债券市场-分析与策略Ch10学习

债券市场_分析与策略Ch10学习10-2

Chapter10

ResidentialMortgageLoans

10-3LearningObjectivesAfterreadingthischapter,youwillunderstandwhatamortgageiswhothemajororiginatorsofresidentialmortgagesaretheborrowerandpropertycharacteristicsconsideredbyalenderinevaluatingthecreditriskofanapplicantforamortgageloanwhattheservicingofaresidentialmortgageloaninvolvesthetypesofresidentialmortgageloansbasedonlienstatus,creditclassification,interest-ratetype,amortizationtype,creditguarantees,loanbalances,andprepaymentsandprepaymentpenalties10-4LearningObjectives(continued)Afterreadingthischapter,youwillunderstandwhataprepaymentisthecashflowofamortgageloanwhataprepaymentpenaltymortgageiswhatahomeequityloanistherisksassociatedwithinvestinginmortgagesthesignificanceofprepaymentrisk10-5OriginationofResidentialMortgageLoansTheoriginallenderiscalledthemortgageoriginator.抵押贷款发放人Theprincipaloriginatorsofresidentialmortgageloansarethrifts（储蓄机构）,commercialbanks,andmortgagebankers（贷款抵押银行）.Mortgageoriginatorsmayservicethemortgagestheyoriginate,forwhichtheyobtainaservicingfee.10-6OriginationofResidentialMortgageLoans

(continued)Whenamortgageoriginatorintendstosellthemortgage,itwillobtainacommitmentfromthepotentialinvestor(buyer).Twogovernment-sponsoredenterprises(GSEs)andseveralprivatecompaniesbuymortgages.Becausetheseentitiespoolthesemortgagesandsellthemtoinvestors,theyarecalledconduits（导管企业）.Whenamortgageisusedascollateralfortheissuanceofasecurity,themortgageissaidtobesecuritized（抵押贷款证券化）.10-7UnderwritingStandards承销标准Payment-to-IncomeRatio还款额与收入之比Thepayment-to-incomeratio(PTI)istheratioofmonthlypaymentstomonthlyincome,whichmeasurestheabilityoftheapplicanttomakemonthlypayments(bothmortgageandrealestatetaxpayments).ThelowerthePTI,thegreaterthelikelihoodthattheapplicantwillbeabletomeettherequiredmonthlymortgagepayments.10-8UnderwritingStandards(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！10-9TypesofResidentialMortgageLoansTherearedifferenttypesofresidentialmortgageloans.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10-10TypesofResidentialMortgageLoans

(continued)LienStatus留置地位Thelienstatusofamortgageloanindicatestheloan’sseniorityintheeventoftheforcedliquidationofthepropertyduetodefaultbytheobligor.Foramortgageloanthatisafirstlien,thelenderwouldhavefirstcallontheproceedsoftheliquidationofthepropertyifitweretoberepossessed.Amortgageloancouldalsobeasecondlienorjuniorlien,andtheclaimsofthelenderontheproceedsinthecaseofliquidationcomeaftertheholdersofthefirstlienarepaidinfull.10-11TypesofResidentialMortgageLoans

(continued)CreditClassification信用类型Aloanthatisoriginatedwheretheborrowerisviewedtohaveahighcreditqualityisclassifiedasaprimeloan.Aloanthatisoriginatedwheretheborrowerisoflowercreditqualityorwheretheloanisnotafirstlienonthepropertyisclassifiedasasubprimeloan.次贷！Whilethecreditscoreshavedifferentunderlyingmethodologies,thescoresgenericallyarereferredtoas“FICOscores.”FICOscoresrangefrom350to850.ThehighertheFICOscoreis,thelowerthecreditrisk.10-12TypesofResidentialMortgageLoans

(continued)CreditClassificationInrefinancing,whentheloanamountrequestedexceedstheoriginalloanamount,thetransactionisreferredtoasacash-out-refinancing.套现再融资Ifinstead,thereisfinancingwheretheloanbalanceremainsunchanged,thetransactionissaidtobearate-and-termrefinancing

orno-cashrefinancing.利率与期限再融资或非套现再融资10-13TypesofResidentialMortgageLoans

(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%.10-14TypesofResidentialMortgageLoans

(continued)InterestRateType利率类型Theinterestratethattheborroweragreestopay,referredtoasthenoterate（票面利率）,canbefixedorchangeoverthelifeoftheloan.Forafixed-ratemortgage(FRM)固定利率,theinterestrateissetattheclosingoftheloanandremainsunchangedoverthelifeoftheloan.10-15TypesofResidentialMortgageLoans

(continued)InterestRateTypeForanadjustable-ratemortgage(ARM)可调整利率,asthenameimplies,thenoteratechangesoverthelifeoftheloan.Thenoterateisbasedonboththemovementofanunderlyingrate,calledtheindex

orreferencerate,

andaspreadovertheindexcalledthemargin.TwocategoriesofreferencerateshavebeenusedinARMs:market-determinedratescalculatedratesbasedonthecostoffundsforthrifts10-16TypesofResidentialMortgageLoans

(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.10-17TypesofResidentialMortgageLoans

(continued)AmortizationType分期还款类型Theamountofthemonthlyloanpaymentthatrepresentstherepaymentoftheprincipalborrowediscalledtheamortization.Traditionally,bothFRMsandARMsarefullyamortizingloans.Whatthismeansisthatthemonthlymortgagepaymentsmadebytheborroweraresuchthattheynotonlyprovidethelenderwiththecontractualinterestbutalsoaresufficienttocompletelyrepaytheamountborrowedwhenthelastmonthlymortgagepaymentismade.10-18TypesofResidentialMortgageLoans

(continued)AmortizationTypeFullyamortizingfixed-rateloanshaveapaymentthatisconstantoverthelifeoftheloan.Forexle,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？10-19LoanAmortizationScheduleItshowshowaloanispaidoffovertime.Itbreaksdowneachpaymentintotheinterestcomponentandtheprincipalcomponent.Let’sillustratethisusingRob’s4-year$10,000loanwhichcallsforannualpaymentsof$3,432.05.Recallthattheinterestrateonthisloanis14%peryear.LoanAmortizationSchedule=$3,432.05−$1,400

=10,000×0.14Period:

1

Principal@Start

ofPeriod

InterestforPeriod

Balance

Payment

Principal@End

ofPeriod

PrincipalRepaid

$10,000.00

$1,400.00

$11,400.00

$3,432.05

$7,967.95

$2,032.05

LoanAmortizationSchedule=7,967.95×0.14=$3,432.05−$1,115.51Period:

1

2

Principal@Start

ofPeriod

InterestforPeriod

Balance

Payment

Principal@End

ofPeriod

PrincipalRepaid

$10,000.00

$1,400.00

$11,400.00

$3,432.05

$7,967.95

$2,032.05

$7,967.95

$1,115.51

$9,083.47

$3,432.05

$5,651.41

$2,316.54

LoanAmortizationSchedule=10,000(本金）P232的表展示了30年的10-24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？）10-25TypesofResidentialMortgageLoans

(continued)AmortizationTypeTocalculatetheremainingmortgagebalanceattheendofanymonth,thefollowingformulaisused:whereMBt=mortgagebalanceaftert

months,MB0=originalmortgagebalance($),i=noteratedividedby12(indecimal),andn

=numberofmonthsofthemortgageloan.10-26TypesofResidentialMortgageLoans

(continued)AmortizationTypeTocalculatetheportionofthemonthlymortgagepaymentthatisthescheduledprincipalpaymentforamonth,thefollowingformulaisused:whereSPt=scheduledprincipalrepaymentformontht,MB0=originalmortgagebalance($),i=noteratedividedby12(indecimal),andn

=numberofmonthsofthemortgageloan.10-27TypesofResidentialMortgageLoans

(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！10-28TypesofResidentialMortgageLoans

(continued)AmortizationTypeForanARM,themonthlymortgagepaymentadjustsperiodically.Thus,themonthlymortgagepaymentsmustberecalculatedateachresetdate.Thisprocessofresettingthemortgageloanpaymentisreferredtoasrecastingtheloan.对于可调整利率抵押贷款需要做贷款重估！~10-29TypesofResidentialMortgageLoans

(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。10-30ConformingLoans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10-31ConformingLoans(continued)Qualifyingforaconformingloanisimportantforboththeborrowerandthemortgageoriginator.ThisisbecausethetwoGSEsarethelargestbuyersofmortgagesintheUnitedStates.Hence,loansthatqualifyasconformingloanshaveagreaterprobabilityofbeingpurchasedbyFannieMaeandFreddieMactobepackagedintoanMBS.Asaresult,theyhavelowerinterestratesthannonconformingconventionalloans.中国的住房公积金贷款也有类似之处！10-32TypesofResidentialMortgageLoans

(continued)LoanBalancesForgovernmentloansandtheloansguaranteedbyFreddieMacandFannieMae,therearelimitsontheloanbalance.Theloanlimits,referredtoasconforminglimits（合规限额）,forFreddieMacandFannieMaeareidenticalbecausetheyarespecifiedbythesamestatute.Loanslargerthantheconforminglimitforagivenpropertytypearereferredtoasjumboloans.（巨额贷款）10-33TypesofResidentialMortgageLoans

(continued)PrepaymentsandPrepaymentPenalties提前还款和罚金Homeownersoftenrepayallorpartoftheirmortgagebalancepriortothescheduledmaturitydate.Theamountofthepaymentmadeinexcessofthemonthlymortgagepaymentiscalledaprepayment.Thistypeofprepaymentinwhichtheentiremortgagebalanceisnotpaidoffiscalledapartialpaymentorcurtailment.Whenacurtailmentismade,theloanisnotrecast.Instead,theborrowercontinuestomakethesamemonthlymortgagepayment.10-34TypesofResidentialMortgageLoans

(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？1