The Secondary Mortgage Market: CMOs and Derivative Securities 抵押担保债券（Collateralized Mortgage Obligation，简称CMO） This chapter discusses how the explosion in the market for mortgage-backed securities (MBSs) has led to some of the most significant capital market innovations in recent history. This market began with relatively simple mortgage pass-through securities in which mortgages were pooled, securities were issued, and investors received a pro rata share of principal and interest less servicing fees. Investor concerns over unanticipated cash flow due to borrower prepayment prompted investment bankers and underwriters to innovate and develop the collateralized mortgage obligation (CMO). Rather than simply "passing through" cash flow, the new CMO structure provided for debt securities secured by a mortgage pool. Cash flows were prioritized according to different security classes. Investors in CMOs usually receive a coupon rate of interest and select a priority for the receipt of cash flow from amortization and prepayments on mortgages in the pool. The latter allocation effectively allows investment bankers to pool longer-term mortgages with higher interest rates as security for debt securities that range from short-term, lower interest rate securities to longer-term, higher interest rate securities. More investors can be reached in this structure, with its greater variety of securities, than in a simple pass-through structure. More recent innovations in this market include stripped securities and inverse floaters. These "derivatives" are intended to broaden the market even further as well as to offer investors the opportunity to hedge and manage interest rate risk.
The Secondary Mortgage Market: Pass-Through Securities We begin this chapter with a brief description of the evolution of the secondary market. Particular attention is paid to the need for this kind of market and identifying the major organizations that participate in it. We then describe the various types of mortgage-backed securities that have evolved in recent years and provide a framework for analyzing their investment characteristics. Although mortgage-related securities may be offered on many types of mortgage pools, we generally limit our discussion to residential mortgage–backed pools. The chapter concludes with a section on "pricing" two types of mortgage-related securities, and provides an evaluation of characteristics that differentiate these more important security types. The next chapter is a continuation of this one. It provides a detailed analysis of collateralized mortgage obligations (CMOs) and "derivative" securities. It also contains an introduction to commercial mortgage–backed securities.
主要描述房地产投资的风险管理 This chapter discusses the legal instruments and ramifications associated with financing real estate, such as default, foreclosure, and bankruptcy. The probability of one or more of these events occurring and the rights of the parties if it occurs ultimately affects the value of the various property rights. These legal considerations should be kept in mind as we discuss the risks associated with mortgage lending in later chapters. Clearly, the legal rights of borrowers and lenders affect the degree of risk assumed by each party and, thus, the value of entering into various transactions. The availability of various legal alternatives can be viewed as a way of controlling and shifting risk between the various parties to a transaction. The probability of default or bankruptcy by a borrower and the legal alternatives available to each party affect the expected return to the lender from the loan. In later chapters we will discuss how the amount of the loan relative to the value of the property is used by the lender to control risk. The reader should keep in mind the fact that loan covenants as we discuss in this chapter also control the risk.
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