1.  They are all asset securitization products

There's a Wall Street saying “ If you want to increase future cash flow , Just make it into Securities . If you want to run risk , Just make it into Securities ”. essentially ,MBS,ABS and CDO They are all asset securitization products . According to the securities and Exchange Commission (SEC) The definition given , Asset securitization , To produce such a security , They are mainly supported by a specific pool of receivables or other financial assets (backed), Guarantee payment . And the value of these asset securitization products P It can be expressed by the following formula :
among ,n It is the repayment period of accounts receivable or other financial assets in the asset pool . It's not hard to see. , The value of asset securitization products P Affected by future cash flow and market interest rate r Influence , When the interest rate r When rising ,P It will go down , When cash flow decreases ,P It's going to go down as well , vice versa . MBS, Real estate mortgage-backed securities (MortgageBackedSecurities), Refers to the issuer of real estate mortgage claims into an asset pool (AssetPool), Then securities issued based on the cash flow generated by the asset pool ( Mainly bonds with regular repayment of principal and interest ). Cash flow from loans ( Including repayment of principal and interest 、 Prepayment, etc ) Every month, after deducting the relevant fees, the service agency responsible for collecting cash flow , Pro rata distribution to investors . therefore , The monthly payment of house buyers is repayment MBS The basis of principal and interest .

ABS, Asset backed securities (AssetBackedSecurities), It is the securities issued by pooling the assets other than the real estate mortgage claims into the asset pool , It's actually MBS Promotion and application of technology in other assets .

CDO, Secured debt instruments (CollateralizedDebtObligation), It's a new type of ABS, It is based on the credit of mortgage debt , Based on various asset securitization technologies , For bonds 、 Restructuring assets such as loans , Redistribute return on investment and risk , Innovative derivatives to meet the needs of different investors .

CDO The core design concept is grading , That is to develop different levels of products with different credit risks in the same mortgage asset pool :
* priority (SeniorTranches)    * Intermediate stage (MezzanineTranches)    * Equity class (EquityTranches)     The order of reimbursement of products at all levels is from first to last 、 Intermediate and equity , That is to say, once the mortgage defaults, it will cause losses , Losses will first be absorbed at the equity level , Then there's the intermediate stage , Finally, priority . among , priority CDO Buyers include commercial banks 、 The insurance company 、 Mutual funds 、 Institutional investors with low risk preference such as pension funds ; Intermediate and equity CDO Most of the buyers are institutional investors such as investment banks and hedge funds who pursue high risk and high return —— This is also the first type of institutional investors to fall in this crisis .

2. Differences among the three     ABS,MBS and CDO The differences between the three are mainly reflected in the following three aspects .
First , The underlying assets of the three ( That is, the assets in the asset pool ) Different :
(1)MBS Our asset pool is mortgage debt
(2)ABS( narrow sense ) Our asset pool is the creditor's rights other than the real estate mortgage , Such as :
* Credit card receivables
* Rental
* Auto loans, claims, etc
(3)CDO Our asset pool is mainly debt instruments , Such as :
* High yield bonds (HighYieldBonds)
* Emerging market corporate bonds (EmergingMarketCorporateDebt)
* State bonds (SovereignDebt)
* A bank loan (BankLoans)
* The narrow sense ABS    *MBS etc.
secondly , The number of debtors varies :
(1)MBS Or traditional ABS There are at least thousands of creditors in China
(2)CDO Its creditors are about 100~200 about , Even less than 100 It's also common to have one
Last , The correlation requirements of the underlying assets are different :
(1) Tradition MBS or ABS Our assets are about consistency (Homogeneous), The nature of its creditor's rights 、 The maturity date is similar , Even hope to come from the same founder , In order to control the form of cash flow moderately
(2)CDO The claim of each creditor's right is different (Heterogeneous), The sources can't be the same , At the same time, the smaller the correlation, the better , In order to achieve the requirements of fully dispersing risks
ABS Asset backed securities ; The narrow sense ABS barring CDO;CDO Means a secured debt instrument ;MBS Real estate mortgage backed securities ;CMBS Commercial real estate mortgage-backed securities ;RMBS Residential real estate mortgage-backed securities

According to the types of securitized assets that generate cash flow , Asset securitization can be divided into housing mortgage securitization (mortgage-backed securitization, abbreviation MBS) And asset-backed securitization (asset-backed securitization, abbreviation ABS) Two categories: . The difference is : The basic asset of the former is housing mortgage , The latter's underlying assets are assets other than mortgage loans .

MBS It is the earliest type of securitization in the history of asset securitization . It's based on credit assets like home mortgages , Supported by the cash flow generated by the borrower's repayment of the loan , Issuing securities through financial markets ( Mostly bonds ) The process of financing .

 One side ,MBS We can transform the long-term housing mortgage loan with low liquidity held by banks and other financial institutions into securities with high liquidity , This has greatly improved the asset liquidity of these institutions . and , If MBS The choice is the form of off balance sheet financing , It will not increase the debt ratio of these institutions , It can also release capital . therefore , This kind of securitization product is very popular with financial institutions . On the other hand , because MBS The underlying asset is a mortgage with a low default rate , Cash flow is relatively stable and easy to predict , Therefore, market investors also like this kind of investment tool .

ABS It is a securitization financing mode supported by non housing mortgage assets , It's actually MBS The promotion and application of technology in other assets . Because one of the basic conditions of securitization financing is that the underlying assets can produce predictable 、 Steady cash flow , In addition to the home mortgage , There are many other assets that have this feature , So they can also be securitized . With the continuous development of securitization technology and the continuous expansion of securitization market ,ABS There are more and more kinds of food , It can be subdivided into the following varieties :(1) Auto loans 、 Student loan securitization ;(2) commercial 、 Agriculture 、 Medical real estate mortgage securitization ;(3) Securitization of credit card receivables ;(4) Securitization of trade receivables ;(4) Securitization of equipment rental fee ;(5) Securitization of infrastructure charges ;(6) Ticket revenue securitization ;(7) Securitization of club membership fee income ;(8) Securitization of premium income ;(9) Loan backed securitization of small and medium sized enterprises ;(10) Intellectual property securitization and so on . And with the continuous development of asset securitization Technology , The scope of securitized assets is expanding .

The mortgage debt equity market has developed since 1996 It has developed by leaps and bounds since , Almost twice as much as the credit card securitization market , And MBS Together to become the most mature asset securitization market . In Europe, ,MBS and CDO They are the two fastest growing markets in the process of asset securitization . And MBS Comparison ,CDO The underlying assets of 、SPV More diverse structures and regulations .

CDO The product has its unique investment characteristics . First of all , The strength and stability of the structure : Due to the conservative premise and CDO In structure “ Extraordinary mortgage ” Characteristics of , therefore CDO Not only has the general ABS Characteristics of , And its structure has considerable strength and stability . second , High transparency :CDO The banks that sell the underlying assets in a transaction are usually large commercial banks . therefore , It's relatively easy to get information about them . Senior bond investors take very low risk , Just analyze the overall data of the market . Subprime bond investors need to be specific CDO The risk of 、 earnings 、 legal provisions , Pay close attention to the factors that affect the return on investment . Third , High standardization : Even though CDO The product started late , But after years of development , The degree of standardization of products is gradually improved , The increasingly perfect laws and regulations and regulatory experience in the European and American markets can be used for reference . Fourth , High liquidity : As more and more banks participate in asset securitization ,CDO The issuance and trading of the company has developed rapidly . Worldwide ,CDO The exchange market accounts for about... Of all the transactions of asset securitization products 40%. The fifth , Higher yields : With the same credit rating tradition ABS Compared to products ,CDO With a high yield . The sixth , Low industry relevance :CDO With the traditional ABS The correlation is very low . When credit rating agencies calculate the discrete index of asset portfolio , take CDO And traditional ABS As two different industries . therefore , For investors , Yes CDO Our investment can diversify our portfolio .

CDO The development of products in China is in its infancy . The off balance sheet business of China's commercial banks has developed rapidly in recent years , And increasingly referring to the approach advocated by the Basel Committee , Capital adequacy ratio is used to supervise off balance sheet business . therefore , Loan securitization is gradually becoming the focus of commercial bank business development

1.MBS It is the first choice for the exchange to provide trading services

Asset securitization has many innovations in European and American countries 、 Diversified products 、 Rapid development and other characteristics . But combined with the development status of asset securitization in China 、 The relevant legal system 、 Asset characteristics and other factors , From the perspective of providing transaction services for asset securitization products ,MBS Is the first choice to consider providing trading services .

In our country , Real estate as support MBS Developing “ Basics ” industry , With the development of national economy and the improvement of people's life, it has gradually become the leading industry of economic development . The housing industry began to develop rapidly in the late 1990s , The average annual growth rate is 37.8%.

From the perspective of the trend of the improvement of residents' life and the development of consumption structure in China , The potential demand of China's housing market is huge . In the right policy environment , Potential demand will be transformed into real market demand , So as to promote the rapid development of the real estate industry .

China's real estate industry has become an industry highly dependent on the banking industry , about 70% Real estate development funds come from bank loans , Such a structure determines the status and influence of real estate loans in financial institutions . In recent years 

The proportion of real estate loans in new assets of financial institutions is on the rise , from 2001 Year of 39%, The forecast will rise to 2005 Year of 42% to 67%,2010 Year of 45% to 62%. therefore  With the rapid development of the real estate industry , It's going to put a lot of pressure on the banks . The relevant regulatory authorities are discussing various schemes of real estate mortgage securitization , It is expected that real estate mortgage securitization will make substantial progress in the near future .

2.CDO Products are asset securitization products worthy of attention

Mortgage debt equity CDO The market comes from 1996 It has developed by leaps and bounds since  Almost twice as much as the credit card securitization market  And MBS Together to become the most mature asset securitization market . In Europe, ,MBS and CDO They are the two fastest growing markets in the process of asset securitization . And MBS Comparison ,CDO The underlying assets of 、SPV More diverse structures and regulations .

CDO The product has its unique investment characteristics . First of all , The strength and stability of the structure : Due to the conservative premise and CDO In structure “ Extraordinary mortgage ” Characteristics of , therefore CDO Not only has the general ABS Characteristics of , And its structure has considerable strength and stability . second , High transparency :CDO The banks that sell the underlying assets in a transaction are usually large commercial banks . therefore , It's relatively easy to get information about them . Senior bond investors take very low risk , Just analyze the overall data of the market . Subprime bond investors need to be specific CDO The risk of 、 earnings 、 legal provisions , Pay close attention to the factors that affect the return on investment . Third , High standardization : Even though CDO The product started late , But after years of development , The degree of standardization of products is gradually improved , The increasingly perfect laws and regulations and regulatory experience in the European and American markets can be used for reference . Fourth , High liquidity : As more and more banks participate in asset securitization ,CDO The issuance and trading of the company has developed rapidly . Worldwide ,CDO The exchange market accounts for about 40% of all the transactions of asset securitization products . The fifth , Higher yields : With the same credit rating tradition ABS Compared to products ,CDO With a high yield . The sixth , Low industry relevance :CDO With the traditional ABS The correlation is very low . When credit rating agencies calculate the discrete index of asset portfolio , take CDO And traditional ABS As two different industries . therefore , For investors , Yes CDO Our investment can diversify our portfolio .

CDO The development of products in China is in its infancy . The off balance sheet business of China's commercial banks has developed rapidly in recent years , And increasingly referring to the approach advocated by the Basel Committee  Capital adequacy ratio is used to supervise off balance sheet business . therefore , Loan securitization is gradually becoming the focus of commercial bank business development . According to the Fitch Credit rating companies 2003 Annual report , The Agricultural Bank of China is 2003 year 5 In May, the company successfully launched the synthesis of private placement CDO. The report predicts that China's commercial banks will not only launch more CDO product , And it's going to be global CDO The asset manager of .

3. Pay close attention to the development of trust income right certificate market

There are still obstacles in the legal system of asset securitization 、 standardized MBS and CDO It will take some time for the product to be fully developed , At present, the trust usufruct certificate launched by the trust company can be the starting point of establishing the asset securitization product trading service system . There are two main reasons : First of all , Provide direct 、 Effective trading services , It can increase the liquidity of trust products , Lower the issue cost , Increase the value of investment . second , The certificate of trust income right has the basic characteristics of fixed income securities , Such as due date 、 Yield 、 Credit rating, etc , The establishment of trading service mode of trust usufruct certificate can provide technical preparation for the comprehensive development of asset securitization products in the future , We can also accumulate experience in trading services and supervision in practice .

4. Develop a trading platform for bond products in a planned way

First of all , According to the degree of standardization and characteristics of the product , Establish a trading platform with multiple service modes , To serve the transfer of asset securitization products . second , Establish a trading platform for bond products with institutional investors as the main participants / System . because ABS and MBS Product trading market is a market with institutional investors as the main participants , Establish a special fixed income securities trading system , It can effectively serve the transaction of asset securitization products , It can also provide financial services for institutional investors . Third , Market organizers participate in the formation of securitization products , We can put forward relevant requirements for the standardization and tradability of products , Make the organization of the exchange market an important part of the asset securitization process , And take the trading platform as the starting point , Guide the standardization process of asset securitization products . Fourth , Market organizers in the process of building a trading platform , Credit rating of trading products should be taken as an important parameter of trading system , Promote the development of credit rating and other related functions  And regular credit rating report is regarded as one of the important conditions to provide transaction services in transaction supervision

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