ABS_CDO_MBS三者的区别
资产支持证券ABS产品介绍及定价方法
ABS产品介绍篇（一）资产支持证券，即ABS（Asset-backed securities）是由金融资产支持的债券。
这些金融资产包括信用卡应收款、汽车贷款、房屋建造合约、住房财产贷款、抵押贷款等，其中抵押贷款支持的债券就是MBS，在前几期的红顶电子报中已经做了介绍。
全球第一支ABS产品产生于1985年，虽然只是一个年轻的产品，但发展及其迅速，1985年发行量为120亿美元，到1997年时已经发展到1851亿美元。
我国的ABS市场仍处在起步阶段，目前只发行了一支ABS，即由国家开发银行发行的第一期开元信贷资产证券（简称“开元”）。
从本期开始，红顶电子报将为读者介绍ABS以及开元的相关情况。
ABS的机制ABS是将缺乏流动性但具有可预期的、稳定的未来现金流收入的资产组建资产池，并以资产池所产生的现金流为支撑发行证券的过程和技术。
简单的说，金融机构（如：银行、信用卡商、汽车金融公司、消费者金融公司等）将一些贷款组成资产池，出售给SPV(Special-purpose vehicle)，SPV再将资产池出售给信托公司，由信托公司将贷款重新打包，以债券形式出售给投资者，通常出售给投资者的债券会根据风险大小和优先权的不同而分成几档。
如下图所示。
通过资产证券化的过程，发起人将流动性差的资产转变为流动性好的现金，SPV存在于发起人和信托公司之间，隔绝了发起人倒闭的风险，投资者根据自身的风险偏好投资于不同信用等级的债券。
ABS的特征1．分期付款资产 VS 非分期付款资产ABS的资产池可以分为分期付款资产和非分期付款款资产。
分期付款资产是指借款人会周期性的按照还款计划归还本金和利息。
标准的住房抵押贷款就属于这一类，汽车贷款和某些房屋资产贷款也属于分期付款资产类。
还款计划外的额外偿付属于“提前清偿”（Prepayment）。
提前清偿可以是支付全部余额，也可以使支付部分余额。
借款人的提前清偿收到市场利率的影响，当市场利率偏低的时候，提前清偿更容易发生，因为借款人可以以更低的成本在市场上融资。
资产证券化(ABS)详细
参与主体
主要职责
原始权益人
基础资产原始所有者/出售方，主要获得资金融通
资产服务机构 负责基础资产的处置、现金流的回
SPV （特殊目的载体）
受托机构
实现资产风险隔离目的，亦作为证券化产品的发行人
目前主要为证券公司或信托公司，负责项目总协调、 产品 设计、 现金流分析、定价模型、起草发行文件、 销售和日 常管理
CLO
CBO
CMBS
RMBS
资产证券化的交易结构
贷款本息 资产服务机构
托管银行 （信托账
户）
划款指令
受益证券本息
基础资产包 资产1 …
资 产
权 益 或
原始权益人
受托机构
设立信托或SPV公 司、监督服务
资产出售 特殊目的机构
认购资金 （SPV）
发行 收益证券
现金
承销商
承销 现金
登记结算结构
受 益 证 券 本 息
5
资产支持证券采取的风险 控制措施符合指引要求；
3
资产支持证券已经发行完 毕并且按照相关规定完成 备案；
6
上交所规定的其他条件。
上交所挂牌转让申请流程
持有可转让债券流程
事前 审查
交易所
专项计 划设立
事后 备案
挂牌 转让
管理人、托管人 、原始权益人及 其他服务机构
基金业 协会
✓负面清单管理 ✓信披（协会网站）
包括银行、证券、信 托、基金管理公司等
4、社会保障基金、企 业年金等养老基金，慈 善基金等社会公益基金
2、发行的理财产品包 括但不限于银行理财产 品、信托产品、保险产
品、基金产品等
5、在行业自律组织备 案或登记的私募基金及 符合第（六）款规定的 私募基金管理人
第五章信贷资产证券化MBS和ABS业务
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资产证券化发展概述
政府的参与促成了最早的证券化品种---住 宅抵押贷款证券化（MBS）的出现。此后，证 券化技术迅速在美国资本市场上推广开来，基 础资产的种类不再限于单一的住宅抵押贷款， 而是扩展到各个资产领域，形成了今天的证券 化市场。表面上看，这只不过是由于基础资产 种类的扩大所引起的证券化品种的多样化，但 实际上这种变化的背后隐藏着的是资产证券化 主要推动力量的变迁。事实上，MBS交易的主 要发起人是政府代理机构，但对于其他种类资 产的证券化，政府往往较少涉足。这类交易一 般都是由私人部门发起，因而称做私人信用型 交易。私人部门在美国资产证券化市场上发挥 着越来越重要的作用，从而取代了政府成为推 动资产证券化不断发展、不断创新的重要力量。
载体性质
证券构成层次 基础资产是否从发起人 资产负债表中剥离
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政府信用型与私人信用型
基础证券与衍生证券 表内证券化与表外证券化
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资产证券化的基本类型
住房抵押贷款支撑证券与资产支撑证券
住房抵押贷款支撑证券（MBS）： 以住宅抵押贷款为证券化资产发行的证券，最早出现的 资产证券化产品。 资产支撑证券（ABS）： 除住房抵押贷款以外的资产支撑的证券化产品，是证券 化技术在其他资产领域的应用。包括：
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资产证券化的基本流程
9、清偿证券 按照证券发行说明书约定，在证券偿付 日，SPV将委托受托人按时、足额地向投资 人偿付本息。利息通常是定期支付的，而本 金的偿还日期及顺序就要因基础资产和所发 行证券的偿还安排的不同而异了。当证券全 部被偿付后，如果资产池产生的现金流还有 剩余，那么这些剩余的现金流将被返还给交 易发起人，资产证券化交易过程也随即结束。 可见，整个资产证券化的运行流程都是 围绕着SPV这个核心来展开的，SPV进行证券 化运行的目标是：在风险最小化、利润最大 化的约束下，使基础资产所产生的现金流与 投资者的需求最恰当地匹配。
英文金融缩略语
英文金融缩略语1、ABS——资产担保证券2、ADR——美国存托凭证3、AIG——美国国际集团4、A TM——自动柜员机5、BIS——国际清算银行6、BHC——银行控股公司7、BRIC——金砖四国（巴西、俄罗斯、印度、中国）8、CDO——债务抵押证券9、CDs——大额可转让存单10、CDS——信用违约互换11、CFA——注册金融分析师或特许金融分析师12、CML——资本市场线13、CPI——消费者价格指数14、EBIT——息税前收益15、EBITDA——未减掉利息、所得税、折旧和分摊前的营业收益16、EDR——欧洲存托凭证17、ESOP——员工持股计划18、ETF——指数股票型基金或交易所交易基金、交易所买卖基金19、FDI——国际直接投资20、FRA——远期利率协议21、GATT——关税及贸易总协定22、GDP——国内生产总值23、GDR——全球存托凭证24、GNP——国民生产总值25、HKDR——香港存托凭证26、HIBOR——香港银行同业拆借利率27、IAS——国际会计标准28、IBRD——国际复兴开发银行（世界银行）29、ICP——国际比较项目30、IDA——(世界银行所属的)国际开发协会31、IDB——泛美开发银行32、IFC——(世界银行所属的)国际金融公司33、IMF——国际货币基金组织34、IPO——首次公开发行35、IRR——内部收益率36、LBO——杠杆收购37、LIBOR——伦敦银行同业拆借利率38、LTCM——美国长期资本管理公司39、KODA——Knock Out Discount Accumulator累计认购期权40、M&A——收购与兼并41、MBO——经理层收购42、MBS——抵押信贷担保证券43、NASDAQ——纳斯达克，美国全国证券交易商自动报价系统协会44、NYSE——美国纽约证券交易所45、OECD——经济合作与发展组织46、OPEC——石油输出国组织47、OTC——场外交易市场48、PE——私募股权基金49、PPI——生产者价格指数50、PPP——购买力平价法51、ROA——资产报酬率52、ROE——股东权益报酬率53、SDRs——特别提款权54、SEC——美国证券管理委员会55、SIV——结构性投资载体56、SPV——特殊目的载体57、SWFs——主权财富基金58、UBS——瑞银集团59、VC——风险投资60、WTO——国际贸易组织。
资产证券化
风险隔离
发起机构（原始权益人） 发起机构（原始权益人）的债务不与资产支持证券的资产及 其收益混同，从而使资产支持证券远离发起机构的破产风险。 其收益混同，从而使资产支持证券远离发起机构的破产风险。 在原始权益人破产时， 在原始权益人破产时，已证券化的资产不参加其破产清算 破产隔离； －破产隔离； 通过债权和所有权的转移， 通过债权和所有权的转移，使资产支持证券持有人对支持于 真实出售； 证券的资产有最终追索权 －真实出售； 实现的， 破产隔离是通过设立具有法律保障的特 目的载体实现的 破产隔离是通过设立具有法律保障的特定目的载体实现的， 这是区别于其他融资方式的重要特征。 这是区别于其他融资方式的重要特征。 目的载体的法律形式通常有特定目的信托（SPT） 的法律形式通常有特定目的信托 特定目的载体的法律形式通常有特定目的信托（SPT）, 特 定目的公司（SPC） 定目的公司（SPC）
17
第三部分 证券化法律框架和市场架构
18
发行主体的选择 特定目的公司(SPC)：在中国出台专门的SPC立法之前， 特定目的公司(SPC)：在中国出台专门的SPC立法之前， (SPC) SPC立法之前 难以按照现行《公司法》的规定， 难以按照现行《公司法》的规定，设立能够满足资产证 券化要求的SPC 难以依照《公司法》 SPC， 券化要求的SPC，难以依照《公司法》关于公司债的规 发行资产支持债券。 定，发行资产支持债券。 特定目的信托(SPT) (SPT)： 信托” 特定目的信托(SPT)：“信托”在中国现行法律下不是 法律主体，而只是委托人、受托人、 法律主体，而只是委托人、受托人、受益人所构建的法 律关系，以特定目的信托作为发行主体也存在法律障碍。 律关系，以特定目的信托作为发行主体也存在法律障碍。 受托机构：以受托机构作为发行主体， 受托机构：以受托机构作为发行主体，符合信托制度的 基本原理。在建行资产证券化试点方案中， 基本原理。在建行资产证券化试点方案中，由受托机构 作为发行主体， 作为发行主体，通过信托发行以特定目的信托项下信托 财产为偿付基础的信托受益凭证。 财产为偿付基础的信托受益凭证。
MBS与ABS
MBS与ABS据产生现金流的证券化资产的类型不同，资产证券化可分为住房抵押贷款证券化（mortgage-backed securitization，简称MBS）和资产支撑证券化（asset-backed securitization，简称ABS）两大类。
其区别在于：前者的基础资产是住房抵押贷款，而后者的基础资产则是除住房抵押贷款以外的其他资产。
MBS是资产证券化发展史上最早出现的证券化类型。
它是以住房抵押贷款这种信贷资产为基础，以借款人对贷款进行偿付所产生的现金流为支撑，通过金融市场发行证券（大多是债券）融资的过程。
一方面，MBS可以把银行等金融机构持有的流动性较低的长期住房抵押贷款转化为流动性较高的证券，这极大地改善了这些机构的资产流动性。
而且，如果MBS选择的是表外融资形式，就不会增加这些机构的负债率，还可以释放资本金。
因此，这种证券化产品很受金融机构的青睐。
另一方面，由于MBS的基础资产是违约率较低的抵押贷款，现金流量比较稳定且易于预测，因此市场投资者也很喜欢这种投资工具。
ABS是以非住房抵押贷款资产为支撑的证券化融资方式，它实际上是MBS技术在其他资产上的推广和应运。
由于证券化融资的基本条件之一是基础资产能够产生可预期的、稳定的现金流，除了住房抵押贷款外，还有很多资产也具有这种特征，因此它们也可以证券化。
随着证券化技术的不断发展和证券化市场的不断扩大，ABS的种类也日趋繁多，具体可以细分为以下品种：（1）汽车消费贷款、学生贷款证券化；（2）商用、农用、医用房产抵押贷款证券化；（3）信用卡应收款证券化；（4）贸易应收款证券化；（4）设备租赁费证券化；（5）基础设施收费证券化；（6）门票收入证券化；（7）俱乐部会费收入证券化；（8）保费收入证券化；（9）中小企业贷款支撑证券化；（10）知识产权证券化等等。
而且随着资产证券化技术的不断发展，证券化资产的范围在不断扩展。
今天我们所讲的“ABS”为“资产证券化”业务的简称(而非汽车的“防抱死系统”)。
《MBS与ABS》课件
ABS的风险
投资ABS面临的风险包括资产质量风险、清偿风险和流动性风险。
四、MBS与ABS的异同
相同点
MBS和ABS都是通过将资产转化为可交易证券来 筹集资金。
不同点
MBS以抵押贷款为支持，而ABS可以以多种资产 类型作为支持。
五、投资MBS和ABS的风险和机会
1 投资MBS和ABS的优势
稳定的现金流、多样化的资产组合和高流动性提供了投资机会。
《MBS与ABS》PPT课件
MBS与ABS是金融领域的两个重要概念。这个PPT课件将介绍它们的定义、特 点、发展历程、分类以及投资中的机会和风险。
一、介绍
MBS是什么？
MBS是抵押支持证券的简称，是以抵押贷款为基础的金融工具。
ABS是什么？
ABS是资产支持证券的简称，是以不同种类资产的现金流为支持的金融工具。
三、ABS
概念介绍
ABS是以不同种类资产的现金流为支持的金融 工具。
ABS的特点
ABS具有多样化的资产组合、分层级的优先级 和可变现金流特点。
ABS的发展历程
ABS在20世纪70年代得到广泛应用，并迅速发 展成为一个独立的资产类别。
ABS的分类
ABS可以根据资产类型进行分类，如汽车贷款 ABS和信用卡ABS。
2 投资MBS和ABS的风险
投资者需要考虑利率风险、信用风险和市场风险等各种风险。
六、结论
MBS和ABS的发展趋势
MBS和ABS在金融市场中的应用将会持续扩大。
投资MBS和ABS的建议
投资者应该仔细评估风险和回报，并制定适合自 己的投资策略。
七、参考文献
• Smith, J. (2019). Understanding Mortgage-Backed Securities. Wiley. • Johnson, P. (2020). The Essentials of Asset-Backed Securities. HarperCollins.
资产证券化(ABS)作为一种金融工具
资产证券化（ABS）作为一种金融工具我认为资产证券化（ABS）作为一个金融工具是中性的，因为，是否会给社会带来不稳定的系统风险，是金融机构时在使用时是否按照职业准则进行操作决定的，而非工具本身决定的。
好，我们正式讨论前，先来看下什么是资产证券化？一、什么是资产证券化1. 定义资产证券化（ABS）是将一组流动性差但预计能产生稳定现金流的资产进行分割和重组，转换为流动性和信用等级较高的金融产品的过程。
“蚂蚁花呗”、“京东白条”都是资产证券化的产品。
2. ABS、ABN、MBS的区别ABN/MBS的本质都是资产证券化，是在ABS的基础上的演变。
ABN(Asset Backed Medium-term Notes)，即非定向发行的资产支持票据，只是是非公开定向向投资募集资金，期限相对较短。
MBS(Mortgage Backed Securities)叫房屋抵押贷款支持证券，只是基础资产是住房或者商业地产的抵押贷款。
美国资产证券化市场7成以上是MBS产品。
2006年美国爆发的次贷危机爆发与MBS有着必然联系，主要就是华尔街的金融天才们把信用等级不好的房贷资产，通过增信和评级等手段包装成为信用良好的证券化产品卖给各个金融机构，之后通过再资产证券化的手段，不断的增加杠杆，最后爆发了2006年的全球经济危机。
二、资产证券化是一个好的金融工具吗什么是资产证券化我们了解完了。
我们接下来通过2个生活中的案例，蚂蚁花呗和现金贷来一起讨论下资产证券化作为金融工具，到底是好还是坏？案例1：蚂蚁花呗相信“蚂蚁花呗”几乎无人不知，“马爸爸”成为了我们全国人民的债主；“蚂蚁花呗”解决了无数剁手党的提前消费的痛点，那么我们一起思考下“马爸爸”为什么愿意替我们的消费买单呢？“马爸爸”哪里来的这么多钱呢？如果你对资产证券化（ABS）了解的话，也许你会觉得“马爸爸”很高明，即因为提前为我们的消费买单获得了我们的广泛认可，又赚取了高额的收益，可谓是名利双收啊。
ABS和MBS
ABS，Asset Backed Securmeation的缩写，意为“资产担保证券”。
其含义是指以项目所拥有的资产为融资基础，以项目资产带来的预期收益为保证，通过在资本市场发行债券来募集资金的一种项目融资方式，其本质就是资产证券化，其优势主要表现为以下几个方面。
融资成本：ABS整个运行过程中只涉及原始权益人、特别信托机构(SPV)、投资者、证券承销商等主体，共同按照市场经济规则运作，就减少了中间费用；同时由于ABS融资方式在国际高等级证券市场筹资，该市场信用等级高、债券安全性和流动性高、利息率较低，从而有效地降低了融资成本。
投资风险：ABS项目融资的对象是资本市场上数量众多的债券购买者，这就极大地分散了项目的投资风险，使每个投资者承担的风险减小；ABS方式隔断了项目原始权益人自身的风险和项目资产未来现金收入的风险，使其清偿债券本金的资金仅与项目资产的未来现金收入有关，并不受原始权益人破产等风险的牵连，即“破产隔离”。
资产结构：对原始权益人来讲，ABS融资方式出售的是项目的未来预期收益，直接发行证券的也不是原始权益人。
故通过这种方式可获得资金但又不增加负债，且这种负债也不会反映在原始权益人的资产负债表上；通过“信用增级”使项目的资产成为高质甚至优质资产，可以获得高级别的融资渠道，募集到更多的资金。
项目控制：采用ABS方式融资，在债券的发行期内项目的资产所有权虽然归SPV所有，但项目的资产运营和决策权依然归原始权益人所有，SPV 拥有项目资产的所有权只是为了实现“资产隔离”。
其特点有：①通过证券市场发行债券筹资；②分散投资风险；③负债部反映在原始权益人的资产及负债表上；④信用等级高，易于推销；⑤适合大规模筹资。
ABS融资方式有其不完善的地方，表现为：在利用ABS方式进行基础设施项目融资时，虽然政府可以保持对项目建设和运营的控制，但却不能把国外的大型投资和管理公司先进的技术和管理经验发挥到项目的建设运营中来，这样就影响了东道国获取国外先进技术和管理经验来提高本国的建设和运营能力；虽然ABS方式能够把融资的风险分散到各个投资者身上，融资不受项目发起人本身资产状况的影响，但和BOT相比，在保证项目建设的质量和进度、运营效果方面，ABS更多的取决于项目发起人的管理。
ABS,CDO,MBS三者的区别
什么是MBS，ABS和CDO1、单词Mortgage和Collateral、guarantee区别collateral:质押，多指流动资产类，最常见的是票据，如：存单、存折、国债等质押。
mortgage：抵押，指固定资产类，如：房产、机械设备等抵押。
guarantee担保，指信用担保，可以是第三方的信用，也可以是第三方的资产。
2.都是资产证券化产品华尔街有句名言“如果要增加未来的现金流,就把它做成证券。
如果想经营风险，就把它做成证券”。
从本质上来讲，MBS，ABS和CDO 都是资产证券化产品。
根据美国证券交易委员会（SEC）给出的定义，资产证券化，指产生这样一种证券，它们主要是由一个特定的应收款资产池或其他金融资产池来支持(backed)，保证偿付。
而这些资产证券化产品的价值P可以用下面公式来表示：其中，n为资产池中应收账款或其他金融资产的偿还年限。
不难看出，资产证券化产品的价值P受未来现金流量及市场利率r的影响，当利率r升高时，P会下降，当现金流量减少时，P也会下降，反之亦然。
MBS，即房地产抵押贷款支持证券（MortgageBackedSecurities），指发行人将房地产抵押贷款债权汇成一个资产池（AssetPool），然后以该资产池所产生的现金流为基础所发行的证券（主要是定期还本付息的债券）。
贷款所产生的现金流（包括本息偿还款、提前偿还款等）每个月由负责收取现金流的服务机构在扣除相关费用后，按比例分配给投资者。
因此，购房者定期缴纳的月供是偿付MBS本息的基础。
ABS，即资产支持证券（AssetBackedSecurities），是将房地产抵押贷款债权以外的资产汇成资产池发行的证券，它实际上是MBS技术在其他资产上的推广和应用。
CDO，即担保债务凭证（CollateralizedDebtObligation），是一种新型的ABS，指以抵押债务信用为基础，基于各种资产证券化技术，对债券、贷款等资产进行结构重组，重新分割投资回报和风险，以满足不同投资者需要的创新性衍生证券产品。
信贷资产证券化MBS和ABS
信贷资产证券化MBS和ABS 在金融领域，信贷资产证券化是一种重要的融资手段，其中 MBS （MortgageBacked Securities，住房抵押贷款支持证券）和 ABS （AssetBacked Securities，资产支持证券）是两种常见的类型。
它们在金融市场中发挥着重要作用，为资金的融通和资产的优化配置提供了有效的途径。
首先，让我们来了解一下 MBS。
MBS 是以住房抵押贷款为基础资产发行的证券。
想象一下，银行发放了大量的住房贷款，这些贷款会在未来的很多年里陆续收回本金和利息。
但银行不能一直等着这些钱慢慢回来，它需要资金去开展更多的业务。
这时候，MBS 就登场了。
银行把这些住房抵押贷款打包成一个资产池，然后将其未来能产生的现金流，也就是本金和利息，卖给投资者。
投资者购买了 MBS 后，就相当于拥有了未来收取这些本金和利息的权利。
MBS 的好处是多方面的。
对于银行来说，通过出售抵押贷款，能够快速回笼资金，提高资金的流动性，降低风险。
因为一旦把贷款卖出去，银行就不再承担这些贷款可能带来的违约风险。
对于投资者来说，MBS 提供了一种相对稳定的投资选择。
毕竟住房抵押贷款通常有房产作为抵押，违约风险相对较低，而且能够带来持续的现金流收入。
然而，MBS 也不是没有风险的。
比如，如果房地产市场出现大幅波动，房价下跌，导致借款人违约增加，那么 MBS 的价值就可能会受到影响。
另外，利率的变化也会对 MBS 的价值产生影响。
如果市场利率上升，MBS 相对较低的收益率可能就不再吸引人，其价格也可能会下跌。
接下来，我们再看看 ABS。
ABS 的基础资产范围比 MBS 广泛得多，可以包括汽车贷款、信用卡应收账款、企业贷款等等。
只要能够产生稳定现金流的资产，都可以作为 ABS 的基础资产。
与MBS 类似，ABS 的发行过程也是将基础资产打包成一个资产池，然后将未来的现金流证券化出售给投资者。
不同的是，由于 ABS 的基础资产种类繁多，其风险和收益特征也更加多样化。
次贷、MBS、ABS、CDO和CDS关系的一个实例
如果多头没有事先储备充分的准备金，那么，爆发流动性危机就不可避免2006年，新世纪金融把发放的4499笔次贷出售给花旗集团。
这其中有3466笔是通过房贷经纪商发放的。
对这些贷款，经纪商向借款人收取的服务费是平均每笔3756美元，相当于每笔贷款平均金额的1.81％。
此外，对3466笔中的1744笔房贷经纪商还收到了新世纪金融的利率溢价费，平均每笔2585美元。
所以，经纪商在很多贷款中是两头得利，获得的佣金合计为1752万多美元。
花旗把这些次贷卖给了下属的一个独立法律实体，以使这些房贷脱离花旗的资产负债表。
该实体通过发行MBS筹集资金来购买这些房贷，然后，该实体持有这些房贷并分层发行债券。
花旗实体所发行的MBS称为CMLTI 2006-NC2，它分为19层，每层投资者将获得不同的现金流优先权、不同的利率和还本安排。
多数层级都有评级机构给予的信用评级，而投资者主要依赖这些评级来做投资选择。
19层中的4层获得了标普和穆迪的AAA评级；其后11层是所谓夹心层（mezzanine）：AA级、A级和BBB级各3层、属于垃圾债券的BB级2层；最后4层是没有信用评级的股权层/残值层/第一损失层。
花旗集团和一只对冲基金各持有一半的股权层证券。
根据美国信用评级的惯例，AAA级以下的投资者因为获得了更高的收益率而有承担信用风险损失的心理准备，但AAA级投资者是没有损失预期的。
从MBS发行方来讲，由于AAA级债券的利率低，所以，一批MBS中的AAA级占比越高则利润越大。
在花旗实体发行的19层共计9.47亿美元MBS中，4层AAA级债券金额高达7.37亿美元，占比78％。
在当时属于正常水平。
新世纪金融所发放的4499笔房贷卖给花旗之前的初期资金有9.4亿美元是由8家银行和证券公司提供，融资方式是与这些机构签订为期两个月的回购协议：大摩4.24亿、巴克莱资本（Barclays Capital）2.21亿、美国银行1.47亿、贝尔斯登0.64亿、其余4家机构0.54亿。
关于MBS市场的基本知识
MBS = Mortgage-Backed Securities, and the universe of MBS is vast, it is however reserved by market participants to denote the pass-through mortgage bonds (agency pass-through and nonagency pass-through).CMBS = Commercial Mortgage-Backed Securities, which are trust certificates (bonds) backed by a pool of commercial mortgage loans. The certificates are tranched on the basis of prepayment and credit.CMO = Collateralized Mortgage-backed Obligations, which are pool of pass-through mortgage bonds tranched to reflect the degree of sensitivity to prepayment (particularly, agency CMO).ABS = Asset Backed Securities, for example home equity loans (HEL), credit cards, etc. These are securities backed by receivables [payments] that are either secured (HEL) or unsecured (credit card), tranched on the basis of prepayment and default risks.CDO = Collateralized Debt Obligation, for example, ABS CDO which consist of a portfolio of different ABS bonds, and the payments to the holders of these trust certificates are derived from the cash flows of the ABS bonds.CBO = Collateralized Bond Obligation, for example high yield [emerging market] CBO which consist of a portfolio of different high yield [emerging market] bonds.CLO = Collateralized [leveraged] Loan Obligation which consist of a portfolio of different leveraged loans.CDOs consist of two types of structures:Cash CDO - Made up of the standard debt obligationsSynthetic CDO - A synthesized portfolio of CDO/Bonds/ABS using Total Returns Swaps and CDSStructured Products are also originated in one of two ways:Balance Sheet CDO/CLO/CBO... - the reference assets for the SDO portfolio are taken from a company/firm's balance sheetArbitrage CDO/CLO/CBO... - the reference assets are bought by a firm or conduit or SPV (Special Purpose Vehicle) with a view to repackage them and sell them on as the structured product CDOs also come in two management styles:Static CDO - The reference assets are bought and then are kept untouched for the term of the productManaged CDO - The reference assets are bought (the portfolio is ramped up) and then the CDO manager would alter the portfolio as they see fitCFO = Collateralized Fund Obligation, much like a CDO, but the underlying pool are hedge fund shares or one or more funds of hedge funds.CEO = Collateralized Equity Obligation, the underlying pool consists of a portfolio of individual stocks, preferred stock, stock ETFs, indexes, or equity derivatives.Like the other CxO structures, these basically create a "holding company" balance sheet to provide a leveraged/OTM call option to the equity tranche, a high-rated debt claim to the AAA tranche, and mezzanine "call spread" like tranches for the bonds in between with nice portfolio characteristics.Asset Backed Securities (ABS) are securities for which the interest and principal are paid using cash flows derived from a portfolio of underlying assets. Portrayed in a diagram, on the one side are assets generating cash flows (generally receivables) and displaying a certain degree of homogeneity and on the other side are the securities:Selling of assets interest + principalundelying asstes <======================> issuer <=======================> ABS Payments ABS issue proceedsTo put it another way, the underlying assets are said to be securitized, i.e. converted into securities. Securitization enables assets that are not very liquid to be converted into negotiable securities. BesidesMortgage Backed Securities Basics[Part 1][Part 2][Part 3][Part 4] [Return to the blog]Deciphering the GreekNow that there are graphs and MBS prices posted periodically, we've received numerous questions about the significance of the data. This is intended to be a brief companion to the daily mortgage rate analysis that will "get you by" until we release more comprehensive literature on the topic. To some of you this will be old hat, but I'll start completely at the beginning so it is accessible even to the first timer. Keep in mind this will be brutally oversimplified due to the fact that a more detailed version will be released at a later date.What is MBS?Any time you see me write MBS in this blog, or anywhere else for that matter, I am always going to be referring to Mortgage Backed Securities. These are bonds that have a PRICE and a YIELD just like treasuries. The PRICE always refers to the cost of buying $100 of that particular bond. For instance, if the price of a bond is 101.00, then an investor would pay $101.00, and in exchange, would then own only $100.00 worth of that bond. So why pay more or less?In a word: YIELD. Yield is the rate of return paid on that bond over time. There are multiple different types of bonds, and each bond has a certain yield that it pays. You will sometimes hear me refer to yield as "coupon" or "issue." As you might guess, the higher the yield, the more the buyer will make over time, so the more the buyer is willing to pay. For instance, at the very moment this tutorial is being typed, a certain class of MBS (a bond) with a 5% yield costs $97.25. So for every $97.25 you spend, you get$100 dollars of bond, paying you back at a 5% rate of return. Another bond in the same class with a yield of 6.5% is currently costing $103.10. So you'd have to pay over the face value to get the $100 dollars to pay you back at 6.5%. So hopefully this illustrates as we move from coupon to coupon (i.e. 5% to 5.5% to 6.0% to 6.5%) that the cost of ownership will get higher, but so will the yield.Now it gets confusing because all this time I've been telling you that "as PRICE goes up, YIELD goes down." Well, it does, but only when we're talking about one coupon at a time. Talking about the full spectrum of coupon rates means that naturally the price will be higher when we're talking about higher yields. But that concept is not central to bond analysis. We are only ever interest in Price VS. Yield as it relates to supply and demand, and even if we are considering several coupon rates, we will only analyze one at a time.In this way, when price goes up, yield goes down. Why!? Because if the bond's coupon rate is 6.5% and the price drops from 103.10 to 102.10, now the investor that is buying it gets more for his money, plain and simple. So because his 1 million dollars now buys almost 1% MORE than it did at the higher price, the yield on that investment will be higher as well! If this doesn't click for you, please spend some time google searching bonds or try PIMCO's Bond Basics. I'm not saying this to be pedantic or derogatory, but rather because the concept requires immersion for some, and there is a definite learning curve that cannot be achieved simply by trying to digest my definitions. Moving on...Mortgage Backed Bonds and Securitization[Part 1][Part 2][Part 3][Part 4] [Return to the blog]So MBS's are bonds! Where do they come from?Grossly oversimplified and leaving out numerous items that are not germane to rate analysis, MBS are the bonds that mortgage loans are turned into when they are bought or sold. That's a tough one to grasp your first time around. I know it was for me.Basically, Big Bank will write a check for your mortgage, say it's $100,000. Big Bank A then has a promissory note saying that you will pay them a certain interest rate over time (sound familiar?). But Big Bank A needs some more money to lend other people... Where to get it? I know! They can sell your mortgage note to someone else in the form of a bond! Hopefully, that investor is willing to pay something like $102,000 for the right to collect interest on your $100,000 loan. Big Bank A just made $2000, and the investor has something that will hopefully pay them interest over time. Remember price vs. yield? The higher your interest rate, the more the investor would be willing to pay Big Bank A. That's YSP Baby! And if the investor is only going to pay $97,000 for the loan, that means Big Bank has to pay them adiscount to buy it, which was probably passed on to you on line 802 of the GFE! Now YSP starts to become clear I hope!But there's a big problem! The investor doesn't want all of their risk riding on one loan, so we have to find a way to spread out the risk. Because even if you only have a 3% chance of defaulting, in the event that you do, the investor would lose his hat. So to spread out the risk, Big Bank A combines your loan with 10's to hundreds of other similar loans with similar rates and similar credit quality.Then either by selling them directly to Fannie Mae and Freddie Mac or by utilizing Fannie and Freddies Protocols and doing it themselves, Big Bank A accomplished what is known as SECURITIZATION. Now the "pool" (collective of all the bundled loans which will now be in the millions of dollars) can be broken up into bond-sized chunks. Now instead of buying one loan for $100,000 dollars (give or take), and investor can buy a portion of 10's to hundred's of loans for the same amount of money, with the same rate of return, with the same risk of default. BUT NOW, if you apply the 3% rate of default, the investor only loses 3%! Brilliant! And it's a concept that has allowed a significantly larger amount of money to be available for home loans than ever before.Why do MBS's matter to mortgage rates?[Part 1][Part 2][Part 3][Part 4] [Return to the blog]We just said that investors are paying 102% of the face value of a bond in certain cases right? So what happens if they are not interested at that price any more? No more liquidity for the mortgage market. So how do you combat this? In a nutshell, the market forces of supply and demand take care of it. If demand for a bond is low when the price is 102.00, then the sellers of the bonds may lower the price to 101.50 to ENTICE investors to start buying again. And what did we already say would happen to the YIELD when the price got lower for a particular issue? It goes UP because the same money the investor was going to spend, now buys more shares. So their rate of return per dollar spent (yield) goes up.Those pricing adjustments from 102.00 to 101.50 should look familiar. They move in exactly the same proportion to YSP. Although Big Bank A has to pull profit off that for themselves, THE PRICES OF MBS ALWAYS MOVE IN DIRECT PROPORTION TO THE PRICES (YSP IF POSITIVE, DISCOUNT IF NEGATIVE) OF THE MORTGAGES FROM WHICH THEY ARE DERIVED.That is why we want to follow MBS instead of any other treasury or index in order to gauge the direction of the market. If investors are wanting to buy more MBS, then the prices are going to go up (Price vs. Demand function). Higher prices mean that Big Bank A makes more on a given coupon, which means they can originate a loan for your clients with either a slightly lower interest rate or a slightly higher YSP. Your choice!So that is the theme of any mortgage market analysis. We want to assess the movements of MBS prices (which change by the second), in conjunction with the macroeconomic climate, in order to determine which way they might be headed and what future events can have an impact.For instance, inflation data being negative hurts bonds because bonds return a fixed income. So if inflation has devalued the dollar over time, the bond is not really worth as much as when it first was purchased. So high inflation makes investors seek higher yields in order to get on that boat. Another popular correlation is that a booming economy draws money out of bonds and into more rapidly appreciating stocks. This causes bond owners to lower the price to entice buyers which raises mortgage rates. That is why, if you look at a historical chart of recessions and interest rates, you will almost always see recessions coincide with low rates.Beyond that, there's only a little more you need to know when reading my analysis.1. First of all, there are several coupon rates ranging from 4.5%-7.5%. Right now, we primarilytrack the 5.5% coupon and the 6.0% coupon as most of the trades are taking place in thatrange, giving us a higher sample size and thus more reliable data. We will always report on the bond coupons that are closest to PAR for this reason (par meaning a cost of 100.00).2. Bonds move in 32nds. So 101-32 would actually be 102-00. And 101-16 would actually be101.50 in decimal form. So when you see prices improve by 16/32nds, that means that at some point in the future, lenders have the ability to improve the YSP on rate sheets by .500. NOW, in this day and age, lenders are not quick to pass on a price improvement to its full effect. Theywant to see the market hold its gains for a bit. However, if the market worsens, they will hedgetheir positions by taking even more away from you than they have lost on price. This is justsmart business, and it's a balancing act between lenders to see who reprices and by how much.I will often times refer to 32nds as TICKS. So if I say "we're down 6 ticks on the 5.5," that wouldmean that the 5.5% coupon MBS has declined in price by 6/32nds from yesterday's close. Lotless typing my way!3. Tight or Wide. Bond investors have a choice between MBS and other types of bonds. Thebenchmark competitor is the US 10 year treasury. MBS price relative to treasury price isimportant because even if mortgage prices go up on the day, if treasury prices go up a wholelot more, the MBS will still be the better investment all other things being equal. Because thereis a significantly higher amount of risk in MBS than in treasuries, the MBS prices will ALWAYSbe lower than treasury prices for a similar coupon amount. So when prices rise on MBS and"close the gap" on treasuries, we say "MBS are trading tighter." You might also hear "tighter to the curve," meaning the yield curve. Wide is simply the opposite.4. Graphs. Hopefully the graphs I've been posting make much more sense now. They are simplytracking the curve of the price of a particular coupon throughout the day. As the curve getshigher, rates have the potential to go lower and vice versa. There is a school of thought known as "technical analysis," which some think is crazy voodoo, while others think it is gospel.Basically, technical analysis throws all economical analysis out the window and simply focuses on the numbers, what they have done in the past, their propensity to "obey" certain trends, their resistance to certain price floors or ceilings, etc... I am a fence-sitter when it comesto Technicals. I will comment on them, but always keep in mind that technical analysis mustbe considered in conjunction with the rapidly changing economic climate.So for instance, if I say "there is a price floor today that has been established at 99-16," thatmeans that bond prices have resisted going below the horizontal line on the graph at the 99-16 mark. If bonds then were to break through that floor and go lower, it could indicate a potentialincrease in pressure to sell, which would hurt rates. Hope that makes sense.Some Final Thoughts[Part 1][Part 2][Part 3][Part 4] [Return to the blog]A couple final thoughts...Lenders release rates at different times. They have different mentalities when it comes to pricing. I comment on MBS, not on particular lenders. What your lender does can vary greatly from what is available them on MBS markets, especially if they are overworked or underfunded.Other services may tell you what you want to hear and some may take pride in their strong stance on lock recommendations. The bad news for you and them is that lock recommendations can only ever be accurate enough to help you if you are talking about a VERY short time horizon. So I will present you with the raw data, give you my personal analysis of it, present you with the potential outcomes from impending data, and suggest that you apply your own lens to the facts. The exception is that we are all pretty accurate when it comes to reprice alerts. Just make sure to keep track of who gets em to you quickest and cheapest.If you've read this far, it means you are more dedicated to understanding the mortgage market than 90% of your peers. It is very rewarding when a client chooses you because of your understanding of the subject. It is even more rewarding when you see a .500 YSP reprice 30 minutes before it hits on a $400,000 loan! So if you're not in the boat already, I invite you to come track the mortgage market with me, learn from the data, share your thoughts about how what I am doing can be improved, and we can both continue to improve together by delivering a higher level of quality to our readers. Thanks!Mortgage-backed securityA mortgage-backed security (MBS) is an asset-backed security or debt obligation thatrepresents a claim on the cash flows from mortgage loans through a process knownas securitization.Contents[hide]∙ 1 Overview∙ 2 Historyo 2.1 Backgroundo 2.2 Securitization∙ 3 Typeso 3.1 Covered bonds∙ 4 Market size and liquidity∙ 5 Structure and featureso 5.1 Weighted-average maturityo 5.2 Weighted-average coupono 5.3 Why and where we use WAM and WAC∙ 6 Uses∙7 Pricingo7.1 Theoretical pricing▪7.1.1 Interest rate risk and prepayment risk▪7.1.2 Credit risko7.2 Real-world pricing∙8 See also∙9 References∙10 External links[edit]OverviewFirst, mortgage loans are purchased from banks, mortgage companies, and other originators.Then, these loans are assembled into pools. This is done by governmentagencies, government-sponsored enterprises, and private entities, which may offer features to mitigate the risk of default associated with these mortgages. These securities are usually sold as bonds, but financial innovation has created a variety of securities that derive their ultimate value from mortgage pools.In the United States, most MBS's are issued by the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac), U.S. government-sponsored enterprises. Ginnie Mae, backed by the full faith and credit of the U.S. government, guarantees that investors receive timely payments. Fannie Mae and Freddie Mac also provide certain guarantees and, while not backed by the full faith and credit of the U.S. government, have special authority to borrow from the U.S. Treasury. Some private institutions, such as brokerage firms, banks, and homebuilders, also securitize mortgages, known as "private-label" mortgage securities. Today, all three organizations actively repackage and sell mortgages as pass-throughs. Ginnie Mae guarantees timely payment of principal and interest on its pass-throughs. Fannie Mae and Freddie Mac guarantee payment of principal and interest.[1][2]Residential mortgages in the United States have the option to pay more than the required monthly payment (curtailment) or to pay off the loan in its entirety (prepayment). Because curtailment and prepayment affect the remaining loan principal, the monthly cash flow of an MBS is not known in advance, and therefore presents an additional risk to MBS investors. Commercial mortgage-backed securities (CMBS) are secured by commercial and multifamily properties (such as apartment buildings, retail or office properties, hotels, schools, industrial properties and other commercial sites). The properties of these loans vary, with longer-term loans (5 years or longer) often being at fixed interest rates and having restrictions on prepayment, while shorter-term loans (1–3 years) are usually at variable rates and freely pre-payable.[edit]History[edit]BackgroundAfter the Great Depression, the federal government of the United States created the Federal Housing Administration (FHA) in the National Housing Act of 1934 to assist in the construction, acquirement, and/or rehabilitation of residential properties.[3] The FHA helped develop and standardize the fixed rate mortgage that is prevalent today as an alternative to the only other mortgage at the time, the balloon payment mortgage, and helped the mortgage design garner investors by insuring them.[4]In 1938, the government also created the government-sponsored corporation Federal National Mortgage Association (FNMA), colloquially known as Fannie Mae, to create a liquid secondary market in these mortgages and thereby free the loan originators to originate more loans, primarily by buying FHA-insured mortgages.[5] In 1968 Fannie Mae was split into the current Fannie Mae and the Government National Mortgage Association (GNMA), colloquially known as Ginnie Mae, to support the FHA-insured mortgages, as well as Veterans Administration (VA) and Farmers Home Administration (FmHA) insured mortgages, with thefull faith and credit of the United States government.[6] In 1970, the federal government authorized Fannie Mae to purchase private mortgages, i.e. those not insured by the FHA, VA, or FmHA, and created the Federal Home Loan Mortgage Corporation (FHLMC), colloquially known as Freddie Mac, to do much the same thing as Fannie Mae.[6] Ginnie Mae does not invest in private mortgages.[edit]SecuritizationGinnie Mae guarenteed the first mortgage passthrough security of an approved lender in 1968.[7] In 1971 Freddie Mac issued its first mortgage passthrough, called a participation certificate, composed primarily of private mortgages.[7] In 1981 Fannie Mae issue its first mortgage passthrough and called it a mortgage-backed security.[8] In 1983 Freddie Mac issued the first collateralized mortgage obligation.[9]In 1960 the government enacted the Real Estate Investment Trust Act of 1960 to allow the creation of the real estate investment trust (REIT) to encourage real estate investment. In 1977 Bank of America issued the first private label passthrough,[10] and in 1984 the government passed the Secondary Mortgage Market Enhancement Act (SMMEA) to improve the marketability of such securities.[10] The Tax Reform Act of 1986 allowed the creation of the tax-free Real Estate Mortgage Investment Conduit (REMIC) special purpose vehicle for the express purpose of issuing passthroughs.[11] The Small Business Job Protection Act of1996 introduced the Financial Asset Securitization Investment Trust (FASIT) that is similar to the REMIC but is able to securitize a wider array of assets.[edit]TypesMost bonds backed by mortgages are classified as an MBS. This can be confusing, because some securities derived from MBS are also called MBS(s). To distinguish the basic MBS bond from other mortgage-backed instruments the qualifier pass-through is used, in the same way that "vanilla" designates an option with no special features.Mortgage-backed security sub-types include:▪Pass-through mortgage-backed security is the simplest MBS, as described in the sections above. Essentially, a securitization of the mortgage payments to the mortgage originators. These can be subdivided into:▪Residential mortgage-backed security (RMBS) - a pass-through MBS backed by mortgages on residential property▪Commercial mortgage-backed security (CMBS) - a pass-through MBS backed by mortgages on commercial property▪Collateralized mortgage obligation (CMO) - a more complex MBS in which the mortgages are ordered into tranches by some quality (such as repayment time), witheach tranche sold as a separate security.[12]▪Stripped mortgage-backed securities (SMBS): Each mortgage payment is partly used to pay down the loan's principal and partly used to pay the interest on it. These two components can be separated to create SMBS's, of which there are two subtypes:▪Interest-only stripped mortgage-backed securities (IO) - a bond with cash flows backed by the interest component of property owner's mortgage payments.▪Net interest margin securities (NIMS) - resecuritized residual interest of a mortgage-backed security[13]▪Principal-only stripped mortgage-backed securities (PO) - a bond with cash flows backed by the principal repayment component of property owner'smortgage payments.Varieties of underlying mortgages in the pool:▪Prime: conforming mortgages: prime borrowers, full documentation (such as verification of income and assets), strong credit scores, etc.▪Alt-A: an ill-defined category, generally prime borrowers but non-conforming in some way, often lower documentation (or in some other way: vacation home, etc.) (Article on Alt-A)▪Subprime: weaker credit scores, no verification of income or assets, etc.There are also jumbo mortgages, when the size is bigger than the "conforming loan amount" as set by Fannie Mae.These types are not limited to Mortgage Backed Securities. Bonds backed by mortgages, but are not MBS can also have these subtypes.[edit]Covered bondsIn Europe there exists a type of asset-backed bond called a "covered bond" (commonly known by the German term Pfandbriefe). Pfandbriefe were first created in 19thcentury Germany when Frankfurter Hypo began issuing mortgage covered bonds. The market has been regulated since the creation of a law governing the securities in Germany in 1900. The key difference between Pfandbriefe and mortgage-backed or asset-backed securities is that banks that make loans and package them into Pfandbriefe keep those loans on their books. This means that when a company with mortgage assets on its books issue the covered bond its balance sheet grows, which it wouldn't do if it issued an MBS, although it may still guarantee the securities payments.[citation needed][edit]Market size and liquidityThere is about $14.2 trillion in total U.S. mortgage debt outstanding.[14] There are about $8.9 trillion in total U.S. mortgage-related securities.[15] The volume of pooled mortgages stands at about $7.5 trillion.[citation needed] About $5 trillion of that is securitized or guaranteedby government sponsored enterprises (GSEs) or government agencies, the remaining $2.5 trillion pooled by private mortgage conduits.[14] Mortgage backed securities can be considered to have been in the tens of trillions, if Credit Default Swaps are taken into account.[citation needed] According to the Bond Market Association, gross U.S. issuance of agency MBS was:▪2005: USD 0.967 trillion▪2004: USD 1.019 trillion▪2003: USD 2.131 trillion▪2002: USD 1.444 trillion▪2001: USD 1.093 trillion[edit]Structure and features[edit]The weighted-average maturity (WAM) of an MBS is the average of the maturities of the mortgages in the pool, weighted by their balances at the issue of the MBS. Note that this is an average across mortgages, as distinct from concepts such as weighted-averagelife and duration, which are averages across payments of a single loan.To illustrate the concept of WAM, let's consider a mortgage pool with just three mortgage loans that have the below mentioned outstanding mortgage balances, mortgage rates, and months remaining to maturity.LoanOutstandingMortgage BalanceMortgageRateRemaining Months toMaturityEach Loan'sWeightingLoan1$200,000 6.00%30022.22%Loan2$400,000 6.25%26044.44%Loan3$300,000 6.50%28033.33%The weightings are computed by dividing each outstanding loan amount by total amount outstanding in the mortgage pool (i.e., $900,000). These amounts are the outstanding amounts at the issuance/initiation of the MBS. Now, the WAM for the above mortgage pool that consists of three loans is computed as follows:WAM = 22.22% (300) + 44.44% (260) + 33.33% (280)= 66.67 + 115.56 + 93.33= 275.56 Months or 276 months after rounding [edit]Weighted-average couponThe weighted average coupon (WAC) of an MBS is the average of the coupons of the mortgages in the pool, weighted by their original balances at the issuance of the MBS. For the above example this is:WAC = 22.22% (6.00) + 44.44% (6.25) + 33.33% (6.50)= 1.333 + 2.778 + 2.167= 6.28% after rounding[edit]Why and where we use WAM and WACWAM and WAC are used for describing a mortgage passthrough security, and they form the basis for the computation of cash flows from that mortgage passthrough. Just as we describe a bond by saying 30 year bond with 6% coupon, we describe a mortgage passthrough by。
常见英文金融术语 及简介
类别 品种
超短期融资券 短期融资券 交易商协会 （人民银 非公开定向债务 行）主管的 融资工具（定向 债务融资工 工具） 具 资产支持票据 中期票据
英文 简称
SCP CP MTN PPN
英文全称
Super&Short-term Commercial Paper Commercial Paper Mediunt Note
抵押担保债券
CMO
Collateralized Mortgage Obligation
复杂资产证 券化产品
担保债务权证 或 抵押债务凭证
CDO
Collateralized Debt Obligations
担保贷款权证（ Collateralized Loan Obligations， CLO）、 担保债券权证（ Collateralized Bond Obligations， CBO）、 担保保险权证（ Collateralized Insurance Obligations， CIO）、 结构性金融担保债务权证（ Structured Finance Collateralized Debt Obligations ， SFCDO）、 CDO 的平方或立方等。 CLO 的基础资产是高收益贷款（杠杆贷款），杠杆贷款一般是对冲基金或私募股 权基金的常用融资手法，经常被用于杠杆收购（ Leveraged Buy-Out， LBO）。 CBO 的基础资产是企业债券。 CIO 的基础资产是保险或再保险合同。 SFCDO 的基础资产是结构性金融产品，例如 MBS 和资产支持证券（ AssetBacked Securities， ABS）等。 CDO平方或立方的基础资产是已经发行的 CDO 证券。
信用违约掉期 或 信用违约互换 信用衍生工 具
信贷资产证券化MBS和ABS
“建行”和“国开行”资产证券 化案例解析
精品课件
思路导航：说明的问题
❖ 两条思路：其一，说明资产证券化的不同经济 问题；其二，进行MBS和ABS对比
❖ 第一，资产证券化交易概述：MBS和ABS对比 ❖ 第二，资产证券化的经济动因：MBS和ABS对比 ❖ 第三，资产证券化的交易流程：MBS和ABS对比 ❖ 第四：资产证券化的原理：MBS和ABS对比 ❖ 第五：资产证券化产品的风险收益分析 ❖ 第六：资产证券化的未来走势
精品课件
资产证券化交易概述
❖ “建行”的资产证券化交易概述： MBS
❖ “国开行”资产证券化交易概述：ABS
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❖ 发起机构：国家开发银行 ❖ 发行人：中诚信托投资有限责任公司 ❖ 证券名称：2005年第一期开元信贷资产支持证
券 ❖ 分档：本期证券分为三档，分别为优先A档、优
先B档和次级档证券 ❖ 发行总量：优先A档29.24089亿元 优先B档
转付证券 ：用于偿付证券本息的资金是来源于经过了重新安排的基础资产 产生的现金流。它与过手证券最大的区别在于：前者根据投资者对风险、收益 和期限等的不同偏好对基础资产产生的现金流进行了重新安排和分配，使本金 与利息的偿付机制发生了变化。 精品课件
思路
第一部分 资产证券化的基本理论
第二部分 资产证券化的几个核心问题
律师事务所会计师事务所评级机构等全国银行间债券市场交易主体和中介机构发起机构中国建设银行受托机构和发行人中信信托投资有限责任公司安排人中国建设银行财务顾问渣打银行联合簿记管理人中国建设银行中国国际金融公司贷款服务机构中国建设银行资金保管机构中国工商银行交易管理机构汇丰银行登记及支付代理机构中央国债登记结算有限公司评级公司穆迪亚太投资者服务公司中诚信国际信用评级公司律师事务所金杜律师事务所富而德国际律师事务所会计顾问德勤会计师事务所税务顾问和独立审计师毕马威会计师事务所交易参与方的主要职责发起机构建立贷款库作为委托人设立信托制定与贷款入库转让资产回购等相关的内部规章制度参与撰写交易法律文件和发行说明书提供与入库贷款相关的资料和数据接受其他交易机构的尽职调查资产审慎调查评级调查等交易参与方的主要职责贷款服务机构制定与入库贷款管理和服务相关的内部规章制度进行入库贷款管理和服务定期向资金保管机构汇划入库贷款回收款并向受托机构提供服务机构报告交易参与方的主要职责受托机构接受信托财产作为受托人设立信托发行资产支持证券设立信托专用资金账户委托交易管理机构向资金保管机构下达信托账户支付指令委托登记结算机构向证券持有人兑付证券本代表证券持有人的利益监督交易参与机构的契约履行情况信托终止时进行信托财产的清算和处置交易参与方的主要职责资金保管机构接受受托机构委托设立信托账户信托存续期间保管信托资金定期向受托机构提供资金保管报告交易参与方的主要职责交易管理机构信托存续期间按照交易文件约定规则计算每期应缴纳的税收中介费用和各档次资产支持证券的本息向资金保管机构发送资金支付指令定期向受托机构提供交易管理机构报告交易参与方的主要职责安排人组织制定证券化试点方案设计交易结构设计资产支持证券开发证券化业务模型组织撰写交易法律文件和发行说明书选聘交易参与机构安排证券化试点项目尽职调查资产审慎调查评级调查综合协调证券评级会计处理税务处理法律等相关事务交易参与方的主要职责联合簿记管理人组织进行证券发行前的预路演和路演接受购买资产支持证券的要约进行证券配售协助安排证券发行后的上市交易交易参与方的主要职责中介机构参与设计交易结构撰写交易法律文件和发行说明书出具法律意见书对发起机构证券化贷款能否终止确认出具会计处理意见书出具税务处理意见书对入库贷款进行资产审慎调查交易持续期内持续审计安排分析贷款历史数据对交易进行不同经济状态的压力测试模拟交易持续期内对证券的
你知道不良资产是怎么被打包卖给你嘛？
你知道不良资产是怎么被打包卖给你嘛？一、什么是不良资产？不良贷款（Non-Performing Loan）指借款人出现违约的问题贷款，通指借款人拖延还本付息达三个月之久，这样的贷款即被确认为不良贷款。
根据我国现行的贷款五级分类制度，贷款被分为“正常”、“关注”、“次级”、“可疑”、“损失”。
其中，后三类被归为不良贷款。
二、怎么处理不良资产？-资产证券化不良资产证券化（NPAS, Non-performing asset securitization），就是以不良资产（主要是不良贷款）所产生的现金流作为偿付基础，发行资产支持证券的业务过程。
不良资产证券化包括不良贷款（NPL）、准履约贷款（SPL）、重组贷款、不良债券和抵债资产的证券化，其中不良贷款证券化占据主导地位。
不良资产证券化的基本模式NPAS常用的基本交易结构有三种：商用房产抵押贷款支持证券结构（CMBS结构）、抵押贷款债务证券结构（CDO结构）和清算信托结构（LT结构）。
三、重点说说应用广泛的CMBS结构何谓CMBS？为更好理解CMBS，先介绍一下美国的资产证券化产品。
按底层基础资产，美国资产证券化产品可分为地产抵押贷款支持证券(MBS, mortgage- backed securities)和资产支持证券(ABS, Asset-backed securities)两大类。
MBS又可分为住宅抵押贷款支持证券(RMBS)和商业地产抵押贷款支持证券(CMBS)及其衍生证券(CMO)；ABS则包括以汽车贷款、信用卡贷款、学生贷款等为基础资产的ABS及担保债务凭证（CDO）。
CDO主要是以公司债、杠杆化银行贷款为基础资产的衍生证券，包括债券抵押债券(CBO)和贷款抵押债券(CLO)。
电影华尔街之狼里解释的还是很好的：MBS分为RMBS(住宅房贷)和CMBS(商业房贷)，就是把不同贷款成捆打包然后分摊风险。
比如说100个房贷你如果你一共只有一个，那一个正好还赶上破产了，那你的损失就是100%；但如果买了MBS100个房贷你的损失就是1%。
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什么是MBS，ABS和CDO
1、单词Mortgage和Collateral、guarantee区别
collateral:质押，多指流动资产类，最常见的是票据，如：存单、存折、国债等质押。
mortgage：抵押，指固定资产类，如：房产、机械设备等抵押。
guarantee担保，指信用担保，可以是第三方的信用，也可以是第三方的资产。
2.都是资产证券化产品
华尔街有句名言“如果要增加未来的现金流,就把它做成证券。
如果想经营风险，就把它做成证券”。
从本质上来讲，MBS，ABS和CDO 都是资产证券化产品。
根据美国证券交易委员会（SEC）给出的定义，资产证券化，指产生这样一种证券，它们主要是由一个特定的应收款资产池或其他金融资产池来支持(backed)，保证偿付。
而这些资产证券化产品的价值P可以用下面公式来表示：
其中，n为资产池中应收账款或其他金融资产的偿还年限。
不难看出，资产证券化产品的价值P受未来现金流量及市场利率r的影响，当利率r升高时，P会下降，当现金流量减少时，P也会下降，反之亦然。
MBS，即房地产抵押贷款支持证券（MortgageBackedSecurities），指发行人将房地产抵押贷款债权汇成一个资产池（AssetPool），然后以该资产池所产生的现金流为基础所发行的证券（主要是定期还本付息的债券）。
贷款所产生的现金流（包括本息偿还款、提前偿还款等）每个月由负责收取现金流的服务机构在扣除相关费用后，按比例分配
给投资者。
因此，购房者定期缴纳的月供是偿付MBS本息的基础。
ABS，即资产支持证券（AssetBackedSecurities），是将房地产抵押贷款债权以外的资产汇成资产池发行的证券，它实际上是MBS技术在其他资产上的推广和应用。
CDO，即担保债务凭证（CollateralizedDebtObligation），是一种新型的ABS，指以抵押债务信用为基础，基于各种资产证券化技术，对债券、贷款等资产进行结构重组，重新分割投资回报和风险，以满足不同投资者需要的创新性衍生证券产品。
CDO的核心设计理念是分级，即在同一个抵押贷款资产池上开发出信用风险不同的各级产品：
★优先级(SeniorTranches)
★中间级(MezzanineTranches)
★股权级(EquityTranches)
各级产品偿还顺序由先到后为优先级、中间级和股权级，即一旦抵押贷款出现违约等造成损失，损失将首先由股权级吸收，然后是中间级，最后是优先级。
其中，优先级CDO的购买方包括商业银行、保险公司、共同基金、养老基金等风险偏好程度较低的机构投资者；中间级和股权级CDO的购买者主要是投资银行和对冲基金等追求高风险高收益的机构投资者——这也是本次危机中最先倒下的一类机构投资者。
3.三者的区别
ABS，MBS和CDO的关系如图1-1所示，三者的区别主要体现在如下
三个方面。
如图1-1
首先，三者的标的资产（即资产池内的资产）不同：
（1）MBS的资产池是房产抵押贷款债权
（2）ABS（狭义）的资产池是房产抵押贷款以外的债权，如：★信用卡应收账款
★租赁租金
★汽车贷款债权等
（3）CDO的资产池主要是一些债务工具，如：
★高收益的债券（HighYieldBonds）
★新兴市场公司债券（EmergingMarketCorporateDebt）
★国家债券（SovereignDebt）
★银行贷款（BankLoans）
★狭义的ABS
★MBS等
其次，债务人数量不同：
（1）MBS或传统的ABS的债权人至少有上千个以上
（2）CDO的债权人约为100~200个左右，甚至少于100个的也常见最后，标的资产的相关性要求不同：
（1）传统MBS或ABS的资产讲究一致性（Homogeneous），其债权性质、到期日皆为相似，甚至希望源自同一个创始者，以对现金流量的形态适度地掌握
（2）CDO的各个债权要求相异性（Heterogeneous)，来源不能相同，同时彼此间的相关性愈小愈好，以达到充分分散风险的要求说明：ABS指资产支持证券；狭义的ABS不包括CDO；CDO指担保债务凭证；MBS指房地产抵押货款支持证券；CMBS指商业地产抵押贷款支持证券；RMBS指住宅地产抵押贷款支持证券。
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ABS ：资产支持证券（也叫资产担保证券或资产支撑证券，英文：Asset-backed security）由银行、信用卡公司或者其他信用提供者的贷款协议或者应收帐款作为担保基础发行的债券或票据；它与抵押有所不同。
ABS是以非住房抵押贷款资产为支撑的证券化融资方式，它实际
上是MBS技术在其他资产上的推广和应运。
由于证券化融资的基本条件之一是基础资产能够产生可预期的、稳定的现金流，除了住房抵押贷款外，还有很多资产也具有这种特征，因此它们也可以证券化。
随着证券化技术的不断发展和证券化市场的不断扩大，ABS的种类也日趋繁多，具体可以细分为以下品种：
（1）汽车消费贷款、学生贷款证券化；
（2）商用、农用、医用房产抵押贷款证券化；
（3）信用卡应收款证券化；
（4）贸易应收款证券化；
（4）设备租赁费证券化；
（5）基础设施收费证券化；
（6）门票收入证券化；
（7）俱乐部会费收入证券化；
（8）保费收入证券化；
（9）中小企业贷款支撑证券化；
（10）知识产权证券化等等。
而且随着资产证券化技术的不断发展，证券化资产的范围在不断扩展。
担保债务凭证(Collateralized Debt Obligation，简称CDO)，资产证券化家族中重要的组成部分。
它的标的资产通常是信贷资产或债券。
这也就衍生出了它按资产分类的重要的两个分支：CLO(Collateralised Loan Obligation)和CBO(Collateralised Bond
Obligation)。
前者指的是信贷资产的证券化，后者指的是市场流通债券的再证券化。
但是它们都统称为CDO。
担保债务凭证(Collateralized Debt Obligation, CDO)是一种固定收益证券，现金流量之可预测性较高，不仅提供投资人多元的投资管道以及增加投资收益，更强化了金融机构之资金运用效率，移转不确定风险。
凡具有现金流量的资产，都可以作为证券化的标的。
通常创始银行将拥有现金流量的资产汇集群组，然后作资产包装及分割，转给特殊目的公司（SPV），以私募或公开发行方式卖出固定收益证券或受益凭证。
CDO背后的为一些债务工具，如高收益的债券、新兴市场公司债或国家债券、银行贷款或其它次顺位证券。
传统的ABS 其资产池可能为信用卡应收帐款、现金卡应收帐款、租赁租金、汽车贷款债权等，而CDO背后的支撑则是一些债务工具，如高收益的债券( high - yield bonds)、新兴市场公司债或国家债券(Emerging Market Corporate Debt、Sovereign)，亦可包含传统的ABS（Assets Backed Securities）、住宅抵押贷款证券化(Residential Mortgage-Backed Securities, RMBS)及商用不动产抵押贷款证券化( Commercial Mortgage-Backed Securities, CMBS)等资产证券化商品。