Bank of america rmbs trading desk strategy

Bank of america rmbs trading desk strategy
A Cello criou uma organização que supera barreiras entre comércio, pesquisa e tecnologia para alcançar uma abordagem unificada de gerenciamento de portfólio. A empresa é definida por uma equipe com um longo histórico compartilhado de sucesso e valores fundamentais de curiosidade, grão, integridade, propriedade, julgamento e excepcionalismo. Os profissionais sênior de violinistas de média vinte e dois anos de experiência.
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Bank of america rmbs trading desk strategy.
Este blog tentará dissecar o investimento de dívida em dificuldades, subindo e descendo a estrutura de capital. Examinaremos as atuais situações de dívida em dificuldades, tentamos explicar os prós e contras de como as decisões são tomadas no mundo da dívida angustiante da América, provavelmente rant algumas vezes sobre posições que estão trabalhando contra mim e espero esclarecer alguns leitores. No final do trimestre, a cabeça da dívida em dificuldades em um grande fundo multi-strat chamado meu ex-chefe e disse: Rmbs deve ter atingido CLP GO dez mil vezes em busca do pior dos piores. Por exemplo, aqui está o CWL de negociação de tela CLP usando o M6 aqui E a tela CLC Composição colateral - Existem outras 12 páginas listando a faixa de taxas, LTVs, tamanho, maturidade, etc. nas hipotecas subjacentes, Para lhe dar referência, o máximo A tranca sênior do negócio do banco foi classificada AAA por ambas as agências de rating. Na época, nós éramos muito baratos para subscrever desk Intex e estratégia, em algum momento, ir para outros escritórios de fundos maiores para executar a análise de cenários em ofertas de estratégia de nome único. No início, comecei a conversar com outros analistas em alguma América e comprando lojas laterais, a América estava mergulhando seus dedos no mercado. Passei um tempo de mesa aqui e ali, olhando para os BWIC saindo das mesas, mas nada de sério. Mas, à medida que a América avançava ainda mais para o ano, e o comércio de risco foi colocado na mesa, e os rendimentos começaram a se tornar América no crédito corporativo, meu interesse foi picado ainda mais. A coisa boa estruturalmente sobre este mercado é que não houve influxos naturais no mercado, houve vendedores naturais. Você tem trilhões de dólares de papel com estratégia, mas vendedores. Enquanto isso, o lado da oferta de desktops do mercado é, naturalmente, falando devido a inadimplência de pré-pagamentos de negociação, portanto, há cada vez menos e menos estratégia de papel. A América realmente encolhe 1. Enquanto, no início, essa tática parecia estar funcionando moderadamente bem, essa estratégia tornou-se impossível percorrer as listas BWIC com qualquer tipo de confiança na análise, não o tempo suficiente para executar os números e o verdadeiro preço de compensação. A fadiga se instalou, as pessoas começaram a se arrepender, e então tiveram que se desrespeitar. O problema, é claro, é que, como os compradores já estavam sufocando em RMBS não agência da Maiden Lane, havia uma troca para descarregar. Então, em vez disso, eles começaram a se proteger com nosso bom velho amigo, o ABX, todos os vintages e CMBX. E, como muitas pessoas sabem, o ABX e o CMBX não são as coortes mais líquidas lá fora, negociando o melhor no grupo de um mundo ilíquido. Tornou-se tão ruim que, na sua mais recente "Securitization Weekly", o Bank of America Merrill Lynch escreve: Então, para obter "menos longo" ou de-risco, quer vender ou ir completamente curto, eles devem se voltar para ambientes líquidos de rmbs como crédito e ações. Barclays observou em uma peça de estratégia recente que o HY CDX troca 5 vezes mais por semana, em média, do que os índices ABX e CMBX combinados. E, de acordo com a DTCC, definitivamente vimos um aumento na negociação de volume do HY CDX nas últimas semanas. Em teoria, os índices sintéticos HY e IG devem trocar, em preço ou espalhar um nível equivalente ao CDS subjacente total em cada veículo. Na verdade, porém, o índice HY CDX está negociando 1. Enquanto eu esperava que isso feche, enquanto fundos inteiros e mesas na rua são configurados para arbitrar esse banco, tem sido doloroso observar como as pessoas tentaram fazer qualquer coisa. Resta saber o que o Fed fará com outros BWIC da Maiden Lane II. Definitivamente, tem uma quantidade reduzida de rmbs. Como mencionado em uma publicação anterior, penso que certos setores de estratégia de segurança não-agência, de mesa Alt-A america são interessantes - mas os técnicos são um desastre. Continuarei a fazer o meu trabalho e adiciono seletivamente à posição com pleno conhecimento de que será impossível pegar o fundo aqui. Um comerciante, jogando em um espaço similar, me enviou o abaixo. No entanto, será um verão muito interessante nos mercados de crédito e ABS: o que, na minha opinião, é uma das únicas classes de ativos que ainda tem uma vantagem absoluta e rendimentos atraentes. Os rendimentos ajustados por perdas são muito atraentes. A nova estratégia para o mercado comercial trouxe vários provedores de liquidez antecipados e. O vendedor mais notável é o Fed Blackrock que gerenciou o banco que vende o portfólio Maiden Lane II. Esta oferta adicional manteve o mercado suave e deve criar algumas boas oportunidades de compra neste verão. Notícias recentes sobre habitação não foram uma surpresa para ninguém e a América não ajuda. Isso disse que o sentimento da pesquisa que eu vi é que há mais vantagem e desvantagem. Com base no mercado atual, acho que o paciente restante e a acumulação de energia seca são inteligentes. Isso disse que legging durante o verão poderia ser a melhor avenida de Rmb para aproveitar com base na venda recente. O sentido é que o banco é 1 ou 2 pontos mais baixos é o lugar onde os compradores estão ". Marcadores dívida angustiada 3 avaliação da dívida em dificuldades 1 mercado de dívida em dificuldades 1 perspectiva da dívida em dificuldades 1 abitibibowater 2 acas 1 proteção adequada 1 conceitos avançados de dívida angustiada 18 AIG 1 Alden Global 1 AMR 1 atp 1 análise de balanço 2 bancada bancária conta Bill Ackman 2 blockbuster 1 recomendação de livro 1 Canyon Partners 1 caixa 1 índice CCC retorna 1 cds leilões 1 CEDC 1 chrysler desk CLO 1 conceitos 2 contratos de crédito 1 crédito bidireccional 3 mercados de crédito 1 David Karp 1 dayton superior 1 trocas de dívidas 1 DIMEQ 1 dívida em dificuldades 42 comércio de dívidas em dificuldades 1 análise de dívida em dificuldades 14 resgates dívida revisões de livros 2 dívida em dificuldades estudo de caso 7 conferência de dívida em dificuldades 11 troca de dívida em dificuldades 1 ideias de dívida em dificuldades 7 dívida angustiada entrevista 6 dívida angustiada investindo 21 angustiado conceitos de investimento de dívida 7 dívida angustiante investindo lista de leitura rmbs dívida enfraquecida Clube de Investidores 15 dívida angustiada comércio de notícias distor Notas de dívida ssed 2 gestão da carteira de dívida em dificuldades 3 pesquisa de dívida em dificuldades 5 Dívida: Dona Maiden Lane e seus efeitos nos mercados de crédito líquidos. Para a mesa, aqui está a tela Rmbs para CWL usando M6 aqui. E a tela CLC Composição colateral - Existem outras 12 páginas listando a faixa de taxas, LTVs, tamanho, maturidade, etc. nas hipotecas subjacentes. Para lhe dar referência, a parcela mais alta deste acordo foi classificada AAA pelas duas agências de rating. Vá aqui para o vídeo: o Fed recusou o preço de compra oferecido pela AIG e, em vez disso, anunciou que seria usar as ofertas da BWICS em competição para liquidar os ativos. Isso ficou tão ruim, que no seu mais recente "Banco de Securitização, o Banco da América Merrill Lynch escreve:" Continuando o ponto acima, à medida que as preocupações comerciais surgiram, os fundos que negociavam a Rua precisavam diminuir sua longa exposição de qualquer maneira possível. para ser um verão muito interessante nos mercados de crédito e ABS: Post Newer Post mais antigo Início Assinar Subscrever em uma América Subscrever por e-mail. Inscreva-se para um teste de Rmbs agora. O que estou lendo este mês A coisa mais importante - Novos Rmbs Edição. The Wizard of Lies. Reorg Research Careers Link para a página de postagens de trabalho da Reorg. Proskauer Rose Martin Bienenstock Phil Abelson Vincent Indelicato Schulte Roth Zabel David J. Fatal Risco Dívida Avançada Avançada Lição: Links de Interesse Semanais Maior Saída Semanal de Alto Rendimento no Registro My Takeaways favoritos do Oaktree S-1 Dívida afligida: Links de interesse do banco NYSSA Investidores afligidos Market Panel Post Re-Org Equities: Banco Maiden Lane II Seus efeitos em Atualmente lendo Abn ormal Devoluções Greenbackd Como Obter um Fundo Hedge Job Market Bank Fergueira Rmbs. Publicações populares este mês Reorg Research Job Posting: Covenant Analyst Capital Structure Arbitrage: Estratégia 1 Lista atualizada de Hedge Funds de dívida afligida Investimento aflito: como ler um acordo de crédito? Uma melhor maneira de ler os documentos da SEC na Reorg Research, uma lista de leitura de dívidas afligidas, uma Análise de Recuperação de Dívida Suavizada Simplificada. Email hunter [at] angustiado-dívida-investing [dot] com. Sobre mim, passei a maior parte da minha carreira como investidor de valor. Nos últimos 8 anos, trabalhei no lado da compra como uma dívida angustiada e um investidor de alto rendimento. Isenção de responsabilidade Este site é sobre o investimento em dívidas em dificuldades. Sob nenhuma circunstância, esta é uma oferta de venda ou uma solicitação de compra de valores mobiliários discutidos neste site. Todos os dados, informações e opiniões são estratégias para mudar sem aviso prévio.
Evite o estoque do Bank of America até que uma nova estratégia esteja no lugar.
2 pensamentos sobre & ldquo; Bank of america rmbs trading desk strategy & rdquo;
A idéia de relação textual entre os versos de um capítulo foi discutida em vários títulos como nazm e munasabah em literatura e coerência não inglesas, relações de texto, intertextualidade e unidade na literatura inglesa.
Em suma, a evolução explica muito bem a natureza humana, mas estamos longe de terminar no grande projeto de naturalização da consciência humana.

[Banco da América] Introdução às Estruturas da Agência CMO.
Categoria: Documentos.
Estratégia da mesa de negociação da RMBS Introdução às estruturas da Agência CMO Sharad Chaudhary 212.583.8199 sharad. chaudhary@bankofamerica 16 de outubro de 2006 Foram inventadas obrigações de hipoteca garantidas (OCM) para ampliar o recurso de títulos garantidos por hipotecas criando uma ampla gama de perfis de duração e pré-pagamento dos fluxos de caixa de crédito hipotecários básicos. As CMOs são criadas redistribuindo os fluxos de caixa gerados pela garantia subjacente com base em regras predefinidas. As garantias podem ser pools de passagem de agência, empréstimos completos ou mesmo outras classes de obrigações da CMO. RMBS Trading Desk Strategy Ohmsatya Ravi 212.933.2006 ohmsatya. p.ravi@bankofamerica O objetivo deste guia é explicar as várias alternativas disponíveis para estruturar os pagamentos de principal e de juros de títulos hipotecários e avaliar e comparar riscos nas classes de títulos resultantes. Para cada estrutura individual que estudamos, analisamos a variabilidade média da vida e as características ajustadas por opção das classes de títulos constituintes. Qumber Hassan 212.933.3308 qumber. hassan@bankofamerica Sunil Yadav 212.847.6817 sunil. s.yadav@bankofamerica Ankur Mehta 212.933.2950 ankur. mehta@bankofamerica RMBS Trading Desk Modelagem ChunNip Lee 212.583.8040 chunnip. lee@bankofamerica Marat Rvachev 212.847. 6632 marat. rvachev@bankofamerica Vipul Jain 212.933.3309 vipul. p.jain@bankofamerica Este documento NÃO é um relatório de pesquisa de acordo com a legislação dos EUA e NÃO é um produto de um departamento de pesquisa de renda fixa. Este documento foi preparado para compradores institucionais qualificados, investidores sofisticados e profissionais do mercado apenas. Para nossos clientes da U. K.: esta comunicação foi produzida pelo principal benefício de uma mesa de negociação. Como tal, não aguardamos essa pesquisa de investimento (conforme definido pela lei U. K.) como sendo imparcial em relação às atividades desta mesa de negociação. Veja as importantes divulgações de conflitos que aparecem no final deste relatório para obter informações sobre o papel dos estrategistas da mesa de negociação. Estratégia da mesa de negociação da RMBS I. INTRODUÇÃO As obrigações de hipoteca garantidas (OCM) foram criadas para ampliar o recurso de títulos hipotecários, criando uma ampla gama de perfis de duração e pré-pagamento com os fluxos de caixa de crédito hipotecários básicos. As CMOs são criadas redistribuindo os fluxos de caixa gerados pela garantia subjacente com base em regras predefinidas. As garantias podem ser pools de passagem de agência, empréstimos completos ou mesmo outras classes de obrigações da CMO. Antes de o mercado da CMO ter decolado, os investidores geralmente obtiveram exposição ao mercado de hipotecas usando passagens de MBS, onde os investidores compartilham o principal e os pagamentos de juros sobre os empréstimos subjacentes em uma base proporcional. No entanto, as passagens não são adequadas para alguns investidores institucionais porque uma alteração nos pagamentos antecipados pode resultar em uma incompatibilidade entre o seu financiamento e as responsabilidades. Por exemplo, bancos e outras instituições financeiras geralmente desejam bloquear um spread sobre o custo de seus fundos. A duração da maioria dos passos de taxa fixa não corresponde à duração do passivo de curto prazo dessas instituições. Além disso, mesmo que as durações dos ativos de passagem da hipoteca e os passivos das instituições bancárias / financeiras correspondam inicialmente, as hipotecas podem se estender substancialmente em uma taxa de backup e criar um desajuste de duração entre os ativos e passivos de um banco. Assim, os bancos estão preocupados com o risco de extensão nas passagens hipotecárias. Por outro lado, as companhias de seguros e os fundos de pensão têm seus passivos distribuídos ao longo de vários anos. Essas instituições estão predominantemente preocupadas com o risco de contração em passagens hipotecárias, porque em tempos de refinanciamentos pesados, seus ativos diminuirão substancialmente, embora a duração de seus passivos permaneça praticamente inalterada. Assim, alguns investidores institucionais estão mais preocupados com o risco de extensão, enquanto outros estão mais preocupados com o risco de contração (chamada). A estruturação de OCM distribui os fluxos de caixa da garantia hipotecária subjacente a diferentes tranches de um acordo. Cada tranche terá exposições antecipadas que são diferentes das de outras tranches e as garantias subjacentes. As tranches individuais podem oferecer spreads muito diferentes para compensar os investidores pela exposição ao risco de títulos individuais. Vale ressaltar que as estruturas de OCM não eliminam o risco de chamada / extensão da garantia subjacente - eles simplesmente redistribuem esse risco entre as diferentes tranches de uma estrutura de OCM. Tendências de Emissão recentes Os números 1 e 2 fornecem uma repartição do crescimento histórico do mercado da Agência CMO e do nível de atividade de emissão, respectivamente. Desde a sua criação, em junho de 1983, com a emissão da primeira OCM da Freddie Mac, o mercado de OCM experimentou um crescimento significativo e inovação. Atualmente, o mercado da Agência CMO consiste em mais de US $ 1 trilhão em títulos em circulação, tornando-se um dos maiores setores do universo de renda fixa. As OCM emitidas por Freddie Mac e Fannie Mae representam cerca de noventa por cento do mercado da Agência, com os dez por cento restantes atribuíveis a Ginnie Mae. O nível geral de emissão da agência geralmente rastreia as taxas de hipoteca com os maiores níveis de emissão correspondentes a períodos de grande atividade de refinanciamento. Outros fatores importantes que determinam a emissão de CMO são: a inclinação da curva de rendimento, as avaliações das passadas em relação aos títulos de CMO, a "especialidade" dos rolos do dólar e as necessidades especiais de alguns grandes participantes no mercado de MBS (por exemplo, GSEs e investidores estrangeiros) . Em geral, a emissão de CMO tende a ser mais pesada em ambientes onde os rolos do dólar estão sendo negociados em carry e a curva de rendimento é íngreme. Os tipos de estruturas de CMO criadas a qualquer momento são altamente dependentes das condições do mercado e das preferências dos investidores. Por exemplo, a demanda por estruturas de suporte de alto rendimento levou 2 negócios da RMBS Trading Desk Strategy OCM para a maioria dos últimos 2-3 anos. Isso ocorreu porque os investidores estavam dispostos a comprar estruturas de suporte de alto rendimento com alta convexidade negativa em um ambiente caracterizado por baixa volatilidade e baixos rendimentos. Da mesma forma, a demanda por flutuadores impulsionou os negócios da OCM no verão de 2006, quando o Tesouro a 10 anos apresentou um backup superior a 4,75% e vários bancos domésticos, gerentes de dinheiro e investidores estrangeiros preferiram comprar flutuadores em vez de títulos prefixados. Figura 1: Volume excepcional das agências da Agência 1200 FHLM C Saldo pendente ($ bb) 1000 800 600 400 200 0 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Q2 FNMA GNM A Fonte: Banc da América Securities Figura 2: Emissão anual das agências da Agência 700 FHLM C 600 Emissão ($ bb) 500 400 300 200 100 0 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 YTD FNM A GNM A Fonte: Banc of America Securities A evolução das estruturas da CMO Em termos de inovação, as OCMs evoluíram de estruturas seqüenciais simples baseadas em regras de pagamento de principal, apenas para esquemas de resgate múltiplo mais complexos, construídos pela redistribuição de capital, bem como fluxos de caixa de juros sobre o subjacente colateral. Assim, embora as estruturas iniciais da OCM se preocupassem principalmente com a reafectação do risco da Estratégia da Mesa de Negociação RMBS / extensão 3, as estruturas atuais da OCM permitem que os investidores expressem uma visão sobre pré-pagamentos, forma da curva e mudanças de volatilidade também. A Figura 3 fornece um resumo de vários métodos de estruturação comumente usados ​​para cortar os fluxos de caixa em garantia hipotecária. Alguns desses métodos de estruturação podem ser aplicados aos fluxos de caixa da garantia de passagem que respalda o negócio em si, ou aos fluxos de caixa de uma parcela específica no negócio. Figura 3: Métodos para criação de OCM Método de estruturação do fluxo de caixa Transferência direta de fluxos de caixa Alocação seqüencial do principal Alocação do principal dependendo das velocidades de pré-pagamento Alocação de juros para pagar principal Exemplos Seqüenciais de passagem PACs, TACs, Companheiros Z-bonds, VADMs IOs, POs Características A segurança mais simples; mais comum em CMOs não-agências Cria títulos com uma ampla gama de vidas médias Cria parcelas com maior ou menor variação de vida média do que colateral Aumenta a estabilidade de vida média na estrutura, enquanto aumenta a duração na parcela de competência Cria tramas com direcionalidade forte em relação a taxas de juros Cria títulos que são sensíveis a fatores de curto prazo (mudanças de índice) e fatores de longo prazo (taxas de pré-pagamento) Alocação de juros versus principal Indexação de pagamentos de cupom Flutuadores e flutuadores inversos Fonte: Banc of America Securities As características de risco de um As obrigações da OCM são determinadas em conjunto pelas características de pagamento antecipado de suas garantias subjacentes e as regras de pagamento principal e de cupão da estrutura. Embora as estruturas da OCM possam redistribuir o risco de pagamento antecipado entre diferentes tranches, o risco total de pagamento antecipado de seus garantias subjacentes permanece inalterado, tornando as características de pagamento antecipado da garantia muito relevantes para as avaliações da OCM. Mais recentemente, as estruturas da CMO criaram a garantia da "história" têm recebido muita atenção. Conforme observado acima, as características da garantia, bem como a estrutura do negócio, determinam as características das diferentes tranches de um negócio de OCM. As ofertas de OCM baseadas em garantias de "história" permitem que os investidores expressem uma visão sobre as características de pré-pagamento dos proprietários subjacentes. Objetivos deste guia O principal objetivo deste guia é explicar as várias alternativas disponíveis para estruturar os pagamentos de principal e de juros de uma OCM e avaliar e comparar o risco nas classes de títulos resultantes. Para cada estrutura individual que estudamos, analisamos a variabilidade média da vida e as características ajustadas por opção das classes de títulos constituintes. Em seguida, mergulhamos em estruturas mais complexas com base na estruturação de pagamentos de cupom. 4 RMBS Trading Desk Strategy II. ESTRUTURAS DE CMO BÁSICAS Nesta seção, analisaremos algumas das estruturas básicas de OCM criadas pela estruturação do principal e pagamentos de juros da garantia subjacente. Uma vez que o principal objetivo da estruturação dos fluxos de caixa em uma OCM é adaptar a duração e os riscos de pagamento antecipado, a variabilidade na vida média e no tamanho da janela de uma parcela em relação às mudanças nos pressupostos de pré-pagamento são medidas importantes na avaliação das características de uma parcela de OCM. 1 A variabilidade na vida média e no tamanho da janela de uma parcela da OCM decorre da sua participação na opção de pagamento antecipado incorporada na garantia subjacente. Os spreads ajustados por opção (OEA), que resumem a opcionalidade incorporada em um vínculo, são conseqüentemente a ferramenta mais utilizada na análise de estruturas de CMO. Usaremos a variabilidade da vida média e do tamanho das janelas e da OEA como nossas principais ferramentas para avaliar as estruturas de OCM apresentadas abaixo. 1. Estruturação dos fluxos de caixa principais Os segmentos, PACs e TACs são algumas das estruturas de OCM mais comuns criadas pela estruturação dos principais pagamentos dos pools de hipotecas subjacentes. Nós discutimos essas estruturas em detalhes abaixo. 1.1 Estruturas Sequenciais Segmentar os pagamentos de principal em diferentes valores mobiliários de vida média, denominados classes ou parcelas, que são aposentados, sequencialmente, cria Sequentials. Todos os pagamentos principais são direcionados para a classe com prazo de vencimento mais curto (Classe A) até que seja totalmente liquidado. Os pagamentos principais são encaminhados para a classe com o próximo prazo de vencimento (Classe B) e assim por diante. As vidas médias são calculadas em uma hipótese de velocidade de pré-pagamento constante, conhecida como velocidade de precificação e, portanto, estão sujeitas a incerteza decorrente do risco de pré-pagamento da garantia subjacente. Todos os seqüenciais serão submetidos a extensão ou encurtamento, dependendo se os pré-pagamentos reais são mais lentos ou mais rápidos do que a velocidade de preços. A Figura 4 mostra a variabilidade no comportamento de pagamento de uma sequência hipotética de quatro tranche, com uma velocidade de preço original de 225% de PSA, com três velocidades de pré-pagamento diferentes. A Figura 5 mostra a variabilidade na média de vida e tamanhos de janela para as quatro tranches em uma ampla gama de velocidades de pré-pagamento. A comparação da vida média ponderada (WAL) das diferentes tranches seqüenciais demonstra que o risco de pré-pagamento da garantia subjacente é distribuído de forma desigual entre diferentes tranches. Assim, por exemplo, vemos que as tranches B e C exibem maior variabilidade em suas WALs em relação às suas WALs originais com base na velocidade de preço de 225% de PSA. Além disso, note que uma alteração no pressuposto de velocidade de pré-pagamento não só estende / encurta o tamanho da janela de pagamento, mas altera significativamente sua hora de início para as últimas tranches. Portanto, como resultado da amortização seqüencial imposta pela estrutura, o período de tempo antes de uma amortização de iniciação sequencial (o período de bloqueio) também está sujeito a incerteza ou risco de período de bloqueio. 1 O tamanho da janela ou o comprimento da janela de pagamento de uma parcela representa o intervalo de tempo entre o primeiro e o último pagamento principal na segurança. A vida média de uma parcela é o tempo médio ponderado até que seu principal seja pago por uma determinada velocidade de pré-pagamento. 5 Estratégia da mesa de negociação da RMBS Figura 4: Pagamentos do principal projetado para uma Seqüência de quatro trilhas em PSA selecionados Fluxos principais de uma estrutura seqüencial de quatro trilhas em 100% Pagamentos do principal de PSA ($) 800,000 600,000 400,000 200,000 0 1 41 81 121 161 201 241 281 321 Meses ABCD Fluxos Principais de uma Estrutura Seccional Sequencial de Quatro Trilhas em 175% Pagamentos do Principal do PSA ($) 800,000 600,000 400,000 200,000 0 1 41 81 121 161 201 241 281 321 Meses ABCD Fluxos Principais de uma Estrutura Sequencial de Quatro Tranches em 350% Pagamentos do Principal do PSA ($) 800,000 600,000 400,000 200,000 0 1 41 81 121 161 201 241 281 321 Meses A Fonte: BCD Bancos da América BCD A variabilidade no tamanho da janela de pagamento e o comprimento do período de bloqueio para diferentes classes seqüenciais podem ser vistos na parte inferior da Figura 5, onde a largura de uma região colorida para uma velocidade de pré-pagamento dada representa o tamanho da janela de pagamento em anos para o seqüencial correspondente e o acumulado h de todas as regiões coloridas abaixo que representam o comprimento do período de bloqueio. Os parâmetros ajustados em opção calculados a zero OAS para uma estrutura seqüencial de quatro tranche de cupom atual são apresentados na Figura 6. Observe que as primeiras e as últimas transações possuem 6 custos de opção menor da Stratégia de Mesa de Negociação da RMBS em comparação com as duas tranches do meio. Uma vez que as tranches devem somar a garantia, a garantia colateral contribui muito significativamente para as características de risco / retorno de uma OCM. Nós ilustramos este ponto na Figura 7 alterando a garantia subjacente para nossa seqüencial de quatro tranche para um passaporte de MBS com um cupom líquido de 6%. Aumentar o cupom reduz a duração de todas as tranches, mas ao mesmo tempo aumenta o custo de convexidade e opção para as tranches do meio para combinar o aumento global da convexidade e o custo da opção da garantia "in-the-money". Da mesma forma, a alteração de outras características de garantia dos pools subjacentes, como WAC e WAM, também será transmitida para os vínculos da OCM. Figura 5: Variabilidade do tamanho WAL e da janela em uma estrutura seqüencial Nós ighte d-Ave raiva Comparação de vida entre os participantes 40 WAL (anos) 30 20 10 0 0 125 250 A 375 500 625 PSA BC 750 D 875 1000 35 30 25 20 15 10 5 0 0 C omparação de janelas de pagamento entre dez anos Anos 125 250 375 A 500 625 CD 750 875 1000 PS AB Fonte: Banc of America Securities Figura 6: Indicadores de valor relativo para um cupom atual Características de títulos sequenciais de quatro trilhas Garantia sequencial seqüencial sequencial sequencial de 8 anos, com duração de 2 anos, de 2 anos 5%; WAC 5,6%; WAM 356; WAL 6.8 Option Cost Eff. Duração 63 81 68 42 62 0,6 3,0 6,6 10,1 4,6 Eff. Convexidade -2,5 -2,4 -1,6 -1,3 -2,0 Fonte: Banc of America Securities 7 RMBS Trading Desk Estratégia Figura 7: Efeito da Mudança da Garantia sobre as Características de Risco de CMOs Caracteristicas de Ligações Seqüencial Secundário Secundário Secundário de 4 Períodos de 2 Anos Garantia sequencial de 18,8 anos Net Coupon 6%; WAC 6,54%; WAM 348; WAL 6.5 Fonte: Banc of America Securities Option Cost Eff. Duração 47 84 110 72 93 -0,8 -0,4 2,9 7,4 1,8 Eff. Convexidade -1,8 -4,7 -4,0 -1,4 -2,9 1,2 Clases de amortização planejadas (PACs) Os PACs protegem contra a extensão e o risco de chamada dentro de um intervalo definido de velocidades de pré-pagamento. Isso é conseguido ao atribuir os títulos do PAC a um cronograma de resgate principal e, em seguida, redirecionar qualquer excesso ou déficit nos fluxos de caixa mensais para suportar as tranches chamadas companheiros. O cronograma de resgate principal dos PACs é criado pela sobreposição dos cronogramas de resgate com base em duas velocidades de pré-pagamento específicas ("bandas PAC"). A área sobreposta delimitada pelos dois cronogramas de resgate define o cronograma de resgate dos PACs. Isto está ilustrado na Figura 8, onde selecionamos as bandas PAC em 100% de PSA e 250% de PSA. Os planos de resgate baseados nessas duas velocidades são desenhados e a área comum (representada pela Região I) representa o cronograma de resgate principal para os PACs. Agora, se a garantia for pré-paga a qualquer velocidade de pré-pagamento constante que caia dentro das duas bandas PAC, o cronograma de resgate do PAC será cumprido. No entanto, se o colateral for pré-pago em velocidades variadas, as horas extras, mesmo que as velocidades permaneçam dentro das bandas PAC, a agenda de resgate pode ser violada. Figura 8: Criando uma estrutura PAC (PAC Band de 100% - 250% PSA) Pagamentos principais ($) 600,000 500,000 400,000 300,000 200,000 100,000 0 1 41 81 121 161 201 241 281 321 100% PSA 250% PSA Região II Região III Região I Months Source: Banc of America Securities Para fornecer uma proteção adequada ao PAC bond contra a extensão, bem como o risco de chamada, no momento da emissão de CMO, as bandas PAC superiores e inferiores são normalmente definidas bem acima e abaixo da taxa de pré-pagamento de longo prazo esperada nas garantias subjacentes, respectivamente. A ampliação das bandas PAC pode melhorar ainda mais a proteção. No entanto, o alargamento das bandas PAC reduz a quantidade de PAC disponíveis na estrutura com um aumento correspondente nos companheiros. A ligação PAC pode ser dividida sequencialmente, bem como uma estrutura seqüencial em aulas PAC. A criação dessas classes sequenciais de PAC significa que, para as classes de matrículas de maturidade mais curtas, a estratégia atual da RMBS Trading Desk Strategy de taxas de pré-pagamento sobre as quais um PAC particular pode permanecer em seu cronograma de pagamento torna-se maior do que as bandas PAC originais. Isso ocorre porque, nos cenários de pré-pagamento que excedem a banda de PAC superior original, os companheiros ainda podem estar pendentes durante a fase de amortização das classes de PAC de vida média ponderada mais curtas, mas podem não existir para suportar as classes de PAC de maturidade mais longa. Essas novas gamas protegidas, chamadas de bandas PAC efetivas, são mais amplas para a classe PAC com WAL mais curto na estrutura e estreita com a ordem seqüencial das classes PAC. A Figura 9 mostra os horários de pagamento principais para as quatro classes de PAC criadas a partir da estrutura PAC com bandas PAC de 100% PSA para 250% de PSA, como mostrado acima em três cenários de pré-pagamento diferentes, ou seja, 125% de PSA, 175% de PSA e 225% de PSA. Observe que todas as aulas de PAC cumprem seus cronogramas de resgate originais em todos os três cenários, uma vez que as velocidades de pré-pagamento colateral se enquadram nas bandas PAC. Os efeitos de pagamentos antecipados mais lentos ou mais rápidos são criados apenas pelos companheiros, que se estendem quando as velocidades de pré-pagamento caem e se contraem quando as velocidades aumentam. Figura 9: Pagamentos de Principal Projetados para uma Estrutura de PAC em APs Selecionados Saldos Projetados em 125% PSA 600,000 500,000 400,000 300,000 200,000 100,000 0 1 41 81 121 PAC B 161 201 Meses PAC C 241 PAC D 281 321 Pagamentos de Principal ($ ) PAC A SUP PACs Salas de pagamento projetadas em 175% PSA 600,000 500,000 400,000 300,000 200,000 100,000 0 1 41 81 121 161 201 Meses PAC C 241 281 321 Pagamentos de principal ($) PAC A PAC B PAC D SUP PACs Salas de pagamento projetadas em 225% PSA 600,000 500,000 400,000 300,000 200,000 100,000 0 1 41 81 121 161 201 PAC C Pagamentos do Principal ($) 241 281 321 SUP Meses PAC A PAC B PAC D Fonte: Banc of America Securities 9 RMBS Trading Desk Strategy Em seguida, nós escolhemos uma velocidade de pré-pagamento constante de 300% de PSA para mostrar o que acontece quando o colateral pré-paga a uma velocidade fora da banda PAC. Neste caso, espera-se que os horários do PAC "bustem". No entanto, devido ao fato de que, para PACs curtos, as bandas de PAC efetivas são mais amplas do que as bandas de PAC originais, mesmo em 300% de PSA, as partidas de programação ocorrem apenas durante o período mais longo PACs (PAC C e PAC D), conforme ilustrado na Figura 10. Figura 10: Fluxos de caixa para uma estrutura PAC em velocidades acima dos PACs de banda alta Saldos projetados em 300% PSA 700,000 600,000 500,000 400,000 300,000 200,000 100,000 0 1 41 PAC A 81 121 161 201 241 281 321 Meses PAC B PAC C PAC D SUP Fonte: Bancs America Securities PACs são relativamente mais estáveis ​​do que algumas das outras estruturas que discutimos até agora. Para demonstrar isso, comparamos os perfis WAL de três títulos comparáveis ​​na Figura 11. Em comparação com a parcela B da estrutura seqüencial padrão, o PAC B tem um perfil WAL plano sobre a banda PAC efetiva e continua a dominar a parcela padrão B mesmo além desta faixa de cada lado. The PAC’s stability comes at the expense of the companion which exhibits a much higher variation of WAL. Finally, the option-adjusted characteristics of the PACs are shown in Figure12. Similar to sequential structures, the first and the last PAC tranches have lower option cost as compared to the intermediate tranches. Figure 11: WAL Comparison of Sequential, PAC and Support Bonds WAL Comparison 30 25 20 WAL 15 10 5 0 0 125 250 375 500 PSA 625 750 875 1000 Principal Payments ($) B Tranche from Standard Sequential Structure PAC B Companion Source: Banc of America Securities 10 RMBS Trading Desk Strategy Figure 12: Relative Value Indicators for a PAC Structure Bond Characteristics 1.9-Year PAC A 3.9-Year PAC B 7.9-Year PAC C 17-Years PAC D 5-Years Companion Collateral Net Coupon 5%; WAC 5.6%; WAM 356; WAL 6.8 Source: Banc of America Securities Option Cost Eff. Duration 35 53 60 44 89 62 0.8 1.3 3.6 7.9 7.7 4.6 Eff. Convexity -1.3 -0.7 -3.1 -2.7 -1.0 -2.0 1.2.1 PAC Band Drift Effective PAC bands drift over time as a result of changes in collateral balance and relative outstanding balances of PACs and companions. The direction in which the PAC bands drift depends upon the level of prepayments in relation to the current PAC bands. Note that the PAC band drift occurs even when prepayment speeds stay within the initial PAC bands. When prepayment speeds are within the bands, both the upper and lower PAC bands drift upwards. The upper PAC band shifts upwards because prepayments are lower than upper band implying that more companions would be available to support PACs in future. However, since prepayments exceed lower PAC band, the lower PAC band drifts upward indicating that if prepayments slow down in future fewer principal cash flows would be available due to more depleted collateral to keep the PAC on schedule. If prepayments are faster than the upper band, early amortization of companions forces the upper band of the PAC to move downwards. However, the lower band shifts upwards in this scenario causing the two bands to converge. Finally, if prepayments are below the current lower PAC band, both PAC bands rise but the currently paying PAC does not pay as per schedule. In this case a higher future prepayment rate is required to restore the PAC schedule. 1.2.2 Different Types of PACs For investors who are willing to trade off some prepayment protection for higher yield, a second PAC structure, called Type II PAC, can be created out of the companions in a standard PAC structure. A narrower set of PAC band than the standard PAC is chosen for creating the Type II PAC structure. Similar to a regular PAC, a Type II PAC pays as per its set redemption schedule as long as prepayments stay within its PAC bands. However, if faster prepayments erode companions before the complete amortization of the standard PAC, the Type II PAC acts like a companion to support the standard PAC. Another variation is called the super/subordinate PAC structure, which instead of creating a second PAC structure with narrower bands divides a standard PAC into senior and subordinate tranches. The available principal payments are allocated sequentially to the super PACs, then to the subordinate PACs and finally to the companions. If after making the schedule payments, principal is still available then it is allocated to the above classes in the 11 RMBS Trading Desk Strategy reverse order. The super PAC tranches enjoy wider effective protection bands through additional support from the subordinate PACs. 1.3 Targeted Amortization Classes (TACs) TACs are bond classes, which like PACs, offer protection up to a limit against call risk arising from faster prepayments. The main difference from PACs and TACs comes from the fact that TACs extend like sequentials if prepayments are slower than the pricing speed. Due to these characteristics, TACs appeal to investors who are more concerned about call risk and are happy to trade off extension risk offered by PACs for higher yield of TACs. Clearly TACs become more popular in a falling interest rate environment when investors are primarily concerned about average life shortening of their investments. TAC redemption schedules are created at a single pricing speed like sequentials but unlike sequentials, the last tranche in the structure is designated as the support class. Due to the presence of the support class, a TAC structure is able to offer protection over some prepayment range (like a PAC) with the lower bound of the protection range equal to the pricing speed. However, unlike PAC a single protected range does not exist for the entire TAC structure and the last TAC class generally does not have a protected range at all. The protection band is widest for the shortest TAC (since under faster prepayment scenarios, the support bonds may still be outstanding during its amortization phase) but may not exist to support the longer maturity TAC classes. The protected range narrows as the maturity of the TAC class increases in a TAC structure. At the pricing speed, all TAC classes pay as per schedule and the support class only amortizes after all the TACs have completely paid down. If prepayments are slower than the pricing speed then there are no cash flows available from the support bonds to be diverted to the TAC classes and consequently, like sequentials, all the TACs extend. Finally, if prepayments are faster than the pricing speed then depending upon the level of the prepayment speeds some of the shorter TACs may still pay as per the schedule and the rest contract. The longest TAC class however, is an exception. Although it contracts like others if prepayments are significantly faster than the pricing speed, it actually extends if prepayments are moderately above the pricing speed. This extension in the longest TAC occurs due to the simultaneous amortization of support bonds with the shorter maturity TACs, which reduces the outstanding collateral balance available when the longest class begins to amortize. However, significantly higher prepayments than pricing speed overwhelm the effect of reduced collateral balance causing the longest TAC to contract as well. 12 RMBS Trading Desk Strategy 2. Structuring Interest Cash Flows So far, our discussion focused on structuring principal payments of the underlying mortgage pools in a CMO deal. Another approach to structuring CMO cash flows involves dividing interest payments on the underlying collateral. It leads to the creation of some complicated bonds with interesting characteristics. por exemplo. Floaters and inverse floaters, structured IOs and POs and inverse IOs. Below we provide a brief introduction to the basics of structuring interest payments and leave details for a separate primer on mortgage derivatives that we will be publishing later this month. 2.1 Z-Bonds A Z-bond is a bond that does not receive any principal payments until the other senior bonds in the structure are paid off. Thus, a Z-bond will usually have negative amortization by allowing the addition of accrued interest to its outstanding principal balance, called accretion, until all the shorter maturity tranches are paid off. The deferred interest payments on the Zbond can be used to accelerate the amortization of the shorter maturity tranches or to service a new class of bonds known as the accretion directed bonds or (Very Accurately Defined Maturity Bonds – VADMs). The accretion cash flows from a Z-bond are independent of the prepayment speeds on the collateral until all shorter maturity tranches in the deal are paid down. The introduction of a Z-bond in a structure is therefore equivalent to curtailing extension risk in shorter duration tranches. The extent of reduction in the duration and extension risk of the shorter maturity tranches is proportional to the size of the Z-bond. To facilitate comparison with the sequential structure discussed earlier we have created an identical structure with the final tranche replaced by a Z-bond. Note that the size of the Zbond is set equal to the size of the fourth tranche in the original structure at the outset. The projected principal payments from the two structures at a constant speed of 175% PSA are shown in Figure 13. It may be seen that during the accretion phase of the Z-bond, the redirection of accrued interest of the Z-bond to the shorter maturity tranches shortens their WAL and payment windows and at the same time increases the size of the Z-bond. In terms of option-adjusted characteristics, as shown in Figure 14, the introduction of a Zbond reduces the effective duration and the option cost of the shorter maturity tranches corresponding to the bonds in the standard sequential structure shown in Figure 7. However, this improvement comes at the expense of the Z-bond, which has an increased effective duration and option cost relative to its counterpart in the standard sequential structure. 13 RMBS Trading Desk Strategy Figure 13: Comparison Between Current Pay vs. Z Structures Principal Flow s from a Four-Tranche SequentialPay / Z Structure at 175% PSA 800,000 600,000 400,000 200,000 0 1 41 81 121 161 201 241 281 321 Principal Payments ($) Months A B C Z Principal Flows from a Four-Tranche SequentialPay Structure at 175% PSA Principal Payments ($) 800,000 600,000 400,000 200,000 0 1 41 81 121 161 201 241 281 321 Months A B C D Source: Banc of America Securities Figure 14: Relative Value Indicators for a Z-structure Bond Characteristics 1.9-Year Sequential 3.8-Year Sequential 6.9-Year Sequential 15.5-Year Z-Bond Collateral Net Coupon 5%; WAC 5.6%; WAM 356; WAL 6.8 Source: Banc of America Securities Option Cost Eff. Duration 59 75 66 53 62 0.5 2.5 5.4 15.6 4.6 Eff. Convexity -2.3 -2.4 -1.7 -1.5 -2.0 2.2 VADMs As indicated earlier, instead of accelerating the amortization on shorter maturity tranches, the Z’s accretion can also be used to service a new category of bonds called Accretion Directed Bonds or VADMs. Owing to the inherent stability in cash flows coming from Z’s accretion, VADMs are considered very stable in terms of payment window size and average life. Further, since the principal payments on VADMs come solely from the accretion on the Zbond and do not rely on principal payments on the collateral, these bonds do not extend even under a 0% PSA environment. However, since VADMs must be amortized before the 14 RMBS Trading Desk Strategy amortization of the corresponding Z-bond begins, VADMs are exposed to call risk. Nevertheless, VADMs are somewhat protected against the call risk because the supporting Zbond tends to be the last class that begins repaying principal if the prepayments soar. In the extreme scenario, where everybody prepays 100%, VADMs will get virtually nothing since the Z-bond would be instantaneously amortized. However, keeping the size of the supporting Z-bond small relative to all other shorter maturity bonds in the structure can mitigate the prepayment risk in VADMs. To see how amortization works for VADMs, we have modified the Z-structure presented in Figure 13 to include two VADM tranches. Figure 15 depicts amortization of the modified structure under three different prepayment scenarios: 100% PSA, 175% PSA and 350% PSA. In all of the three cases we observe no extension in the VADMs tranches. However, as we move from 100% PSA to 175% PSA, the second VADM tranche (AD2) undergoes some shortening. As we further increase the speed to 350% PSA, both the VADM tranches (AD1 and AD2) are contracted. Figure 15: Principal Payments for a Z-Structure with Accretion Directed Classes Principal Flows from a Se quential-Pay / Z Structure with Accre tion Directed Classes at 100% PSA 900,000 Principal Payments ($) 750,000 600,000 450,000 300,000 150,000 0 1 41 81 121 161 201 241 281 321 Months A B C AD1 AD2 Z Principal Payments ($) Principal Flows from a Se que ntial-Pay / Z Structure with Accre tion Dire cte d Classe s at 175% PSA 900,000 A B C AD1 AD2 Z 750,000 600,000 450,000 300,000 150,000 0 1 41 81 121 161 201 241 281 321 Months Principal Flows from a Se que ntial-Pay / Z Structure with Accre tion Directe d Classe s at 350% PSA 900,000 Principal Payments ($) 750,000 600,000 450,000 300,000 150,000 0 1 41 81 121 A B C AD1 AD2 Z 161 201 241 281 321 Months Source: Banc of America Securities 15 RMBS Trading Desk Strategy The relative stability of a VADM tranche is further illustrated in Figure 16 where we compare the WAL profiles of tranche C from the standard Z-structure presented in Fig ure 13 with tranche C and the VADM tranche AD1 from the accretion directed Z-structure presented in Figure 15. The tranche C from the standard Z-structure is moderately stable as compared to the tranche C, which is a standard sequential tranche, from the accretion directed structure. The most stable is the AD1 tranche, which does not extend at all even when prepayment speeds drop down to zero. Finally, option-adjusted characteristics of VADMs shown in Figure17 confirm our intuition. VADMs have much smaller option cost and better convexities as compared to the standard sequential tranches or sequential tranches from a standard Z-structure (compare with Figure 14). VADMs are designed to protect against extension risk. They primarily appeal to investors who are sensitive to any extension in their portfolios and anticipate a rise in interest rates. Figure 16: WAL Comparison Between Comparable Sequential from a Z-structure and Sequential VADM from Accretion Directed Z-Structure WAL Comparison 25 20 C T ranche from Standard Z-Structure C T ranche from Acc. Directed Z-Structure AD1 - VADM WAL 15 10 5 0 0 125 250 375 500 625 750 875 1000 PSA Source: Banc of America Securities Figure 17: Relative Value Indicators for an Accretion Directed Structure Bond Characteristics 1.8-Year Sequential 3.6-Year Sequential 6.7-Year Sequential 5.4- Year VADM 10.5- Year VADM 15.9-Year Z-Bond Collateral Net Coupon 5%; WAC 5.6%; WAM 356; WAL 6.8 Source: Banc of America Securities Option Cost Eff. Duration 60 78 76 33 41 53 62 0.5 2.5 5.6 2.9 5.8 15.3 4.6 Eff. Convexity -2.4 -2.9 -1.7 -1.2 -1.6 -1.6 -2.0 16 RMBS Trading Desk Strategy 2.3 Floaters and Inverse Floaters A fixed rate bond can be split into a pair of simultaneously amortizing floating rate bonds known as floater and an inverse floater. A floater is a CMO bond whose coupon resets periodically at a specified spread over a specified index (typically one-month LIBOR) subject to a certain cap and floor. In contrast, an inverse floater has a coupon that has an inverse linear relationship to its index, also subject to caps and floors. Figure 18 shows an example of creating a floater and an inverse floater from a fixed-rate bond. Figure 18: Floater and Inverse Floater Structure Floater L+50bp cap 7.5% Fixed-Rate Bond 6.0% Coupon Principal: $100m Inverse Floater 28.0%-4L floor 0% Principal: $20m Principal: $80m Source: Banc of America Securities The structuring parameters i. e., face amounts, coupons and caps and floors of the floater and inverse floater are jointly determined such that the weighted average coupon of the pair matches the coupon on the underlying bond for all values of the index. In the above example, the ratio of face amounts of the floater and the inverse floater is 4:1. Consequently, the inverse floater has a multiplier of negative 4 in its coupon reset equation to ensure that the weighted average coupon of the bonds is equal to the coupon on the fixed-rate bond for all levels of LIBOR. As we will see subsequently, the relative size of the floater with respect to the inverse floater also determines the leverage and hence the risk of the inverse floater. Further, the cap on the floater comes from the floor on the inverse floater and vice versa. For example, the LIBOR value of 7.0%, which corresponds to the cap of 7.5% on the floater, is used to determine the cap of 28.0% on the inverse floater by multiplying it with the leverage of the inverse floater, i. e. 4. This ensures that when the floater hits its cap, the inverse floater hits its floor and vice versa. The weighted average coupon of the two bonds remains 6.0% under all cases. In general, the structuring parameters of the floaters and inverse floaters are formed based on the formulas shown in Figure 19. By construction, an inverse floater is equivalent to a long position in the underlying fixed rate bond, partially financed through a capped floater. This implies that an inverse floater will be much more sensitive to interest rate changes as compared to the fixed rate bond due to its exposure to the additional interest rate risk from the swap. 17 RMBS Trading Desk Strategy Figure 19: Parameters of a Floater/Inverse Floater Structure Structure Fixed-Rate Bond Floater Inverse Floater Principal B F B-F Coupon I Index + Margin B × i − F × M arg in F − × Index B−F B−F Cap None B×i F (B − F ) F B×i  × − M arg in   F  Source: Banc of America Securities 2.4 Structured IOs and POs Any CMO bond can be divided into an IO and a PO during the structuring process. An IO receives all interest cash flows from the underlying bond and no principal payments while a PO receives all the principal payments, both scheduled and prepayments, and none of the interest. IOs are based on a notional principal balance and are therefore considered ultimate premium securities. Similarly, POs, which get none of the interest, are considered ultimate discount securities. The investment characteristics of IOs and POs will be covered at length in a follow up primer on Trust IOs and POs. The main difference between Trust IO/POs and structured IOs/POs is that structured IOs and POs are created in a CMO deal by stripping interest and principal cash flows from either the underlying pass-through collateral or a CMO tranche while Trust IOs/POs are created by stripping interest and principal cash flows of mortgage pools. 2.5 Inverse IOs An Inverse IO is an IO with a coupon similar to that of an inverse floater. i. e., the coupon has an inverse linear relationship to its index and is subject to caps and floors. The main difference between an inverse floater and an inverse IO is that the inverse floater will receive principal payments while an inverse IO will be based on a notional principal balance. An inverse IO can be created either directly from a fixed-rate bond or from an inverse floater in a number of ways. Figure 20 shows an example of an inverse IO created from a fixed-rate bond by structuring it into an inverse IO and a floater. Another example of an inverse IO, which is created by structuring an inverse floater into an inverse IO and a PO is shown in Figure 21. 18 RMBS Trading Desk Strategy Figure 20: Creation of an Inverse IO from a Fixed-rate Bond Floater L+50bp cap 6.0% Fixed-Rate Bond 6.0% Coupon Principal: $20m Inverse IO 5.5%-L floor 0% Notional Principal: Source: Banc of America Securities Principal: $20m Figure 21: Creation of an Inverse IO from an Inverse Floater PO 0% Coupon Inverse Floater 28.0%-4L floor 0% Principal: $20m Inverse IO 28.0%-4L floor 0% Notional Principal: Source: Banc of America Securities Principal: $20m 19 RMBS Trading Desk Strategy III. BASIC CMO ANALYSIS USING BLOOMBERG The usual market convention for pricing an agency CMO bond is to quote its I-spread, which is the difference between the yield offered by the bond and the yield offered by a similar weighted average life (WAL) Treasury security. The yield for the CMO bonds is obtained at a constant prepayment speed equal to the Bloomberg median prepayment speed. Note that the yield for a sequential bond changes with the prepayment speed, while the yield for a PAC bond remains the same for speeds within the PAC band. Therefore, the market convention calls for quoting the Bloomberg median prepayment speed in PSA along with the I-spread for sequential bonds while for PAC bonds, only the I-spread is quoted. Thus, for instance, a sequential bond may be quoted at 108/I/208 – the number 108 here refers to the I-spread while 208 refers to Bloomberg median prepayment speed in PSA for the underlying collateral. Let’s illustrate how one can perform some basic analysis on a CMO bond using Bloomberg. FHR 3165 ND is a PAC bond that pays a coupon of 5.5% and has a WAL of 10.7 years. The underlying collateral consists of pools of 30-year passthroughs with a coupon of 5.5% and WALA of 5 months (as of September 26, 2006). This PAC bond may also be referred to as a 5.5 x 5.5 11-year PAC or as 5.5/5.5 11-year PAC; where the first number (5.5) refers to the coupon of the PAC bond, the second number (5.5) refers to the coupon of the underlying mortgage pools, and 11-year refers to the WAL of the PAC bond. On September 26, 2006 this bond was quoted at 110/ITB2, which implies that the bond is priced to yield 110 bps more than the yield on a 10.7 yr treasury security as long as prepayment speeds are within the PAC band. Figure 22 shows a snapshot of the Bloomberg description screen for this PAC bond. To perform a yield analysis on this bond, one can go to Bloomberg’s Yield Table screen by entering FHR 3165 ND YT (see Figure 23). The Bloomberg median prepayment speeds for the base case and for different parallel shifts of the yield curve are automatically loaded when the bond is pulled up in Bloomberg. All one has to do is to enter the quoted I-spread (110 bps for this case) and Bloomberg computes the dollar price of the bond, along with its yield in the base case and for scenarios corresponding to different parallel shifts of the yield curve (up to +/- 300 bps in increments of 100 bps). The WAL and payment window of the bond under different interest rate scenarios are also shown on the YT screen. One can also see a graphical representation of the WAL and payment window for a range of constant prepayment speeds by pulling up Bloomberg’s WALG screen (Figure 24). Notice that for a range of speeds within the PAC band, the WAL and the payment window of the PAC remain the same. Speeds higher than the upper PAC band lead to a contraction of the WAL, while speeds slower than the lower PAC band lead to an extension. Note that this is an intermediate PAC and is therefore locked out from receiving principal payments unless the other PAC bonds in the structure with higher priority are paid off. To see how (at a constant prepayment speed) the bond will make interest and principal payments, one can use the Bloomberg’s Cash Flow Graph (CFG) screen, as shown in Figure 25. 2 Some market participants may also quote the bond as 110/C/ITB or 110/I. 20 RMBS Trading Desk Strategy Figure 22: Bloomberg’s Security Description Screen Snapshot (FHR 3165 ND DES ) Original PAC band Current PAC band Underlying Collateral Source: Bloomberg Figure 23: Bloomberg’s Yield Table Screen Snapshot (FHR 3165 ND YT ) Given I-spread, Bloomberg computed price Payment Window WAL Enter the quoted I-spread Source: Bloomberg 21 RMBS Trading Desk Strategy Figure 24: Bloomberg’s WAL Screen Snapshot (FHR 3165 ND WALG ) WAL and principal payment window remains the same for prepay speeds within the PAC band. Faster speeds lead to contraction in both the WAL and the payment window. Source: Bloomberg Figure 25: Bloomberg’s Cash Flow Graph Screen Snapshot (FHR 3165 ND CFG ) Principal amortization At 192 PSA prepayment speed, no principal will be paid for the first 105 months. Source: Bloomberg 22 RMBS Trading Desk Strategy IMPORTANT INFORMATION CONCERNING U. S. TRADING STRATEGISTS Trading desk material is NOT a research report under U. S. law and is NOT a product of a fixed income research department of Banc of America Securities LLC, Bank of America, N. A. or any of their affiliates (collectively, “BofA”). Analysis and materials prepared by a trading desk are intended for Qualified Institutional Buyers under Rule 144A of the Securities Act of 1933 or equivalent sophisticated investors and market professionals only. Such analyses and materials are being provided to you without regard to your particular circumstances, and any decision to purchase or sell a security is made by you independently without reliance on us. Any analysis or material that is produced by a trading desk has been prepared by a member of the trading desk who supports underwriting, sales and trading activities. Trading desk material is provided for information purposes only and is not an offer or a solicitation for the purchase or sale of any financial instrument. Any decision to purchase or subscribe for securities in any offering must be based solely on existing public information on such security or the information in the prospectus or other offering document issued in connection with such offering, and not on this document. Although information has been obtained from and is based on sources believed to be reliable, we do not guarantee its accuracy, and it may be incomplete or condensed. All opinions, projections and estimates constitute the judgment of the person providing the information as of the date communicated by such person and are subject to change without notice. Prices also are subject to change without notice. With the exception of disclosure information regarding BofA, materials prepared by its trading desk analysts are based on publicly available information. Facts and ideas in trading desk materials have not been reviewed by and may not reflect information known to professionals in other business areas of BofA, including investment banking personnel. Neither BofA nor any officer or employee of BofA accepts any liability whatsoever for any direct, indirect or consequential damages or losses arising from any use of this report or its contents. To our U. K. clients: trading desk material has been produced by and for the primary benefit of a BofA trading desk. As such, we do not hold out any such research (as defined by U. K. law) as being impartial in relation to the activities of this trading desk. IMPORTANT CONFLICTS DISCLOSURES Investors should be aware that BofA engages or may engage in the following activities, which present conflicts of interest: The person distributing trading desk material may have previously provided any ideas and strategies discussed in it to BofA’s traders, who may already have acted on them. BofA does and seeks to do business with the companies referred to in trading desk materials. BofA and its officers, directors, partners and employees, including persons involved in the preparation or issuance of this report (subject to company policy), may from time to time maintain a long or short position in, or purchase or sell a position in, hold or act as market-makers or advisors, brokers or commercial and/or investment bankers in relation to the products discussed in trading desk materials or in securities (or related securities, financial products, options, warrants, rights or derivatives), of companies mentioned in trading desk materials or be represented on the board of such companies. For securities or products recommended by a member of a trading desk in which BofA is not a market maker, BofA usually provides bids and offers and may act as principal in connection with transactions involving such securities or products. BofA may engage in these transactions in a manner that is inconsistent with or contrary to any recommendations made in trading desk material. Members of a trading desk are compensated based on, among other things, the profitability of BofA’s underwriting, sales and trading activity in securities or products of the relevant asset class, its fixed income department and its overall profitability. The person who prepares trading desk material and his or her household members are not permitted to own the securities, products or financial instruments mentioned. BofA, through different trading desks or its fixed income research department, may have issued, and may in the future issue, other reports that are inconsistent with, and reach different conclusions from the information presented. Those reports reflect the different assumptions, views and analytical methods of the persons who prepared them and BofA is under no obligation to bring them to the attention of recipients of this communication. This report is distributed in the U. S. by Banc of America Securities LLC, member NYSE, NASD and SIPC. This report is distributed in Europe by Banc of America Securities Limited, a wholly owned subsidiary of Bank of America NA. It is a member of the London Stock Exchange and is authorized and regulated by the Financial Services Authority. 23.
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2000). Noise and uncertainty). Skeletal Radiol 27: 133138 McCarroll JR (1996) The frequency of golf injuries. In primary sewage treatment, wastewater undergoes the same steps as are used to treat water coming into the system.
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We feel that this will give a certain unification to the whole text and thus without apology we shall omit reference to many other methods or dis - cuss them only in passing. Unfortunately, no one knows how to calculate these angles. Daily markets can quickly change and the price action reverse if the fundamental outlook suddenly changes.
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The calculations for each of the cases above require an analysis of the forces on the aircraft (weight, lift, drag, thrust and ground friction). Gastroesophageal reflux and aspiration of gastric contents in anaesthetic practice. The team crucially also requires a specialist nursewhoactsasglueandconduitbetweenthepatient and the multidisciplinary team and is available for the patientthroughouthisorherjourney.
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The aim of the second edition is to bring The Fourth State of Matter up to date in the light of progress. He looked to unproductive consumption to maintain a sufficient level of aggre - gate demand and to keep some resources away from production. Gal A, Li Y, Thompson DA, Weir J, Orth U, Jacobson SG, Apfelstedt-Sylla E, Vollrath D.
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Comkolb). Bioinformatics 15:426427. See also GAUSS MAP, two-dimen - sional fast spin echo sequences were used with three to six slices 6-mm thick, but lat - terly a three-dimensional fast spin echo 1664 Unit 12 INTEGUMENTARY FUNCTION Plan of Nursing Care Patients With Dermatoses (Abnormal Skin Conditions) (Continued) Nursing Interventions 6.
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The functions and utility of the bridge are not easily understood by looking at pieces of cable, girders, bolts, and steel beams; it is only when dek come together in the form of a bridge that we can apprehend how a bridge is different from, say, a construc - tion crane that might be made out of the same parts. 001145 0. The best studied example comes from the VSG transcription unit, which consists of the VSG gene and several upstream genes.
Enter a number and move on. 0LofgasAreactwith1. Am J Reprod Immunol Microbiol 1985; 8(2): 6266. Diseth TH, Emblem R (1996) Somatic function, tracing health, and psychosocial adjustment of adolescents with anorectal anomalies.
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