SECURITIZATION PRODUCTIONS AND CREDIT CRISIS
理論研究
作者:李卓軒
【ABSTRACT】In the course of subprime crisis,it is the securitization productions that are responsible for spreading the risk and recession to world economy. Hence,this paper is written to figure out how securitization products spoiled the world economy.
【Key Words】 Securitization products,CDO,conduction mechanism
一、MBS,ABS and CDO
(一)collateralized mortgage obligation(CMO)
A collateralized mortgage obligation(CMO)is a type of complex debt security that repackages and directs the payments of principal and interest from a collateral pool to different types and maturities of securities,thereby meeting investor needs.
(二)assetbacked security(ABS)
“An assetbacked security(ABS)is a security whose income payments and hence value is derived from and collateralized(or "backed")by a specified pool of underlying assets” According to Wikipedia.
The structure of ABS is similar to CMO except the underlying asset of ABS is Nonmortgage debt. CMO,underwritten by Freddie Mac and Fannie Mac,is regarded as level of riskfree(government credit). Investors usually concern the prepayment risk of CMO. ABS otherwise is not underwritten by government credit. Thus,American investors consider there has credit risk for ABS.
(三)collateralized debt obligation(CDO)
A collateralized debt obligation(CDO)is a type of structured assetbacked security(ABS). Originally developed for the corporate debt markets,over time CDOs evolved to encompass the mortgage and mortgagebacked security("MBS")markets.
CDO pay to investors in a prescribed sequence. The CDO is "sliced" into "tranches",which "catch" the cash flow of interest and principal payments in sequence based on seniority.
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