固定收益证券fixed-income-securities-chapter-9课件

资产证券化产品陈锐中央财经大学金融学院MortgagesMortgagesMortgagecontractsaresecuredloanswhereamortgagor(homeowner)borrowsfromamortgagee(lender)topurchaserealestateTheborrowerisgenerallyrequiredtomakeregular,monthlyrepaymentsontheloanIftheborrowerfailstomakeregulartimelypaymentstheywillbeindefaultandthelendercantakepossessionoftherealestate(collateral)torecovertheoutstandingbalanceoftheloanMortgagescanbedividedintotwogroupsbasedonthetypeofrealestateResidentialHouses,apartmentsCommercialOfficebuildings,shoppingcentres,hotelsDefaultriskBorrowersmaynotmaketherequiredpaymentsinaccordancewiththeloancontractDefaultvs.delinquentloansLenderswillundertakeacheckoftheborrowerscredithistoryExistingdebtlevelsYearsoftransactionswithcreditaccountsPreviousdelinquenciesanddefaultNatureofcredithistoryDebtserviceabilityofborrower(abilitytopay)CurrentandhistoricemploymenthistoryDefaultriskLoantovaluationratio(LVR)isalsoanimportantindicatorLoanswithahigherLVRaremorelikelytodefaultMortgageinsurancecanremovecreditriskforlendersItdoesnotremovecreditriskfortheborrowersItisarequirementinChinaiftheLVR>70%RisksassociatedwithinvestinginmortgageloansCreditriskPrepaymentriskLiquidityriskInterestrateriskPrepaymentriskPrepaymentsreferstotheabilityofborrowerstopaymorethantherequiredmonthlypaymentIntheextremecase,italsoreferstotheabilityofborrowerstorefinanceandprepaytheirentireoutstandingbalanceSomefixedratemortgageswillhavepenaltiesimposedifborrowersprepaytooquicklyInAustraliasomelenderschargepenaltyfeesifborrowersrefinancewithinagiventimeofthemortgagebeingtakenoutPrepaymentismoreofanissueintheU.S.wherethemajorityofmortgagesarefixedratemortgagesIfthecurrentmarketloanratedeclineandyouareonafixedrate,whatareyougoingtodo?OtherriskInterestrateriskInverserelationshipbetweenfixedratesmortgagesandinterestratesFromthelendersperspectivethevalueofafixedratemortgageincreasesasratesdeclineLiquidityriskMortgagesareilliquidinstrumentsLargeandindivisible(onanindividualbasis)TypesofmortgagesFixedratemortgagesTheinterestrateisfixedanddoesnotchangeoverthelifeofthecontractThescheduledmonthlyrepaymentsareconstantoverthelifeofthecontractComprisethemajorityofmortgageloansintheU.S.VariableratemortgagesTherateofinterestchargedvariesoverthelifeofthemortgageTherateisrelatedtosomereferencerateInChina,variableinterestratesgenerallymoveinlinewiththePBC’sofficialcashrateTheinterestrateonavariablerateloancanchangeatanytimeThemajorityofmortgageloansinChinaTypesofmortgagesAgencymortgagesSatisfycertaincriteriaimposedbyU.S.Federalagencies:MaximumloansizeMinimumcreditscoreMinimumdocumentationMaximumLVRAgenciesGovernment-sponsoredenterprises(GSEs)FreddieMacandFannieMaeTypesofmortgagesSub-primemortgages(non-conforming)TheseloansdonotsatisfyagencystandardsTheseloansaregenerallyoflowercreditqualityTheygenerallyhaveahigherLVRTheymayalsohavelessdocumentationLargeramountoftheseloansintheU.S.comparedtoothercountriesTheU.S.HousingMarketDiscussesthereasonsforthesub-primecrisisintheU.S.TheUSPropertyBubbleThekeyfactorsofthelendingboomLowinterestratesTheUSPropertyBubbleRegulatorychangesinfavorofconsumerlendingandthesecuritizationofmortgagesTheUSPropertyBubbleTheU.S.HousingMarketCausesofthesub-primecrisisResettingofinterestratesInabilityofinstitutionstopriceoptiontorefinance,defaultorsellthehouseandendtheloanRelaxingoflendingstandardsDeclineinhousepricesMortgagecashflowsandyields

Example

AmortisationComponentsofrepaymentsU.S.FederalagenciesU.S.Federalagencies(governmentsponsoredenterprisesorGSEs)playanimportantroleintheU.S.mortgagemarketTheU.S.mortgagemarkethastwosegments:primaryandsecondaryPrimary:newmortgagesareoriginatedSecondary:alreadyoriginatedloansareboughtandsoldExamplesofFederalagenciesFannieMae(FederalNationalMortgageAssociation)FreddieMac(FederalHomeLoanMortgageCorporation)SallieMae(Providesstudentloans)FarmerMac(Providesagriculturalloans)U.S.FederalagenciesFreddieMacandFannieMaeissuedebtandusethefundsto:BuymortgageloansoffinancialinstitutionsAdvancesTheymakesecuredloanstobanksthataremembersoftheFederalHomeLoanBankCreateguaranteesBuymortgagesandissuemortgage-backedsecuritiesTheyguaranteethetimelypaymentofinterestandprincipalTheseguaranteeshavebecomesubstantialliabilitiesMortgageinvestmentsTheypurchasemortgagesandMBSinthesecuritiesmarketsLiquidityriskisimportant(theyholdasubstantialshareofthemarket)U.S.FederalagenciesandthefinancialcrisisTheU.S.governmenteffectivelytookoverFannieMaeandFreddieMacinSeptember2008TheTreasurySecretarystatedthatiftheyhadnotrescuedthecompaniestherewouldhavebeenturmoilinfinancialmarketsFannieandFreddieguaranteeabout70percentofallnewhomeloansasatSeptember2008The“conservatorship”involved:ReplacingmanagementItalsoeliminateddividendpaymentstocurrentshareholdersBothcompanieshavetoshrinktheirportfoliosby10percentperyearIneffect,theimplicitguaranteeshavebecomeexplicitTheU.S.governmentnowbacksthetwocompaniesandthemortgagedebtTheyareprivatecompaniesthatarelistedontheNYSEU.S.FederalagenciesandthefinancialcrisisMortgage-BackedSecurities资产证券化资产证券化(Assetsecuritization)银行贷款，应收账款，信用卡分期付款资产的流动性问题原理和流程风险隔离特殊目的机构SPV(Special-purposevehicle)信用增强优先，次级结构方案优先

/次级结构级次1：权益层无评级高利率原始权益人自持特殊目的机构SPV级次2：中间层BBB级较高利率市场发售资产池资产1资产2...资产n出售表示现金流分级走势级次3：高级层AAA级市场利率市场发售资产池资产1资产2...资产n出售资产证券化流程发起人（原始权益人）债务人债权债务特殊目的机构SPV资产存管机构机构证券投资者证券承销商信用增级机构信用评级机构资产出售出售收入委托发行回笼现金信用增级信用评级委托管理本息偿还资产现金流发售债券发售收入表示证券化运作流程表示证券化现金流向资产证券化的运作程序重组现金流组建特殊目的机构

(SPV)完善交易结构进行信用增级抵押支持债券的信用评级安排证券销售向发起人支付挂牌上市交易及到期支付我国资产证券化的历程跨国资产证券化阶段初步尝试“不良资产”证券化阶段东方，信达，华融，长城信达财政部和建行委托管理和处置的债权资产和债转股资产1123亿元试点阶段建行30.17亿MBS国开行41.77亿信贷支持证券(ABS)次债危机重启阶段央行，银监会，财政部《关于进一步扩大信贷资产证券化试点有关事项的通知》MortgageBackedSecuritiesAmortgageisaloansecuredbythecollateralofsomespecifiedrealestateproperty.Incasetheborrower,otherwiseknownasthemortgagorfailstomakethecontractedpayments,thelender(orthemortgagee)hastherighttoseizethepropertysoastobepaidbackAmortgagethereforecanbethoughtofasastreamofcashflowsthataresecuritizedbyanasset(typicallyapieceofrealestate).Whenconceivedinthisway,wecananalyzemortgagesusingthesametoolsasbonds.Intheearly1970s,twogovernmentsponsoredcorporationscolloquiallyknownasFannieMaeandFreddieMacwereauthorizedtopurchaseprivatemortgagesandpoolthemthroughaprocessknownassecuritization.Thecreationofsuchpoolsgeneratedhighlyprofitableandlowriskincomestreamsandquicklygrewinpopularity.Ashareinsuchapoolbecameknownasamortgagebackedsecurity(MBS).ResidentialMortgageLoanMarketandtheSectorsoftheRMBSMarketResidentialMortgageLoanAgencyMBSPrimeMortgageLoanSubprimeMortgageLoanConformingLoansPrivateLabelMBS“PrimeDeals”“ResidentialDeals”RMBSNonconformingLoansResidentialMortgageLoanMarketNonconformingLoansNonagencyMBSSubprimeMBS“Mortgage-RelatedAsset-BackedSecurities”b.SectorsoftheRMBSMarketMortgageBackedSecuritiesThemostbasictypeofMBSiswhatisknownasamortgagepassthrough.Thecashflowsgeneratedbythepoolarepassedontothesecurityholdersonapro-ratabasisinthreecomponents;interestpayments,scheduledprincipalpaymentsandprepayments.Example:Considerapoolconsistingof100mortgageloans,eachamountingto$1million.Thevalueofthepoolis$100million.Supposethatthereexist200unitsofapass-throughissued.Theneachunitamountsto$500,000andisentitiledto0.5%ofthecashflows.In1983,SalomonBrothersdevisedamoresophisticatedMBScalledacollateralizedmortgageobligationCMO.Unlikeapassthrough,aCMOisaspecialpurposeentitythatisnotownedbytheinstitutionthatcreatedoroperatestheentity.MortgageBackedSecuritiesInvestorsinaCMObuybondsissuedbytheentityandreceivepaymentsfromtheincomegeneratedbythemortgagesaccordingtoadefinedsetofrules.Specifically,thebondsissuedbytheCMOaredividedintoclassesthathavedifferentmaturitiesanddifferentprioritiesforthereceiptofthecashflowsderivedfromtheunderlyingmortgages.MortgageBackedSecuritiesThedifferentclassesinaCMOareknownastranches.Allprincipalpaymentsareallocatedtothefirsttrancheuntilitisfullypaidoff;thenitistheturnofthesecondtrancheandsoon.Asaresult,thefirsttranchehastheshortestmaturity(andlowestrisk),whilethelasttranchehasthelongestmaturity.Sinceeachtranchehasadifferentmaturityandriskprofile,eachwillearnadifferentyield.Naturally,investorswhopurchasesharesintheuppertrancheswillfacethelowestprobabilityofdefault.Example:SupposewehaveaCMOthatisstructuredinthreetranches,A,BandC.TrancheAamountsto$60million,TrancheB$25millionandTrancheC$15million.TrancheAwillreceiveallprincipalpaymentsuntil$60millionarepaidoff;thenTrancheBwillreceiveallprincipalpaymentsuntil$25millionarepaidoffandTrancheCwillbethelasttoreceivetheprincipalpayments.

MortgageBackedSecuritiesPrepaymentriskTherateofprepaymentisimportantbecauseitinfluencesthecashflowsofthesecuritisationandthepaymentstobondholdersTherearemanydifferentmeasuresofprepaymentsThesinglemonthlymortality(SMM)istheprobabilitythatthemortgagewillbeprepaidinagivenmonthTheannualprepaymentrateisknownastheconditionalprepaymentrate(CPR)(1-SMM)12=1–CPRConstantmonthlymortalityAssumesthatafixedpercentageofthemortgagesinthepoolwillbeprepaidinanygivenmonthAconstantSMMof0.6%equatestoannualprepaymentsof6.97%(CPR)PrepaymentriskFederalHomeAdministration(FHA)ExperienceUsesdataonactualprepaymentstodeterminetheprobabilityofmortgagesbeingprepaidEstimatesconditionalprobabilitiesofprepaymentbasedontheprobabilitythatmortgagessurvivetoagivenageinyearsPublicSecuritiesAssociation(PSA)ExperienceAssumesthat0.2%ofprincipalispaidinthefirstmonthofthemortgageandthatthisincreaseby0.2percentagepointseachmonthuntilmonth30whenitlevelsoffat6%fortheremainderofthemortgageIft<=30thenCPR=6%x(t/30)Ift>30thenCPR=6%ThePSAexperiencecanbescaledupordowntoachievedifferentprepaymentmeasuresPSAexperiencePrepaymentsandoutstandingbalanceScheduledmonthlyrepaymentsMortgagecashflowswithprepaymentsThescheduledrepaymentwillchangeeachmonthasaresultoftheprepaymentsTheprepaymentisapplied