4、Ch4AssetSecuritizations汇编.pptx

Investment Banking 投资银行业务 POWERPOINT TEMPLATE CHAPERT FOUR ASSETS SECURITIZATIONS SAYINGS 如果有一个稳定的现金流，就将它证券化吧。 ----华尔街流行语 U.S. Securitizations Overview Securitization is the process of creating a financial instrument by combining other financial assets and then marketing them to investors. Overview 资产证券化是以资产所产生的现金流为支撑，在资本市场上发行证券工具，从而对资产的收益和风险进行分离与重组的一种技术或过程。 信贷资产证券化开始于20世纪70年代末的美国住房抵押贷款证券化。 资产证券化自六、七十年代以来迅速发展。2000年世界总发行量达到3500亿美元。在美国,资产证券化市场上占主导地位的房地产贷款支持证券(MBS)从90年代到本世纪初迅猛发展。从1990年到2003年底,发行量的年平均增长率达到43.7%, MBS市场已成为仅次于联邦债市的第二大市场,2003年底达3.14万亿美元。 在欧洲,1986、1987两年发行的资产支持证券(ABS)总量仅为17亿美元,到1996年达到300亿,1998年466亿美元,2002年达到792亿欧元。2002年欧美ABS的存量为1万5千4百亿美元。 澳大利亚被认为世界上第二大ABS/MBS活跃市场,2000年的年发行量超过300亿澳元。在亚洲地区,资产证券化于1995年兴起,之后在香港、日本、韩国、等地区迅速发展。 Structure of Securitizations SPV Rating Agency Originator Borrower Servicer Credit Enhancer Underwriter Trust Investor Originator （发起人） The originators make the loans or create the assets that will become the underlying collateral. Issuer （发行人，SPV） It is a special purpose entity created solely to purchase the loans and issue asset-backed securities. Credit Enhancer (信用增级机构） They add to credit enhancement to the issue either through the guarantee of highly rated credit enhancers or over-collateralization. Rating agency（资信评级机构） Through information collection, research, and analysis, rating agencies protect investors against unknowingly taking credit risk. Servicer (服务人) Servicing includes the collection of payments and other steps necessary to ensure that the borrower meets his obligations and the rights of investors are protected. Principles of Securitization Recombination （现金流）重组 “True Sale”/Transfer of title 真实销售 Credit Enhancement 信用增级 Process of Securitization Collateral Assets SPV True Sale Credit Enhance Crediting Issuing Debentures Manage SPV Credit Enhancement External Credit Enhancement 外部增级 A corporate guarantee A LOC from a bank Insurance company Internal Credit Enhanceme