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資產證券化 (Asset Securitization). 資產證券化基本概念. 資產證券化 (Asset Securitization) 是指企業單位或金融機構將其能產生 現金收益的資產 加以群組 (Pooling) ,然後發行證券 (Securities) ,出售給有興趣的投資人,藉此過程,企業單位或金融機構能向投資人籌措資金。. 一、資產證券化的過程. 17. 新陸書局股份份有限公司 發行. 3. 證券化分類. 房貨. Mortgage Backed Securitization. Asset Backed Securitization. - PowerPoint PPT Presentation
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(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
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