关于MBS市场的基本知识.docx

1、关于MBS市场的基本知识MBS = Mortgage-Backed Securities, and the universe of MBS is vast, it is however reserved by market participants to denote the pass-through mortgage bonds (agency pass-through and nonagency pass-through).CMBS = Commercial Mortgage-Backed Securities, which are trust certificates (bonds) b

2、acked by a pool of commercial mortgage loans. The certificates are tranched on the basis of prepayment and credit.CMO = Collateralized Mortgage-backed Obligations, which are pool of pass-through mortgage bonds tranched to reflect the degree of sensitivity to prepayment (particularly, agency CMO).ABS

3、 = Asset Backed Securities, for example home equity loans (HEL), credit cards, etc. These are securities backed by receivables payments that are either secured (HEL) or unsecured (credit card), tranched on the basis of prepayment and default risks.CDO = Collateralized Debt Obligation, for example, A

4、BS CDO which consist of a portfolio of different ABS bonds, and the payments to the holders of these trust certificates are derived from the cash flows of the ABS bonds.CBO = Collateralized Bond Obligation, for example high yield emerging market CBO which consist of a portfolio of different high yie

5、ld emerging market bonds.CLO = Collateralized leveraged Loan Obligation which consist of a portfolio of different leveraged loans.CDOs consist of two types of structures:Cash CDO - Made up of the standard debt obligationsSynthetic CDO - A synthesized portfolio of CDO/Bonds/ABS using Total Returns Sw

6、aps and CDSStructured Products are also originated in one of two ways:Balance Sheet CDO/CLO/CBO. - the reference assets for the SDO portfolio are taken from a company/firms balance sheetArbitrage CDO/CLO/CBO. - the reference assets are bought by a firm or conduit or SPV (Special Purpose Vehicle) wit

7、h a view to repackage them and sell them on as the structured productCDOs also come in two management styles:Static CDO - The reference assets are bought and then are kept untouched for the term of the productManaged CDO - The reference assets are bought (the portfolio is ramped up) and then the CDO

8、 manager would alter the portfolio as they see fitCFO = Collateralized Fund Obligation, much like a CDO, but the underlying pool are hedge fund shares or one or more funds of hedge funds.CEO = Collateralized Equity Obligation, the underlying pool consists of a portfolio of individual stocks, preferr

9、ed stock, stock ETFs, indexes, or equity derivatives.Like the other CxO structures, these basically create a holding company balance sheet to provide a leveraged/OTM call option to the equity tranche, a high-rated debt claim to the AAA tranche, and mezzanine call spread like tranches for the bonds i

10、n between with nice portfolio characteristics.Asset Backed Securities (ABS) are securities for which the interest and principal are paid using cash flows derived from a portfolio of underlying assets. Portrayed in a diagram, on the one side are assets generating cash flows (generally receivables) an

11、d displaying a certain degree of homogeneity and on the other side are the securities:Selling of assets interest + principalundelying asstes issuer ABSPayments ABS issue proceedsTo put it another way, the underlying assets are said to be securitized, i.e. converted into securities. Securitization en

12、ables assets that are not very liquid to be converted into negotiable securities. Besides making illiquid assets liquid, we will deal further on with the main motivating factors behind this type of operation. By way of illustration, the most common securitized assets are mortgage loans (Mortgage Bac

13、ked Securities or MBS), commercial mortgage debt (CMBS), aircraft leases, corporate bonds & loans (CBO, CLO, CDO), commercial debt (trade receivables), receivables ensuing from the use of credit cards (credit card receivables), American government loans to students (student loans) and future revenue

14、s (such as, for instance, the future revenues of a group of pubs, a telecom operator, petrol extraction or investment fund management fees).MBS = Mortgage Backed Securities, in which CMO Collateral Mortgage Obligation is one of the product type under the MBS umbrella.As far as the cash flow patterns

15、 are concern, MBS can be divided into two major categories:Pass-thru and structure product;Pass-thru products pass the principal and interest payment to the investors after subtracting a small servicing fee;Structure products include CMO, IO/PO, . in which cash flows are reallocated into tranches so

16、 the collaterals prepayment risk are not directly passed to the investors. Some tranches might have more prepayment risk exposure while some have less.Mortgage Backed Securities BasicsPart 1Part 2Part 3Part 4Return to the blogDeciphering the GreekNow that there are graphs and MBS prices posted perio

17、dically, weve received numerous questions about the significance of the data. This is intended to be a brief companion to thedaily mortgage rate analysisthat will get you by until we release more comprehensive literature on the topic. To some of you this will be old hat, but Ill start completely at

18、the beginning so it is accessible even to the first timer. Keep in mind this will be brutally oversimplified due to the fact that a more detailed version will be released at a later date.What is MBS?Any time you see me write MBS in this blog, or anywhere else for that matter, I am always going to be

19、 referring toMortgage Backed Securities. These are bonds that have a PRICE and a YIELD just like treasuries. The PRICE always refers to the cost of buying $100 of that particular bond. For instance, if the price of a bond is 101.00, then an investor would pay $101.00, and in exchange, would then own

20、 only $100.00 worth of that bond. So why pay more or less?In a word:YIELD. Yield is the rate of return paid on that bond over time. There are multiple different types of bonds, and each bond has a certain yield that it pays. You will sometimes hear me refer to yield as coupon or issue. As you might

21、guess, the higher the yield, the more the buyer will make over time, so the more the buyer is willing to pay. For instance, at the very moment this tutorial is being typed, a certain class of MBS (a bond) with a 5% yield costs $97.25. So for every $97.25 you spend, you get $100 dollars of bond, payi

22、ng you back at a 5% rate of return. Another bond in the same class with a yield of 6.5% is currently costing $103.10. So youd have to pay over the face value to get the $100 dollars to pay you back at 6.5%. So hopefully this illustrates as we move from coupon to coupon (i.e. 5% to 5.5% to 6.0% to 6.

23、5%) that the cost of ownership will get higher, but so will the yield.Now it gets confusing because all this time Ive been telling you that as PRICE goes up, YIELD goes down. Well, it does, but only when were talking about one coupon at a time. Talking about the full spectrum ofcoupon ratesmeans tha

24、t naturally the price will be higher when were talking about higher yields. But that concept is not central to bond analysis. We are only ever interest in Price VS. Yield as it relates to supply and demand, and even if we are considering several coupon rates, we will only analyze one at a time.In th

25、is way, when price goes up, yield goes down. Why!? Because if the bonds coupon rate is 6.5% and the price drops from 103.10 to 102.10, now the investor that is buying it gets more for his money, plain and simple. So because his 1 million dollars now buys almost 1% MORE than it did at the higher pric

26、e, the yield on that investment will be higher as well! If this doesnt click for you, please spend some time google searching bonds or try PIMCOsBond Basics. Im not saying this to be pedantic or derogatory, but rather because the concept requires immersion for some, and there is a definite learning

27、curve that cannot be achieved simply by trying to digest my definitions. Moving on.Mortgage Backed Bonds and SecuritizationPart 1Part 2Part 3Part 4Return to the blogSo MBSs are bonds! Where do they come from?Grossly oversimplified and leaving out numerous items that are not germane to rate analysis,

28、 MBS are the bonds that mortgage loansare turned into when they are bought or sold. Thats a tough one to grasp your first time around. I know it was for me.Basically, Big Bank will write a check for your mortgage, say its $100,000.Big Bank Athen has a promissory note saying that you will pay them a

29、certain interest rate over time (sound familiar?). But Big Bank A needs some more money to lend other people. Where to get it? I know! They can sell your mortgage note to someone else in the form of a bond! Hopefully, that investor is willing to pay something like $102,000 for the right to collect i

30、nterest on your $100,000 loan. Big Bank A just made $2000, and the investor has something that will hopefully pay them interest over time. Remember price vs. yield? The higher your interest rate, the more the investor would be willing to pay Big Bank A. Thats YSP Baby! And if the investor is only go

31、ing to pay $97,000 for the loan, that means Big Bank has to pay them a discount to buy it, which was probably passed on to you on line 802 of the GFE! Now YSP starts to become clear I hope!But theres a big problem! The investor doesnt want all of their risk riding on one loan, so we have to find a w

32、ay tospread out the risk. Because even if you only have a 3% chance of defaulting, in the event that you do, the investor would lose his hat. So to spread out the risk, Big Bank A combines your loan with 10s to hundreds of other similar loans with similar rates and similar credit quality.Then either by selling them directly to Fannie Mae and Freddie Mac or by utilizing Fannie an