臺灣金融資產證券化之 現況與未來挑戰

20085

(2007)(subprime) 20033555,000 2002620

..

SPT or SPC

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

()

1983 Collateralized Mortgage Obligation, CMO 1987 Real Estate Mortgage Investment Conduit, REMICCMO 1980 ABS

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

(Subprime Mortgage)FICO (Fair Issac Corporation) 620620

(2008)2008 TMAT

(2008)2008 TMAT

: ::

(http://www.boma.gov.tw)

()() SPC

SPC()(http://www.boma.gov.tw)

(BBB-)10

351512

6%2%

: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)

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: