國立中山大學學位論文典藏

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2 () The study of Optimal Asset Allocation of Banks after Asset-backed Securitization and write off NPL with securitization

4 CALCapital Allocation Line

5 Abstract In the financial industry, typical indirect-financial institution attracts deposit, inter-bank loan, or issuing negotiable certificate of time deposit and bonds.after collecting money from excess capital units through auditing procedure then loan to the needed parties as a financial intermediary in the market. The roles of financial institutions such as banks are acting as a financial intermediary by providing buy-sell funding to enterprises or individuals. Those banks actually take whole funding liquidity risk to exchange main resource of bank s profitability. Once failure in managing risk or facing dynamically financial environment changing, bank may engage in difficulty and cause serious financial crisis. Comparison with large international financial institutions, our financial institutions hold a lot of NPL (Non-Performing Loan; Taiwan major NPL almost came from mortgage), it not only lower the liquidity of fund, longer payment duration but also raise operation risk can t recover financial assets. The quality of asset has also been worse off rapidly. These phenomena raise financial institution operation risk and influence stability of financial system and development of financial environment. With the financial environment is changing, those developed countries mostly adopted structured finance or financial asset securitization methods. The purpose of financial asset securitization in general is to raise fund for originator. Originator is the most important participant on the securitization process. The originators pool and reorganize those assets, which could create cash flow into small-amount unit security and sell to the investors. By this way originator don t have to wait till maturity and buyback those securities. That is why by using financial asset securitization will help financial institution to improve asset/liability management, spread asset risk and increase the ratio of equity to assets. At the same time, this will improve the effect and efficiency of finance institution s operating and open up the funding market. Mortgage securitization can raise banks capital adequacy and current ratio. By way of asset securitization, the originators enjoy higher asset liquidity, lower funding cost, and improved capital ratio; while investors can use mortgage-backed securities to diversity their portfolios,

6 improve liquidity and enhance yields. For originators, securitization is not only lower the cost of capital, increase the net profit but also enhances the liquidity of cash and balances the assets structure. Assets-backed securitization has been prevailed in USA for years. It effectively controls the NPL (Non-performing Loans) problem and stabilizes financial management. Through financial asset securitization optimal asset allocation model, this thesis has the following finding: 1. Financial market funding supply shows multiple effects after Banking Financial asset securitization. In the initial stage of securitization, banks will lower risky assets and then will increase to original size. 2. After Financial asset securitization, a capital adequate ratio will rise first then become normal level. 3. Under assumption that financial asset securitization does not create any capital gain or loss; bank will lower profitability at initial stage. Then after a while, profitability will increase dramatically later. 4. After consideration of risk, this research discovers that securitization wills steeper Capital Allocation Line. It means every risk taking will compensate higher return. Improve Banking efficiency and profitability. Securitization provides a groundbreaking tool to increase profitability and avoid risk. Under MBS structure, the commissions and fees, absolutely out of risk, is major and stable income of the bank. On the other hand, the successful development of USA RTC implement is another contribution to resolve NPL. In sum, financial asset securitization not only accelerates the efficiency of financial institutions for more balance capital markets but also avoids financial risk in the banking system. At present, the prime theme of he banking sector should be how to maintain sound operations by strengthening credit risk management and restructure assets quality. Introducing successful external professional partner system is another way to deal with NPL problems.

7 Asset-backed securitizationprepaymentpass Through securityasset-backed bonspay through SecurityDurationReserve ratiocapital adequate ratioeffect frontiercal ( Capital Allocation Line) AMCRTCNon-performing Loans

8 10 10 MBA AMC RTC

9 CALCapital Allocation Line RTC

12 S&P s Moody s ABS MBS MBS ABS ABB RTC 1992-N1A

16 1

17 2

18 Harry Markowitz 3

19 RTC 1990 RTC RTC 1992-N1A 4

20 5

21 6

22 7

23 8

24 9

25 --- 10

26 11

27 12

28 13

29 14

30 15

31 16

32 --- 17

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34 --- 19

35 20

36 21

37 22

38 2000 AMC RTC AMC RTC AMC RTC 2001 RTC

39 FDIC1998 Managing the CrisisThe FDIC and RTC experience FDIC RTC 24

40 FDIC RTC 25

41 Equity Asset-backed Securitization Real Estate Securitization Real Estate Securitization 1. REIT Real Estate Investment Trust 2. Limited Partnership 3. REITReal Estate Investment Trust Asset-Backed Securitization 26

42 3-1 27

43 Structured Finance Credit UnionSavings & Loans Mutual Bank Spread (Asset-Backed Securitization) (Pooling) (Securities) (Credit Enhancement)

45 Balance Sheet Maturity Mismatch savings & loans( ) 0 30

46 Institutional Mismatch Pension Fund --- CMOCollateralized Mortgage Obligation Commercial Bank & Thrift 31

47 USD, Trillions

48 33

49 MBS Card M.H ousing Auto HEL C BO/CDO E.Lease Student Other 2002:Q

51 3-8 Bloomberg 36

52 GNMA FNMA FHLMC Total Issuance of Agency Mortgage Backed Securities Issuance of Agency Mortgage Backed Securities , , :Q3 $ Billions

53 3-10 off balancesheetization Asset-backed BondABB / 38

55 40

56 41

57 3-11 / 42

58 Class 1 Class 2 Class 3 Class /

59 44

60 45

61 46

63 3-3 48

64 3-4 AAA AA AAA A BBB BB B CCC CC C (Income Bonds) D 49

65 3-5 50

66 51

68 53

69 54

71 56

73 errill Lynch Credit Risk A GNMAFNMA Liquidity FHLMC Issue Price Call Provision Frequency Settle 58

75 ABS ABB 60

76 61

78 63

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80 65 GNMA FNMA FHLMC 2002:Q3 Issuance of Agency CMOs

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99 Private Placement George & Mary Card 84

100 85

101 86

102 87

103 4-1 88

104 N LR LR 2 LR 3 LR 4 LR 5 LR n LLR LRLR 2 LR 2 LR 3 LR 3 LR 4 LR 4 LR 5 LR n-1 LR n L (1 R) L(1 R) 1 R (1 ) 89

105 (1 ) 1 (1 ) L(1 R) 1 R 90

106

107 92

108

109 (1) 0 (2) (3) OECD (4) OECD OECD (1) 20 (2) OECD OECD (3) OECD OECD (4) OECD (5) 50 (1) (2) OECD (3) OECD 100 (4) (5) (6) (7) (8) 94

110 Capital Gain 95

111

112

113

114 99

115 100

116 L ( 1 R ) L ( 1 R ) (1 R ) d D + E (1 R) 101 (1 R ) d D + E (1 R)

117 102

118 103

119 N LR LR 2 LR 3 LR 4 LR 5 LR n LLR LRLR 2 LR 2 LR 3 LR 3 LR 4 LR 4 LR 5 LR n-1 LR n 104

120 105

121 106

122 107

123 108

124 109

125 Expected Return =0 =0.5 =1 Risk

126 111 B A var iance Co

127

128 CAL C CAL B Spread CAL A Risk

129 CAL C CAL B CAL A Spread Risk 4-5 CAL 114

130 Spread Risk 4-6 Risk---Spread Spread Risk 4-7 Spread Risk

131 116 Risk Spread 4-10 CAL Risk Spread 4-9 CALCapital Allocation Line Risk Spread 4-11 CAL

132 SLB Securitization Line of Bank S 3 Spread SLB S 2 S 1 R R Risk 4-12SLB R R S 1 S 2 S 1 S 3 SLB --- Merrill Lynch Morgan Stanley UBS 117

133 118

134 119

135 5 120

136 121

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142 127

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145 130

146 AMC AMC AMC

147 132

148 133

149 134

150 135

151 Special Puepose Corporate 136

152 Special Purpose Trust 137

153 138

154 Pool Asset Fixed Income Securities 139

155 / / / 140

156 141

157 Partnership RTC RTC RTC RTC General Partner RTC Limited Partner RTC RTC RTC RTC RTC JDC (Judgements,Deficiencies,andCharge-offs JDC)JDC RTC 142

158 143

159 144

160 145

161 146

162 l C 147

163 148

164 149

165 RTC FDIC 150

166 -5 151

167 RTC RTC1992-NlA

168 153

169 N1A L.P Class 1 Class 2 Class 3 Class 4 154

170 155

171 156

172 RTC AMC AMC AMC AMC AMC Asset Backed BondABB Asset Backed BondABB Asset Backed BondABB AMC Asset Backed BondABB 157

173 Capital Gain Loss Return--- Risk Capital Allocation LineCAL Fixed Income SLB Portfolio manager RTC 158

174 AMC AMC AMC Asset Backed BondABB Asset Backed BondABB Asset Backed BondABB AMC AMC 159

175 160

176 161

177 162

178 Federal Deposit Insurance Corporation The FDIC and RTC experience---managing THE CRISIS AMC

179 (Reference) Frank J. Fabozzi1993Fixed Income MathematicsAnalytical & Statistical TechniquesMcGraw-Hill, Inc. Laurence G. Taff2003Investing in Mortgage SecuritiesCRC Press LLC 164

资产证券化的法律问题研究

资产证券化的法律问题研究 * ** Asset Securitization 70 1992 1 2 3 SPV (Underlying Assets) *** 1 1998 2 5 4 Mortgage-backed Securitization Mortgage-backed Securities, MBS Asset-backed Securitization Asset-Backed Securities. ABS