债券市场_分析与策略PPTCh10.ppt

Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 1 Chapter10ResidentialMortgageLoans Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 2 LearningObjectives Afterreadingthischapter youwillunderstandwhatamortgageiswhothemajororiginatorsofresidentialmortgagesaretheborrowerandpropertycharacteristicsconsideredbyalenderinevaluatingthecreditriskofanapplicantforamortgageloanwhattheservicingofaresidentialmortgageloaninvolvesthetypesofresidentialmortgageloansbasedonlienstatus creditclassification interest ratetype amortizationtype creditguarantees loanbalances andprepaymentsandprepaymentpenalties Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 3 LearningObjectives continued Afterreadingthischapter youwillunderstandwhataprepaymentisthecashflowofamortgageloanwhataprepaymentpenaltymortgageiswhatahomeequityloanistherisksassociatedwithinvestinginmortgagesthesignificanceofprepaymentrisk Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 4 OriginationofResidentialMortgageLoans Theoriginallenderiscalledthemortgageoriginator 抵押贷款发放人Theprincipaloriginatorsofresidentialmortgageloansarethrifts 储蓄机构 commercialbanks andmortgagebankers 贷款抵押银行 Mortgageoriginatorsmayservicethemortgagestheyoriginate forwhichtheyobtainaservicingfee Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 5 OriginationofResidentialMortgageLoans continued Whenamortgageoriginatorintendstosellthemortgage itwillobtainacommitmentfromthepotentialinvestor buyer Twogovernment sponsoredenterprises GSEs andseveralprivatecompaniesbuymortgages Becausetheseentitiespoolthesemortgagesandsellthemtoinvestors theyarecalledconduits 导管企业 Whenamortgageisusedascollateralfortheissuanceofasecurity themortgageissaidtobesecuritized 抵押贷款证券化 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 6 UnderwritingStandards承销标准 Payment to IncomeRatio还款额与收入之比Thepayment to incomeratio PTI istheratioofmonthlypaymentstomonthlyincome whichmeasurestheabilityoftheapplicanttomakemonthlypayments bothmortgageandrealestatetaxpayments ThelowerthePTI thegreaterthelikelihoodthattheapplicantwillbeabletomeettherequiredmonthlymortgagepayments Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 7 UnderwritingStandards continued Loan to ValueRatio贷款额与抵押品价值之比Theloan to valueratio LTV istheratiooftheamountoftheloantothemarket orappraised valueoftheproperty Thelowerthisratiois thegreatertheprotectionforthelenderiftheapplicantdefaultsonthepaymentsandthelendermustrepossessandselltheproperty TheLTVhasbeenfoundinnumerousstudiestobethesinglemostimportantdeterminantofthelikelihoodofdefault Therationaleisstraightforward Homeownerswithlargeamountsofequityintheirpropertiesareunlikelytodefault 这是良好的违约预测指标 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 8 TypesofResidentialMortgageLoans Therearedifferenttypesofresidentialmortgageloans Theycanbeclassifiedaccordingtothefollowingattributes lienstatus留置地位creditclassification信用类别interestratetype利率类型amortizationtype分期还款类型creditguarantees信用担保loanbalances贷款余额prepaymentsandprepaymentpenalties提前还款好提前还款罚款 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 9 TypesofResidentialMortgageLoans continued LienStatus留置地位Thelienstatusofamortgageloanindicatestheloan sseniorityintheeventoftheforcedliquidationofthepropertyduetodefaultbytheobligor Foramortgageloanthatisafirstlien thelenderwouldhavefirstcallontheproceedsoftheliquidationofthepropertyifitweretoberepossessed Amortgageloancouldalsobeasecondlienorjuniorlien andtheclaimsofthelenderontheproceedsinthecaseofliquidationcomeaftertheholdersofthefirstlienarepaidinfull Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 10 TypesofResidentialMortgageLoans continued CreditClassification信用类型Aloanthatisoriginatedwheretheborrowerisviewedtohaveahighcreditqualityisclassifiedasaprimeloan Aloanthatisoriginatedwheretheborrowerisoflowercreditqualityorwheretheloanisnotafirstlienonthepropertyisclassifiedasasubprimeloan 次贷 Whilethecreditscoreshavedifferentunderlyingmethodologies thescoresgenericallyarereferredtoas FICOscores FICOscoresrangefrom350to850 ThehighertheFICOscoreis thelowerthecreditrisk Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 11 TypesofResidentialMortgageLoans continued CreditClassificationInrefinancing whentheloanamountrequestedexceedstheoriginalloanamount thetransactionisreferredtoasacash out refinancing 套现再融资Ifinstead thereisfinancingwheretheloanbalanceremainsunchanged thetransactionissaidtobearate and termrefinancingorno cashrefinancing 利率与期限再融资或非套现再融资 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 12 TypesofResidentialMortgageLoans continued CreditClassification信用分类Thefrontratio 前端比率 iscomputedbydividingthetotalmonthlypayments whichincludeinterestandprincipalontheloanpluspropertytaxesandhomeownerinsurance bytheapplicant spre taxmonthlyincome Thebackratio 后端比率 iscomputedinasimilarmanner Themodificationisthatitaddsotherdebtpaymentssuchasautoloanandcreditcardpaymentstothetotalpayments Thecreditscoreistheprimaryattributeusedtocharacterizeloansaseitherprimeorsubprime Prime orA grade loansgenerallyhaveFICOscoresof660orhigher frontandbackratioswiththeabove notedmaximumof28 and36 andLTVslessthan95 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 13 TypesofResidentialMortgageLoans continued InterestRateType利率类型Theinterestratethattheborroweragreestopay referredtoasthenoterate 票面利率 canbefixedorchangeoverthelifeoftheloan Forafixed ratemortgage FRM 固定利率 theinterestrateissetattheclosingoftheloanandremainsunchangedoverthelifeoftheloan Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 14 TypesofResidentialMortgageLoans continued InterestRateTypeForanadjustable ratemortgage ARM 可调整利率 asthenameimplies thenoteratechangesoverthelifeoftheloan Thenoterateisbasedonboththemovementofanunderlyingrate calledtheindexorreferencerate andaspreadovertheindexcalledthemargin TwocategoriesofreferencerateshavebeenusedinARMs market determinedratescalculatedratesbasedonthecostoffundsforthrifts Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 15 TypesofResidentialMortgageLoans continued InterestRateTypeThebasicARMisonethatresetsperiodicallyandhasnoothertermsthataffectthemonthlymortgagepayment Typically themortgagerateisaffectedbyothertermsthatinclude periodicratecaps期间利率上限lifetimeratecapandfloor存续期利率上限和下限Aperiodicratecaplimitstheamountthattheinterestratemayincreaseordecreaseattheresetdate MostARMshaveanupperlimitonthemortgageratethatcanbechargedoverthelifeoftheloan Thislifetimeratecapisexpressedintermsoftheinitialrate ARMsmayalsohavealowerlimit floor ontheinterestratethatcanbechargedoverthelifeoftheloan Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 16 TypesofResidentialMortgageLoans continued AmortizationType分期还款类型Theamountofthemonthlyloanpaymentthatrepresentstherepaymentoftheprincipalborrowediscalledtheamortization Traditionally bothFRMsandARMsarefullyamortizingloans Whatthismeansisthatthemonthlymortgagepaymentsmadebytheborroweraresuchthattheynotonlyprovidethelenderwiththecontractualinterestbutalsoaresufficienttocompletelyrepaytheamountborrowedwhenthelastmonthlymortgagepaymentismade Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 17 TypesofResidentialMortgageLoans continued AmortizationTypeFullyamortizingfixed rateloanshaveapaymentthatisconstantoverthelifeoftheloan Forexample supposealoanhasanoriginalbalanceof 200 000 anoterateof7 5 andatermof30years Thenthemonthlymortgagepaymentwouldbe 1 398 43 TheformulaforcalculatingthemonthlymortgagepaymentiswhereMP monthlymortgagepayment MB0 originalmortgagebalance i noteratedividedby12 indecimal andn numberofmonthsofthemortgageloan 这是等额本息还款 如何推导 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 18 LoanAmortizationSchedule Itshowshowaloanispaidoffovertime Itbreaksdowneachpaymentintotheinterestcomponentandtheprincipalcomponent Let sillustratethisusingRob s4 year 10 000loanwhichcallsforannualpaymentsof 3 432 05 Recallthattheinterestrateonthisloanis14 peryear LoanAmortizationSchedule 3 432 05 1 400 LoanAmortizationSchedule LoanAmortizationSchedule 10 000 本金 P232的表展示了30年的 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 23 讨论 等额本息和等额本金谁还的利息少呢 你认为那个更划算 更占便宜 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 24 TypesofResidentialMortgageLoans continued AmortizationTypeTocalculatetheremainingmortgagebalanceattheendofanymonth thefollowingformulaisused whereMBt mortgagebalanceaftertmonths MB0 originalmortgagebalance i noteratedividedby12 indecimal andn numberofmonthsofthemortgageloan Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 25 TypesofResidentialMortgageLoans continued AmortizationTypeTocalculatetheportionofthemonthlymortgagepaymentthatisthescheduledprincipalpaymentforamonth thefollowingformulaisused whereSPt scheduledprincipalrepaymentformontht MB0 originalmortgagebalance i noteratedividedby12 indecimal andn numberofmonthsofthemortgageloan Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 26 TypesofResidentialMortgageLoans continued AmortizationTypeEXAMPLE Supposethatformonth12 t 12 wehaveMB0 200 000 i 0 00625 n 360 thenthescheduledprincipalrepaymentformonth12is SPt计算的是在第t个月偿还的本金 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 27 TypesofResidentialMortgageLoans continued AmortizationTypeForanARM themonthlymortgagepaymentadjustsperiodically Thus themonthlymortgagepaymentsmustberecalculatedateachresetdate Thisprocessofresettingthemortgageloanpaymentisreferredtoasrecastingtheloan 对于可调整利率抵押贷款需要做贷款重估 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 28 TypesofResidentialMortgageLoans continued CreditGuarantees信用担保Incontrasttogovernmentloans 政府贷款 thereareloansthathavenoexplicitguaranteefromthefederalgovernment Suchloansaresaidtobeobtainedfrom conventionalfinancing 常规贷款andthereforearereferredtointhemarketasconventionalloans Aconventionalloancanbeinsuredbyaprivatemortgageinsurer 私人抵押贷款保险商 只有政府贷款美国政府全额信用保证 房利美和房地美没有 但是一些私人抵押贷款保险商会提供保险 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 29 ConformingLoans合规贷款 FreddieMacandFannieMaearegovernment sponsoredenterprises GSEs whosemissionistoprovideliquidityandsupporttothemortgagemarket WhileFannieMaeandFreddieMaccanbuyorsellanytypeofresidentialmortgage themortgagesthatarepackagedintosecuritiesarerestrictedtogovernmentloansandthosethatsatisfytheirunderwritingguidelines Theconventionalloansthatqualifyarereferredtoasconformingloans AconformingloanissimplyaconventionalloanthatmeetstheunderwritingstandardofFannieMaeandFreddieMac Thus conventionalloansinthemarketarereferredtoasconformingconventionalloansandnonconformingconventionalloans 合规和非合规常规贷款 看是否满足 两房 的标准 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 30 ConformingLoans continued Qualifyingforaconformingloanisimportantforboththeborrowerandthemortgageoriginator ThisisbecausethetwoGSEsarethelargestbuyersofmortgagesintheUnitedStates Hence loansthatqualifyasconformingloanshaveagreaterprobabilityofbeingpurchasedbyFannieMaeandFreddieMactobepackagedintoanMBS Asaresult theyhavelowerinterestratesthannonconformingconventionalloans 中国的住房公积金贷款也有类似之处 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 31 TypesofResidentialMortgageLoans continued LoanBalancesForgovernmentloansandtheloansguaranteedbyFreddieMacandFannieMae therearelimitsontheloanbalance Theloanlimits referredtoasconforminglimits 合规限额 forFreddieMacandFannieMaeareidenticalbecausetheyarespecifiedbythesamestatute Loanslargerthantheconforminglimitforagivenpropertytypearereferredtoasjumboloans 巨额贷款 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 32 TypesofResidentialMortgageLoans continued PrepaymentsandPrepaymentPenalties提前还款和罚金Homeownersoftenrepayallorpartoftheirmortgagebalancepriortothescheduledmaturitydate Theamountofthepaymentmadeinexcessofthemonthlymortgagepaymentiscalledaprepayment Thistypeofprepaymentinwhichtheentiremortgagebalanceisnotpaidoffiscalledapartialpaymentorcurtailment Whenacurtailmentismade theloanisnotrecast Instead theborrowercontinuestomakethesamemonthlymortgagepayment Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 33 TypesofResidentialMortgageLoans continued PrepaymentsandPrepaymentPenaltiesThemorecommontypeofprepaymentisonewheretheentiremortgagebalanceispaidoff Allmortgageloanshavea dueonsale clause whichmeansthattheremainingbalanceoftheloanmustbepaidwhenthehouseissold Effectively theborrower srighttoprepayaloaninwholeorinpartwithoutapenaltyisacalledanoption Amortgagedesignthatmitigatestheborrower srighttoprepayistheprepaymentpenaltymortgage 提前还款惩罚贷款 提前还款会让贷款人面临什么风险 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 10 34 RisksAssociatedwithInvestinginMortgageLoans Investorsfacefo