固定收益证-券Collaterized-Mortgage-Obligations-and-Stripped-Mortgage-Backed-Securities课件

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,*,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,1,Chapter 12,Collaterized Mortgage Obligations and Stripped Mortgage-Backed Securities,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,2,Learning Objectives,After reading this chapter, you will understand,what a mortgage is,why and how an agency collateralized mortgage obligation is created,what is meant by REMIC and why CMOs are referred to as REMICs or REMIC structures,what a sequential-pay CMO is,how the average life of a sequential-pay CMO compares to that of the collateral from which it is created,what an accrual tranche is and its effect on the average life of sequential-pay tranches in the CMO structure,how a floater and an inverse floater are created from a CMO tranche,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,3,Learning Objectives,(continued),After reading this chapter, you will understand,what a planned amortization class tranche is and how it is created,how the prepayment protection for a planned amortization class changes over time,what a support tranche is and the substantial prepayment risk to which it exposes investors,what a support bond with a schedule is,what a notional IO is and how it is created,how agency stripped mortgage-backed securities are created,the various types of agency stripped mortgage-backed securities,the investment characteristics of agency stripped mortgage-backed securities,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,4,Agency Collateralized Mortgage Obligations,Collateralized mortgage obligations,(CMOs) are bond classes created by redirecting the cash flows of mortgage-related products so as to mitigate prepayment risk.,The mere creation of a CMO cannot eliminate prepayment risk; it can only transfer the various forms of this risk among different classes of bondholders.,The bond classes created are commonly referred to as,tranches,.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,5,Agency Collateralized Mortgage Obligations,(continued),Sequential-Pay Tranches,The first CMO was created in 1983 and was structured so that each class of bond would be retired sequentially.,Such structures are referred to as,sequential-pay CMOs,.,A CMO is created by redistributing the cash flow (interest and principal) to the different tranches based on payment rules.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,6,Exhibit 12-1,FJF-01: Hypothetical Four-Tranche Sequential-Pay Structure,a,Tranche,Par Amount,Coupon Rate (%),A,$194,500,000,7.5,B,36,000,000,7.5,C,96,500,000,7.5,D,73,000,000,7.5,$400,000,000,a,Payment rules:,1. For payment of periodic coupon interest: Disburse periodic coupon interest to each tranche on the basis of the amount of principal outstanding at the beginning of the period.,2. For disbursement of principal payments: Disburse principal payments to tranche A until it is paid off completely. After tranche A is paid off completely, disburse principal payments to tranche B until it is paid off completely. After tranche B is paid off completely, disburse principal payments to tranche C until it is paid off completely. After tranche C is paid off completely, disburse principal payments to tranche D until it is paid off completely.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,7,Agency Collateralized Mortgage Obligations,(continued),Sequential-Pay Tranches,Each tranche receives periodic coupon interest payments based on the amount of the outstanding balance at the beginning of the month.,A tranche is not entitled to receive principal until the entire principal of the preceding tranche has been paid off.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,8,Agency Collateralized Mortgage Obligations,(continued),Sequential-Pay Tranches,There is considerable variability of the average life for the tranches.,Exhibit 12-3 (,see Overhead 12-9,) reports the average life of the collateral and the four tranches assuming different prepayment speeds.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,9,Exhibit 12-3,Average Life for the Collateral and the Four Tranches of FJF-01,Prepayment,Speed (PSA),Average Life for,Collateral,Tranche A,Tranche B,Tranche C,Tranche D,50,15.11,7.48,15.98,21.02,27.24,100,11.66,4.90,10.86,15.78,24.58,165,8.76,3.48,7.49,11.19,20.27,200,7.68,3.05,6.42,9.60,18.11,300,5.63,2.32,4.64,6.81,13.36,400,4.44,1.94,3.70,5.31,10.34,500,3.68,1.69,3.12,4.38,8.35,600,3.16,1.51,2.74,3.75,6.96,700,2.78,1.38,2.47,3.30,5.95,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,10,Agency Collateralized Mortgage Obligations,(continued),There is some protection provided for each tranche against prepayment risk.,Shorter-term tranche is protected against extension risk.,Other tranches are provided protection against contraction risk.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,11,Agency Collateralized Mortgage Obligations,(continued),Example, page 279,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,12,Agency Collateralized Mortgage Obligations,(continued),Accrual Bonds,In many sequential-pay CMO structures, at least one tranche does not receive current interest.,Instead, the interest for that tranche would accrue and be added to the principal balance.,Such a bond class is commonly referred to as an,accrual tranche,or a,Z bond,(because the bond is similar to a zero-coupon bond).,The interest that would have been paid to the accrual bond class is then used to speed up the pay down of the principal balance of earlier bond classes.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,13,Exhibit 12-4,FJF-02: Hypothetical Four-Tranche Sequential-Pay Structure with an Accrual Bond Class,a,Tranche,Par Amount,Coupon Rate (%),A,$194,500,000,7.5,B,36,000,000,7.5,C,96,500,000,7.5,Z (accrual),73,000,000,7.5,$400,000,000,a,Payment rules:,1.,For payment of periodic coupon interest:,Disburse periodic coupon interest to tranches A, B, and C on the basis of the amount of principal outstanding at the beginning of the period. For tranche Z, accrue the interest based on the principal plus accrued interest in the preceding period. The interest for tranche Z is to be paid to the earlier tranches as a principal pay down.,2.,For disbursement of principal payments:,Disburse principal payments to tranche A until it is completely paid off. After tranche A is paid off completely, disburse principal payments to tranche B until it is paid off completely. After tranche B is paid off completely, disburse principal payments to tranche C until it is paid off completely. After tranche C is paid off completely, disburse principal payments to tranche Z, until the original principal balance plus accrued interest is paid off completely.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,14,Agency Collateralized Mortgage Obligations,(continued),The average lives for tranches A, B, and C are shorter in FJF-02 than in FJF-01 because of the inclusion of the accrual bond. For example, at 165 PSA, the average lives are as follows:,The reason for the shortening of the nonaccrual tranches is that the interest that would be paid to the accrual bond is being allocated to the other tranches. Tranche Z in FJF-02 will have a longer average life than that of tranche D in FJF-01.,Structure,FJF-02,Tranche B,2.90,7.87,Tranche A,Tranche C,5.86,FJF-01,3.48,7.49,11.19,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,15,Agency Collateralized Mortgage Obligations,(continued),Floating-Rate Tranches,Floating-rate tranches can be created from fixed-rate tranches by creating a floater and an inverse floater.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,16,Exhibit 12-6,FJF-03: Hypothetical Five-Tranche Sequential-Pay Structure with Floater, Inverse Floater, and Accrual Bond Class,Tranche,Par Amount,Coupon Rate (%),A,$194,500,000,7.5,B,36,000,000,7.5,FL,72,375,000,1-month LIBOR + 0.50,IFL,24,125,000,28.50,3,(1-month LIBOR),Z (accrual),73,000,000,7.5,$400,000,000,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,17,Agency Collateralized Mortgage Obligations,(continued),Floating-Rate Tranches,Unlike a floating-rate note in the corporate bond market, whose principal is unchanged over the life of the instrument, the floaters principal balance declines over time as principal payments are made.,The principal payments to the floater are determined by the principal payments from the tranche from which the floater is created.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,18,Agency Collateralized Mortgage Obligations,(continued),Floating-Rate Tranches,Inverse floaters with a wide variety of coupon leverages are available in the market.,Participants refer to:,low-leverage inverse floaters as those with a coupon leverage between 0.5 and 2.1,medium-leverage as those with a coupon leverage higher than 2.1 but not exceeding 4.5,high-leverage as those with a coupon leverage higher than 4.5.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,19,Agency Collateralized Mortgage Obligations,(continued),The CMO innovations attracted many institutional.,In March 1987, the M.D.C. Mortgage Funding Corporation CMO Series 0 included a class of bonds referred to as,stabilized mortgage reduction term (SMRT) bonds.,Another class in its CMO Series P was referred to as,planned amortization class (PAC) bonds,.,The Oxford Acceptance Corporation III Series C CMOs included a class of bonds referred to as a,planned redemption obligation (PRO) bonds,.,The characteristic common to these three bonds is that if the prepayments are within a specified range, the cash flow pattern is known.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,20,Agency Collateralized Mortgage Obligations,(continued),The greater predictability of the cash flow for classes of PAC bonds occurs because there is a principal repayment schedule that must be satisfied.,The greater certainty of the cash flow for the PAC bonds comes at the expense of the non-PAC classes, called,support,or,companion bonds,.,It is these bonds that absorb the prepayment risk.,Because PAC bonds have protection against both extension risk and contraction risk, they are said to provide,two-sided prepayment protection,.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,21,Exhibit 12-8,FJF-04: CMO Structure with One PAC Bond and One Support Bond,a,Tranche,Par Amount,Coupon Rate (%),P (Pac),$243,800,000,7.5,S (Support),156,200,000,7.5,$400,000,000,a,Payment rules:,1.,For payment of periodic coupon interest:,Disburse periodic coupon interest to each tranche on the basis of the amount of principal outstanding at the beginning of the period.,2.,For disbursement of principal payments:,Disburse principal payments to tranche P based on its schedule of principal repayments. Tranche P has priority with respect to current and future principal payments to satisfy the schedule. Any excess principal payments in a month over the amount necessary to satisfy the schedule for tranche P are paid to tranche S. When tranche S is paid off completely, all principal payments are to be made to tranche P regardless of the schedule.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,22,Agency Collateralized Mortgage Obligations,(continued),Exhibit 12-9 (,see Overhead 12-23,),reports the average life for the PAC bond and the support bond in FJF-04 assuming various,actual,prepayment speeds.,Notice that between 90 PSA and 300 PSA, the average life for the PAC bond is stable at 7.26 years.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,23,Exhibit 12-9,Average Life for Pac Bond and Support Bond in FJF-04 Assuming Various Prepayment Speeds,Prepayment,Rate (PSA),PAC Bond (P),Support Bond (S),10,15.97,27.26,50,9.44,24.00,90,7.26,18.56,100,7.26,18.56,150,7.26,12.57,165,7.26,11.16,200,7.26,8.38,250,7.26,5.37,300,7.26,3.13,350,6.56,2.51,400,5.92,2.17,450,5.38,1.94,500,4.93,1.77,700,3.70,1.37,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,24,Agency Collateralized Mortgage Obligations,(continued),Creating a Series of PAC Bonds,Most CMO PAC structures have more than one class of PAC bonds.,The total par value of the six PAC bonds is equal to $243.8 million, which is the amount of the single PAC bond in FJF-04.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,25,Exhibit 12-10,FJF-05: CMO Structure with Six PAC Bonds and One Support Bond,a,Tranche,Par Amount,Coupon Rate (%),P-A,$85,000,000,7.5,P-B,8,000,000,7.5,P-C,35,000,000,7.5,P-D,45,000,000,7.5,P-E,40,000,000,7.5,P-F,30,800,000,7.5,S,156,200,000,7.5,$400,000,000,a,Payment rules:,1.,For payment of periodic coupon interest:,Disburse periodic coupon interest to each tranche on the basis of the amount of principal outstanding at the beginning of the period.,2.,For disbursement of principal payments:,Disburse principal payments to tranches P-A to P-F based on their respective schedules of principal repayments. Tranche P-A has priority with respect to current and future principal payments to satisfy the schedule. Any excess principal payments in a month over the amount necessary to satisfy the schedule for tranche P-A are paid to tranche S. When tranche P-A is paid off completely, tranche P-B has priority, then tranche P-C, and so on. When tranche S is paid off completely, all principal payments are to be made to the remaining PAC tranches in order of priority regardless of the schedule.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,26,Agency Collateralized Mortgage Obligations,(continued),Creating a Series of PAC Bonds,From a PAC bond in FJF-04 with an average life of 7.26, we have created six bonds with an average life as short as 2.58 years (P-A) and as long as 16.92 years (P-F) if prepayments stay within 90 PSA and 300 PSA.,Whereas the initial collar may be 90 to 300 PSA, the,effective collar,is wider for the shorter PAC tranches.,Exhibit 12-12 (,see Overhead 12-28,) shows the effective collar for the six PAC tranches in FJF-04.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,27,Exhibit 12-11,Average Life for the Six PAC Bonds in FJF-05 Assuming Various Prepayment Speeds,Prepayment,Rate (PSA),PAC Bonds,P-A,P-B,P-C,P-D,P-E,P-F,0,8.46,14.61,16.49,19.41,21.91,23.76,50,3.58,6.82,8.36,11.30,14.50,18.20,90,2.58,4.72,5.78,7.89,10.83,16.92,100,2.58,4.72,5.78,7.89,10.83,16.92,150,2.58,4.72,5.78,7.89,10.83,16.92,165,2.58,4.72,5.78,7.89,10.83,16.92,200,2.58,4.72,5.78,7.89,10.83,16.92,250,2.58,4.72,5.78,7.89,10.83,16.92,300,2.58,4.72,5.78,7.89,10.83,16.92,350,2.58,4.72,5.49,6.95,9.24,14.91,400,2.57,4.37,4.91,6.17,8.33,13.21,450,2.50,3.97,4.44,5.56,7.45,11.81,500,2.40,3.65,4.07,5.06,6.74,10.65,700,2.06,2.82,3.10,3.75,4.88,7.51,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,28,Exhibit 12-12,Effective Collars for Each Pac Tranche in FJF-04,Amount of Support Bonds: $156.2 Million,Tranche,Effective Collar,P-A,90450 PSA,P-B,90350 PSA,P-C,90300 PSA,P-D,90300 PSA,P-E,90300 PSA,P-F,90300 PSA,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,29,Copyright 2009 Pearson Education, nc. Publishing as Prentice Hall,Agency Collateralized Mortgage Obligations,(continued),PAC Window,The length of time over which scheduled principal repayments are made is referred to as the window. A PAC window can be wide or narrow.,The narrower a PAC window, the more it resembles a corporate bond with a bullet payment.,PAC buyers appear to prefer tight windows.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,30,12-,30,Agency Collateralized Mortgage Obligations,(continued),Effective Collars and Actual Prepayments,The creation of a mortgage-backed security cannot make prepayment risk disappear.,The reduction in prepayment risk (both extension risk and contraction risk) that a PAC offers must come from somewhere.,The prepayment protection come from the support bonds.,It is the support bonds that forego principal payments if the collateral prepayments are slow; support bonds do not receive any principal until the PAC bonds receive the scheduled principal repayment.,This reduces the risk that the PAC bonds will extend.,It is the support bonds that absorb any principal payments in excess of the scheduled principal payment that are made.,This reduces the contraction risk of the PAC bonds.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,31,Agency Collateralized Mortgage Obligations,(continued),Effective Collars and Actual Prepayments,Busted,means that the prepayment protection is reduced and is used in the CMO market when a PAC schedule is broken.,An effective collar for a seasoned PAC is the lower PSA and the upper PSA that can occur in the future and still allow maintenance of the schedule of principal repayments.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,32,Agency Collateralized Mortgage Obligations,(continued),Effective Collars and Actual Prepayments,The effective collar changes every month.,An extended period over which actual prepayments are below the upper range of the initial PAC collar will result in an increase in the upper range of the effective collar.,This is because there will be more bodyguards around than anticipated.,An extended period of prepayments slower than the lower range of the initial PAC collar will raise the lower range of the effective collar.,This is because it will take faster prepayments to make up the shortfall of the scheduled principal payments not made plus the scheduled future principal payments.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,33,Agency Collateralized Mortgage Obligations,(continued),Effective Collars and Actual Prepayments,The PAC schedule may not be satisfied even if the actual prepayments never fall outside the initial collar.,This may seem surprising because our previous analysis indicated that the average life would not change if prepayments are at either extreme of the initial collar; however, our previous analysis has been based on a single PSA speed for the life of the structure.,Exhibit 12-14 (,see Overhead 12-35,) shows the average life two years from now for the PAC bond in FJF-04 assuming that prepayments are 300 PSA for the first 24 months.,Notice that the average life is stable at six years if the prepayments for the following months are between 115 PSA and 300 PSA.,That is, the effective PAC collar is no longer the initial collar. Instead, the lower collar has shifted upward.,This means that the protection from year 2 on is for 115 to 300 PSA, a narrower band than initially even though the earlier prepayments did not exceed the initial upper collar.,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,34,Exhibit 12-14,Average Life Two Years from Now for PAC Bond of FJF-04 Assuming Prepayments of 300 PSA for First 24 Months,PSA from Year 2 on,Average Life (years),95,6.43,105,6.11,115,6.01,120,6.00,125,6.00,300,6.00,305,5.62,Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall,12-,35,Agency Collateralized Mortgage Obligations,(continued),Providing Greater Prepayment Protection for PACs,There are two ways to provide greater protection for PAC bonds:,lockouts,revers