固定收益证券Fixed Income Securities - Lecture 10 (2013-2014).ppt

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1、FixedIncomeSecurities-Lecture10DrHerbertY.T.LamMay2013Today’sLectureMortgageLoansMortgage-BackedSecuritiesMortgagepassthroughsecuritiesCollateralizedMortgageObligationStrippedMortgage-BackedSecuritiesCMOsandSubprimeCrisisMortgagesAmortgageloanisaloansecuredbythecollateralof

2、somespecificrealestatepropertywhichobligestheborrowertomakeapredeterminedseriesofpayments.Amortgagedesignisaspecificationoftheinterestrate,termofthemortgage,andmannerinwhichtheborrowedfundsarerepaid.Mortgageoriginator(originallender)caneither-holdthemortgageintheirportfolio

3、-sellthemortgagetoaninvestoror-usethemortgageascollateralfortheissuanceofasecurity(mortgagebackedsecurity).Contractrate(interestrateonamortgageloan)ContractrateisgreaterthantheyieldonaTreasurysecurityofcomparablematurity.Thespreadreflectscostsofcollectioncostsassociatedwit

4、hdefault(noteliminateddespitethecollateral)poorerliquidityuncertaintyconcerningthetimingofthecashflow.Fixedrate,levelpayment,fullyamortizedmortgageTheborrowerpaysinterestandrepaysprincipalinequalinstallmentsoveranagreeduponperiodoftime(termofthemortgage).Thefrequencyofpayme

5、ntistypicallymonthly.Theservicingfeeisaportionofthemortgagerate.Theinterestratethattheinvestorreceivesiscalledthenetcoupon.GrowingequitymortgagesItisafixed-ratemortgagewhosemonthlymortgagepaymentsincreaseovertime.Amortizationscheduleforalevel-paymentfixed-ratemortgageMortg

6、ageloan:$100,000Mortgagerate:8.125%Monthlypayment:$742.50Termofloan:30years(360months)Examplen=360,mortgagebalance=$100,000,i=0.08125/12.Mortgagepayment=$742.50.monthlypayment=mortgagebalancewhereiisthesimplemonthlyinterestrate.Proofofthemortgageformula…PPP1st2ndnthextendon

7、eextraperiod:Subtractthetwoterms:sothatExampleMortgagebalanceisreducedwitheachmonthlymortgagepaymentInterestportiondeclinesandrepaymentportionincreases.AdjustableRateMortgagesThemortgagerateisresetperiodicallyinaccordancewithsomechosenreferencerateProtectionclausesagainstov

8、erlylargecouponchangesOthertermsRatecapslimittheamountthatthecontractratemayincrea