Reading 54 Introduction to Asset-Backed Securities

1. Structure of Securitization. 

Credit Tranching& Time Tranching 三大机构的只有time tranching的

2. Introduction to Residential Mortgage Loan

(1) fixed rate, adjustable or variable rate (indexed-reference, reviewable ARM出借方可自行调整), initial period fixed rate某些日期可调整(rollover or renegotiable mortgage, hybrid mortgage前期不可调后期可调), convertible 

(2) amortization schedule: fully amortizing loan 等额本息；partially amortizing loan 期间归还小部分本金，最后一期归还大部分本金; interest-only mortgage 固定期间或全部期限内无需归还本金，最后归还全额本金；

(3) recourse loan: 可追索 lender has a claim against the shortfall, e.g. European v.s. non recourse loan: lender can only look to the property, e.g. United States的commercial (strategic default borrower voluntarily returns the property to the lender)

3. Types and Characteristics of Residential Mortgage Loan

(1) Types: agency RMBS (三大机构发行的 Gennie Mae无风险, 后两者有一定风险Freddie Mac, Fannie Mae) v.s. Non-agency RMBS ; conforming mortgage满足三大机构条件的 v.s. non-conforming mortgage 

(2) Pass-through mortgage转手证券，不分层的, mortgage rate - pass though rate = servicing fees. weighted average maturity WAM没有考虑提前还款 v.s.average life考虑了提前还款, weighted average coupon WAC

(3) prepayment提前还款, prepayment option, prepayment penalty. 

＊Prepayment Risk: 指的是超预期的提前还款。contraction risk通缩后利息下降，提前还款比预期的多 & extension risk利息上升，提前还款比预期的少；

CPR conditional prepayment rate每年 v.s. PSA public security association每月; 50 PSA means 50% of PSA benchmark CPR. CPR每个月增长0.2%，直至30个月到6%稳定。 SMM single monthly mortality rate (掌握例题计算)

(4) CMO Collateralized Mortgage Obligation可以拆分不同风险:

Sequential Pay Tranches 先按照顺序分票面利息、在按照顺序分本金→contraction risk提前还的多，影响A序列， extension risk提前还得少影响B序列；

PAC Planned Amortization Class最低级别为support tranche来承担所有prepayment risk，包括contraction risk和extension risk. Initial PAC collar提前款还在一定范围内，support tranche可以保持稳定。support tranche饱了指a broken or busted PAC，上一结构自动变成support tranche.

Floating-rate Tranche当实际利息上升时，floating rate tranche的利息更高，inverse floater利息更低。

(5) non-agency RMBS: 

Internal Credit Enhancement: 1) Shifting Interest Mechanism locks out Subordinated Bond classes from receiving payments when credit enhancement for Senior Tranches deteriorates; 2) Reserve Funds (cash reserve funds, excess spread amount); 3) Overcollateralization; 

External Credit Enhancement比如第三方机构的背书

4. CMBS Commercial Mortgage-Backed Securities业主用房租还款

(1) commercial mortgage(non-recourse) v.s. residential mortgage (recourse). CMBS关注两大风险 DSC debt-to-serivce coverage ratio 越高越好 & Loan-to-value ratio 越低越好

(2) Call Protection 对提前还款的惩罚: prepayment lockout, defeasance要求拿一部分钱买国债还款, prepayment penalty points, yield maintenance charges仍然要支付所有利息

(3) Balloon Maturity Provision 最后一期本金较大，还不出，引发extension risk 则进入 work out period, 会收取更高的default interest.

5. Non-Mortgage Asset-Back Securities

(1) Auto Loan ABS无提前还款（除非汽车损害等例外情况），一般是amortizing loan. 

(2) Credit Card ABS无提前还款，一般是non-amortizing loan. Pool of credit consist of finance charges collected, fees, principal repayments.  Lock-up Period期限内，循环贷，先不还给投资者。

6. Collateralized Debt Obligation CDO

backed by pool of debt obligation that is managed by collateral manager

(1) CBO collateralized bond obligations backed by corporate and emerging market bonds

(2) CLOs collateralized loan obligations backed by leveraged bank loans

(3) structured finance CDOs, backed by ABS, RMBS, CMBS and other CDOs

(4) synthetic CDOs, backed by a portfolio of credit default swaps 不是真正的持有，而是通过买入特定产品和卖出特定产品的间接操作。

Reading 55 Understanding Fixed-Income Risk and Return

1. Source of return from investing Fixed-Rate Bond

(1) sources: coupon and principal payments, interest and reinvestment, capital gain or loss

(2) total return: （利息＋再投资收益＋卖价）／买价的收益率。考点计算：计算买入价、计算利息收益、计算卖出价、计算收益率。

(3)＊重要结论：

持有至到期的年化为YTM；未持有到期，再投资收益率仍为YTM，年化仍为YTM;

再投资收益率提高（降低），realized return提高（降低）；

再投资收益率变高，持有更短的时间，realized return降低；再投资收益率降低，持有更长时间，realized return升高。

(4) *Interest Rate Risk: YTM上升（下降）会降低（提高）债券价格，但提高（降低）再投资收益。1) short investment horizon小于麦考利久期: market price risk大于reinvestment risk; 2) long investment horizon大于麦考利久期: market price risk小于reinvestment risk.

(5) 利率变动对价格的影响：

2. *Duration

(1) *Macaulay Duration麦考利久期＝－∆P/∆YTM 指债券利率风险或者债券全价对利率的敏感度，即收益率变化1%时，价格变化的近似值。计算方式为现金流以现值为权重的加权平均回流时间。计算看notes

特性：期限越长、久期越长；息票率越低、久期越长；YTM越低、久期越长；含权债券久期较短。折价债券随着时间变化，久期先增加后减少，并不是时间越长久期越大。

修正久期考虑了到期收益率；修正久期是指收益率上升或下降相同幅度时，债券价格的平均变化率；有效久期是考虑了债券的含权问题

[第11课最后程推导了公式如何得来，但是没听懂]

(2) *Money Duration美元久期＝annual modified duration * full price of bond; Money Duration per 100 units of par value = annual modified duration * full price bond per 100 of par

PVBP price value of a basis point 收益率变动一个极点时，价格变动的绝对值

(3) Perpetuity or perpetual bond永续债券的久期＝(1+r)/r；零息债券的久期＝债券期限t

(4) Portfolio Duration = W1D1+W2D2....+WnDn. 前提是不同债券的收益率变化相同，但前提很难实现，因此现实中应用比较少。

(5) ＊Convexity凸性（笑脸）：涨多跌少。如果变化比较少，可以用久期直接计算，但是如果变化比较大，加上凸性因素才比较准确。久期和凸性都指平行移动v.s.key rate duration指非平行移动。考公式计算

含权债券用有效凸性

(6) Structure of Yield Volatility利率的波动性，短期波动比长期大。波动性对债券的影响：本身的波动个性多大、当次冲击多大。

(7) Duration Gap ＝ 麦考利久期 － 再投资时间（＊正负不要弄错）。投资时间大于麦考利久期，为长期投资者，主导的是再投资风险；反之为短期投资者，主导的是价格风险。

(8) Credit and Liquidity Spread

Reading 56 Fundamental of Credit Analysis

很简单，看notes的总结