论文部分内容阅读
I. Introduction
Securitisation was developed in the US during the 1960’s as part of a public policy initiative to make more funds available for residential mortgage loans. Asset securitisation came to Europe in the early 1990’s, but issues and volumes have only increased significantly since 1997/1998. Compared to the volume of the worldwide Asset Backed Securities market being estimated today at 7, 000 bn USD , the size of the European ABS market still remains relatively modest. Adding up European gross issues of the last five years, the overall ABS market amounts to approximately 550 bn Euro, representing less than 10% of the global market. Securitisation can be defined as the process whereby loans, receivables and other financial assets are pooled together, with their cash flows or economic values redirected to support payments on related securities. These so called “sset-backed securities”(ABS) are issued and sold to investors who use securitisation to finance their business activities. The financial assets that support payments on ABS include any asset that has a reasonably ascertainable value or that generates a reasonably predictable future stream of revenue. Those assets are residential and commercial mortgage loans (residential mortgage backed securities or RMBS and commercial backed securities or CMBS) as well as non-mortgage assets such as credit card balances, consumer loans, trade receivables etc.
1. Mortgage Backed Securities (MBS)
A variety of funding instruments is used in mortgage business in Europe, more than 60% of which is still funded by deposits. However, MBS are meeting more and more mortgage lenders?requirements for various reasons. The use of MBS will depend on the specific needs of the lender with respect to its solvency ratio requirements, balance sheet structure, return on equity. It will also be influenced strongly by history, legal framework and mortgage market structure of the country where the lender operates.
Transaction structure
Mortgage securitisation is an unbundled process divided into origination, grouping and funding of loans followed by the structuring and the rating of the new mortgage assets. The credit institution first creates a legal entity known as a special purpose vehicle (SPV) and sells mortgage loans that it has originated (“eceivables”) to this SPV. The SPV issues securities that are sold to investors such as credit institutions, insurance companies, pension funds and the like. The SPV is bankruptcy-remote, which means that the assets of the SPV are legally separated from the assets of the originator, thereby leaving the SPV out of the reach of any potential receiver for the originator. A placement agent or underwriter generally serves as an intermediary between an issuer and investors in an MBS offering. The underwriter provides guidance on structuring the transaction in an efficient and cost-effective manner which includes devising one or more “ranches”of MBS that are sold to investors. The cash flows may be allocated to different tranches of debt securities to meet the needs and preferences of individual investors. The proceeds from the issuance of the securities provide the funds needed by the SPV to pay the purchase price of the assets. Usually, the bank manages the mortgage loan pool in accordance with its existing credit and collection procedures. These activities are generally referred to as “servicing”A trustee is charged to survey the servicer and the security pool. He executes the security in case of insolvency of the mortgage borrower. Rating
MBS can only be placed when they are rated by a rating agency. Rating agencies evaluate a MBS transaction by focusing on three key components: collateral quality, bankruptcy-remoteness and pool administration. The collateral evaluation consists in analysing the delinquency, foreclosure, and loss of experience of both the originator/servicer and similar mortgages. Therefore the pool is subjected to a series of stress tests designed to simulate severe economic stress. The bankruptcy-remoteness evaluation focuses on a legal analysis of the trust structure or SPV set up to hold the mortgage collateral on behalf of the security holders. The pool administration evaluation centres on the trustee and servicer and their ability to perform the administrative functions associated with the pool. The servicer is evaluated for collecting, investing and disbursing payments to investors. Historically, the rating agency evaluation of structured transactions have been extremely conservative.
Credit enhancement
In order to get a favourable rating, the rating agency demands an additional security for MBS-creditors besides the security pool (credit enhancement). A credit enhancer employs internal or external credit support to make sure that investors will receive the cash flows to which they are entitled. The external credit support is an external insurance policy purchased from an insurance company. The insurance company covers losses up to a stated percent of the original face value of the pool, on average 7-13 % depending on the quality of the mortgage collateral. The insurance could be supported by other forms of credit enhancement including over-collateralisation and cash reserve accounts. The internal credit support is the senior-subordinated structure or the senior-junior tranching. In this structure, two or more classes of MBS are created that bear differing exposures to credit losses. MBS-issuances are therefore divided into first class senior (AAA to AA) and second class junior tranches (A and lower), the latter representing 10-20 % of the total transaction volume and serving as security. Junior tranches are lower rated but offer high revenues for investors. There are one or more junior or first loss tranches that support the senior classes by absorbing credit-related losses up to the face amount of such junior classes. Only after the junior classes have disappeared do the senior classes face the risk of losses. Today,the senior-subordinated structure is the dominant form of credit enhancement for ABS/MBS. Pool insurance is mostly used for small securitisation transactions or for new asset classes where there is insufficient credit-related data to support an efficient senior subordinated structure.
欧洲按揭贷款证券化（上）
——写给评估师1
一、引言
上世纪六十年代，美国政府为了扩大住房按揭贷款融资采取了一项公共政策，即资产证券化。而资产证券化进入欧洲是在上世纪九十年代初，发行量和交易量直到1997/98年才有显著增加，但与资产证券化国际市场7万亿美元的交易量相比，欧洲资产证券化市场规模仍属于中等水平。计算过去五年的总发行量，欧洲资产证券化市场总额约为5500亿欧元，占不到全球市场10%的份额。资产证券化可以这样定义：将贷款、应收账款以及其他金融资产组合起来，并用它们所产生的现金流或经济价值去支持相关证券的支付。发行商发行“有资产担保的证券”（ABS），出售给希望通过资产证券化融资的投资者。支持ABS的金融资产包括具有可合理确定价值的、或者能够产生可合理预见的未来收益流的任何资产。这些资产可以是居住性按揭贷款、盈利性按揭贷款（居住性按揭担保证券RMBS和盈利性按揭担保证券CMBS），以及信用卡余额、消费贷款、应收账款等非按揭资产。
（一）按揭担保证券（MBS）
在欧洲，按揭贷款的融资渠道多种多样，其中60%以上的支付来源于储蓄。由于各种因素，MBS能够满足贷款方越来越多的要求，可以根据贷款方在偿债能力比率、资产负债构成、权益报酬等方面的具体要求而灵活使用。当然，贷款方所在国家的历史、法律体系以及按揭市场结构等因素也会对MBS产生重要影响。
交易构造
按揭证券化是一个分开定价的过程，分为发起、贷款组合及融资、以及之后的新按揭资产的构建和评级。信贷机构首先创立一个法人，一般被称作特殊目的载体（SPV），然后将该信贷机构的按揭贷款（“应收账款”）出售给SPV。SPV发行证券，并出售给信贷机构、保险公司、养老基金等投资者。SPV是破产隔离的，其含义是指在法律上SPV的资产与发起人2的资产是分离的，因此发起人的任何潜在接管人都不能触及SPV。在MBS销售过程中，评级机构、承销商通常是联系证券发行主体和投资者的中介。承销商从提高交易效率和节约成本方面为交易构造提供咨询，包括策划向投资者出售一个或多个MBS类别3。现金流按类别分配给债券4，从而满足不同投资者的需要和偏好。发行证券所得收入用来提供SPV购买资产所需要的资金。通常来讲，银行根据当前的信用状况和收账程序管理按揭贷款组合。这些管理活动一般被称作“服务”。受托管理人被指定监督服务人5和抵押资产。当按揭借款人不能清偿债务时，受托管理人可执行抵押资产让渡。
评级
只有经评级公司评定后，MBS才能被定级。评级公司评价某个MBS交易时通常关注三个方面：抵押物质量，破产隔离（机制）和资产组合6管理。抵押物评价包括对逾期状况、抵押物赎回权，发起人/服务人损失记录、类似按揭损失记录等内容的分析。分析是通过对资产组合进行一系列压力测试进行，这些测试是专为模拟严重的经济压力而设计的。破产隔离（机制）评价则集中在对信托结构或SPV的法律分析上，它们（SPV）代表证券持有人拥有按揭抵押资产。资产组合管理评价围绕受托管理人和服务人、及其履行资产组合相关管理职能的能力展开。评价服务商主要关注收账、投资、向投资者支付等方面。从以往经验看，评级机构对构造的交易7的评估通常是极端保守的。
信用增级
为了得到较高的信用评级，评级机构要求MBS债权人提供除抵押资产组合之外的附加抵押品（信用增级）。信用增级人8利用内部或外部增信手段确保投资者得到他们应得的现金流。外部增信手段可以是从保险公司购买外部保单。保险公司承担资产组合原始账面价值一定比例的损失，根据按揭抵押资产的质量，这一比例平均在7-13%。保险可由其他增信手段加以辅助，例如超额担保、现金储备账户。内部增信手段是指优先/次级结构或者高级/低级证券分类。在这种结构中，有两种或两种以上的MBS，分别承担不同的风险损失。MBS在发行时被分为一级优先类（AAA级或AA级）和二级低级类（A级或更低级）。后一级类一般占交易总量的10-20%，是抵押物的一部分。低级类信用级别较低，但投资者能够获得更高收益。通常设置一个或多个低级类或首先承担损失的证券级类，它们首先吸收与信贷相关的损失从而保护优先级类证券，但承担损失的金额不超过低级类证券的面值。只有当低级类证券全部损失后，优先级类才开始承担风险损失。目前，绝大多数ABS/MBS增信手段采取优先/次级结构。
（二）证券化的优点
按揭贷款机构使用资产证券化运作的原因有很多：
资产证券化提供了新的视角，即创造一个载体将流动性较差的单项金融资产转化成流动性较好的、可交易的资本市场工具；资产证券化转移了按揭贷款机构风险资产上的信贷风险，银行增加了受到较少监管压力的资本。
通过影响资产负债表，按揭贷款人锁住了相关贷款的发起收入和服务收入，同时将信贷成本有效地减少到最小。潜在的资本运作使得原始资产能够支持较高的回报率，从而使资本报酬在很大程度上得到了最优化。
与传统方式相比，资产证券化融资具有更为灵活和适应性强的特点。通过它发行人可以更好的管理资产负债表，对金融资产潜在现金流进行分割并改变其流向，从而使资产和负债在时间上更为精确和有效地匹配。
1 该文由欧盟评估师联合会（TEGoVA）于2002年底发布，德国按揭贷款银行协会对文章贡献较大。
2在资产证券化的文献中，originator通常被译作发起人，有时也被译作原始权益人。根据按揭证券化的具体运作，发起人、资产出售人通常都是提供贷款的信贷机构。
3 见后文对MBS类别的阐述。
4 即MBS。
5 服务人，servicer对应前文的servicing。
6 Pool，原意为“池”，此处可译为“资产池”、“资产组合”。
7 Structured，意为有安排的、有组织的。
8 即SPV。
Securitisation was developed in the US during the 1960’s as part of a public policy initiative to make more funds available for residential mortgage loans. Asset securitisation came to Europe in the early 1990’s, but issues and volumes have only increased significantly since 1997/1998. Compared to the volume of the worldwide Asset Backed Securities market being estimated today at 7, 000 bn USD , the size of the European ABS market still remains relatively modest. Adding up European gross issues of the last five years, the overall ABS market amounts to approximately 550 bn Euro, representing less than 10% of the global market. Securitisation can be defined as the process whereby loans, receivables and other financial assets are pooled together, with their cash flows or economic values redirected to support payments on related securities. These so called “sset-backed securities”(ABS) are issued and sold to investors who use securitisation to finance their business activities. The financial assets that support payments on ABS include any asset that has a reasonably ascertainable value or that generates a reasonably predictable future stream of revenue. Those assets are residential and commercial mortgage loans (residential mortgage backed securities or RMBS and commercial backed securities or CMBS) as well as non-mortgage assets such as credit card balances, consumer loans, trade receivables etc.
1. Mortgage Backed Securities (MBS)
A variety of funding instruments is used in mortgage business in Europe, more than 60% of which is still funded by deposits. However, MBS are meeting more and more mortgage lenders?requirements for various reasons. The use of MBS will depend on the specific needs of the lender with respect to its solvency ratio requirements, balance sheet structure, return on equity. It will also be influenced strongly by history, legal framework and mortgage market structure of the country where the lender operates.
Transaction structure
Mortgage securitisation is an unbundled process divided into origination, grouping and funding of loans followed by the structuring and the rating of the new mortgage assets. The credit institution first creates a legal entity known as a special purpose vehicle (SPV) and sells mortgage loans that it has originated (“eceivables”) to this SPV. The SPV issues securities that are sold to investors such as credit institutions, insurance companies, pension funds and the like. The SPV is bankruptcy-remote, which means that the assets of the SPV are legally separated from the assets of the originator, thereby leaving the SPV out of the reach of any potential receiver for the originator. A placement agent or underwriter generally serves as an intermediary between an issuer and investors in an MBS offering. The underwriter provides guidance on structuring the transaction in an efficient and cost-effective manner which includes devising one or more “ranches”of MBS that are sold to investors. The cash flows may be allocated to different tranches of debt securities to meet the needs and preferences of individual investors. The proceeds from the issuance of the securities provide the funds needed by the SPV to pay the purchase price of the assets. Usually, the bank manages the mortgage loan pool in accordance with its existing credit and collection procedures. These activities are generally referred to as “servicing”A trustee is charged to survey the servicer and the security pool. He executes the security in case of insolvency of the mortgage borrower. Rating
MBS can only be placed when they are rated by a rating agency. Rating agencies evaluate a MBS transaction by focusing on three key components: collateral quality, bankruptcy-remoteness and pool administration. The collateral evaluation consists in analysing the delinquency, foreclosure, and loss of experience of both the originator/servicer and similar mortgages. Therefore the pool is subjected to a series of stress tests designed to simulate severe economic stress. The bankruptcy-remoteness evaluation focuses on a legal analysis of the trust structure or SPV set up to hold the mortgage collateral on behalf of the security holders. The pool administration evaluation centres on the trustee and servicer and their ability to perform the administrative functions associated with the pool. The servicer is evaluated for collecting, investing and disbursing payments to investors. Historically, the rating agency evaluation of structured transactions have been extremely conservative.
Credit enhancement
In order to get a favourable rating, the rating agency demands an additional security for MBS-creditors besides the security pool (credit enhancement). A credit enhancer employs internal or external credit support to make sure that investors will receive the cash flows to which they are entitled. The external credit support is an external insurance policy purchased from an insurance company. The insurance company covers losses up to a stated percent of the original face value of the pool, on average 7-13 % depending on the quality of the mortgage collateral. The insurance could be supported by other forms of credit enhancement including over-collateralisation and cash reserve accounts. The internal credit support is the senior-subordinated structure or the senior-junior tranching. In this structure, two or more classes of MBS are created that bear differing exposures to credit losses. MBS-issuances are therefore divided into first class senior (AAA to AA) and second class junior tranches (A and lower), the latter representing 10-20 % of the total transaction volume and serving as security. Junior tranches are lower rated but offer high revenues for investors. There are one or more junior or first loss tranches that support the senior classes by absorbing credit-related losses up to the face amount of such junior classes. Only after the junior classes have disappeared do the senior classes face the risk of losses. Today,the senior-subordinated structure is the dominant form of credit enhancement for ABS/MBS. Pool insurance is mostly used for small securitisation transactions or for new asset classes where there is insufficient credit-related data to support an efficient senior subordinated structure.
欧洲按揭贷款证券化（上）
——写给评估师1
一、引言
上世纪六十年代，美国政府为了扩大住房按揭贷款融资采取了一项公共政策，即资产证券化。而资产证券化进入欧洲是在上世纪九十年代初，发行量和交易量直到1997/98年才有显著增加，但与资产证券化国际市场7万亿美元的交易量相比，欧洲资产证券化市场规模仍属于中等水平。计算过去五年的总发行量，欧洲资产证券化市场总额约为5500亿欧元，占不到全球市场10%的份额。资产证券化可以这样定义：将贷款、应收账款以及其他金融资产组合起来，并用它们所产生的现金流或经济价值去支持相关证券的支付。发行商发行“有资产担保的证券”（ABS），出售给希望通过资产证券化融资的投资者。支持ABS的金融资产包括具有可合理确定价值的、或者能够产生可合理预见的未来收益流的任何资产。这些资产可以是居住性按揭贷款、盈利性按揭贷款（居住性按揭担保证券RMBS和盈利性按揭担保证券CMBS），以及信用卡余额、消费贷款、应收账款等非按揭资产。
（一）按揭担保证券（MBS）
在欧洲，按揭贷款的融资渠道多种多样，其中60%以上的支付来源于储蓄。由于各种因素，MBS能够满足贷款方越来越多的要求，可以根据贷款方在偿债能力比率、资产负债构成、权益报酬等方面的具体要求而灵活使用。当然，贷款方所在国家的历史、法律体系以及按揭市场结构等因素也会对MBS产生重要影响。
交易构造
按揭证券化是一个分开定价的过程，分为发起、贷款组合及融资、以及之后的新按揭资产的构建和评级。信贷机构首先创立一个法人，一般被称作特殊目的载体（SPV），然后将该信贷机构的按揭贷款（“应收账款”）出售给SPV。SPV发行证券，并出售给信贷机构、保险公司、养老基金等投资者。SPV是破产隔离的，其含义是指在法律上SPV的资产与发起人2的资产是分离的，因此发起人的任何潜在接管人都不能触及SPV。在MBS销售过程中，评级机构、承销商通常是联系证券发行主体和投资者的中介。承销商从提高交易效率和节约成本方面为交易构造提供咨询，包括策划向投资者出售一个或多个MBS类别3。现金流按类别分配给债券4，从而满足不同投资者的需要和偏好。发行证券所得收入用来提供SPV购买资产所需要的资金。通常来讲，银行根据当前的信用状况和收账程序管理按揭贷款组合。这些管理活动一般被称作“服务”。受托管理人被指定监督服务人5和抵押资产。当按揭借款人不能清偿债务时，受托管理人可执行抵押资产让渡。
评级
只有经评级公司评定后，MBS才能被定级。评级公司评价某个MBS交易时通常关注三个方面：抵押物质量，破产隔离（机制）和资产组合6管理。抵押物评价包括对逾期状况、抵押物赎回权，发起人/服务人损失记录、类似按揭损失记录等内容的分析。分析是通过对资产组合进行一系列压力测试进行，这些测试是专为模拟严重的经济压力而设计的。破产隔离（机制）评价则集中在对信托结构或SPV的法律分析上，它们（SPV）代表证券持有人拥有按揭抵押资产。资产组合管理评价围绕受托管理人和服务人、及其履行资产组合相关管理职能的能力展开。评价服务商主要关注收账、投资、向投资者支付等方面。从以往经验看，评级机构对构造的交易7的评估通常是极端保守的。
信用增级
为了得到较高的信用评级，评级机构要求MBS债权人提供除抵押资产组合之外的附加抵押品（信用增级）。信用增级人8利用内部或外部增信手段确保投资者得到他们应得的现金流。外部增信手段可以是从保险公司购买外部保单。保险公司承担资产组合原始账面价值一定比例的损失，根据按揭抵押资产的质量，这一比例平均在7-13%。保险可由其他增信手段加以辅助，例如超额担保、现金储备账户。内部增信手段是指优先/次级结构或者高级/低级证券分类。在这种结构中，有两种或两种以上的MBS，分别承担不同的风险损失。MBS在发行时被分为一级优先类（AAA级或AA级）和二级低级类（A级或更低级）。后一级类一般占交易总量的10-20%，是抵押物的一部分。低级类信用级别较低，但投资者能够获得更高收益。通常设置一个或多个低级类或首先承担损失的证券级类，它们首先吸收与信贷相关的损失从而保护优先级类证券，但承担损失的金额不超过低级类证券的面值。只有当低级类证券全部损失后，优先级类才开始承担风险损失。目前，绝大多数ABS/MBS增信手段采取优先/次级结构。
（二）证券化的优点
按揭贷款机构使用资产证券化运作的原因有很多：
资产证券化提供了新的视角，即创造一个载体将流动性较差的单项金融资产转化成流动性较好的、可交易的资本市场工具；资产证券化转移了按揭贷款机构风险资产上的信贷风险，银行增加了受到较少监管压力的资本。
通过影响资产负债表，按揭贷款人锁住了相关贷款的发起收入和服务收入，同时将信贷成本有效地减少到最小。潜在的资本运作使得原始资产能够支持较高的回报率，从而使资本报酬在很大程度上得到了最优化。
与传统方式相比，资产证券化融资具有更为灵活和适应性强的特点。通过它发行人可以更好的管理资产负债表，对金融资产潜在现金流进行分割并改变其流向，从而使资产和负债在时间上更为精确和有效地匹配。
1 该文由欧盟评估师联合会（TEGoVA）于2002年底发布，德国按揭贷款银行协会对文章贡献较大。
2在资产证券化的文献中，originator通常被译作发起人，有时也被译作原始权益人。根据按揭证券化的具体运作，发起人、资产出售人通常都是提供贷款的信贷机构。
3 见后文对MBS类别的阐述。
4 即MBS。
5 服务人，servicer对应前文的servicing。
6 Pool，原意为“池”，此处可译为“资产池”、“资产组合”。
7 Structured，意为有安排的、有组织的。
8 即SPV。