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1、CHAPTERTHIRTY-EIGHTVALUATIONOFMORTGAGE-BACKEDSECURITIESFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySCOTTF.RICHARD,DBAManagingDirectorMorganStanleyAssetManagementDAVIDS.HOROWITZ,CFAManagingDirectorMor
2、ganStanleyAssetManagementThetraditionalapproachtothevaluationoffixedincomesecuritiesistocalculateyield—theyield-to-maturity,theyield-to-callforacallablebond,andthecash-flowyieldforamortgage-backedsecurity.Asuperiorapproachistheoption-adjustedspread(OAS)met
3、hod.OurobjectiveinthischapteristodescribetheOASmethodasappliedtomortgage-backedsecurities.Attheendofthechapter,weapplythemethodtothreecollateralizedmortgageobligation(CMO)deals.Inthischapterwedescribethetheoreticalfoundationsofthistechnique,theinputandas
4、sumptionsthatgointothedevelopmentofanOASmodel,andtheoutputofanOASmodel,whichinadditiontotheOASvalueincludestheoption-adjusteddurationandoption-adjustedconvexity.BecausetheuserofanOASmodelisexposedtomodelingrisk,itisnecessarytotestthesensitivityofthesenum
5、berstochangesintheassumptions.ValuationmodelingforCMOsissimilartovaluationmodelingforpass-throughs,althoughthedifficultiesareamplifiedbecausetheissuerhasslicedanddicedboththeprepaymentriskandtheinterest-rateriskintosmallerpiecescalledtranches.Thesensitivit
6、yofthepass-throughsecuritiesfromwhichtheCMOiscreatedtothesetworisksisnottransmittedequallytoeverytranche.Someofthetrancheswindupmoresensitivetoprepaymentriskandinterest-rateriskthanthecollateral,whereassomeofthemaremuchlesssensitive.Theobjectiveofthemone
7、ymanageristofigureouthowtheOASofthecollateralor,equivalently,thevalueofthecollateralgetstransmittedtotheCMO873Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.874PART5ValuationandAnalysistranches.Morespecific
8、ally,theobjectiveistofindoutwherethevaluegoesandwheretheriskgoessothatthemoneymanagercanidentifythetrancheswithlowriskandhighvalue:theoneshewantstobuy.Thegoodnewsisthatthiscombinationusuallyexistsineverydeal.Thebadnewsistha
