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說念金說易參流六論立見說臨律益易理 FASB140 理 QSPE 說論見易異

念

行行金不行金金

若金不來說論金金流量流 1 說金不不論列

1參律金 2001年5

3-1 類

asset securitization 金金益流 pooling asset partitioning 離行金了降度 credit enhancement 不 2 了離行行 structured finance 3

了離易金益益降流金流量 4 離易降流

行兩類不 Mortgage-Backed Securities, MBS

2參李理論 2002年8 4

3參金金理論 2003年2 2-4

4參見金例

Asset-Backed Securities, ABS 5 車不益 6 兩異不不兩 7

易 U.S Securities and Exchange Commission, SEC 2004年5 行露度 Proposed Rule 金金不論利益利金流量 8 露來金流量金都

91 年 07 24 金例行立例行益金行行金理行金念金行金離宅來金流量易例類利率

5 利兩狀

6參 255 4

7 易 SEC 見參 Federal Register, V ol.69, No 93, May 13, 2004, at 26654. https://www.wendangku.net/doc/d1690113.html,/rules/proposed/33-8419.pdf 2004/7/24 8 ‘‘a security that is primarily serviced by the cash flows of a discrete pool of receivables or other financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period, plus any rights or other assets designed to assure the servicing or timely distributions of proceeds to the securityholders; provided that in the case of financial assets that are leases, those assets may convert to cash partially by the cash proceeds from the disposition of the physical property underlying such leases. 參 Federal Register, at 26656.

宅理金金不立 Government sponsored entities, GSEs 聯 (Federal National Mortgage Association, FNMA Fannie Mae) 聯 (Federal Home Loan Mortgage Corporation, FHLMC Freddie Mac) (Government National Mortgage Association, GNMA Ginnie Mae) 宅流金金行 10 Fannie Mae 立聯宅 Federal Housing Administration, FHA 宅 mortgages 1968年 Fannie Mae Ginnie Mae兩 Fannie Mae 更 Freddie Mac 聯金 Fannie Mae Freddie Mac 紐易行 Ginnie Mae 不聯 MBS 11 1970年金行 1970年 Ginnie Mae 聯宅 Federal Housing Administration, FHA Veterans Administration, VA 宅 single-family mortgage loans GNMA pass-through 12 Freddie Mac 1971年行參 Mortgage-Backed Participation Certificates 1981年Fannie Mae 行

9 行金理

https://www.wendangku.net/doc/d1690113.html,.tw/modules/basection/article.php?articleid=204 2004/9/1

10參 SEC, Staff Report: Enhancing Disclosure in the Mortgage-Backed Securities Markets, January 2003, https://www.wendangku.net/doc/d1690113.html,/news/studies/mortgagebacked.htm 2004/7/10

11參 SEC, Staff Report.

12參 Christine A. Pavel, Securitization: The Analysis and Development of the Loan-Based

/Asset-Backed Securities Markets, Probus Publishing, 1989, at 3.

了 GSEs MBS guarantee 不 Fannie Mae Freddie Mac不行MBS MBS Ginnie Mae 行 Fannie Mae Freddie Mac 行 MBS Ginnie Mae Fannie Mae Freddie Mac Fannie Mae Freddie Mac 律 14 行金 15

1980年復更 Freddie Mac 行 Collateralized Mortgage Obligation, CMO 不 16

不金金 1985年3 Sperry 年5 車 1987年 1980年不良 non-performing loans 17

聯不流 The Bond Market Association 2004年3 GSEs 行MBS 兩 CMO 18 ABS credit

13參 SEC, Staff Report.

14 不行聯兩 22.5

15參 SEC, Staff Report.

16參 255 8

17參 255 8-9

18 料來 The Bond Market Association https://www.wendangku.net/doc/d1690113.html,/story.asp?id=323

card 益 home equity CBO/CLO 車 automobile 流 19若 MAS ABS

了論 European Securitisation Forum 2003年行量年 38 歷 2,172 2004年行量年 44 623 年度行不流度來類若率律力 2003年率年更 52 20 金度律 21

類益益 David Bowie

19 料來 The Bond Market Association https://www.wendangku.net/doc/d1690113.html,/story.asp?id=84

2004/8/13

20參 2004年7 11 C1 金 21參 255 12

3-2 2004 Q1 ?

3-3 ABS 2004 Q1 ?

? 料來 The Bond Market Association, https://www.wendangku.net/doc/d1690113.html,/story.asp?id=323 2004/8/13

? 料來 The Bond Market Association, https://www.wendangku.net/doc/d1690113.html,/story.asp?id=84

3-4 ABS 類例 2004 Q1

參

若 22

1. 行

流

2. 行益來

3. 來說易不率

4. 益金流量狀益度

22若易來 1. selection criteria 行 2. true sale special purpose vehicle 3. 4. 狀離 --- 離 5. 利利 6. 理行 7.

8. 行參 John Henderson, Asset Securitization: current techniques and emerging market applications, Euromoney Publication, 1997, at 1-2.

5. 見金流量易行

6. 不不 23

不論行行行都臨力不索

non-recourse 臨來不

金都 AA AAA 利率聯 50 100 1 basic point 0.01 利率利率 24

行益立行率行歷料來行識若來行離行益利 25

23參論 1999年12 7

24參 276 9

25參 Appendix 5 - The Secondary Market Function, 41 IDEA 429,2002.

易

金來

了行行

receivables 不流行更易

率參 26

降金

易離不行行更金降金 27

若利利利利 spread 28 留益利益 29

26參 Lisa M. Fairfax, When You Wish upon a Star: Explaning the Cautious Growth of Royalty-Backed Securitization, 1999 Colum. Bus. L. Rev. 441, at 457.

27參 Lisa M. Fairfax, at 456.

28參 Timothy C. Leixner, United States: Securitization of Financial Assets, May 25, 2004, Mondaq, https://www.wendangku.net/doc/d1690113.html,/article.asp?articleid=26259&searchresults 2004/9/26 .

29參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, Euromoney publications, 1996, at 11.

利 service fee 30 行金利率來

理力

行 maturity matching revolving assets 31 32 行來說行金來若不來易行流不行流 33

見來金見來來 34

量

30參 255 16

31 revolving type 金流量來金度 amortizing schedule 金金金流量不行金流量參 255 2866

32參 John Henderson, at 7-8.

33參 255 15

34參 256 4-8～4-9

3-5 ?

六流

度 off-balance-sheet 金例降降率留

Risk-Based Capital, RBC 更率 35 降更利益率 Return on Equity, ROE 不流金流 36

?參林 -流金理金 2000年12 27

35參見行行率不參率行率行率行

36參 255 15

理力行金來 M A 金流量 37

數金理更金更益金若更數降易 transaction cost 參降臨 information cost 38 利率力參金不行路 39 利率更 hedging 金更 40

參

切 origination 易行不不行參力來金率力例力金不理更力便理 41

benchmark

37參 Lisa M. Fairfax, at 452-453.

38參 Claire A. Hill, Securitization: A Low-Cost Sweetener for Lemons, 74 Wash. U. l. Q. 1061, 1996, at 1086-1094, 1103-1104.

39參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, at 12.

40參 255 17

41參 John Henderson, at 9.

例行金 underwriting criteria 來理識勵不 42

率

降金行行利率 43 不拉 44

參

參參

Obligor

契金利行金流量來 45

Originator

receivable 行

42參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, at 6.

43參 276 135

44參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, at 7.

swap option 契來易參 John Henderson, at 50.

45參 255 22

seller 兩類 corporate 金 financial institution 46不類不類易例易 trade receivables 行車車行

理 47

Special Purpose Entity, SPE 行 Issuer 離行律行易

行不行立數行 48

Trustee

利益行 49 行易

46若 David Bonds 金流量利

47參 255 23 金理 19 金 1 金利 2 3 4 5 6 7 金金利理金金理金 2003年12 63

48參 John Henderson, at 12.

49參 Theodor Baums, Asset Securitization in Europe, FORUM internationale, No.20, May 1994, at 4.

都兩來金流量 50

行行利益 indenture trustee 51 行益 security interest 利益行利益 52

Credit Enhancers

易利來流利率良 53 行 54

六 Credit Rating Agency

度力易行不參 55 易參易易 servicing 流度 Moody’s S P Fitch 56

Underwriters/Placement Agents

行行識來狀 pricing 57

50參 Timothy C. Leixner.

51參 John Henderson, at 12.

52參 Diane Audino, Securitization:The Rating Agency Approach to Credit Risks, Euromoney , 1996, at 21.

53 裡良行行

54參 John Henderson, at 13.

55參 Teresa N. Kerr, Bowie Bonding in the Music Biz: Will Music Royalty Securitization Be the Key to the Gold for Music Industry Participants? , 7 UCLA Ent. L. Rev. 367, Spring 2000, at 377.

56參 Timothy C. Leixner.

57參 255 25

易易料行易 arranger 易行易 58

Servicer Backup Servicer

易理理益律索行金理錄切理數易 59

理力不來理力來 60

compatibility 力力良行 61

Investors

行金 pension funds 金金 corporate treasuries retail investors 62 略 ABS portfolio 量 credit quality legal maturity expected average life 利率 yield 6364

58參 John Henderson, at 14.

59參 Timothy C. Leixner.

60參 John Henderson, at 11.

61參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, at 26.

62參 John Henderson, at 15.

63參 John Henderson, at 15.

Professional Advisers

了易行參律 legal counsel 易行律律精律律理易類更 65若律易利 accounting advisers 來行易理行 due diligence auditing 66

64 參 John Henderson, at 15.

行

金金行

金

CP.

medium-term note 行 bank loan

notes

bonds

2年 2-5年 5-30年

65參 John Henderson, at 14.

66參 John Henderson, at 14.

3-1 易 ?

易易易

參

金行 SPE 金

律律易

易理

3-6 易

? 參 276 38

流

若易行來行若邏來流

行行

行來了易行 67

行易行行行類行來說行更不行易流行累行度降易都不行行 68

行度行

1. 行律行

2. 行 SPE 立益行

3. 易

4. 不令

5. 易

6. 契狀度

7. 理歷料力

8. 離行金流量力

10.

11. 狀

12. 行

67參 Zoe Shaw, Securitization: Introduction and the Issuer’s Perspective, at 30.

68參 John Henderson, at 16.