臺灣金融資產證券化之 現況與未來挑戰
DESCRIPTION
臺灣金融資產證券化之 現況與未來挑戰. 邱靖博 2008年5月. 報告大綱. 金融資產證券化簡介 美國金融資產證券化發展 次級房貸危機與證券化市場 台灣金融資產證券化發展現況 台灣金融資產證券化案例 次級房貸危機對金融風險管理之啟示 -代結論. 前言. 自去(2007)年中延燒至今的美國次級房貸市場( subprime), 引起市場參與者對資產證券化,尤其是房貸之金融資產證券化商品的廣泛討論。 我國自2003年起至今年3月份,也已有55件金融資產證券化相關案件發行,累計發行金額超過新台幣5,000億元,且逐年增加中,顯見業界對此商品之重視。 - PowerPoint PPT PresentationTRANSCRIPT
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20085
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(2007)(subprime) 20033555,000 2002620
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..
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SPT or SPC
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1932 Federal Home Loan Bank System, FHLBS 1934 Federal Home Administration, FHA 1938 Federal National Mortgage Association, FNMAFHA 1968 Government National Mortgage Association, GNMA 1970 FHLMC 1971 Federal Home Loan Mortgage Corporation, FHLMCGNMAParticipation Certificate1981FNMA
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()
1983 Collateralized Mortgage Obligation, CMO 1987 Real Estate Mortgage Investment Conduit, REMICCMO 1980 ABS
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SIFMA(http://www.sifma.org/ ):
Chart1
71.4180.723.751.614.610.152.3
77214.535.290.219.118.381.5
86.9236.741.4124.22525192.3
114.1257.951.4141.933.836.4265.3
133.1306.358.8151.536.941.1344.1
187.9361.970.2185.142.760.2373.2
221.7397.968.3286.544.574.4449.9
234.5401.970.134644.399.2497.7
232.1390.770.745442.2115.2522.9
219.7356.761.8551.134.5153.2578.2
202.4339.953.1581.228.8183.6741.4
198.5347.846.2585.626.9243.91023.5
Automobile Loans
Credit Card Receibables
Equipment Leases
Home Equity Loans
Manufacturing Housing
Student Loans
Other
Sheet2
Automobile LoansCredit Card ReceibablesEquipment LeasesHome Equity LoansManufacturing HousingStudent LoansOtherTotal
199671.4180.723.751.614.610.152.3404.4
199777.0214.535.290.219.118.381.5535.8
199886.9236.741.4124.225.025.0192.3731.5
1999114.1257.951.4141.933.836.4265.3900.8
2000133.1306.358.8151.536.941.1344.11,071.8
2001187.9361.970.2185.142.760.2373.21,281.2
2002221.7397.968.3286.544.574.4449.91,543.2
2003234.5401.970.1346.044.399.2497.71,693.7
2004232.1390.770.7454.042.2115.2522.91,827.8
2005219.7356.761.8551.134.5153.2578.21,955.2
2006202.4339.953.1581.228.8183.6741.42,130.4
2007198.5347.846.2585.626.9243.91,023.52,472.4
Sheet1
AutomobileCredit CardEquipmentHome EquityManufacturingStudent
LoansReceibablesLeasesLoansHousingLoansOtherTotal
199671.4180.723.751.614.610.152.3404.4
199777.0214.535.290.219.118.381.5535.8
199886.9236.741.4124.225.025.0192.3731.5
1999114.1257.951.4141.933.836.4265.3900.8
2000133.1306.358.8151.536.941.1344.11,071.8
2001187.9361.970.2185.142.760.2373.21,281.2
2002221.7397.968.3286.544.574.4449.91,543.2
2003234.5401.970.1346.044.399.2497.71,693.7
2004232.1390.770.7454.042.2115.2522.91,827.8
2005219.7356.761.8551.134.5153.2578.21,955.2
2006202.4339.953.1581.228.8183.6741.42,130.4
2006
Q1220.3359.860.7552.633.5162.9575.71,965.5
Q2215.3354.460.4564.732.4175.5583.11,985.8
Q3212.0352.957.6574.829.9182.0607.52,016.7
Q4202.4339.953.1581.228.8183.6741.42,130.4
2007
Q1202.6338.150.6583.428.7199.4835.32,238.1
Q2
Q3
Q4
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(Subprime Mortgage)FICO (Fair Issac Corporation) 620620
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(2008)2008 TMAT
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(2008)2008 TMAT
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: ::
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(http://www.boma.gov.tw)
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()() SPC
SPC()(http://www.boma.gov.tw)
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(BBB-)10
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351512
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6%2%
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:http://www.fscey.gov.tw
Sheet1
/()/
510.7RMBSRMBS54.892
RMBSRMBS5793
RMBSRMBS55.993
RMBSRMBS5493
RMBSRMBS14294.12
RMBSRMBS14795.9.15
160ABSCredit Card(2005-1)4594.1
ABSCredit Card10594.4
ABSCredit Card(2005-2)1094.6
50ABSAuto loans5093
115.6ABSConsumer/Card loans115.692
943.47ABSCLO36.592
ABSCLO8892
ABSCLO3292
ABSCLO52.593
ABSCLO4993
ABSCLO53.593
ABSCLO5194.6
ABSCLO43.294.1
ABSCLO59.395.9.11
ABSCLO() 328.295.11.24
ABSCLO9395.12.14
ABSCLO57.2796.5.10
2250.5ABSCBO2005-132.794.7
ABSCBO10094.8
ABSCBOCBO110094.8
ABSCBO18094.8
ABSCBO11594.11
ABSCBOCBO219594.12.09
ABSCBO10895.02.13
ABSCBO14095.03.31
ABSCBO12395.04.12
ABSCBO(2006-1)13095.04.21
ABSCBO9095.09.15
ABSCBO211.695.12.05
ABSCBO174.295.12.22
ABSCBO10095.12.26
ABSCBO9096.2.27
ABSCBO19396.5.11
ABSCBO10296.5.21
ABSCBO6696.7.26
78ABS()1896.7.24
ABS()6096.7.27
1109.89ABCPABCP()2593
ABCPABCP() 42794.10 (95.2.8)
ABCPABCP()10694.12.12
ABCPABCP() 2006-15095.05.30
ABCPABCP() 2006-23695.05.30
ABCPABCP() 2006-274.8795.06.27
ABCPABCP() 2006-1122.895.06.27
ABCPABCP()12695.09.01
ABCPABCP()142.2296.4.16
216.82REATREAT44.193
REATREAT693
REATREAT5.393
REATREAT/44.493
REATREAT()2893
REATREAT693
REATREAT()30.894.5
REATREAT()13.9295.11.30
REATREAT38.396.5.29
561.67REITREIT()58.394.1
REITREIT()139.394.8
REITREIT()11394.11
REITREIT()73.0295.3
REITREIT (REIT)38.5295.05.12
REITREIT()24.795.05.24
REITREIT()7295.08.28
REITREIT()42.8396.3.13
Chart1
510.7
160
50
115.6
943.47
2250.5
78
1109.89
Sheet2
RMBSRMBS510.7
ABS160
ABS50
ABS115.6
ABSCLO943.47
ABSCBO2250.5
ABS78
ABCPABCP1109.895218.16
REATREAT216.82
REITREIT561.67778.49
Sheet3
925326.9269.8158.8
938396.9421.5478.2
94141651.91,418.61,653.4
951721144,119.42,828.8
9610906.16,169.53,453.2
97.311501,258.23,335.2
525545.813,657.0-
-
(92~973)
-
()
-
G&M
-
G&M()(excess spread right, ESR)
-
(ABCP)
-
(ABCP)
-
(stress loss limit)
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ABCPAsset-Backed Commercial Papers:ABSAsset-Backed Securities:CBOCollateral Bond Obligation:CDOCollateral Debt Obligation:CMOCollateral Mortgage Obligation:CLOCollateral Loan Obligation:ESR(Excess Spread Right)MBSMortgage-Backed Securities:SPC(Special Purpose Company):SPTSpecial Purpose Trust: