关于MBS市场的基本知识Word格式.docx
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关于MBS市场的基本知识Word格式.docx
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CashCDO-Madeupofthestandarddebtobligations
SyntheticCDO-AsynthesizedportfolioofCDO/Bonds/ABSusingTotalReturnsSwapsandCDS
StructuredProductsarealsooriginatedinoneoftwoways:
BalanceSheetCDO/CLO/CBO...-thereferenceassetsfortheSDOportfolioaretakenfromacompany/firm'
sbalancesheet
ArbitrageCDO/CLO/CBO...-thereferenceassetsareboughtbyafirmorconduitorSPV(SpecialPurposeVehicle)withaviewtorepackagethemandsellthemonasthestructuredproduct
CDOsalsocomeintwomanagementstyles:
StaticCDO-Thereferenceassetsareboughtandthenarekeptuntouchedforthetermoftheproduct
ManagedCDO-Thereferenceassetsarebought(theportfolioisrampedup)andthentheCDOmanagerwouldaltertheportfolioastheyseefit
CFO=CollateralizedFundObligation,muchlikeaCDO,buttheunderlyingpoolarehedgefundsharesoroneormorefundsofhedgefunds.
CEO=CollateralizedEquityObligation,theunderlyingpoolconsistsofaportfolioofindividualstocks,preferredstock,stockETFs,indexes,orequityderivatives.
LiketheotherCxOstructures,thesebasicallycreatea"
holdingcompany"
balancesheettoprovidealeveraged/OTMcalloptiontotheequitytranche,ahigh-rateddebtclaimtotheAAAtranche,andmezzanine"
callspread"
liketranchesforthebondsinbetweenwithniceportfoliocharacteristics.
AssetBackedSecurities(ABS)aresecuritiesforwhichtheinterestandprincipalarepaidusingcashflowsderivedfromaportfolioofunderlyingassets.Portrayedinadiagram,ontheonesideareassetsgeneratingcashflows(generallyreceivables)anddisplayingacertaindegreeofhomogeneityandontheothersidearethesecurities:
Sellingofassetsinterest+principal
undelyingasstes<
======================>
issuer<
=======================>
ABS
PaymentsABSissueproceeds
Toputitanotherway,theunderlyingassetsaresaidtobesecuritized,i.e.convertedintosecurities.Securitizationenablesassetsthatarenotveryliquidtobeconvertedintonegotiablesecurities.Besidesmakingilliquidassetsliquid,wewilldealfurtheronwiththemainmotivatingfactorsbehindthistypeofoperation.Bywayofillustration,themostcommonsecuritizedassetsaremortgageloans(MortgageBackedSecuritiesorMBS),commercialmortgagedebt(CMBS),aircraftleases,corporatebonds&
loans(CBO,CLO,CDO),commercialdebt(tradereceivables),receivablesensuingfromtheuseofcreditcards(creditcardreceivables),Americangovernmentloanstostudents(studentloans)andfuturerevenues(suchas,forinstance,thefuturerevenuesofagroupofpubs,atelecomoperator,petrolextractionorinvestmentfundmanagementfees).
MBS=MortgageBackedSecurities,inwhichCMOCollateralMortgageObligationisoneoftheproducttypeundertheMBSumbrella.
Asfarasthecashflowpatternsareconcern,MBScanbedividedintotwomajorcategories:
Pass-thruandstructureproduct;
Pass-thruproductspasstheprincipalandinterestpaymenttotheinvestorsaftersubtractingasmallservicingfee;
StructureproductsincludeCMO,IO/PO,....inwhichcashflowsarereallocatedintotranchessothecollaterals'
prepaymentriskarenotdirectlypassedtotheinvestors.Sometranchesmighthavemoreprepaymentriskexposurewhilesomehaveless.
MortgageBackedSecuritiesBasics
[Part1]
[Part2]
[Part3]
[Part4]
[Returntotheblog]
DecipheringtheGreek
NowthattherearegraphsandMBSpricespostedperiodically,we'
vereceivednumerousquestionsaboutthesignificanceofthedata.Thisisintendedtobeabriefcompaniontothe
dailymortgagerateanalysis
thatwill"
getyouby"
untilwereleasemorecomprehensiveliteratureonthetopic.Tosomeofyouthiswillbeoldhat,butI'
llstartcompletelyatthebeginningsoitisaccessibleeventothefirsttimer.Keepinmindthiswillbebrutallyoversimplifiedduetothefactthatamoredetailedversionwillbereleasedatalaterdate.
WhatisMBS?
AnytimeyouseemewriteMBSinthisblog,oranywhereelseforthatmatter,Iamalwaysgoingtobereferringto
MortgageBackedSecurities.ThesearebondsthathaveaPRICEandaYIELDjustliketreasuries.ThePRICEalwaysreferstothecostofbuying$100ofthatparticularbond.Forinstance,ifthepriceofabondis101.00,thenaninvestorwouldpay$101.00,andinexchange,wouldthenownonly$100.00worthofthatbond.Sowhypaymoreorless?
Inaword:
YIELD.Yieldistherateofreturnpaidonthatbondovertime.Therearemultipledifferenttypesofbonds,andeachbondhasacertainyieldthatitpays.Youwillsometimeshearmerefertoyieldas"
coupon"
or"
issue."
Asyoumightguess,thehighertheyield,themorethebuyerwillmakeovertime,sothemorethebuyeriswillingtopay.Forinstance,attheverymomentthistutorialisbeingtyped,acertainclassofMBS(abond)witha5%yieldcosts$97.25.Soforevery$97.25youspend,youget$100dollarsofbond,payingyoubackata5%rateofreturn.Anotherbondinthesameclasswithayieldof6.5%iscurrentlycosting$103.10.Soyou'
dhavetopayoverthefacevaluetogetthe$100dollarstopayyoubackat6.5%.Sohopefullythisillustratesaswemovefromcoupontocoupon(i.e.5%to5.5%to6.0%to6.5%)thatthecostofownershipwillgethigher,butsowilltheyield.
NowitgetsconfusingbecauseallthistimeI'
vebeentellingyouthat"
asPRICEgoesup,YIELDgoesdown."
Well,itdoes,butonlywhenwe'
retalkingaboutonecouponatatime.Talkingaboutthefullspectrumof
couponrates
meansthatnaturallythepricewillbehigherwhenwe'
retalkingabouthigheryields.Butthatconceptisnotcentraltobondanalysis.WeareonlyeverinterestinPriceVS.Yieldasitrelatestosupplyanddemand,andevenifweareconsideringseveralcouponrates,wewillonlyanalyzeoneatatime.
Inthisway,whenpricegoesup,yieldgoesdown.Why!
?
Becauseifthebond'
scouponrateis6.5%andthepricedropsfrom103.10to102.10,nowtheinvestorthatisbuyingitgetsmoreforhismoney,plainandsimple.Sobecausehis1milliondollarsnowbuysalmost1%MOREthanitdidatthehigherprice,theyieldonthatinvestmentwillbehigheraswell!
Ifthisdoesn'
tclickforyou,pleasespendsometimegooglesearchingbondsortryPIMCO'
s
BondBasics.I'
mnotsayingthistobepedanticorderogatory,butratherbecausetheconceptrequiresimmersionforsome,andthereisadefinitelearningcurvethatcannotbeachievedsimplybytryingtodigestmydefinitions.Movingon...
MortgageBackedBondsandSecuritization
SoMBS'
sarebonds!
Wheredotheycomefrom?
Grosslyoversimplifiedandleavingoutnumerousitemsthatarenotgermanetorateanalysis,MBSarethebondsthatmortgageloans
areturnedintowhentheyareboughtorsold.That'
satoughonetograspyourfirsttimearound.Iknowitwasforme.
Basically,BigBankwillwriteacheckforyourmortgage,sayit'
s$100,000.
BigBankA
thenhasapromissorynotesayingthatyouwillpaythemacertaininterestrateovertime(soundfamiliar?
).ButBigBankAneedssomemoremoneytolendotherpeople...Wheretogetit?
Iknow!
Theycansellyourmortgagenotetosomeoneelseintheformofabond!
Hopefully,thatinvestoriswillingtopaysomethinglike$102,000fortherighttocollectinterestonyour$100,000loan.BigBankAjustmade$2000,andtheinvestorhassomethingthatwillhopefullypaytheminterestovertime.Rememberpricevs.yield?
Thehigheryourinterestrate,themoretheinvestorwouldbewillingtopayBigBankA.That'
sYSPBaby!
Andiftheinvestorisonlygoingtopay$97,000fortheloan,thatmeansBigBankhastopaythemadiscounttobuyit,whichwasprobablypassedontoyouonline802oftheGFE!
NowYSPstartstobecomeclearIhope!
Butthere'
sabigproblem!
Theinvestordoesn'
twantalloftheirriskridingononeloan,sowehavetofindawayto
spreadouttherisk.Becauseevenifyouonlyhavea3%chanceofdefaulting,intheeventthatyoudo,theinvestorwouldlosehishat.Sotospreadouttherisk,BigBankAcombinesyourloanwith10'
stohundredsofothersimilarloanswithsimilarratesandsimilarcreditquality.
TheneitherbysellingthemdirectlytoFannieMaeandFreddieMacorbyutilizingFanniean
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