参考5-金融中介与

1、Asset-Backed Securities MarketsChapter 25Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall2Asset-Backed SecuritiesCredit card receivablesAutomobile loansHome equity loansManufactured-housing loansStudent loansSmall business loansOtherCopyright 2010 Pearson Education, Inc. Publishing

2、 as Prentice Hall3MotivationsFrom originator perspective:Alternative means of raising funds (diversification)Accelerate earningsEfficient use of capital, eg. banksLower funding costFrom investor perspective:Secured/collateralized riskRemote from originator riskDiversified riskCash Flows of ABSCash i

3、n from the securitized assetInterestScheduled principal repaymentsPrepayments including default proceedsCash out to pay expenses and the bondsTrust, legal, servicing, credit enhancementInterestPrincipal repaymentsCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall4Copyright 2010 Pears

4、on Education, Inc. Publishing as Prentice Hall5Credit Enhancement Most ABS are credit enhanced to provide some protection to the bond holders from loss due to default on the underlying assetsEnhancements vary depending on the assets being securitized and costs from time to timeCredit enhancement cri

5、tical to getting desired bond ratingsCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall6Features of Asset-Backed SecuritiesCollateralAmortizing assetNon-amortizing assetInterest rateFixed rateFloating rateCredit enhancementsGuaranteeLetter of creditInsuranceReserve fundsOver-collater

6、alizationSenior/subordinate tranchesEquity tranchesCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall7Credit Risks Associated with Investing in ABS Investors rely on rating agencies to evaluate risks Key risks include:Asset risk Structural risk Third parties to the structure Legal ri

7、skAsset RiskBased on reliability, stability, predictability of future cash flowsHistorical loss experienceConcentration of assetsCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall8Structural RiskDoes collateral cash flow satisfy the obligations of the various bond classes of issuer?T

8、est under various scenarios:Loss experienceDelinquenciesInterest ratesCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall9Third Party ProvidersGuarantors, servicer, trustee, legal, accountantsFor guarantors, rating agency will evaluate ability to performABS can never be rated higher t

9、han rating of guarantorCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall10Legal RiskInvolves review of documentationTriggers particularly as they relate to third partiesProtection from creditors of sellerCopyright 2010 Pearson Education, Inc. Publishing as Prentice Hall11Copyright 2010 Pearson Education, Inc. Publishing as Prentice Hall12Impact ABS on Financial Markets Three key economic functions of