshiftinginterestpercentagescheduleisasfollows:YearAfterIssuance

ShiftingInterestPercentage

1–5 100% 6 70% 7 60% 8 40% 9 20%Afteryear9 0%13-15Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureTheshiftinginterestpercentageschedulegivenintheprospectusisthe“base”schedule.Theschedulecanchangeovertimedependingontheperformanceofthecollateral.Iftheperformanceissuchthatthecreditprotectionisdeterioratingormaydeteriorate,thebaseshiftinginterestpercentagesareoverriddenandahigherallocationofprepaymentsismadetotheseniorbondclass.Performanceanalysisofthecollateralisdonebythetrusteefordeterminingwhethertooverridethebaseschedule.Theperformanceanalysisisintermsoftests,andifthecollateralorstructurefailsanyofthetests,thiswilltriggeranoverrideofthebaseschedule.13-16Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)ShiftingInterestMechanisminaSenior-SubordinatedStructureWhiletheshiftingintereststructureisbeneficialtotheseniorbondclassholderfromacreditstandpoint,itdoesalterthecashflowcharacteristicsoftheseniorbondclassevenintheabsenceofdefaults.Thesizeofthesubordinationalsomatters.Alargersubordinatedclassredirectsahigherproportionofprepaymentstotheseniorbondclass,therebyshorteningtheaveragelifeevenfurther.13-17Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)DealStep-DownProvisionsAnimportantfeatureinanalyzingsenior-subordinatedbondclassesordealsbackedbyresidentialmortgagesisthedeal’sstep-downprovisions.Theseprovisionsallowforthereductionincreditsupportovertime.Aconcernthatinvestorsintheseniorbondclasshaveisthatifthecollateralperformanceisdeteriorating,step-downprovisionsshouldbealtered.Theprovisionsthatpreventthecreditsupportfromsteppingdownarecalled“triggers.”13-18Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)DealStep-DownProvisionsTherearetwotriggersbasedonthelevelofcreditperformancerequiredtobepassedbeforethecreditsupportcanbereduced:adelinquencytriggerandalosstrigger.Thetriggersareexpressedintheformofatestthatisappliedineachperiod.Thedelinquencytest,initsmostcommonform,preventsanystep-downfromtakingplaceaslongasthecurrentover60-daydelinquencyrateexceedsaspecifiedpercentageofthethen-currentpoolbalance.Theprincipallosstestpreventsastep-downfromoccurringifcumulativelossesexceedacertainlimit(whichchangesovertime)oftheoriginalbalance.13-19Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)DealStep-DownProvisionsInadditiontotriggersbasedontheperformanceofthecollateral,thereisabalancetest.Thistestinvolvescomparingthechangeintheseniorinterestfromtheclosingofthedealtothecurrentmonth.Iftheseniorinteresthasincreased,thebalancetestisfailed,triggeringarevisionofthebaseschedulefortheallocationofprincipalpay­mentsfromthesubordinatedbondclassestotheseniorbondclass.13-20Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)ExcessSpreadExcessspread,alsoreferredtoasexcessinterest,isbasicallytheinterestfromthecollateralthatisnotbeingusedtosatisfytheliabilities(i.e.,theinterestpaymentstothebondclassesinthestructure)andthefees(suchasmortgageservicingandadministrativefees).Theexcessspreadcanbeusedtorealizeanylosses.Excessspreadisaformofcreditenhancement.13-21Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)OvercollateralizationExcesscollateralisreferredtoasovercollateralizationandcanbeusedtoabsorblosses.Hence,itisaformofcreditenhancement.Overcollateralizationismorecommonlyusedasaformofcreditenhancementinsub-primedealsthaninprimedeals.Thisisoneoftheaspectsthatmakessubprimedealsmorecomplicatedbecausethereareaseriesoftestsbuiltintothestructureastowhencollateralcanbereleased.13-22Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCreditEnhancement

(continued)MonolineInsuranceThereareinsurancecompaniesthat,bycharter,provideonlyfinancialguarantees.Theseinsurancecompaniesarecalledmonolineinsurancecompanies.ForRMBS,theyprovidethesamefunction,andtherefore,thisisviewedasaformofcreditenhancement.13-23Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBSInagencyMBS,thecashflowisnotaffectedbydefaultsinthesensethattheyresultinareductionintheprincipaltosomebondclass.Rather,defaultedprincipalismadeupbytheagencyaspartofitsguarantee.ForanonagencyMBS,oneormorebondclassesmaybeaffectedbydefaults,andtherefore,defaultsmustbetakenintoaccountinestimatingthecashflow.13-24Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS

(continued)MeasuringDefaultRatesTherearetwomeasuresusedforquantifyingdefaultratesforaloanpool:conditionaldefaultrateandcumulativedefaultrate.Theconditionaldefaultrate(CDR)istheannualizedvalueoftheunpaidprincipalbalanceofnewlydefaultedloansoverthecourseofamonthasapercentageoftheunpaidbalanceofthepool(beforescheduledprincipalpayment)atthebeginningofthemonth.13-25Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS(continued)MeasuringDefaultRatesTheCDRcalculationbeginswithcomputingthedefaultrateforthemonthasshownbelow:defaultrateformontht=Then,thisisannualizedasfollowstogettheCDR:CDRt=1–(1–defaultrateformonth

t)12Thecumulativedefaultrate,abbreviatedasCDXinordertoavoidconfusionwithCDR,istheproportionofthetotalfacevalueofloansinthepoolthathavegoneintodefaultasapercentageofthetotalfacevalueofthepool.13-26Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS(continued)StandardDefaultRateAssumptionAstandardizedbenchmarkfordefaultrateswasformulatedbythePublicSecuritiesAssociation(PSA).ThePSAstandarddefaultassumption(SDA)benchmarkgivestheannualdefaultrateforamortgagepoolasafunctionoftheseasoningofthemortgages.Exhibit13-1(seeOverhead13-28)illustratesthePSASDAbenchmark,or100SDA.AswiththePSAprepaymentbenchmark,multiplesofthebenchmarkarefoundbymultiplyingthedefaultratebytheassumedmultiple.13-27Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS

(continued)

Exhibit13-1ThePSASDABenchmarkMortgageAge(Months)131619112115118121124127130133AnnualizedDefaultRate(%)13-28Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS(continued)PrepaymentMeasuresPrepaymentsaremeasuredintermsoftheconditionalprepaymentrate(CPR).Borrowercharacteristicsandtheseasoningprocessmustbekeptinmindwhentryingtoassessprepaymentsforaparticulardeal.Intheprospectusofanoffering,abase-caseprepaymentassumptionismade–theinitialspeedandtheamountoftimeuntilthecollateralisexpectedtobeseasoned.Thus,theprepaymentbenchmarkisissuerspecific.Thebench­markspeedintheprospectusiscalledtheprospectusprepaymentcurve(PPC).SlowerorfasterprepaymentspeedsareamultipleofthePPC.13-29Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallCashFlowforNonagencyMBS(continued)NonagencyPrepaymentModelsThecomponentsofnonagencyprepaymentmodelsarethesamecomponentsusedinagencyprepaymentmodels.However,becausetheissuerofnonagencyMBSprovidesmoredetailedloan-levelinformation,aprepaymentmodelisestimatedforeachtypeofloan.Foreachtypeofrepresentativeloan,abaselineforthecomponentsisconstructed,andthenthebaselineismodifiedfordifferentpermutationsofloan-levelcharacteristics.13-30Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallAppendixSubprimeMeltdownin2007Inthesummerof2007,therewasacrisisinthesubprimeMBSmarketandthiscrisis,ithasbeenargued,ledtoacreditandliquiditycrisisthathadaripplingimpactonothersectorsofthecreditmarketaswellastheequitymarket.Thisepisodeisreferredtoasthe“subprimemeltdown.”Inkeepingwiththehistoryoffinancialinnovationbashing,therehavebeenoverreactions,misinformation,andwidelydifferingviewpointsregardingthecrisis.Somemarketobserverssawitastheinevitableburstingofthe“housingbubble”thathadcharacterizedthehousingmarketinprioryears.Othersvieweditastheproductofunsavorypracticesbymortgagelenderswhodeceivedsubprimeborrowersintopurchasinghomesthattheycouldnotafford.13-31Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallAppendixSubprimeMeltdownin2007(continued)Specificmortgagedesignssuchashybridloansmadeitpossibleforasubprimeborrowertoobtainaloanthatcouldhavebeenexpectedtocausefinancialdifficultiesinthefuturewhenloanratesaspartoftheloanagreementwereadjustedupward.Mortgagelendersblamedborrowersformisleadingthem.AnothercontingentlaidtheblameatthefeetofWallStreetbankerswhopackagedsubprimeloansintobondsandsoldthemtoinvestorsintheformofMBS.Whatevertheprecisecause,it’shardtodenythatsecuritization–thefinancialframeworkthatallowedWallStreettopackagetheseloansintoRMBS–isofenormousbenefittotheeconomy.Securitizationhasincreasedthesupplyofcredittohomeownersandreducedthecostofborrowing.Italsospreadstheriskamongalargerpoolofinvestorsratherthanconcentratingitinasmallgroupofbanksandthrifts.Securitizationisanimportantandlegitimatewayforthefinancialmarketstofunctionmoreefficientlytodaythaninthepast.13-32Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHallAppendixSubprimeMeltdownin2007(continued)Thesecuritizationofsubprimeloansworksbydividingpoolsofcreditintoclasses,orbondclasses,separatedbytheamountofriskeachclassrepresents.Theclasseswithlessriskofferlowerpotentialreturnswhiletheclasseswithmoreriskofferhigherpotentialreturns.Themorejunior,riskierclassesarepurchasedbysophisticatedinstitutionalinvestorswhounderstandthattheymayincurlossesbuthopeforhighenoughreturnsoveralongperiodoftimetooffsetpossiblelosses.Thedemandforthisproductmustcomefrominvestors.InthecaseofRMBSbackedbysubprimeloans,itcameultimatelyfromhedgefundmanagers.ThemajorpurchasersofsubprimeMBSwereportfoliomanagersofcollateralizeddebtobli