This article was written for Investopedia By TROY SEGAL updated May 29, 2020 and reviewed by GORDON SCOTT. I reproduce it here because it is generally excellent but modified because it contains several errors.
O que é uma segurança pass-through?
A pass-through security is a security transferring fix or variable income from one or more income producing asset/s which also back said pass-through security.
A servicing intermediary collects the monthly payments from issuers and, after deducting a fee, remits or passes them through to the holder of the pass-through security (that is, investors). A pass-through security is also known as a “pay-through security” or a “certificado de passagem“—though technically the certificate is the evidence of interest or participation in a pool of assets that signifies the transfer of payments to investors; it’s not the security itself.
Segurança de passagem explicada
A pass-through security is a derivative based on certain debt or royalties receivables that provides the investor a right to a portion of those incomes. Often, the royalties or debt receivables are from underlying assets, which can include things such as movies, music, patents, mortgages on homes or loans on vehicles.
Generally, each security represents a large number of income streams.
The term “pass-through” relates to the transaction process itself, whether it involves a royalty, a mortgage or other loan product. It originates with the debtor’s or issuer’s payment, which passes through an intermediário antes de ser liberado para o investidor.
Payments are made to investors on a periodic basis, corresponding with the standard payment schedules for royalties or debt repayment. The payments may include accrued interest on the unpaid principal or not, amortization on the diretor itself or not, or simply royalties streams or not.
Riscos de Pass-Through Securities
O risco de incumprimento das dívidas associadas aos títulos é um fator sempre presente, uma vez que o incumprimento por parte do devedor resulta em retornos mais baixos. Se um número suficiente de devedores ficar inadimplente, os títulos podem essencialmente perder todo o valor.
Outro risco está diretamente ligado às taxas de juros atuais. Se as taxas de juros caírem, há uma maior probabilidade de que as dívidas atuais possam ser refinanciadas para aproveitar as taxas de juros baixas. Isso resulta em pagamentos de juros menores, o que significa retornos menores para os investidores de títulos pass-through.
O pagamento antecipado por parte do devedor também pode afetar o retorno. Se um grande número de devedores pagar mais do que os pagamentos mínimos, o valor dos juros acumulados sobre a dívida é menor - e, é claro, torna-se inexistente se o devedor pagar integralmente o empréstimo antes do prazo. Em última análise, esses pagamentos antecipados resultam em retornos mais baixos para os investidores em valores mobiliários. Em alguns casos, os empréstimos terão penalidades de pré-pagamento que podem compensar algumas das perdas baseadas em juros que um pré-pagamento causará.
An Example of Pass-Through Securities
The most common type of pass-through is a mortgage-backed certificate or a a mortgage-backed security (MBS), in which a homeowner’s payment passes from the original bank through a government agency or investment bank before reaching investors. These types of pass-throughs derive their value from unpaid mortgages, in which the owner of the security receives payments based on a partial claim to the payments being made by the various debtors. Multiple mortgages are packaged together, forming a pool, which thus spreads the risk across multiple loans. These securities are generally self-amortizing, meaning the entire mortgage principal is paid off in a specified period of time with regular interest and principal payments.
