固定收益证券FixedIncomeSecuritiesLecturePPT课件.pptx

FixedIncomeSecurities Lecture10 DrHerbertY T LamMay2013 2020 1 27 1 Today sLecture MortgageLoansMortgage BackedSecuritiesMortgagepassthroughsecuritiesCollateralizedMortgageObligationStrippedMortgage BackedSecuritiesCMOsandSubprimeCrisis 2020 1 27 2 Mortgages Amortgageloanisaloansecuredbythecollateralofsomespecificrealestatepropertywhichobligestheborrowertomakeapredeterminedseriesofpayments Amortgagedesignisaspecificationoftheinterestrate termofthemortgage andmannerinwhichtheborrowedfundsarerepaid Mortgageoriginator originallender caneither holdthemortgageintheirportfolio sellthemortgagetoaninvestoror usethemortgageascollateralfortheissuanceofasecurity mortgagebackedsecurity 2020 1 27 3 Contractrate interestrateonamortgageloan ContractrateisgreaterthantheyieldonaTreasurysecurityofcomparablematurity Thespreadreflectscostsofcollectioncostsassociatedwithdefault noteliminateddespitethecollateral poorerliquidityuncertaintyconcerningthetimingofthecashflow 2020 1 27 4 Fixedrate levelpayment fullyamortizedmortgage Theborrowerpaysinterestandrepaysprincipalinequalinstallmentsoveranagreeduponperiodoftime termofthemortgage Thefrequencyofpaymentistypicallymonthly Theservicingfeeisaportionofthemortgagerate Theinterestratethattheinvestorreceivesiscalledthenetcoupon GrowingequitymortgagesItisafixed ratemortgagewhosemonthlymortgagepaymentsincreaseovertime 2020 1 27 5 Amortizationscheduleforalevel paymentfixed ratemortgage Mortgageloan 100 000Mortgagerate 8 125 Monthlypayment 742 50Termofloan 30years 360months Examplen 360 mortgagebalance 100 000 i 0 08125 12 Mortgagepayment 742 50 2020 1 27 6 Proofofthemortgageformula 2020 1 27 7 Example MortgagebalanceisreducedwitheachmonthlymortgagepaymentInterestportiondeclinesandrepaymentportionincreases 2020 1 27 8 AdjustableRateMortgages ThemortgagerateisresetperiodicallyinaccordancewithsomechosenreferencerateProtectionclausesagainstoverlylargecouponchangesOthertermsRatecapslimittheamountthatthecontractratemayincreaseordecreaseattheresetdate Alifetimecapsetsthemaximumcontractrateoverthetermoftheloan 2020 1 27 9 Prepayment Paymentsmadeinexcessofthescheduledprincipalrepayments Theamountandtimingofthecashflowsfromtherepaymentsarenotknownwithcertainty ReasonsSaleofahomeMarketratesfallbelowthecontractrateFailuretomeetthemortgageobligations 2020 1 27 10 Factorsaffectingprepaymentbehaviors Prevailingmortgagerate thecurrentlevelofmortgageratesrelativetotheborrower scontractrate Thespreadshouldbewideenoughtocoverthecosts2 Pathhistoryofratespreadisimportant dependsonwhethertherehavebeenprioropportunitiestorefinancesincetheunderlyingmortgageswereoriginated 2020 1 27 11 Factorsaffectingprepaymentbehaviors 3 Presenceofprepaymentpenalty Macroeconomicfactorse g growingeconomyresultsinariseinpersonalincomeandinopportunitiesforworkermigration Seasonalfactor HomebuyingincreasesintheSpringandreachesapeakinthelateSummer Sincetherearedelaysinpassingthroughprepayments thepeakmaynotbeobserveduntilearlyFall 2020 1 27 12 Interestratepathdependence Prepaymentburnout Prepaymentsarepathdependentsincethismonth sprepaymentratedependsonwhethertherehavebeenprioropportunitiestorefinanceoncetheunderlyingmortgageswereoriginated Example pathofinterestratesinthepast3yearsFirstpath 11 8 13 8 Secondpath 11 12 13 8 Morerefinancingoccursnowwhentheinterestratesfollowthesecondpath 2020 1 27 13 Prepaymentmodels Describestheexpectedprepaymentsontheunderlyingpoolofmortgagesattimetintermsoftheyieldcurveattimetandotherrelevantvariables predictedfromananalysisofhistoricaldata ExampleWeeklyreport SpreadTalk publishedbythePrudentialSecurities provides6 month 1 yearandlong termprepaymentprojectionsassumingdifferentamountsofshiftininterestrates 2020 1 27 14 Mortgage backedsecurities MBS Mortgage backedsecuritiesaresecuritiesbackedbyapoolofmortgageloans 1 Mortgagepassthroughsecurities 2 Collateralizedmortgageobligations 3 Strippedmortgage backedsecurities Thelasttwotypesarecalledderivativemortgage backedsecuritiessincetheyarecreatedfromthefirsttype 2020 1 27 15 MBSversusfixedincomeinvestments Virtuallynodefaultrisksincethemortgagesinapoolareguaranteedbyagovernmentrelatedagency suchasGNMA GovernmentNationalMortgageAssociation orFNMA FederalNationalMortgageAssociation Prepaymentrisk ReinvestmentriskPrepaymentprivilegesgiventothehouseholdertoputthemortgagebacktothelenderatitsfacevalue 2020 1 27 16 HowistheOption adjusted spread OAS determined OSAanalysisevaluatesthecashflowsforanMBSbasedonthousandsofdifferentinterestratescenarios Startingwithcertainprepaymentassumptions eachdifferentinterestratepathisconvertedintoaprepaymentscenario Forexample ifmarketratesdrop100bps whatpercentageofborrowerswillrefinanceinagivenmonth Avalueforthesecurityisderivedbydiscountingthetheoreticalcashflowstothepresentandaveragingthem Numericaltechniques latticetreetogeneratethevariousinterestratescenarios 2020 1 27 17 MortgagePassthroughSecurities Amortgagepassthroughsecurityisasecuritycreatedwhenoneormoreholdersofmortgagesformapoolofmortgagesandsellsharesorparticipationcertificatesinthepool Thecashflowsconsistsofmonthlymortgagepaymentsrepresentinginterest thescheduledrepaymentofprincipal andanyprepayments 2020 1 27 18 MortgagePassthroughSecurities Paymentsaremadetosecurityholderseachmonth Themonthlycashflowsforapassthrougharelessthanthemonthlycashflowsoftheunderlyingmortgagesbyanamountequaltoservicingandotherfees Notallofthemortgagesthatareincludedinthepoolthataresecuritizedhavethesamemortgagerateandthesamematurity Aweightedaveragecouponrate WAC andaweightedaveragematurity WAM aredetermined 2020 1 27 19 2020 1 27 20 Senior subordinatedstructures Thesubordinatedclassisthefirst losspieceabsorbingalllossesontheunderlyingcollateral thusprotectingtheseniorclass Theseniorclassisgivingupyieldtothesubordinatedclassholders Example 100milliondealdividedinto 92 25millionseniorclass 7 75millionsubordinatedclassSupposethereis 10millionoflosses thesubordinatedclassexperiences 7 75millionoflosses 100 loss andtheseniorclassexperiencesalossof 2 25million 2 4 2 25 92 25loss 2020 1 27 21 Contractionrisk Supposeaninvestorbuysa10 couponGinnieMaeatatimewhenmortgagesare10 Whatwouldbetheimpactonprepaymentsifmortgageratesdeclineto6 Thepriceofanoptionfreebondwillrise butinthecaseofpassthroughsecuritytheriseinpriceislessbecausethereisahigherprepayment refinanceatlowerrate Theupsidepricepotentialistruncatedduetoprepayments Thecashflowsfromprepaymentsarereinvestedatalowerrate 2020 1 27 22 Expansionrisk Whathappenifthemortgageratesriseto15 Thepriceofthepassthrough likethepriceofanybond willdecline Itdeclinesmorebecausethehigherrateswilltendtoslowdowntherateofprepayment ineffectincreasingtheamountinvestedatthecouponrate whichislowerthanthemarketrate 2020 1 27 23 WhatisaCollateralizedmortgageobligations CMO MortgagesarepooledThe pool issplitintovarioustrancheswithvaryingdegreesofrisk cashflows andtimeframes tranche Frenchwordmeaning slice InvestorspurchasesecuritiesMortgagesareusedascollateralformortgagepass throughsecurities 2020 1 27 24 Collateralizedmortgageobligations CMO Acollateralizedmortgageobligationisadebtinstrumentcollateralizedbymortgagepassthroughcertificates Thecashflows interestandprincipal aredirectedtodifferentbondclasses calledtranchessoastomitigatedifferentformsofprepaymentrisk Thisisknownas distributionbasedonthewaterfall 2020 1 27 25 Collateralizedmortgageobligations CMO 2020 1 27 26 HistoryofCMOs Originatedasamortgagepass throughsecurityGovernment sponsoredenterpriseswerecreatedtoattractinvestors createaliquidsecondarymarket FannieMae GinnieMae FreddieMacwereresponsibleforpurchasingmortgagesandissuingmortgagebackedsecurities1970 GinnieMaeissuedthefirstbondsbackedbypoolsofmortgagestofreeupfundsformorehomeloans1977 Thefirstprivatemortgagebackedsecuritiesaresold1983 FreddieMacissuesthefirstcollateralizedmortgageobligation whichallowsinvestorstopicktheirlevelofrisk 2020 1 27 27 AdvantagesofCMOs ReducePrepaymentriskAttractawidevarietyofinvestorsbyofferingvarioustranchesRegularmonthlyorquarterlypaymentsGuaranteedbythefinancialinstitutionthatissuestheinvestment FannieMae FreddieMacinsurepaymentwhenborrowerdefaultsGinnieMaeinsures fullfaithandcredit toinvestors 2020 1 27 28 Remarks CMO ThecreationofaCMOcannoteliminateprepaymentrisk Itcanonlyredistributeprepaymentriskamongdifferentclassesofbondholders CMOclasshasadifferentcouponratefromthatfortheunderlyingcollateral resultingininstrumentsthathavevaryingrisk returncharacteristicsthatfittheneedsoffixed incomeinvestors Supposeinvestorshavedifferentpreferredmaturities sotheyshouldbewillingtopaydifferentpricesforsecuritiesofdifferentexpectedmaturities 2020 1 27 29 TypesofCMO Tranche PrincipalHandling Sequential Pay顺序支付AccrualTrancheorZ BondPlannedAmortizationClass按计划支付PACTargetedAmortizationClassInterestHanding Principal OnlyInterest OnlyFloaters 2020 1 27 30 Sequential paytranches Totalparvalueof 400millionRulesTrancheAreceivesalltheprincipalpaymentsuntiltheentireprincipalamountowedtothatbondclass 194 500 000ispaidoff thentrancheBbeginstoreceiveprincipalandcontinuestodosountilitispaidtheentire 36 000 000 Eachtranchereceiveinterestontherespectiveclass soutstandingbalance 2020 1 27 31 Sequential paytranches TranchesmatureinchronologicalorderTranche1receivesprincipalandinterestpaymentswhileTranche2 3receiveinterestonlyuntilTranche1hitsmaturityAfterTranche1ispaidinfull Tranche2receivesprincipalandinterestpaymentswhileTranche3continuestoreceiveinterestonlypaymentsFinally Tranche3beginstoreceiveprincipalandinterestpaymentsonceTranche2iscomplete Attractsavarietyofinvestorsbyofferingdifferentlevelsofriskandinvestmentperiods 2020 1 27 32 SequentialCMO 2020 1 27 33 AccrualTranches Five TrancheSequential PayStructurewithFloater InverseFloater andAccrualBondClasses Theinterestfortheaccrualtranchewouldaccrueandbeaddedtotheprincipalbalance likezero couponbond Theinterestthatwouldhavebeenpaidtotheaccrualbondclassisusedtospeeduppaydownoftheprincipalbalanceofearlierbondclasses 2020 1 27 34 AccrualTranches Z bond alsocalledZ bondInterestthatwouldhavebeenpaidtotheaccrualtranchesisusedtopayofftheprincipalbalanceofearliertranchesA B C smaturityshortenedNoreinvestmentrisk 2020 1 27 35 Floating RateTranches 96 500 000 7 5 7 237 500Maxinterestforinversefloateris1 monthLIBOR 0Floater sinterest 7 237 500 0 5 361 875Inversefloater sinterest 6 875 625Caprate K 6 875 625 24 125 000 28 5 Inversefloater K L 1 monthLIBOR 0 75 LIBOR 0 5 0 25 28 5 L LIBOR 7 5 L 3 2020 1 27 36 Floating RateTranches Fordisbursementofprincipalpayments DisburseprincipalpaymentstotrancheAuntilitispaidoffcompletely AftertrancheAispaidoffcompletely disburseprincipalpaymentstotrancheBuntilitispaidoffcompletely AftertrancheBispaidoffcompletely disburseprincipalpaymentstotranchesFLandIFLuntiltheyarepaidoffcompletely TheprincipalpaymentsbetweentranchesFLandIFLshouldbemadeinthefollowingway 75 totrancheFLand25 totrancheIFL AftertranchesFLandIFLarepaidoffcompletely disburseprincipalpaymentstotrancheZuntiltheoriginalprincipalbalanceplusaccruedinterestispaidoffcompletely 2020 1 27 37 Floating RateTranches Forpaymentofperiodiccouponinterest DisburseperiodiccouponinteresttotranchesA B FL andIFLonthebasisoftheamountofprincipaloutstandingatthebeginningoftheperiod FortrancheZ accruetheinterestbasedontheprincipalplusaccruedinterestintheprecedingperiod TheinterestfortrancheZistobepaidtotheearliertranchesasaprincipalpaydown ThereisacaponFLandaflooronIFL ThemaximumcouponrateforFLis10 theminimumcouponrateforIFLis0 Thefactor3inIFLiscalledthecouponleverage 2020 1 27 38 2020 1 27 39 StructuredInterest OnlyTranches Theyarecreatedbyalteringthedistributionofprincipalandinterestfromaproratadistributiontoanunequaldistribution Forexample alltheinterestisallocatedtotheIOclass interestonly andalltheprincipaltothePOclass principalonly POsecuritiesarepurchasedatasubstantialdiscountfromparvalue Thefastertheprepayments thehighertheyieldtheinvestorwillrealize IOinvestorswantprepaymentstobeslow Thisisbecausewhenprepaymentsaremade theoutstandingprincipaldeclines andlessdollarinterestisreceived 2020 1 27 40 StructuredInterest OnlyTranches FiveTrancheSequentialPaywithanAccrualTrancheandanInterest OnlyTrancheFortheIOclass thereisnoparamount Theamountshownistheamountonwhichtheinterestpaymentswillbedetermined Thisiscalledthenotionalamount Notionalamountfor7 5 IO 2020 1 27 41 StructuredInterest OnlyTranches CreatingaNotionalIOTranche 2020 1 27 42 PaymentRules Interest only Forpaymentofperiodiccouponinterest DisburseperiodiccouponinteresttotranchesA B andConthebasisoftheamountofprincipaloutstandingatthebeginningoftheperiod FortrancheZ accruetheinterestbasedontheprincipalplusaccruedinterestintheprecedingperiod TheinterestfortrancheZistobepaidtotheearliertranchesasaprincipalpaydown DisburseperiodicinteresttotheIOtranchebasedonthenotionalamountatthebeginningoftheperiod 2020 1 27 43 PaymentRules Interest only Fordisbursementofprincipalpayments DisburseprincipalpaymentstotrancheAuntilitispaidoffcompletely AftertrancheAispaidoffcompletely disburseprincipalpaymentstotrancheBuntilitispaidoffcompletely AftertrancheBispaidoffcompletely disburseprincipalpaymentstotrancheCuntilitispaidoffcompletely AftertrancheCispaidoffcompletely disburseprincipalpaymentstotrancheZuntiltheoriginalprincipalbalanceplusaccruedinterestispaidoffcompletely 2020 1 27 44 PlannedAmortizationClass PAC MostpopularCMOissuedtodayMakeup50 ofallfirsttimeissuedCMOsMitigateprepaymentriskPrepaymentspeedsetsataspecifiedband collar Supporttranchesabsorbtheprepaymentrisk 2020 1 27 45 PlannedAmortizationClass PAC CreatesascheduleoffixedprincipalpaymentsIfprepaymentoccurs investorreceivesfixedpaymentwhileadditionalfundsareappliedtoacompanion supporttranche reduceprepaymentrisk GuaranteecashflowatgivenintervalsProtectedagainstContraction ExtensionRiskMinimalRisk LowerRates 2020 1 27 46 PSAPrepaymentBenchmark 100PSA 100PSA startingwithanannualizedprepaymentrateof0 inmonth0 theratewillincreaseby0 2 eachmonth untilitpeaksat6 after30months thenconstantannualprepaymentrateof6 2020 1 27 47 125PSA 2020 1 27 48 175PSA 2020 1 27 49 200PSA 2020 1 27 50 TargetedAmortizationClass TAC SimilartoPlannedAmortizationClassOfferedatafixedrateversusafixedpaymentMinimalRiskExcesscashflowisdistributedtocompaniontrancheCompaniontranchesofferhigherratesNotellinghowfastorslowthetranchewillmature 2020 1 27 51 2020 1 27 52 StrippedMortgage BackedSecurities SMBS 本息分离组MBS SMBSarecreatedbyseparating stripping theinterestandprincipalpaymentsinapass throughcashflowandthenallocatingspecifiedpercentagesofthesepaymentstoseparateclasses IO onlyreceives100 oftheinterestcash flowsfromtheunderlyingpass throughsand0 oftheprincipal PO onlyreceivesbothscheduledandunscheduledpaymentsofprincipalandnoneoftheinterest 2020 1 27 53 StrippedMortgage BackedSecurities 2020 1 27 54 StrippedMortgage BackedSecurities Principal OnlyMortgageStripsReceivesonlyprincipalpaymentsBoughtatdiscountVulnerabletoInterestRateChangesDecreaseininterestratescreateanincreaseinprepaymentThefastertheprepayments thehighertheinvestor sreturn 2020 1 27 55 StrippedMortgage BackedSecurities Interest OnlyMortgageStripsNoparvalueReceivesonlyinterestpayments interestlivesontheprincipal VulnerabletoInterestRateChangesIncreaseininterestratescreateadecreaseinprepaymentIOwantsprepaymentstobeslow 2020 1 27 56 100PSA 2020 1 27 57 300PSA 2020 1 27 58 RelationshipbetweenpriceandmortgageratesforaPassthrough POandIO MortgageRate ContractRate 9 Prepayment Cashflowdiscountedatalowerrate POprice 9 2020 1 27 59 Impactofmortgagerates IOinstrippedmortgagebacksecuritiesThevalueincreasesmonotonicallywithrateincreasesinceinterestpaymentsincrease POinstrippedmortgagebackedsecuritiesThevaluedecreasesmonotonicallywithrateincreasesincefuturecashflowstobereceivedhaslesspresentvalue 2020 1 27 60 WhyIOorPOcashflowsmightbeofinteresttoinvestors PricingandhedgingprepaymentriskIO negativeduration hedgeforincreasingratesPO hedgeforprepaymentrisk i e bymortgageservicers 2020 1 27 61 WhyIOorPOcashflowsmightbeofinteresttoinvestors 2020 1 27 62 WhyCMOarepopular TheCMOconvertsalong termmonthlypaymentinstrumentintoaseriesofsemi annualpayments whicharebond likesecuritieswithshort intermediateandlongmaturities Themultiple maturitystructurereducesthedegreeofuncertaintyofcashflowsforanyparticularmaturityclass andprovidesthelongermaturityclasseswithlimitedcallprotection Thisisbecauseshortertranchesabsorbtheinitialburdenofexcessprincipalrepayments 2020 1 27 63 WhyCMOarepopular 3 InvestorsareattractedbythebroaderrangeofinvestmentmaturitiesmadepossiblebytheCMOstructure Forexample insurancecompaniespurchaseheavilyinthe4 6yearlifetranche Pensionfundshavebeenactiveinthelongertranchesector 4 CreditqualityThehighqualityofthecollateral GNMAetc alongwiththeprotectivestructureofthetrust enablesthesesecuritiestogenerallycarrythehighestinvestmentgradecreditrating YieldOfferinvestorsattractiveyieldpremiumsoverTreasuryandevensomecorporatebonds 6 EventriskCMOareessentiallyfreefromdefaultrisk Theyarealsofreefromeventsthatcausepricefluctuationsinthecorporateworld 2020 1 27 64 Valuationofthetranches CMOistheunbundlingoftraditionalmortgage backedsecuritiesintoshorttranchecashflowsandlongtranchecashflows Themarketyieldofabundledbondistheweightedaverageoftheyieldsforthetwotranches Steeperyieldcurves widerspreadbetweenthelong termandshort terminterestrates andgreaterprepaymentriskenhancethevalueoftheCMOsecurityrelativetothecomparableGNMA GovernmentNationalMortgageAssociation pass through Each100basispointsincreaseinthesteepnessoftheyieldcurveisfoundtoprovide14basispointsincreaseinCMO sweightedyield 2020 1 27 65 ValuingMBSusingMonteCarlosimulation Generaterandominterestratepathsbytakingasinputtoday stermstructureofinterestratesandavolatilityassumption Prepaymentsareprojectedbyfeedingtherefinancingrateandloancharacteristicsintoaprepaymentmodel Giventheprojectedprepayments thecashflowalonganinterestratepathcanbedetermined Thesimulationworksbygeneratingmanyscenariosoffutureinterestratepaths AnestimateofthevalueoftheMBSistheaverageofthesamplevaluesovermanysimulationtrials 2020 1 2