CFA固定收益證券Chapter4.4ResidentialMortgageLoansandResidentialMortgage-BackedSecurities(RMBS)第四章第四節：住房抵押貸款與住房抵押貸款支持證券ResidentialMortgageLoansAresidentialmortgageloanisaloanforwhichthecollateralthatunderlinestheloanisresidentialrealestate.Itisnormallyafullyamortizingloan.Thematurityofaresidentialmortgageloanistypicallylong.Themortgagegivesthelendertherighttoforecloseontheloaniftheborrowerdefaults.9/13/2023Page1ResidentialMortgageLoansTypically,theamountoftheloanislessthantheproperty'spurchaseprice.Adownpaymentisnormallyrequired,whichisalsotheborrower’sinitialequity.Loan-to-Value(LTV)

ratio

is

an

important

measure

to

judgetheriskinessofaresidentialmortgageloan.LoanswithlowerLTVsarelessrisky.InUnitedStates,mortgagesloanswithlowLTVratioandmadetohighcreditqualityborrowersarecalledprimeloans.MortgageloanswithhighLTVratioandmadetolowcreditqualityborrowers,orthathavealowerpriorityclaimtothecollateral,arecalledsub-primeloans.9/13/2023Page2ResidentialMortgageLoansSomeresidentialmortgageloansarerecourseloansunderwhichthelenderhasaclaimagainsttheborrowerfortheamountbywhichthesaleofarepossessedcollateralpropertyfallsshortoftheprincipaloutstandingontheloan.Othermortgageloansarenonrecourseloans,whichmeansthelenderhasnoclaimagainsttheassetsoftheborrowerexceptforthecollateralpropertyitself.9/13/2023Page3MortgageRatesTheinterestrateonamortgageiscalledthemortgagerate.Thefourbasicwaysthatthemortgageratecanbespecifiedareasfollows:Fixed-RateMortgage.Themortgagerateremainsthesameduringthelifeofthemortgage.Adjustable-RateMortgage(ARM).Themortgagerateisresetperiodically.Thedeterminationofthenewmortgageratemaybebasedonsomereferencerateorindex(inwhichcase,itiscalledanindexed-referencedARM).Itusuallyhasamaximuminterestrateandamaximuminterestratethatthemortgageratecanreachduringthemortgage’slife.9/13/2023Page4MortgageRatesInitialPeriodFixedRateMortgage.Themortgagerateisfixedforsomeinitialperiodandisthenadjusted.Iftheloanbecomesanadjustable-ratemortgageaftertheinitialfixed-rateperiod,itiscalledahybridmortgage.Iftheinterestratechangestoadifferentfixedrateaftertheinitialfixed-rateperioditiscalledarolloverorrenegotiablemortgage.ConvertibleMortgage.Themortgagerateisinitiallyeitherafixedrateoranadjustablerate.Atsomepoint,theborrowerhastheoptiontoconvertthemortgagetoanadjustablerateorafixedratefortheremainderofthemortgage’slife.9/13/2023Page5PrepaymentProvisionsApartialorfullrepaymentofprincipalinexcessofthescheduledprincipalrepaymentsrequiredbythemortgageisreferredtoasaprepayment.Ifahomeownersellshishousebeforethematurityofthemortgage,hemustprepaytheremainingprincipalinalumpsum.Somehomeownersmayrefinancehermortgagebyprepayingtheremainingprincipalusingtheproceedsofanew,lowerinterestrateloan.Somehomeownersmaypaymorethantheirscheduledpaymentsinordertoreducetheprincipaloutstandingandinterestcharges,andeventuallypayofftheirloanspriortomaturity.Someloanshaveaprepaymentpenalty,whichisanadditionalpaymentthatmustbemadeifprincipalisprepaid.Somemortgagesrequireapenaltyifaprepaymentoccursduringaninitialperiodafterloanorigination.Somemortgagesrequireapenaltywheneveraprepaymentoccur.9/13/2023Page6ResidentialMortgage-BackedSecuritiesThebondscreatedfromthesecuritizationofmortgagesrelatedtothepurchaseofresidentialpropertiesareResidentialMortgage-BackedSecurities(RMBS).Dependingontheirissuers,RMBScanbeclassifiedasAgencyRMBSandNonagencyRMBS.AgencyRMBSareguaranteedbythegovernmentorthequasi-governmentagencies.

Forexample,RMBSissuedbyFannieMaeandFreddieMacinU.S.areagencyRMBS.Theyusuallyhaveahighcreditrating.NonagencyRMBSarenotguaranteedbythegovernmentorthequasi-governmentagencies.Forexample,RMBSissuedbyaprivateSPEisanonagencyRMBS.Theyusuallyneedtoadoptcreditenhancementstoreducecreditrisk.9/13/2023Page7ResidentialMortgage-BackedSecuritiesForaloantobeincludedinapoolofloansbackinganagencyRMBS,itmustmeetspecificunderwritingstandardsestablishedbyvariousgovernmentagencies.Thesestandardssetforththemaximumsizeoftheloan,theloandocumentationrequired,themaximumloan-to-valueratio,andwhetherornotinsuranceisrequired.Ifaloansatisfiestheunderwritings