速寫 Day33

感謝我的直屬學妹
給我畢業禮物
─ 「草莓派對」。
身為草莓愛好者
在這個非草莓產季
我只能說
我好幸福です＞＜

今日日文單字：

日文文法 ─ Q91-Q120

すら／であれ／でも ─ 即便
皮切（かわき）りに／Aが最初（さいしょ）で ─ 以…為開端
なしに…できない ─ 沒有…就不能
Aから成（な）るB ─ 由A組成的B
目に見えて／明らかに ─ 肉眼可見的、明顯的
ともすると…がち ─ 往往…的傾向
のかたわら ─ 同時
べからず ─ 禁止
VうがVまいが ─ 無論V還是V (都要…)
相（あい）まって ─ 伴隨
Aをおいて、ほかに…ない ─ 只有A可以 (其他人都做不到)
下手（へた）をすると ─ 最糟的情況下
わざわざ…までもない ─ 不必特地…
一向（いっこう）に ─ 1. 全然 2. なかなか…ない
をものともせずに ─ 不顧
とうてい+できない／無理／不可能だ ─ 不管怎麼做 (都做不到、都沒用、都不可能)
Aといったらない／とてもAだ ─ 非常A
祈ってやまない／願ってやまない／愛してやまない ─ 無比祈願、喜愛
～ばAものを…／Aなのに ─ 明明A，卻…
Aならでは（のB） ─ A特有的(B)
AつBつ／AしたりBしたり ─ A、B交互
Aなりの／A作った ─ A作的
Aはなおさらのこと／ますます／いっそう／もっと ─ 更加

稍微的筆記

ch42 Mortgages and Mortgage-Backed Securities

Government Loans: backed by federal government agencies.
Conventional loans: securitized by government-sponsored enterprises(GSEs) ─ FHLMC or FNMA.
Agency (Conforming) MBSs: guaranteed by GSEs.
Nonagency (nonconforming) MBSs: issued privately with no guarantee from GSEs.

Pass-Through Securities

A mortgage pass-through security represents a claim against a pool of mortgages.
The most important characteristic of pass-through securities is their prepayment risk.
Conditional prepayment rate (CPR): a benchmark for prepayment rate.
Single monthly mortality rate (SMM): mothly prepayment rate converted from CPR.
SMM is also called constant maturity mortality.
\(SMM=1-(1-CPR)^\dfrac{1}{12}\)
\(CPR=1-(1-SMM)^{12}\)
PSA standard benchmark: \(CPR=max(0.2% \times month,6%) \)

Trading Pass-Through Agency MBS

Specified pools market.
To Be Announced (TBA) Market: more liquid than specified pools.

Dollar Roll Transaction

Same securities to be priced for different settlement dates.
Value of a dollar roll \(=A-B+C-D\), where:
A = Proce at which pool is sold in month 1, with accrued interest.
B = Proce at which pool is bought in month 2, with accrued interest.
C = Interest earned on funds from the sale for one month.
D = Coupon and principal payment that was foregone on the pool sold in month 1.

Collateralized Mortgage Obligations

Collateralized Mortgage Obligations(CMOs): are issued against pass-through securities for which the cash flows have been reallocated to different bond classes called tranches.

CMOs Types:

1. Planned Amortization Class (PAC):
  <1> A tranche that is amortizd based on a sinking fund schedule that is established within a range of prepayment speeds called the initial PAC collar or initial PAC bond.
  <2> Packaged with a support tranche created from the original mortgage pool, which provides prepayment risk protection.
  <3> Support tranche may absorbs the excess if prepayment rates are faster than upper prepayment rate. However, if prepayment speeds are below the lower prepayment rate, the funds needed to keep the PAC on schedule come from the cash flows scheduled for the support tranche.
  <4> Inverse relationship between the prepayment risk of PAC traches and the prepayment risk associated with the support tranches. In other words, the certainty of PAC bond cash flow comes at the expence of increased risk to the support tranches.
  <5> To sum up, PAC have priorty claim against cash flows, payments to the support tranches must be deffered until PAC repayment schedule is satisfied.
1. Principal-only securities (PO):
  <1> Sensitive to prepayment rate.
  <2> Cash flow stream starts small and increases with the passage of time.
  <3> Higher prepayment rates result in faster-than-expected return of principal and, thus, a higher yield for PO.
1. Interest-only securities (IO):
  <1> Major risk is the value of the cash flow investors receive.
  <2> Cash flow starts big and gets smaller over time.
  <3> Only IO are at risk of incurring losses.

今日其他進度：

日文N1文法、N1題目
FRM ebook ch42
一堆的動畫

我會繼續努力的。