chap8 證券化金融商品(一)
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CHAP8 證券化金融商品(一). 金融創新(謝) -Chap12. 證券化的定義. 證券化( securitization )是指金融機構或投資銀行將未來產生一系列現金流量的資產(或債權)作為擔保,重新設計包裝後發行證券給投資人。 而未來此資產(或債權)所產生的收益將移轉至持有此證券的投資人,投資人可藉由投資此種證券,獲得相當於直接投資此資產(或債權)的報酬。. 說例 — 不動產證券化. 某人投資商辦大樓需 10 億資金,但由於資金有限,且單獨投資風險太高於是先向銀行融資標下商辦大樓,並將該大樓租金予以證券化,再出售給有興趣投資房地產的投資人。 - PowerPoint PPT PresentationTRANSCRIPT
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CHAP8 -Chap12
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*securitization
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1010550055005.5*
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Credit asset*
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Non-performing loan, NPL*
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Originator/ServicerIssuer*
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Trusetee
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(Guarantor)Credit enhancementgovernment national mortgage association, GNMAfederal national mortgage association, FNMAfederal home loan mortgage company, FHLMC
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12.1 *
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-Mortgage-backed securities, MBSResidential Mortgage LoansAsset-backed securities, ABSHome equity loans, HELsmanufactured house loans, MHLsABS*
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second-lien mortgage*
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-(Pass-Through structure)(Pay-Through structure)Prepayment risk
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Collateralized mortgage obligations, CMOS:MBSMBSCMOs
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MBSGNMAFHMAFHLMCMBSMBSMBSPrivate-label MBS
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Internal credit enhancement:*
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Senior(Subordinated):
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Reverse fundCash reverse fundExcess servicing spread
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(EXTERNAL CREDIT ENHANCEMENT)(Stand-by letter of credit)
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12.2 *
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GNMAMBSFNMAFHLMCMBS
MBSMBS
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12.3 MBS*
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(Veterans Administration, VA)(Federal Housing Administration, FHA)
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Federal National Mortgage Association, FNMAFannie Mae1938FHAFHAVA1968
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Government National Mortgage Association, GNMAGinnie MaeFNMA70MBSFHAVA
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Federal Home Loan Mortgage Company, FHLMCFreddie Mac:FHLMC
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GNMAMBSPrivate label pass through*
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GNMA12.4 GNMAMBS*
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GNMAGNMAGNMAPerformance guaranteeMBSGNMAMBS*
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GNMAMBSGNMA IGNMA IIGNMA IGNMA II*
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MBSFHLMCMBSGNMAFHLMCparticipation certificates, PCPCMBSPC*
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FHLMCMBSGNMAMBSPCFHAVAFHLMC*
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FHLMCMBSFHLMCFHLMCPCFHLMC
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FHLMCMBSFHLMCSWAPPCFHLMCFHLMCPCFHLMC
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FHLMCMBSFHLMCGNMAFHLMC*
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FNMAMBSFNMAMBSFHAVAFNMA
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MBS
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Pay through MBS*
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34
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FHAVA
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MBS
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collateralized mortgage obligations, CMOsMBStrancheCMOs
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CMOS*
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CMOSresidual account
re-securitization
CMOs*
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planned amortization class, PAC(residual class)CMOs
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STRIPPED MBSPrincipal only class, POInterest only class, IO*
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(ASSET-BACK SECURITIES, ABS)Auto-loan Asset-back securitiesABS
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-ABS*
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12.6 ABS*
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ABSMBS*
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ABSMBS(Soft Bullet Structure)ABSExpected single-bullet principal payment
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Principal funding accountABSBAS*
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(Controlled Amortization Structure)ABSABS
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ABSABSSubsidize Stafford loans:FFELPFederal family education loan program,
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(parental loans for undergraduate students, PLUS):
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FFELPconsolidation loanMABS*
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12.9 ABS*
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ABS
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12.10 ABS*