債券市場(chǎng)_分析與策略Ch10學(xué)習(xí)10-2

Chapter10

ResidentialMortgageLoans

10-3LearningObjectivesAfterreadingthischapter,youwillunderstandwhatamortgageiswhothemajororiginatorsofresidentialmortgagesaretheborrowerandpropertycharacteristicsconsideredbyalenderinevaluatingthecreditriskofanapplicantforamortgageloanwhattheservicingofaresidentialmortgageloaninvolvesthetypesofresidentialmortgageloansbasedonlienstatus,creditclassification,interest-ratetype,amortizationtype,creditguarantees,loanbalances,andprepaymentsandprepaymentpenalties10-4LearningObjectives(continued)Afterreadingthischapter,youwillunderstandwhataprepaymentisthecashflowofamortgageloanwhataprepaymentpenaltymortgageiswhatahomeequityloanistherisksassociatedwithinvestinginmortgagesthesignificanceofprepaymentrisk10-5OriginationofResidentialMortgageLoansTheoriginallenderiscalledthemortgageoriginator.抵押貸款發(fā)放人Theprincipaloriginatorsofresidentialmortgageloansarethrifts（儲(chǔ)蓄機(jī)構(gòu)）,commercialbanks,andmortgagebankers（貸款抵押銀行）.Mortgageoriginatorsmayservicethemortgagestheyoriginate,forwhichtheyobtainaservicingfee.10-6OriginationofResidentialMortgageLoans

(continued)Whenamortgageoriginatorintendstosellthemortgage,itwillobtainacommitmentfromthepotentialinvestor(buyer).Twogovernment-sponsoredenterprises(GSEs)andseveralprivatecompaniesbuymortgages.Becausetheseentitiespoolthesemortgagesandsellthemtoinvestors,theyarecalledconduits（導(dǎo)管企業(yè)）.Whenamortgageisusedascollateralfortheissuanceofasecurity,themortgageissaidtobesecuritized（抵押貸款證券化）.10-7UnderwritingStandards承銷標(biāo)準(zhǔn)Payment-to-IncomeRatio還款額與收入之比Thepayment-to-incomeratio(PTI)istheratioofmonthlypaymentstomonthlyincome,whichmeasurestheabilityoftheapplicanttomakemonthlypayments(bothmortgageandrealestatetaxpayments).ThelowerthePTI,thegreaterthelikelihoodthattheapplicantwillbeabletomeettherequiredmonthlymortgagepayments.10-8UnderwritingStandards(continued)Loan-to-ValueRatio貸款額與抵押品價(jià)值之比Theloan-to-valueratio(LTV)istheratiooftheamountoftheloantothemarket(orappraised)valueoftheproperty.Thelowerthisratiois,thegreatertheprotectionforthelenderiftheapplicantdefaultsonthepaymentsandthelendermustrepossessandselltheproperty.TheLTVhasbeenfoundinnumerousstudiestobethesinglemostimportantdeterminantofthelikelihoodofdefault.Therationaleisstraightforward:Homeownerswithlargeamountsofequityintheirpropertiesareunlikelytodefault.

這是良好的違約預(yù)測(cè)指標(biāo)！10-9TypesofResidentialMortgageLoansTherearedifferenttypesofresidentialmortgageloans.Theycanbeclassifiedaccordingtothefollowingattributes:lienstatus留置地位creditclassification信用類別interestratetype利率類型amortizationtype分期還款類型creditguarantees信用擔(dān)保loanbalances貸款余額prepaymentsandprepaymentpenalties

提前還款好提前還款罰款10-10TypesofResidentialMortgageLoans

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

(continued)CreditClassification信用類型Aloanthatisoriginatedwheretheborrowerisviewedtohaveahighcreditqualityisclassifiedasaprimeloan.Aloanthatisoriginatedwheretheborrowerisoflowercreditqualityorwheretheloanisnotafirstlienonthepropertyisclassifiedasasubprimeloan.次貸！Whilethecreditscoreshavedifferentunderlyingmethodologies,thescoresgenericallyarereferredtoas“FICOscores.”FICOscoresrangefrom350to850.ThehighertheFICOscoreis,thelowerthecreditrisk.10-12TypesofResidentialMortgageLoans

(continued)CreditClassificationInrefinancing,whentheloanamountrequestedexceedstheoriginalloanamount,thetransactionisreferredtoasacash-out-refinancing.套現(xiàn)再融資Ifinstead,thereisfinancingwheretheloanbalanceremainsunchanged,thetransactionissaidtobearate-and-termrefinancing

orno-cashrefinancing.利率與期限再融資或非套現(xiàn)再融資10-13TypesofResidentialMortgageLoans

(continued)CreditClassification信用分類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利率類型Theinterestratethattheborroweragreestopay,referredtoasthenoterate（票面利率）,canbefixedorchangeoverthelifeoftheloan.Forafixed-ratemortgage(FRM)固定利率,theinterestrateissetattheclosingoftheloanandremainsunchangedoverthelifeoftheloan.10-15TypesofResidentialMortgageLoans

(continued)InterestRateTypeForanadjustable-ratemortgage(ARM)可調(diào)整利率,asthenameimplies,thenoteratechangesoverthelifeoftheloan.Thenoterateisbasedonboththemovementofanunderlyingrate,calledtheindex

orreferencerate,

andaspreadovertheindexcalledthemargin.TwocategoriesofreferencerateshavebeenusedinARMs:market-determinedratescalculatedratesbasedonthecostoffundsforthrifts10-16TypesofResidentialMortgageLoans

(continued)InterestRateTypeThebasicARMisonethatresetsperiodicallyandhasnoothertermsthataffectthemonthlymortgagepayment.Typically,themortgagerateisaffectedbyothertermsthatinclude:periodicratecaps期間利率上限lifetimeratecapandfloor存續(xù)期利率上限和下限Aperiodicratecaplimitstheamountthattheinterestratemayincreaseordecreaseattheresetdate.MostARMshaveanupperlimitonthemortgageratethatcanbechargedoverthelifeoftheloan.Thislifetimeratecapisexpressedintermsoftheinitialrate.ARMsmayalsohavealowerlimit(floor)ontheinterestratethatcanbechargedoverthelifeoftheloan.10-17TypesofResidentialMortgageLoans

(continued)AmortizationType分期還款類型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.這是等額本息還款，如何推導(dǎo)？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討論：等額本息和等額本金誰還的利息少呢？你認(rèn)為那個(gè)更劃算（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計(jì)算的是在第t個(gè)月償還的本金！10-28TypesofResidentialMortgageLoans

(continued)AmortizationTypeForanARM,themonthlymortgagepaymentadjustsperiodically.Thus,themonthlymortgagepaymentsmustberecalculatedateachresetdate.Thisprocessofresettingthemortgageloanpaymentisreferredtoasrecastingtheloan.對(duì)于可調(diào)整利率抵押貸款需要做貸款重估！~10-29TypesofResidentialMortgageLoans

(continued)CreditGuarantees信用擔(dān)保Incontrasttogovernmentloans（政府貸款）,thereareloansthathavenoexplicitguaranteefromthefederalgovernment.Suchloansaresaidtobeobtainedfrom“conventionalfinancing”常規(guī)貸款andthereforearereferredtointhemarketasconventionalloans.Aconventionalloancanbeinsuredbyaprivatemortgageinsurer.（私人抵押貸款保險(xiǎn)商）

只有政府貸款美國(guó)政府全額信用保證，房利美和房地美沒有。但是一些私人抵押貸款保險(xiǎn)商會(huì)提供保險(xiǎn)。10-30ConformingLoans合規(guī)貸款FreddieMacandFannieMaearegovernment-sponsoredenterprises(GSEs)whosemissionistoprovideliquidityandsupporttothemortgagemarket.WhileFannieMaeandFreddieMaccanbuyorsellanytypeofresidentialmortgage,themortgagesthatarepackagedintosecuritiesarerestrictedtogovernmentloansandthosethatsatisfytheirunderwritingguidelines.Theconventionalloansthatqualifyarereferredtoasconformingloans.AconformingloanissimplyaconventionalloanthatmeetstheunderwritingstandardofFannieMaeandFreddieMac.Thus,conventionalloansinthemarketarereferredtoasconformingconventionalloansandnonconformingconventionalloans.合規(guī)和非合規(guī)常規(guī)貸款看是否滿足“兩房”的標(biāo)準(zhǔn)10-31ConformingLoans(continued)Qualifyingforaconformingloanisimportantforboththeborrowerandthemortgageoriginator.ThisisbecausethetwoGSEsarethelargestbuyersofmortgagesintheUnitedStates.Hence,loansthatqualifyasconformingloanshaveagreaterprobabilityofbeingpurchasedbyFannieMaeandFreddieMactobepackagedintoanMBS.Asaresult,theyhavelowerinterestratesthannonconformingconventionalloans.中國(guó)的住房公積金貸款也有類似之處！10-32TypesofResidentialMortgageLoans

(continued)LoanBalancesForgovernmentloansandtheloansguaranteedbyFreddieMacandFannieMae,therearelimitsontheloanbalance.Theloanlimits,referredtoasconforminglimits（合規(guī)限額）,forFreddieMacandFannieMaeareidenticalbecausetheyarespecifiedbythesamestatute.Loanslargerthantheconforminglimitforagivenpropertytypearereferredtoasjumboloans.（巨額貸款）10-33TypesofResidentialMortgageLoans

(continued)PrepaymentsandPrepaymentPenalties提前還款和罰金Homeownersoftenrepayallorpartoftheirmortgagebalancepriortothescheduledmaturitydate.Theamountofthepaymentmadeinexcessofthemonthlymortgagepaymentiscalledaprepayment.Thistypeofprepaymentinwhichtheentiremortgagebalanceisnotpaidoffiscalledapartialpaymentorcurtailment.Whenacurtailmentismade,theloanisnotrecast.Instead,theborrowercontinuestomakethesamemonthlymortgagepayment.10-34TypesofResidentialMortgageLoans

(continued)PrepaymentsandPrepaymentPenaltiesThemorecommontypeofprepaymentisonewheretheentiremortgagebalanceispaidoff.Allmortgageloanshavea“dueonsale”clause,whichmeansthattheremainingbalanceoftheloanmustbepaidwhenthehouseissold.Effectively,theborrower’srighttoprepayaloaninwholeorinpartwithoutapenaltyisacalledanoption.Amortgagedesignthatmitigatestheborrower’srighttoprepayistheprepaymentpenaltymortgage.提前還款懲罰貸款提前還款會(huì)讓貸款人面臨什么風(fēng)險(xiǎn)？1