债券市场_分析与策略PPTCh10

Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-1Chapter10ResidentialMortgageLoansCopyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-2LearningObjectivesAfterreadingthischapter,youwillunderstandwhatamortgageiswhothemajororiginatorsofresidentialmortgagesaretheborrowerandpropertycharacteristicsconsideredbyalenderinevaluatingthecreditriskofanapplicantforamortgageloanwhattheservicingofaresidentialmortgageloaninvolvesthetypesofresidentialmortgageloansbasedonlienstatus,creditclassification,interest-ratetype,amortizationtype,creditguarantees,loanbalances,andprepaymentsandprepaymentpenaltiesCopyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-3LearningObjectives(continued)Afterreadingthischapter,youwillunderstandwhataprepaymentisthecashflowofamortgageloanwhataprepaymentpenaltymortgageiswhatahomeequityloanistherisksassociatedwithinvestinginmortgagesthesignificanceofprepaymentriskCopyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-4OriginationofResidentialMortgageLoansTheoriginallenderiscalledthemortgageoriginator.抵押贷款发放人Theprincipaloriginatorsofresidentialmortgageloansarethrifts（储蓄机构）,commercialbanks,andmortgagebankers（贷款抵押银行）.Mortgageoriginatorsmayservicethemortgagestheyoriginate,forwhichtheyobtainaservicingfee.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-5OriginationofResidentialMortgageLoans(continued)Whenamortgageoriginatorintendstosellthemortgage,itwillobtainacommitmentfromthepotentialinvestor(buyer).Twogovernment-sponsoredenterprises(GSEs)andseveralprivatecompaniesbuymortgages.Becausetheseentitiespoolthesemortgagesandsellthemtoinvestors,theyarecalledconduits（导管企业）.Whenamortgageisusedascollateralfortheissuanceofasecurity,themortgageissaidtobesecuritized（抵押贷款证券化）.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-6UnderwritingStandards承销标准Payment-to-IncomeRatio还款额与收入之比Thepayment-to-incomeratio(PTI)istheratioofmonthlypaymentstomonthlyincome,whichmeasurestheabilityoftheapplicanttomakemonthlypayments(bothmortgageandrealestatetaxpayments).ThelowerthePTI,thegreaterthelikelihoodthattheapplicantwillbeabletomeettherequiredmonthlymortgagepayments.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-7UnderwritingStandards(continued)Loan-to-ValueRatio贷款额与抵押品价值之比Theloan-to-valueratio(LTV)istheratiooftheamountoftheloantothemarket(orappraised)valueoftheproperty.Thelowerthisratiois,thegreatertheprotectionforthelenderiftheapplicantdefaultsonthepaymentsandthelendermustrepossessandselltheproperty.TheLTVhasbeenfoundinnumerousstudiestobethesinglemostimportantdeterminantofthelikelihoodofdefault.Therationaleisstraightforward:Homeownerswithlargeamountsofequityintheirpropertiesareunlikelytodefault.这是良好的违约预测指标！Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-8TypesofResidentialMortgageLoansTherearedifferenttypesofresidentialmortgageloans.Theycanbeclassifiedaccordingtothefollowingattributes:i.lienstatus留置地位ii.creditclassification信用类别iii.interestratetype利率类型iv.amortizationtype分期还款类型v.creditguarantees信用担保vi.loanbalances贷款余额vii.prepaymentsandprepaymentpenalties提前还款好提前还款罚款Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-9TypesofResidentialMortgageLoans(continued)LienStatus留置地位Thelienstatusofamortgageloanindicatestheloan’sseniorityintheeventoftheforcedliquidationofthepropertyduetodefaultbytheobligor.Foramortgageloanthatisafirstlien,thelenderwouldhavefirstcallontheproceedsoftheliquidationofthepropertyifitweretoberepossessed.Amortgageloancouldalsobeasecondlienorjuniorlien,andtheclaimsofthelenderontheproceedsinthecaseofliquidationcomeaftertheholdersofthefirstlienarepaidinfull.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-10TypesofResidentialMortgageLoans(continued)CreditClassification信用类型Aloanthatisoriginatedwheretheborrowerisviewedtohaveahighcreditqualityisclassifiedasaprimeloan.Aloanthatisoriginatedwheretheborrowerisoflowercreditqualityorwheretheloanisnotafirstlienonthepropertyisclassifiedasasubprimeloan.次贷！Whilethecreditscoreshavedifferentunderlyingmethodologies,thescoresgenericallyarereferredtoas“FICOscores.”FICOscoresrangefrom350to850.ThehighertheFICOscoreis,thelowerthecreditrisk.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-11TypesofResidentialMortgageLoans(continued)CreditClassificationInrefinancing,whentheloanamountrequestedexceedstheoriginalloanamount,thetransactionisreferredtoasacash-out-refinancing.套现再融资Ifinstead,thereisfinancingwheretheloanbalanceremainsunchanged,thetransactionissaidtobearate-and-termrefinancingorno-cashrefinancing.利率与期限再融资或非套现再融资Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall10-12TypesofResidentialMortgageLoans(continued)CreditClassification信用分类Thefrontratio（前端比率）iscomputedbydividingthetotalmonthlypayments(whichincludeinterestandprincipalontheloanpluspropertytaxesandhomeownerinsurance)bytheapplicant’spre-taxmonthlyincome.Thebackratio（后端比率）iscomputedinasimilarmanner.Themodificationisthatitaddsotherdebtpaymentssuchasautoloanand