固定收益证 券Collaterized Mortgage Obligations and Stripped Mortgage-Backed Securities.pptVIP

* * * Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 13-* Credit Enhancement (continued) Monoline Insurance There are insurance companies that, by charter, provide only financial guarantees. These insurance companies are called monoline insurance companies. For RMBS, they provide the same function, and therefore, this is viewed as a form of credit enhancement. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 13-* Cash Flow for Nonagency MBS In agency MBS, the cash flow is not affected by defaults in the sense that they result in a reduction in the principal to some bond class. Rather, defaulted principal is made up by the agency as part of its guarantee. For a nonagency MBS, one or more bond classes may be affected by defaults, and therefore, defaults must be taken into account in estimating the cash flow. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 13-* Cash Flow for Nonagency MBS(continued) Measuring Default Rates There are two measures used for quantifying default rates for a loan pool: conditional default rate and cumulative default rate. The conditional default rate (CDR) is the annualized value of the unpaid principal balance of newly defaulted loans over the course of a month as a percentage of the unpaid balance of the pool (before scheduled principal payment) at the beginning of the month. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 13-* Cash Flow for Nonagency MBS (continued) Measuring Default Rates The CDR calculation begins with computing the default rate for the month as shown below: default rate for month t = Then, this is annualized as follows to get the CDR: CDRt = 1 – (1 – default rate for month t)12 The cumulative default rate, abbreviated as CDX in order to avoid confusion with CDR, is the proportion of the total face value of loans in the pool that have gone into default as a percentage of the total face value of the pool. Copyright ? 2010 Pears