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Financial engineering principles phần 6

Theo đó, nếu một số chủ nhà xảy ra mặc định trên các khoản thế chấp của họ, nguồn cung cấp dư thừa của thế chấp trong gói sẽ giúp để trả cho sự kiện. Một cách khác mà MBS sản phẩm có thể đảm bảo một ba-A Đánh giá nhờ được hỗ trợ bởi các cơ quan liên bang. | 136 FINANCIAL ENGINEERING RISK MANAGEMENT AND MARKET ENVIRONMENT bundle that comprises the MBS. Accordingly if some homeowners happen to default on their mortgages the excess supply of mortgages in the bundle will help to cover that event. Another way that MBS products are able to secure a triple-A rating is by virtue of their being supported by federal agencies. The three major agencies of the United States involved with supporting mortgages include Ginnie Mae Fannie Mae and Freddie Mac.6 The key purpose of these governmental organizations is to provide assurance and confidence in the market for MBSs and other mortgage products. Table 4.3 summarizes key differences between an MBS and a callable bond. The most dramatic differences between MBSs and callable bonds are that the options embedded with the former are continuous while the single option embedded in the latter tends to be discrete and the multiple options within an MBS can be triggered by many more variables. Figure 4.15 shows how an MBS s cash flows might look none of the cash flow boxes is solid because none of them can be relied on with 100 percent certainty while less-than-100 certainty might be due partly to the vagaries of what precisely is meant by saying that the federal agencies issuing these debt types are supported by the federal government more of the uncertainty stems from the embedded optionality. Although it may very well be unlikely it is theoretically possible that an investor holding a mortgage-backed security could receive some portion of a principal payment in one of the very first cash flows that is paid out. This would happen if a home- TABLE 4.3 MBS versus Callable Bond Optionality Mortgage Callable Call ability Call period Call trigger Continuous Discrete sometimes continuous Immediately Eligible after the passage of some time Level of yields Level of yields other cost considerations Homeowner defaults Homeowner sells property for any reason Property is destroyed as by natural .