54. asset-backed securities
2016-11-23 03:51:01 0 举报AI智能生成
资产支持证券（Asset-Backed Securities，简称ABS）是一种金融工具，它将一组现金流来源（如贷款、租赁、应收账款等）打包成一个证券产品。这些现金流来源通常由一组相似的资产组成，例如信用卡债务、汽车贷款或抵押贷款。资产支持证券的发行人将资产出售给一个特殊目的实体（SPV），然后SPV将这些资产产生的现金流分配给投资者。这种结构使得原始资产与发行人的财务状况隔离，降低了信用风险。投资者可以根据资产的质量、预期现金流和期限来选择购买不同类型的资产支持证券。
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大纲/内容
benefits
reducing fund costs
increase the liquidity
Residential mortgage-backed securities (RMBS)
agency RMBS
issued by government agencies or government-sponsored enterprises
meet certain minimum credit quality standards
non-agency RMBS
issued by private companies and may be backed by non-conforming mortgages
include credit enhancement
risk
faster than expected is contraction risk
slower than expected is extension risk
Collateralized mortgage obligations (CMO)
依次结束tranche
first tranche has contraction risk
prepayment太快，没多少收益
last tranche has extension risk
prepayment太慢，期限被无限延长
planned amortization class (PAC)
设置一个initial PACband
support tanche
if PAC lower than band, support tranche get prepayment
if PAC higher than band, support tranche take extension risk
commercial mortgage-backed securities (CMBS)
prepayment protection includes loan-level call protection
Collateralized debt obligations (CDOs)
backed by corporate and market debt, leveraged bank loans, credit default swaps
formular
debt to service coverage ratio
net operation income / debt service
loan to value ratio
current mortgage amount / current appraised value
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