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Fixed Income > IV-ABS-3 > Flashcards

IV-ABS-3 Flashcards

1
Q

Securitizing-roles

名词解释

  1. servicing the loan
  2. prospectus
A
  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

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2
Q

【mortgage loans】

  1. loan-to-value ratio (LTV)
  2. recourse/ non-recourse loan
  3. underwater mortgages
  4. strategic default
A
  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

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3
Q

【mortgage loans】

interest schedule

  1. adjustable/ variable rate

index-referenced ARM

reviewable ARM

  1. initial period fixed rate
  2. convertible rate
  3. interest-only mortgage

interest-only lifetime mortgage

A
  1. 浮动利率

挂钩某一index

rate at lender’s discretion

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

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4
Q

【RMBS】

  1. agency RMBS 包括+区别

2。 non-agency RMBS

  1. conforming/ non-conforming mortgage
A
  1. federal agency: Ginnie Mae

Gov Sponsored Enterprise (GSE) Fannie Mae, Freddie Mac

GSE do not carry full faith and credit of US GOV

  1. 非以上为non-agency
  2. 符合agency RMBS的mortgage 为conforming
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5
Q

【RMBS】-passthrough

1。 weighted average coupon rate (WAC)

  1. weighted average maturity (WAM)
  2. weighted average life (WAL)
  3. 后两者区别
A

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

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6
Q

【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

A

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

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7
Q

【RMBS】-pass-through

  1. single monthly mortality rate

SMM

  1. conditional prepayment rate CPR
  2. 100PSA
  3. 150/80 PSA
A
  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%

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8
Q

【RMBS】CMO

1。 CMO

2。 passthrough securities的collateral是

3。CMO的collateral是

A

1。collateralized mortgage obligations

  1. pool of mortgages
  2. pool of mortgage pass-through securities
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9
Q

【RMBS】CMO

Sequential-Pay structure

  1. 做法

2。prepayment risk

A

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

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10
Q

【RMBS】CMO

PAC and support tranch

  1. PAC
  2. 做法

3。initial PAC collar/ band

A
  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

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11
Q

【CMBS】

  1. recourse/ non-recourse?
  2. Debt-service-coverage DSC
  3. call protection 2
A
  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

  1. structure层面：设立sequential tranches

loan层面：关于prepayment几种限制

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12
Q

【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？
A
  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
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13
Q

【non mortgate ABS】

  1. risk分析
  2. car loan/credit card ABS: 特点
  3. credit card ABS: define lockout period
A
  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

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14
Q

【CDO】

  1. CDO/CBO/CLO/synthetic CDOs
  2. 分层
  3. 操作方式
A
  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
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Fixed Income (6 decks)

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