(35)-CFA固定收益证券

CFA固定收益证券Chapter4.5MortgagePass-ThroughSecuritiesI:CharacteristicsandPrepaymentRisk第四章第五节：抵押转递证券I:特征与提前还款风险TypesofRMBSTherearetwomajortypesofagencyRMBS:MortgagePass-ThroughSecurities.CollateralizedMortgageObligations(CMOs).AMortgagePass-ThroughSecurityorsimplypass-throughsecurityisatypeofRMBScreatedbypoolingmortgageloansandissuingcertificatesentitlingtheinvestortoreceiveaproratashareinthecashflowsofthespecificpoolofmortgageloansthatservesasthecollateralforthesecurity.Thereisonlyoneclassofpass-throughsecurities,therefore,theyarealsoreferredtoasSingle-ClassMBS.CollateralizedMortgageObligations(CMOs)aremultipleclassessecuritiesbackedbythecashflowsofmortgagepass-throughsecurities.9/13/2023Page1CharacteristicsofMortgagePass-ThroughSecuritiesThecashflowsofamortgagepass-throughsecuritydependonthecashflowsoftheunderlyingpoolofmortgages.Thecashflowsconsistofmonthly:mortgageinterestpayments.scheduledrepaymentofprincipal.prepaymentofprincipal.Amortgagepass-throughsecurity’scouponrateiscalledthepass-throughrate.Thepass-throughrateislowerthanthemortgagerateontheunderlyingpoolofmortgagesbyanamountequaltotheservicingandotheradministrativefees.Therefore,thepass-throughrateisalsocalledthe“netinterest”or“netcoupon”.Thetimingofthecashflowstopass-throughsecurityholdersdoesnotexactlycoincidewiththecashflowsgeneratedbythepool.9/13/2023Page2CharacteristicsofMortgagePass-ThroughSecuritiesNotallofthemortgagesthatareincludedinapoolofsecuritizedmortgageshavethesamemortgagerateandthesamematurity.Consequently,aweightedaveragecouponrate(WAC)andaweightedaveragematurity(WAM)aredetermined.Example1:Supposeamortgagepoolhasjustfiveloansandtheoutstandingmortgagebalance,rate,andremainingmonthstomaturityisasfollows:CalculatetheWACandWAMofthemortgagepool.

9/13/2023Page3CharacteristicsofMortgagePass-ThroughSecuritiesSolution:

9/13/2023Page4PrepaymentRiskofMortgagePass-ThroughSecuritiesAlthoughapass-throughsecurityhasa“legal”maturity,whichisthedatewhenthelastscheduledprincipalrepaymentisdue,thelegalmaturitydoesnotrevealmuchabouttheactuallifeofthesecurity.Amorewidelyusedmeasureofthematurityofthepass-throughsecurityistheweightedaveragelife,orsimplytheaveragelife.Itmeasureshowlonginvestorscanholdasecuritybeforeitispaidoff,givenanassumedprepaymentrate.Prepaymentriskoccurswhentheactualprepaymentrateofthemortgageiseitherhigherorlowerthantheforecastedprepaymentrate,causingtheactuallifeofthepass-throughsecuritiesbecomeseithershorterorlongerthanitsaveragelife.9/13/2023Page5PrepaymentRiskofMortgagePass-ThroughSecuritiesContractionriskisatypeofprepaymentriskthatwheninterestratesdecline,actualprepaymentswillbehigherthanforecastedbecausehomeownerswillrefinanceatnow-availablelowerinterestrates.Extensionriskisanothertypeofprepaymentriskthatwheninterestratesrise,actualprepaymentswillbelowerthanforecastedbecausehomeownersarereluctanttogiveupthebenefitsofacontractualinterestratethatnowlookslow.9/13/2023Page6PrepaymentRateMeasuresGiventheamountoftheprepaymentforamonthandtheamountthatwasavailabletoprepaythatmonth,amonthlyprepaymentratecalledtheSingle-MonthlyMortalityRate(SMM)canbecomputed.Assumingthefollowing:9/13/2023Page7PrepaymentRateMeasuresTherefore,anSMMofw%meansthatapproximatelyw%oftheremainingmortgagebalanceatthebeginningofthemonth,lessthescheduledprincipalpayment,willprepaythatmonth.GivenaforecastedSMM,wecanalsoprojectthemonthlyprepaymentamount:9/13/2023Page8PrepaymentRateMeasuresInsomecases,marketparticipantsprefertotalkaboutprepaymentrateonanannualbasisratherthanmonthlybasis.ThisishandledbyannualizingSMM.TheannualizedSMMiscalledConditionalPrepaymentRate(CPR).Forexample,supposetheSMMis0.5143%,GivenaCPR,wearealsoabletocalculateSMMas9/13/2023Page9PSABenchmarkThePublicSecuritiesAssociation(PSA)PrepaymentBenchmarkisexpressedasamonthlyseriesofCPRs.ThePSAbenchmarkassumesthatprepaymentratesarelowfornewlyoriginatedmortgagesandthenwillspeedupasthemortgagebecomeseasoned.ThePSAbenchmarkassumesthefollowingCPRsfor30-yearmortgages:ACPRof0.2%forthefirstmonth,increasedby0.2%permonthfortheuntilthe30thmonth,whenitreaches6%peryear.A6%CPRfortheremainingmonths.Thisbenchmarkisreferredtoas100%PSA,orsimply100PSA.Itsgraphicalandmathematicalexpressionisasfollows:9/13/2023Page10PSABenchmarkThegraphicalandmathematicalexpressionof100PSAisasfollows:Forexample,theSMMsformonth5,month20,andmonths31through360assuming100PSAarecalculatedas9/13/2023Page11PSABenchmarkSlowerorfasterspeedsarethenreferredtoassomepercentageof100PSA.50PS