第6讲-及MBS与ABS.pptx

固定收益证券分析本科生课程吴文锋第六讲：MBS和ABS要点：（1）MBS和ABS的构造过程（2）MBS的现金流结构（3）ABS的现金流结构讨论的问题什么是资产证券化？为什么要资产证券化？什么样的资产可以证券化？广义的资产证券化实体资产证券化企业上市信贷资产证券化MBS、ABS证券资产证券化以MBS、ABS为基础发行的CDO为什么要资产证券化资产证券化把缺乏流动性、但具有未来现金收入流的各类账款等汇聚起来，通过结构性重组，将其转为可以在金融市场上出售和流通的证券资产证券化的好处发行人转移(分散)风险实现资产的流动性降低融资成本投资者获得较高的投资回报率实现期限匹配资产证券化的坏处呢？证券化－－透支未来财富创业板上市：造福后的激励问题证券化的信用危机美国2007年次级债危机证券化后的发展危机美国绝大多数资产证券化中国10多年来的证券化还有多少实体资产可以证券化？中国2009年底的上市公司总资产家数总资产销售收入净资产市值扣除金融业166314.61万亿10.38万亿6.21万亿20.18万亿所有169361.80万亿11.97万亿9.27万亿28.90万亿中国2008年底规模以上工业企业总资产家数总资产销售收入净资产411450409.46万亿472.71万亿174.46万亿6.1 按揭担保支持证券介绍1、按揭贷款2、按揭担保支持证券MBS及其构造过程3、MBS持有人的现金流情况4、分级MBS（CMO）背景1背景2在2005年12月15日，中国建设银行成功推出 “建元2005-1个人住房抵押贷款支持证券” 。 国家开发银行则在同期推出“2005年第一期开元信贷资产支持证券”。资产支持证券产品成功发行，是我国金融工具创新的又一果实。按揭支持证券的基本概念Mortgage-Backed Securities, MBS指以按揭贷款(Mortgage)作为担保发行的债券发行主体可以是政府机构，也可以是非政府机构按揭贷款主要指住房按揭贷款Overview of MBS sector？Largest Sector of the U.S. Debt Market:Aggregate current principal amount outstanding mortgage loans is over $4.9 trillion as compared to about $3.3 trillion of government securities and $4.4 trillion of Corporate bonds.Mortgage backed securities (MBS) are an integral part of any broad portfolio exposure to the U.S. Government securities. The U.S. investment grade corporate debt market is less than 1.5 trillion in size.Why invest in MBS?MBS can enhance portfolio performance significantlyMajor mortgages indices have outperformed comparable duration U.S. Treasuries by an average of more than 140 bp over the past 10 years.The U.S. mortgage market consists of a wide array of securities to suit most investor needs. A full range of credit qualities, durations, risk profiles and yields exist in this market.High Credit QualityMost of the MBS market is issued by U.S. Government agencies which have an implied AAA rating: GNMA issues carry full faith and credit of the U.S. Government, Fannie Mae and Freddie Mac have the implicit backing of the U.S. Government.Non-agency mortgage securities mostly consist of AA or better rated bonds. Lower rated