资产证券化

說念金說易參流六論立見說臨律益易理FASB140理QSPE說論見易異念行行金不行金金若金不來說論金金流量流1說金不不論列1參律金2001年53-43-1類assetsecuritization金金益流poolingassetpartitioning離行金了降度creditenhancement不2了離行行structuredfinance3了離易金益益降流金流量4離易降流行兩類不Mortgage-BackedSecurities,MBS2參李理論2002年843參金金理論2003年22-44參見金例金行金不論Asset-BackedSecurities,ABS5車不益6兩異不不兩7易U.SSecuritiesandExchangeCommission,SEC2004年5行露度ProposedRule金金不論利益利金流量8露來金流量金都91年0724金例行立例行益金行行金理行金念金行金離宅來金流量易例類利率5利兩狀6參25547易SEC見參FederalRegister,Vol.69,No93,May13,2004,at26654.‘‘asecuritythatisprimarilyservicedbythecashflowsofadiscretepoolofreceivablesorotherfinancialassets,eitherfixedorrevolving,thatbytheirtermsconvertintocashwithinafinitetimeperiod,plusanyrightsorotherassetsdesignedtoassuretheservicingortimelydistributionsofproceedstothesecurityholders;providedthatinthecaseoffinancialassetsthatareleases,thoseassetsmayconverttocashpartiallybythecashproceedsfromthedispositionofthephysicalpropertyunderlyingsuchleases.參FederalRegister,at26656.9宅理金金不立Governmentsponsoredentities,GSEs聯(FederalNationalMortgageAssociation,FNMAFannieMae)聯(FederalHomeLoanMortgageCorporation,FHLMCFreddieMac)(GovernmentNationalMortgageAssociation,GNMAGinnieMae)宅流金金行10FannieMae立聯宅FederalHousingAdministration,FHA宅mortgages1968年FannieMaeGinnieMae兩FannieMae更FreddieMac聯金FannieMaeFreddieMac紐易行GinnieMae不聯MBS111970年金行1970年GinnieMae聯宅FederalHousingAdministration,FHAVeteransAdministration,VA宅single-familymortgageloansGNMApass-through12FreddieMac1971年行參Mortgage-BackedParticipationCertificates1981年FannieMae行9行金理=2042004/9/110參SEC,StaffReport:EnhancingDisclosureintheMortgage-BackedSecuritiesMarkets,January2003,參SEC,StaffReport.12參ChristineA.Pavel,Securitization:TheAnalysisandDevelopmentoftheLoan-Based/Asset-BackedSecuritiesMarkets,ProbusPublishing,1989,at3.13了GSEsMBSguarantee不FannieMaeFreddieMac不行MBSMBSGinnieMae行FannieMaeFreddieMac行MBSGinnieMaeFannieMaeFreddieMacFannieMaeFreddieMac律14行金151980年復更FreddieMac行CollateralizedMortgageObligation,CMO不16不金金1985年3Sperry年5車1987年1980年不良non-performingloans17聯不流TheBondMarketAssociation2004年3GSEs行MBS兩CMO18ABScredit13參SEC,StaffReport.14不行聯兩22.515參SEC,StaffReport.16參255817參2558-918料來TheBondMarketAssociation=3232004/8/13card益homeequityCBO/CLO車automobile流19若MASABS了論EuropeanSecuritisationForum2003年行量年38歷2,1722004年行量年44623年度行不流度來類若率律力2003年率年更5220金度律21類益益DavidBowie19料來TheBondMarketAssociation=842004/8/1320參2004年711C1金21參255123-22004Q1∗類流金3-3ABS2004Q1∗OutstandingAutomobileCreditCardHomeEquityManufacturedhousingStudentLoanEquipmentleasesCBO/CDOOther類流金∗料來TheBondMarketAssociation,=3232004/8/13∗料來TheBondMarketAssociation,=842004/8/133-4ABS類例2004Q1參若221.行流2.行益來3.來說易不率4.益金流量狀益度22若易來1.selectioncriteria行2.truesalespecialpurposevehicle3.4.狀離---離5.利利6.理行7.8.行參JohnHenderson,AssetSecuritization:currenttechniquesandemergingmarketapplications,EuromoneyPublication,1997,at1-2.5.見金流量易行6.不不23不論行行行都臨力不索non-recourse臨來不金都AAAAA利率聯501001basicpoint0.01利率利率24行益立行率行歷料來行識若來行離行益利2523參論1999年12724參276925參Appendix5-TheSecondaryMarketFunction,41IDEA429,2002.易金來了行行receivables不流行更易率參26降金易離不行行更金降金27若利利利利spread28留益利益2926參LisaM.Fairfax,WhenYouWishuponaStar:ExplaningtheCautiousGrowthofRoyalty-BackedSecuritization,1999Colum.Bus.L.Rev.441,at457.27參LisaM.Fairfax,at456.28參TimothyC.Leixner,UnitedStates:SecuritizationofFinancialAssets,May25,2004,Mondaq,=26259&searchresults2004/9/26.29參ZoeShaw,Securitization:IntroductionandtheIssuer’sPerspective,Euromoneypublications,1996,at11.利servicefee30行金利率來理力行maturitymatchingrevolvingassets3132行來說行金來若不來易行流不行流33見來金見來來34量30參2551631revolvingtype金流量來金度amortizingschedule金金金流量不行金流量參255286632參JohnHenderson,at7-8.33參2551534參2564-8～4-93-5∗六流度off-balance-sheet金例降降率留Risk-BasedCapital,RBC更率35降更利益率ReturnonEquity,ROE不流金流36∗參林-流金理金2000年122735參見行行率不參率行率行率行36參25515z利zzz降z利zzz理力行金來MA金流量37數金理更金更益金若更數降易transactioncost參降臨informationcost38利率力參金不行路39利率更hedging金更40參切origination易行不不行參力來金率力例力金不理更力便理41benchmark37參LisaM.Fairfax,at452-453.38參ClaireA.Hill,Securitization:ALow-CostSweetenerforLemons,74Wash.U.l.Q.1061,1996,at1086-1094,1103-1104.39參ZoeShaw,Securitization:IntroductionandtheIssuer’sPerspective,at12.40參2551741參JohnHenderson,at9.例行金underwritingcriteria來理識勵不42率降金行行利率43不拉44參參參Obligor契金利行金流量來45Originatorreceivable行42參ZoeShaw,Securitization:IntroductionandtheIssuer’sPerspective,at6.43參27613544參ZoeShaw,Securitization:IntroductionandtheIssuer’sPerspective,at7.swapoption契來易參JohnHenderson,at50.45參25522seller兩類corporate金financialinstitution46不類不類易例易tradereceivables行車車行理47SpecialPurposeEntity,SPE行Issuer離行律行易行不行立數行48Trustee利益行49行易46若DavidBonds金流量利47參25523金理19金1金利234567金金利理金金理金2003年126348參JohnHenderson,at12.49參TheodorBaums,AssetSecuritizationinEurope,FORUMinternationale,No.20,May1994,at4.都兩來金流量50行行