《美国、日本资产证券化市场比较及借鉴》(1)

RESEARCHREPORT1FAS14021234FAS1405112A1932(FederalHomeLoanBanksFHLB)SavingandLoanAssociation(NationalHousingActof1934)1934(FederalHousingAdministrationFHA)31944Serviceman’sReadjustmentActof1944(VeteransAdministrationVA)1968HousingandUrbanDevelopmentActGinnieMae(RHS)7%--8%B5501GinnieMaeFederalNationalMortgageAssociation;FNMAFederalHomeLoanMortgageCorporation;FreddieMac;FHLMCMortgagePass-ThroughSecuritiesFHLMCPCparticipationcertificateFHLMCoriginator5%participatinginterestFHLMCPC41977private-label3001981FreddieMacFNMAFannieMae1986CRMBSAsset-BackedSecuritiesABSCommercialMortgage-BackedSecuritiesCMBS1986SalomonBrothers19811988BankforInternationalSettlement;BISRMBSCMBSABS2005RMBSCMBSABS5.9220057.95IntellectualProperty;IPtradesecretA19701872theNationalBankofActGlas-SteagallActBankofJapan;BOJkeiretsugroup80%65%BOJBOJBOJconvoysystem1985B19701985198019707C1985199219851988BIS8%1985theFinancialSystemResearchCounciltheSecuritiesandExchangeResearchCouncil19881990theMinistryofInternationalTradeandIndustry;MITI1992312SpecialClaimsLaw410651993D19921992SPC81998SPCLaw199891199220005abcdefConvertibleBond;CBWarrantsBond;WBg(Thebondmarketassociation)200547.931.23%912005Q4$407.7B$16.9B$2.2T$746.3B$554.4B(6)$4.2T$669.00$78.8B(6)$2.6TMBS$1,919.5B$251.8B$5.9TABS(3)$1,095.9NA$2.0TNANA$3.5T$678.9B$21.0B$5.0T$5,517.3TNA$25.3TTheBondMarketAssociationBTNAMBSGNMAFNMAFHLMC19883MBS19801,109200536,8172533.2FNMA19852199567.2%CBO/CLO200549.92%CBO/CLO19950.4%200525.07%10316.359.518.80%153.148.40%33.110.50%11.23.50%3.71.20%10.63.40%1.20.40%43.913.90%404.471.417.70%180.744.70%51.612.80%14.63.60%10.12.50%23.75.90%1.40.30%50.912.60%535.87714.40%214.540.00%90.216.80%19.13.60%18.33.40%35.26.60%193.50%62.511.70%731.586.911.90%236.732.40%124.217.00%253.40%253.40%41.45.70%47.66.50%144.719.80%900.8114.112.70%257.928.60%141.915.80%33.83.80%36.44.00%51.45.70%84.69.40%180.720.10%1,071.8133.112.40%306.328.60%151.514.10%36.93.40%41.13.80%58.85.50%124.511.60%219.620.50%1,281.2187.914.70%361.928.20%185.114.50%42.73.30%60.24.70%70.25.50%167.113.00%206.116.10%1,543.2221.714.40%397.925.80%286.518.60%44.52.90%74.44.80%68.34.40%234.515.20%215.414.00%1,693.7234.513.80%401.923.70%34620.40%44.32.60%99.25.90%70.14.10%250.914.80%246.814.60%1,827.8232.112.70%390.721.40%45424.80%42.22.30%115.26.30%70.73.90%264.914.50%25814.10%1,955.2219.711.20%356.718.20%551.128.20%34.51.80%153.27.80%61.83.20%289.514.80%288.714.80%TheBondMarketAssociation11GNMAFNMAFHLMCTotal198093.9-17.0110.91981105.80.719.9126.41982118.914.443.0176.31983159.825.159.4244.31984180.036.273.2289.41985212.155.0105.0372.11986262.797.2174.5534.41987315.8140.0216.3672.11988340.5178.3231.1749.91989369.9228.2278.2876.31990403.6299.8321.01,024.41991425.3372.0363.21,160.51992419.5445.0409.21,273.71993414.1495.5440.11,349.71994450.9530.3460.71,441.91995472.3583.0515.11,570.41996506.2650.7554.31,711.21997536.8709.6579.41,825.81998537.4834.5646.52,018.41999582.0960.9749.12,292.02000611.61,057.8822.32,491.72001591.41,290.4948.42,830.22002537.91,538.31,082.13,158.32003473.71,857.21,162.13,493.02004441.41,895.81,209.03,546.22005406.11,940.11,335.53,681.7TheBondMarketAssociation(ABS)19951001998175002002(4-9)22200220019J-REIT2600200582.549.61121J-REITJ-REITreport20051998SPCLaw199220005131AOriginatorBServicerCIssuerSpecialPurposeVehicleDCreditEnhancementProvider14ECreditRatingAgencyS&P(Moody’s)FitchIBCAFTrustee221521316(2)41735(CollateralizedLoanObligations.,CLOs)11122AAAAAA18(4)612196(1)19862,000Apass-through$$$$$$$204GinnieMae19701.2.15%GinnieMae1983/7FannieMae()19811.2.3.50%FannieMae-PC1971FannieMae(PrivatePass--ThroughCertificates)19811.2.3.10%4.7217B(Mortgage-BackedBondMBB)197522C(MortgagePay-ThroughBondsMPTBs)197619818823D(CollateralizedMortgageObligationCMO)995112bpsA10-20bpsA40bps24AAA(5)AAA(10)AAABBBBBB-SpreadtoSWAP48496584130165SpreadtoTreasury112120136155201235(2)(Pass-through)(Pay-through)A1985MarketingAsistanceBallayNationalFinancialGMAC1990B1986836,65925VISA655,097,1307,533,581230182,000UBS6,00014(1)AssetSecuritizationSecuritiesAssetSecuritizationObligations(BIS)(CollateralizedBondObligationsCBOs)(CollateralizedLoanObligationsCLOs)(Non-PerformingLoan)(CollateralizedInvestmentObligationsCIOs)199826FundsCDO(2)ADaiichiLife'sMAGIC200082,081DaiichiLifeLeadManagerABCDE23786AAABBB+1010DaiichiLife'sMAGICGoldmanSachsSecuritiesMorganStanleyDeanWitterSecurities[SeriesAtoE]Preferred/SubordinatedrightsSpecialServicingContractloansResidentialloansintrustJointGuaranteeFirstMortgageeSecondMortgagee27BHousingLoanCorpBondsNo.1GovernmentHousingLoanCorporationGHLC420013500RIAAA1111GovernemtHousingLoanCorpBandNo.1SchemeMizuhoBank2819331934194029FinancialAccountingStandardBoardFASB77StatementofFinancialAccountingStandardNo.77,FAS77125FAS125140FAS1401Asubstantiveconsolidationnon-consolidationopinionletterseparatenesscovenantssubstantialidentity利B30198377FAS771996125FAS1252000140FAS140aFAS771983FAS77bFAS125FAS77FAS125FAS125cFAS140FAS140FAS125FAS140isolationofassets31qualifyingspecialpurposeentityQSPEeffectivecontrol5%QSPEcleanupcallpro