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Flashcards in IV-ABS-3 Deck (14):
1

Securitizing-roles

名词解释

1. servicing the loan

2. prospectus

1. 负责催收账款等,有时是卖出资产的一方,有时是第三方

2。发行ABS的法律协议,规定structure of securitization细节

2

【mortgage loans】

1. loan-to-value ratio (LTV)

2. recourse/ non-recourse loan

3. underwater mortgages

4. strategic default

1. 贷款额/房产金额

2.recourse: 附追索权。non-recourse追索权仅限于foreclosure of the property

3. 资产价格已经低至贷款额以下

4。 underwater mortgage并且non-recourse的情况下,贷款人可以选择战略违约,让银行收走资产

3

【mortgage loans】

interest schedule

1. adjustable/ variable rate

index-referenced ARM

reviewable ARM

2. initial period fixed rate

3. convertible rate

4. interest-only mortgage

interest-only lifetime mortgage

1. 浮动利率

挂钩某一index

rate at lender's discretion

2. fixed period时期过后,可以重新设定fixed rate (rollover, renegotiable)或变成variable rate

3. 一开始可能是固定或者浮动,一段时间后borrower可以选择转换成浮动或者固定

4。 开始若干年只还利息

终其一生只还利息

4

【RMBS】

1. agency RMBS 包括+区别

2。 non-agency RMBS

3. conforming/ non-conforming mortgage

1. federal agency: Ginnie Mae

Gov Sponsored Enterprise (GSE) Fannie Mae, Freddie Mac

GSE do not carry full faith and credit of US GOV

2. 非以上为non-agency

3. 符合agency RMBS的mortgage 为conforming

5

【RMBS】-passthrough

1。 weighted average coupon rate (WAC)

2. weighted average maturity (WAM)

3. weighted average life (WAL)

4. 后两者区别

注意在mortgage pool中

每一笔mortgage所占比例,作为权重

WAM:客观描述maturity time, 不考虑prepayment

WAL:实际中更有用,考虑了PSA prepayment rate,是投资者真真正能收回投资的时间度量

6

【RMBS】-passthrough

prepayment risk

1. contraction risk

发生于利率如何时

2。 contraction risk对于投资者是哪两方面

3。 extension risk 发生于

4。 理解prepayment risk

1。 利率下降,贷款者加速提前偿还,投资者WAL变短,面临reinvestment

2。 一是reinvestment,二是相当于债券发行人含call option,因此该security价格上升时,涨幅不如不含权债券,跌起来则幅度更大

3。 利率上升,贷款者提前偿还速度变慢

4。注意不是不提前偿还,有一个expected prepayment rate, risk是在此基础上还更多或者还更少的uncertainty

7

【RMBS】-pass-through

1. single monthly mortality rate

SMM

2. conditional prepayment rate CPR

3. 100PSA

4. 150/80 PSA

1. SMM=(prepayment for the month)/(bengining outstanding mortgage balance - scheduled principal repayment for the month)

2. (1-SMM)12=(1-CPR)

注意CPR是年化概念

3。标准benchmark,表示一个prepayment速度

头30月内,每月(年化)prepayment rate增加0.2%,直到30个月增至6%,后保持恒定

150:仍30个月,每月增长0.2%X1.5=0.3%, 恒定至6%X1.5=9%

8

【RMBS】CMO

1。 CMO

2。 passthrough securities的collateral是

3。CMO的collateral是

1。collateralized mortgage obligations

2. pool of mortgages

3. pool of mortgage pass-through securities

9

【RMBS】CMO

Sequential-Pay structure

1. 做法

2。prepayment risk

1。 分为trance 1, 2, 3,

period 1: 利息3个tranch都有,本金全归1

period2:1已经退出,利息2,3都有,本金归2

period3:2也退出,本金利息都归3

2。tranch 1: contraction risk最高extension最低

tranch3:contraction 最低extension最高

10

【RMBS】CMO

PAC and support tranch

1. PAC

2. 做法

3。initial PAC collar/ band

 

1. Planned Amortization Class

2. 设立support tranch,所有多的prepayment都冲support,不够的prepayment,support就不要本金

保证PAC tranch的稳定性

3。 保证prepayment rate在PSA一个band内,PAC tranch的WAL不变。超过了这个band,PAC WAL也会波动,但仍有support缓冲,因此波动小

11

【CMBS】

1. recourse/ non-recourse?

2. Debt-service-coverage DSC

3. call protection 2

1. non-recourse

2. net operating income (NOI)/debt service (annual payment of interest+principle)

NOI包括rental income-operating cost-资产折旧

3. structure层面:设立sequential tranches

loan层面:关于prepayment几种限制

12

【CMBS】

1. prepayment lockout

2. prepayment penalty points

3. yield maintenance charge

4. defeasance

5. ballon risk 3个名词

6. 交易起来更像?因为?

1. 一定时间内不许提前还款

2. 提前还款要罚款

3. 提前还款,要补足interest,使投资人一端没有变化

4. 提前还款,用偿还的本金购买国债等,补足现金流

5. extension risk, worout period, 新的default interest rate

6. 更像corp bonds,因为有call protection

13

【non mortgate ABS】

1. risk分析

2. car loan/credit card ABS: 特点

3. credit card ABS: define lockout period

1. non-amortizing的无prepayment risk, 仅credit risk

2. 汽车:amortizing, 信用卡:non-amortizing

3. 锁定期内securities只pay finance charges (interest) and fees,

本金不返还,继续用于发放贷款

锁定期结束后开始返还本金

 

14

【CDO】

1. CDO/CBO/CLO/synthetic CDOs

2. 分层

3. 操作方式

1. collateralized debt obligations/ bond/ loan/

synthetic: backed by a portfolio of credit default swaps for structured securities

2. senior/ mezzanine/ subordinated

subordinated: 类似equity-type return

3. 不是被动靠抵押品的现金流,而是CDO经理主动操作,买卖obligation,套利等,创造higher return than cost of bond