(Asset Securitization)

(Asset Securitization)(Pooling)(Securities)

*

Asset Backed SecuritizationMortgage Backed SecuritizationAsset SecuritizationReal estate

(ABS)(MBS)

()

GNMAFNMAFHLMCFNMAFHLMC

()1930 (Federal National Mortgage Association, FNMA)1970 (Mortgage Pass Through, MPT)1980 (Collateralized Mortgage Obligation, CMO)

1932 Federal Home Loan Bank System, FHLBS 1934 Federal Home Administration, FHA 1938 Federal National Mortgage Association, FNMAFHA 1968 Government National Mortgage Association, GNMA 1970 FHLMC 1971 Federal Home Loan Mortgage Corporation, FHLMCGNMAParticipation Certificate1981FNMA

()

1983 Collateralized Mortgage Obligation, CMO 1987 Real Estate Mortgage Investment Conduit, REMICCMO 1980 ABS

SIFMA(http://www.sifma.org/ ):

Chart1

71.4180.723.751.614.610.152.3

77214.535.290.219.118.381.5

86.9236.741.4124.22525192.3

114.1257.951.4141.933.836.4265.3

133.1306.358.8151.536.941.1344.1

187.9361.970.2185.142.760.2373.2

221.7397.968.3286.544.574.4449.9

234.5401.970.134644.399.2497.7

232.1390.770.745442.2115.2522.9

219.7356.761.8551.134.5153.2578.2

202.4339.953.1581.228.8183.6741.4

198.5347.846.2585.626.9243.91023.5

Automobile Loans

Credit Card Receibables

Equipment Leases

Home Equity Loans

Manufacturing Housing

Student Loans

Other

Sheet2

Automobile LoansCredit Card ReceibablesEquipment LeasesHome Equity LoansManufacturing HousingStudent LoansOtherTotal

199671.4180.723.751.614.610.152.3404.4

199777.0214.535.290.219.118.381.5535.8

199886.9236.741.4124.225.025.0192.3731.5

1999114.1257.951.4141.933.836.4265.3900.8

2000133.1306.358.8151.536.941.1344.11,071.8

2001187.9361.970.2185.142.760.2373.21,281.2

2002221.7397.968.3286.544.574.4449.91,543.2

2003234.5401.970.1346.044.399.2497.71,693.7

2004232.1390.770.7454.042.2115.2522.91,827.8

2005219.7356.761.8551.134.5153.2578.21,955.2

2006202.4339.953.1581.228.8183.6741.42,130.4

2007198.5347.846.2585.626.9243.91,023.52,472.4

Sheet1

AutomobileCredit CardEquipmentHome EquityManufacturingStudent

LoansReceibablesLeasesLoansHousingLoansOtherTotal

199671.4180.723.751.614.610.152.3404.4

199777.0214.535.290.219.118.381.5535.8

199886.9236.741.4124.225.025.0192.3731.5

1999114.1257.951.4141.933.836.4265.3900.8

2000133.1306.358.8151.536.941.1344.11,071.8

2001187.9361.970.2185.142.760.2373.21,281.2

2002221.7397.968.3286.544.574.4449.91,543.2

2003234.5401.970.1346.044.399.2497.71,693.7

2004232.1390.770.7454.042.2115.2522.91,827.8

2005219.7356.761.8551.134.5153.2578.21,955.2

2006202.4339.953.1581.228.8183.6741.42,130.4

2006

Q1220.3359.860.7552.633.5162.9575.71,965.5

Q2215.3354.460.4564.732.4175.5583.11,985.8

Q3212.0352.957.6574.829.9182.0607.52,016.7

Q4202.4339.953.1581.228.8183.6741.42,130.4

2007

Q1202.6338.150.6583.428.7199.4835.32,238.1

Q2

Q3

Q4

(Subprime Mortgage)FICO (Fair Issac Corporation) 620620

(Prime Mortgage)

660 3015ALT-A

ALT-AAlternative-A

620-660660ALT-A ALT-A 1~2 2~3

(Subprime Mortgage)

620 (NINJA)NINJANo Income, Job or Assets. )6002

(2008)2008 TMAT

MBS 2005 6 MBS 4,279 115.13%1,989 GNMA 438 FNMA 2,114FHLMC 1,727 MBS 1

Mortgage Backed Security (MBS) MBS:

1. Pass-through securities2. Collateralized Mortgage Obligations ()

3. Stripped mortgage-backed securities

Pass-through securities Pass-through securitiesMBSMBS

Pass-through securities ()Pass-through securitiesMBS

Prepayment RiskPass-through securitiesMortgage pool15Mortgage poolPass-through securities15?15 5

Collateralized Mortgage Obligations(CMO) Collateralized Mortgage Obligations(CMO)Mortgage pool(Pass-throughs)Mortgage-backed securitiesTranchesTranchesSlice

CMO (A,B,C,Z CMO)CMOMBS 60Tranche60Tranche CMO

CMO (A,B,C,Z CMO)CMOMortgage poolTranche TrancheTranche

CMOs*

CMO*

Stripped mortgage-backed securities MBSStripped mortgage-backed securitiesMortgage pool 4%Mortgage pool6%2%Interest only(IO)Principal only(PO)

2A Bank ( B bank)

- *

17-5 *

*

(Asset Securitization)

ABS

50

50%10050%5010050

2001.11.01

Advantage

Disadvantage

20

2003/01/27

9212175321231

RMBSRMBS4 221.7 2RMBS 4 3.13.2

REITs

REATs