The start-up of securitization makes a feasible way for Securities Companies to develop and innovate upon their business. Securities Companies should act an important part in the market of asset securitization. But there have some practical obstacles for example being short of the competition ability and a dubious policy environment. The essay provided a comprehensive exploration of the characters structure and the evolution of asset securitization and analyzed the possible way that Securities Companies could take part in securitization. Then we put forward some policy suggestions. We should prescribe the way and the direction for Securities Companies and on the other hand Securities Companies should make preparation with professional knowledge and enhance the innovative ability. Securitization; Securities Companies; Business Development 1
Securitization 2
Off-balance Sheet True Sale At Law (Structured Finance)() Bankruptcy Remote Steven L. Schwarcz1994 Roever W. Alexander1998 Walid A. Chammah1991 Bharat A. Jain2001Shane A. Johnson1998 Lupica1998 (marked to market) Leon T. Kendall, Securitization: A New Era in American Finance, in Leon T. Kendall and Michael J. Fishman (1997), p5. 2004 7.3 MBS 5.5 ABS1.8 30.93% ABS 3
CBO/CDOCollateralized Bond Obligation /Collateralized Debt Obligation 2004 4540 ABS 25.22 2004 $360.3 B $14.8 B $2.0 T $853.3 B $497.9 B $3.9 T $896.7 B $77.5 B $2.7 T MBS $1.76 T $207.4 B $5.5 T ABS $896.6 B $1.8 T $2.9 T $711.2B $153.9 B $4.7 T $6.82T $23.6 T BbillionsTtrillions ABS 19952004 1970 GNMA Pass-through Certificate 1 1 1970 2 4
Grantor Trust 2 Single-ATriple-A 1984 Secondary Mortgage Market Enhancement Act Tranches 1986 Real Estate Mortgage Investment ConduitREMIC 3 1985 4 Pay-through Bond 2 3 1986 REMIC REMIC 4 150% 200% 5
(Collateralized Mortgage ObligationsCMOs) 5 CMOs CMOsZ-Bond(Planned Amortization ClassPAC) CMO(Stripped Mortgage-backed SecuritiesSMBS) 1. 1. 1. 2. 2. 2. 3. 3. 4. 4. 5. 3. 4. 1. 2. 1. 2. 3. 4. 1. 2. 1. 1. 2. 2. 3. 4. Ginnie Mae MBS Fannie Mae ABS 2004 1. CMOsZ-BondPAC FRACMOSMBS 1 5 6
Originator 2 3 6 4 5 6 7
Marine Midland Bank JP Morgan Chase Chase JP Morgan JP Morgan ABS 2004 2003 Deutsche Bank AG 182,650.7 1 21.2 323 120,001.6 1 20.9 243 Bank of New York 135,505.5 2 15.8 185 87,482.1 2 15.2 152 JP Morgan 123,108.9 3 14.3 188 71,352.8 3 12.4 123 Wells Fargo Bank 105,467.9 4 12.3 206 60,294.1 4 10.5 141 8
US Bancorp 58,900.3 5 6.8 128 49,127.0 5 8.6 102 ABN AMRO 27,377.5 6 3.2 49 12,728.2 6 2.2 14 HSBC Holdings PLC 22,092.7 7 2.6 40 2,844.5 9 0.5 7 Wachovia Corp 16,763.5 8 2.0 30 4,191.0 8 0.7 14 Citigroup 10,327.9 9 1.2 22 6,451.5 7 1.1 11 Wilmington Trust Co 3,650.0 10 0.4 4 2,773.8 10 0.5 3 685,844.90 79.8 1175 417,246.60 72.6 810 860,620.90 100.0 1663 574,824.90 100.0 1193 www.thomson.com MBS 2004 2003 Wells Fargo Bank 69,982.5 1 16.8 87 55,128.0 2 15.3 69 Deutsche Bank AG 58,611.8 2 14.0 103 30,027.0 4 8.3 48 US Bancorp 47,700.2 3 11.4 89 26,454.3 5 7.3 54 Wachovia Corp 46,659.0 4 11.2 69 17,367.0 6 4.8 33 Bank of New York 42,816.6 5 10.3 93 45,382.9 3 12.6 95 JP Morgan 35,438.3 6 8.5 76 61,145.2 1 17.0 117 ABN AMRO 30,677.7 7 7.4 46 14,446.6 7 4.0 24 HSBC Holdings PLC 15,986.2 8 3.8 21 4,947.8 8 1.4 7 Citigroup 4,869.5 9 1.2 11 4,941.1 9 1.4 11 Capita IRG PLC 1,287.9 10 0.3 1 Wilmington Trust Co 47.6 10 0.0 1 354,029.70 84.9 596 259,887.50 72.10 459 417,606.90 100.0 788 360,451.60 100.0 815 www.thomson.com Liquidity Facility 9
S&PMoody's Fitch ABS&MBS 2004 2003 S&P 966,967.8 1486 95.7 757,879.4 1415 94.6 Moody's 916,316.5 1286 90.7 675,771.1 1178 84.4 Fitch 524,879.6 812 51.9 527,345.4 998 65.8 Dominion 33,131.1 34 3.3 0.0 0 0.0 1,010,816.7 1617 100 801,137.0 1573 100 www.abalert.com 2004 ABS&MBS 2004 ABS&MBS 2004 2003 1 Countrywide 112,454.30 147 8.7 53,336.70 143 4.9 2 GMAC 68,984.00 134 5.3 78,583.60 187 7.3 3 Lehman Brothers 64.042.00 110 5 43,006.10 114 4 4 Bear Stearns 52,475.60 91 4.1 25,117.80 53 2.3 5 Ameriquest Mortgage 48,365.20 75 3.7 31,494.70 57 2.9 6 Credit Suisse First Boston 37,670.00 67 2.9 37,124.80 72 3.4 7 Bank of America 37,295.40 69 2.9 29,606.40 50 2.7 8 Wells Fargo 33,390.80 44 2.6 22,046.10 50 2 9 Morgan Stanley 32,254.30 64 2.5 16,759.70 55 1.5 10 Royal Bank of Scotland 30,834.80 48 2.4 8,185.80 13 0.8 (Greenwich) 11 Sallie Mae 30,322.20 20 2.3 30,583.30 27 2.8 12 Washington Mutual 30,309.30 35 2.3 44,362.90 52 4.1 13 Goldman Sachs 27,886.80 57 2.2 12,172.30 31 1.1 14 UBS 25,863.50 51 2 31,168.20 49 2.9 15 Merrill Lynch 25,005.30 36 1.9 20,103.50 30 1.9 16 Halifax 24,533.20 13 1.9 14,383.30 6 1.3 17 Citigroup 23,636.50 43 1.8 27,359.00 52 2.5 18 Impac 20,440.70 21 1.6 6,858.30 20 0.6 19 Northern Rock 19,978.30 9 1.5 12,482.70 9 1.2 20 IndyMac 17,096.40 38 1.3 5,622.30 24 0.5 1,291,392.30 2163 100 1,081,500.90 2230 100 www.abalert.com 10
1 2 3 4 5 6 11
7 SPC SPC SPC 1 SPC SPC 2 SPC 3 SPC 1 7 12
2 3 4 7 SPC SPC SPC SPC (Asset pool) SPC SPC 13
2005 4 6 2003 6 p25-28 2003 10 p70-74 2004 3 p1-8 2004 101 p68-80 102 p56-68 103 p47-62 Steven L. Schwarcz(1994, The Alchemy of Asset Securitization, Stanford Journal of Law, Business & Finance, 1:133-154. Lois R. Lupica(1998), Asset Securitization: The Unsecured Creditor's Perspective, Texas Law Review 76:595-660. Bharat A. Jain(2001), Promoting Securitization in Emerging Economies, in Frank J. Fabozzi (ed.) Accessing Capital Markets through Securitization, John Wiley & Sons, p205-216. Leon T. Kendall, Securitization (1997), A New Era in American Finance, in Leon T. Kendall and Michael J. Fishman(ed.), A Primer on Securitization, Cambridge: MIT Press, p5. Walid A. Chammah(1991), An Overview of Securitization, in Joseph Norton & Paul Spellman(ed.), Asset Securitization: International Financial and Legal Perspectives, p1-15. Roever W. Alexander(1998), The Joy of Securitization: Understanding Securitization and Its Appeal, in Frank J. Fabozz(ed.), Issuer Perspectives on Securitization, New York: Wiley, p1 16. Shane A. Johnson(1998), The effect of bank debt on optimal capital structure, Financial Management, Spring, 1998, p532-544. 14