資產證券化Asset Backed Securitization

基本概念

資產證券化 (Asset Securitization) 是指企業單位或金融機構將其能產生現金收益的資產加以群組 (Pooling) ，然後發行證券 (Securities) ，出售給有興趣的投資人，藉此過程，企業單位或金融機構能向投資人籌措資金。

基本概念轉付證券之形成原理

資產證券化之發展1930 年代 聯邦國家房貸協會 (Federal National Mor

tgage Association, FNMA)1970 年代 房貸轉付證券 (Mortgage Pass Through,

MPT)1980 年代初期 擔保房貸憑證 (Collateralized Mortgage

Obligation, CMO)

不動產證券化之意義證券化的種類不動產市場的困境不動產證券化的立法內容不動產證券化的供給不動產證券化的需求對不動產業的建議

不動產證券化之意義證券化的種類不動產市場的困境不動產證券化的立法內容不動產證券化的供給不動產證券化的需求 不動產證券化契約

房地產市場的困境 21 世紀不動產市場行銷處表示，目前全台餘屋高達 100 萬

戶以上。 根據台電所統計「非營業用電不足底度戶數」的預估，台

灣目前的餘屋量在一百萬戶左右，大高雄與大台中地區的空屋數都高達 10 萬多戶，台北縣也將近 10 萬戶，由於這些地區新屋供給大幅成長，導致新空屋大幅增加，也造成這些地區的房價一直呈現低空盤旋的狀態。

經建會指出，預估今後每年的住宅需求為 12 萬至 14 萬戶，但房屋市場供給量卻有 15 萬戶，表示房市呈現供過求的現象。

金融機構的困境 由於房地產景氣持續低迷，造成企業及個人的財務狀況惡

化，銀行體系不動產放款呆帳的持續擴大，導致銀行逾放比率居高不下，財政部雖然實施一連串打消銀行呆帳的措施，但至今仍未能明顯降低銀行逾放比。

國際性的英國經濟學人雜誌更表示，台灣金融機構的實際逾放比是官方公佈的 2-3 倍，在金融體質日益惡化、股市疲弱不振下，銀行業將遭受重大損失、爆發嚴重的金融危機。

各界對銀行逾放比的預估由 8.4﹪至 17﹪不等，預估的逾放金額介於新台幣一兆至三兆元之間。

金融機構逾放比

資料來源：財政部金融局

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2.00

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8412 8503 8506 8509 8512 8603 8606 8609 8612 8703 8706 8709 8712 8803 8806 8809 8812 8903 8906 8909 8912 9003

總計 本國銀行(含信託投資公司)

外國銀行在華分行 基層金融機構

間接金融 v.s. 直接金融

資金需求者 Savers/investors

Investment banks

資金需求者 Savers/investors銀行loans

資金 資金

儲蓄

資金

securities

房地產市場與資本市場的連結

房地產市場 資本市場

證券化

證券化定義 證券化 (securitization)-

簡言之，凡是以發行證券直接在資本市場上籌措資金的叫做證券化；或言，利用發行證券的形式到資本市場籌措資金，而投資人對標的資產的未來現金流量具有求償權。

the sale of securities backed by the cash flows from a pool of financial assets, such as loans or leases. 

Definition by the Securities and Exchange Commission of the USA “securities that are primarily serviced by the cashflows of a discrete pool of receivables or other financial assets, either fixed or revolving, that by their terms convert into cash within a finite time period plus any rights or other assets designed to assure the servicing or timely distribution of proceeds to the security holders”

證券化架構 Securitization Structure

證券化架構 Securitization Structure

證券化種類

證

券

化

不動產證券化 土地信託…等。

信用卡、應收帳款等證券化資產證券化

投資信託

債權證券化

不動產有限合 (RELPs) 、不動產投資信託 (REITs)……等。

抵押債權證券 (MBSs) 、附屬抵押債權證券 (CMOs)……等。

國內目前發展狀況

都市更新投資信託基金不動產證券化金融資產證券化

Defining Secondary Mortgage Market

借

款

人

貸

款

初

級 市

場

貸

款

次

級

市

場

資

本

市

場

貸款契約 貸款契約 證 券

資 金 資 金 資 金

經濟環境法律規範

不動產證券化之意義•就是將龐大、不具流動性的不動產所有權，切割成無數個可流動、

可交易的小單位有價證券。 •將直接持有不動產所有權之關係，轉變為持有表彰不動產經濟價值

之有價證券。•將不動產由原先僵固性之資產型態，轉化為具流動性之有價證券型

態，以充分結合不動產與資本市場之特性。 •運用募集自社會大眾之資金進行不動產專案開發計劃，並藉由專業

不動產開發管理機構的協助，進行不動產開發 。

投

資

大

眾資金導入

將不動產權利予以證券化

不動產開發

不動產證券化之優點 (一 )就經濟面而言：

調整直接擁有不動產所有權之投資觀念。

增加不動產之投資管道。

建立不動產資本市場。

藉由證券交易之流通提高，不動產之變現能力。

以不動產證券化方式，募集資金加速公共建設。

擴大海外發行市場，吸引外資投資我國不動產證券化。

不動產證券化之優點 (二 )就經營者而言：

透過證券化機制向大眾募集資金，以利大型開發計劃 之推動。

分散進行大型開發計劃之投資風險。

透過專業不動產開發機構之經營，促使房地產經營管 理更為專業化。

不動產證券化之優點 (三 )

就投資者而言：

提供投資者以較小金額資金，參與不動產開發之機會。

投資者可選擇投資辦公大樓、商場、遊樂場等各市之不 動產證券化商品，利用投資組合分散投資風險。

提供投資之節稅機會。

不動產證券化之機制 (一 )不動產證券化條例所採取之機制

以「資金」為核心之不動產投資信託 (REIT) ─ 募集「不動產投資基金」以投資不動產或 不動產相關證券。以「不動產」為核心之不動產資產信託 (CMBS) ─ 針對「特定之不動產」向投資人募集資金以進 行該等不動產之開發管理。 ─ 依交易實質為銷售或融資，以及是否自委託人 帳載除列，可分為融資型及買賣型資產信託二 類。 ─ 新光人壽之中山大樓不動產證券化係屬銷售型 之不動產資產信託。

不動產證券化之機制 (二 )不動產投資信託 ─ 募集「投資基金」用以投資不動產開發

不動產開發 管理機構

受託機構( 信託公司 )

投資基金

投資大

眾

購買不動產 / 相關權利 / 相關有價證券

出資

受益憑證

基金投資運用管理或開發

委任( 支付委任報酬 )

不動產證券化之機制 (三 )不動產資產信託

─ 針對「特定不動產」向投資大眾募集資金進行開發─ 依信託讓與是否無須返還委託人區分為融資型與銷 售型

不動產業主 受託機構( 信託公司 )

投資大

眾

不動產

出資

發行受益憑證 信託讓與( 所有權或地上權 )

不動產管理 開發機構

委任( 收取委任報酬 )

包含建築開發業、營造業、建築經理業、不動產租賃業或其他經主管機關核准者

證券化的種類 定義：證券化是將一群具有價值的資產匯集起來，透

過發行機構，發行標準化、單位化的受益憑證給投資人，投資人對標的資產所產生的現金流量具有求償權。

金融資產證券化 抵押貸款證券化 (mortgage-backed securitie

s) 其他資產證券化 (asset-backed securities) 不動產證券化 資產信託 (land trust) 投資信託 (real estate investment trusts, R

EITs)

「不動產投資信託」主要係參考美國 REITs 之模式，由受託機構向投資人募集資金而成立不動產投資信託基金後，用以投資不動產、不動產相關權利、不動產相關有價證券或其他主管機關核准投資之標的，並發行不動產投資信託受益證券，以表彰投資人對於信託財產之權益，不動產投資信託投資所得之利益則由全體受益人依不動產投資信託契約約定共享。

「不動產資產信託」則主要是參考日本模式之「資產流動化法」制度，由委託人將其所持有之不動產或不動產相關權利信託予受託機構後，以所信託之不動產或不動產相關權利為標的發行不動產資產信託受益證券予投資人，受託人並依不動產資產信託契約自行或委託不動產開發或管理機構進行不動產之開發、管理或處分，受益人則依不動產資產信託契約約定享有不動產資產信託之信託利益。

不動產證券化的實施 可將不動產市場與資本市場連結起來。 透過受益憑證的發行，投資者可以參與不動產的開發

與經營。 不動產市場可以從資本市場獲得足夠的資金來從事開

發與經營，並透過資本市場的監督可以使不動產開發與經營更具效率，提昇不動產市場的經營績效。

對資本市場而言，則是可以有一個新的投資工具，供投資者選擇。不動產證券化所發行的受益憑證是可上市交易的有價證券，且標的資產可提供長期穩定的現金流量，尤其適合中度風險與中度報酬的投資者投資。

哪些資產適合做不動產證券化的標的 1. 能在未來產生穩定、可預測的現金流量。 2. 發起人對標的資產的經營管理熟悉。 3. 資產的同質性高。 4. 資產本身有高的變現價值。 5. 資產本身的維護容易，價值保存容易。 6. 不宜有一金額大的資產所占比例過高。 7. 不宜有債務人有修改契約內容的權利：或有

主管機構對資產營運有太多限制，干涉的空間。

不動產市場的困境 不動產市場資金最主要的來源是向銀行借款的

間接金融，銀行是主要的風險承擔者。政府所採取的是治標的低利貸款措施，來減輕

不動產市場的壓力，進而舒緩金融風暴的危機。 為有效解決不動產市場資金問題，是以有不動

產證券化之倡議，希望藉由不動產證券化之建立，使得不動產市場與資本市場間有所連結，讓不動產市場能順利藉由直接金融到資本市場上去籌資，達到分散風險，增加流動性，及提升經營效率之目的。

「不動產證券化條例」開宗明義的說明

不動產券化的目的在促進不動產市場的發展。證券化在不動產市場與資本市場之間建立了管道，兩個市場因而結合，而要使不動產證券化成功，就得由這兩個市場充分合作，兩個市場中的專業知識、專業人才相互合作才行。

不動產證券化條例之立法歷程立法目標：促進不動產市場及資本市場相互發展。

參酌美國及日本不動產投資及資產信託制度制定本法。

於九十二年七月九日立法院三讀通過，七月二十三日 頒布施行。

財政部於九十二年十二月二日發布不動產證券化條例 施行細則。

不動產市場房貨車貨

不動產證券化信託基金

資本市場投資人

不動產證券化的立法內容 不動產證券化的立法歷程 八十七年完成「都市更新投資信託基金」的辦法。  90.12.13 行政院研議敲定「不動產證券化」相關政策 理律法律事務一月底完成草擬「不動產證券化條例」草案。

經建會委員會議三月十一日通過「不動產證券化條例」草案。

91.03.22 行政院通過「不動產證券化條例」草案，計畫將於三月底向立法院提出。

91.6 一讀通過 92.7.9 三讀通過

發起人資格：靠行問題，設立門檻 本來，採信託架構作為證券化的導管體，而依法得辦理信託業務者，僅限於信託業法所稱之信託業得為不動產證券化之發起機構。

後來，增列第四條第三項 ，允許成立僅辦理不動產投資信託或不動產資產信託業務之信託業，並規定主管機關得就其最低實收資本額、股東結構、負責人資格條件、經營與管理人員專門學識或經驗、業務限制另定之。

未來僅辦理不動產投資信託業務的信託公司，最低實收資本額十億元，若僅辦理不動產資產信託，資本額只要三億元。

而僅辦理不動產投資或資產信託的信託公司，得由具有不動產管理經驗，且成立滿五年以上、實收資本額十億元以上，股票公開發行的不動產管理機構，來出任專業發起人及股東。

具有不動產管理經驗，且成立滿五年以上，實收資本額達台幣十億元以上，並經公開發行的不動產管理機構，均可擔任不動產信託公司的專業發起人與股東。

「不動產管理機構」，乃指建築開發業、營造業、建築經理業、不動產租賃業或其他經中央目的事業主管機關核定公告之事業。

日本之不動產證券化制度原先僅有「資產流動型」，之後又引進「資產運用型」（類似美國「不動產投資信託」）模式，形成雙制並行。至於我國不動產證券化究應採雙制並行之「不動產投資信託」與「不動產資產信託」，抑或單採「不動產投資信託」制度，引發諸多爭議。有人認為我國應可單一採用美國之「不動產投資信託」即可。另有人認為我國國情與日本相近，參考日本採雙制並存之做法應較為可行。

開發部分已被刪除三讀通過條文中刪除與「開發」有關之文字，將尚待開發之土地排除於證券化之列。

投資信託以基金形式為之，強調封閉形基金

[ 不動產證券化條例 ]草案第十六條規定，不動產投資信託基金，以封閉型基金為限。但經主管機關核准者，得募集附買回時間、數量或其他限制之開放型基金。

建議初期宜仍以「封閉型基金」為主，再視狀況逐步解除對「開放型基金」之限制。

委外管理 我國考量其專業能力，允許自行或委外

管理皆可 日本只允許外部管理，美國、荷蘭、及比利時等國都由外部管理轉為內部管理。

舉債部分受託機構得依不動產投資信託契約之約

定，以信託財產借入款項。但借入款項之目的，以不動產營運，或以配發利益、孳息或其他收益所必需者為限。

證券設計[ 不動產證券化條例 ]中並未見受益證券種類之詳細規定，則未來受託機構是否得以發行不同種類之受益憑證，例如是否可以發行不同種類，不同到期日、不同票面利率的債券、或不同配股優先次序的權益型證券？恐將引發爭議。

[不動產證券化條例 ]中有關證券形式的相關規定有第四條第五款

受益證券：指下列不動產投資信託受益證券及不動產資產信託受益證券：

（一）不動產投資信託受益證券：指受託機構為不動產投資信託基金而發行或交付表彰受益人享有該信託財產及其所生利益、孳息及其他收益之受益權持分之權利憑證或證書。

（二）不動產資產信託受益證券：指受託機構為不動產資產信託而發行或交付表彰受益人享有該信託財產本金或其所生利益、孳息及其他收益之受益權持分之權利憑證或證書。

另第五條規定：「依本條例規定募集或私募之受益證券，為證券交易法第六條規定經財政部核定之其他有價證券。」

金融資產證券化條例，該條例第十五條即規定：「受託機構得依資產信託證券化計劃，發行各種種類及期間之受益證券。」，針對受益證券之發行種類即予以明確規定。

稅不動產證券化條例採分離課稅的方式，

稅率為 6 ％，不同於現行不動產交易所得必須併入綜合所得稅課徵

因「開發」部分已刪除，原來規定有關開發的地價稅及房屋稅部份以刪除。

第五十一條　　不動產投資信託或不動產資產信託以土地為信託財產，並以其為標的募集或私募受益證券者，該土地之地價稅，於信託關係存續中，以受託機構為納稅義務人。其應納稅額之計算，就該信託計畫在同一直轄市或縣（市）轄區內之所有信託土地合併計算地價總額，依土地稅法第十六條規定稅率課徵地價稅。

第五十二條　　依不動產資產信託契約約定，信託土地於信託終止後毋須返還委託人者，於信託行為成立移轉土地所有權時，以委託人為納稅義務人，課徵土地增值稅，不適用土地稅法第二十八條之三規定。

不動產估價不動產估價制度完備，可使銀行、不動

產開發機構辦理證券化業務時，所取得得估價報告更具專業與公信力，改善目前估價失真、虛報資產等亂象，而使不動產能真正反應市價，達到交易公平透明化。

信用評等 建立良好的信評機制與善用評等資訊。證期會

先於 2000年 3月公佈修正「發行人募集與發行有價證券處理規則」，明文規定發行公司債必須檢附信用評等報告。同年 9月，「健全房地產市場措施推動小組」建議國內成立第二家信用評等公司；財政部也表示將對資產管理公司收購債權建立信用評等機制，要求資產管理公司發行共同基金購買金融機構債權時，須對債權進行信評，並揭露相關資訊，以利投資者了解債權品質。

不動產證券化的供給個別資產的資產信託投資信託基金

不動產證券化的需求個人投資者機構投資者國外投資者

不動產投資信託與不動產資產信託之比較(一 )

不動產投資信託 不動產資產信託成立不動產投資信託基金，除主管機關核准外，該不動產信託基金以封閉型基金為限，原則上公開募集發行。

將該不動產移轉予受託機構並發行受益證券。受託機構以信託財產為基礎發行不同證券，可經由私募或公開發行等方式募集。

募

集

方

式

投

資

標

的 不動產、不動產相關權利、不動產相關有價證券、其他經主管機關核准投資標的而成立之信託。

已有穩定收入之不動產或已有穩定收入之不動產相關權利

不動產投資信託與不動產資產信託之比較(二 )

不動產投資信託 不動產資產信託受

益

方

式

案

例

其

他

受益人以所持有之受益證券表彰對該基金之受益權

受益人以所持有之受益證券，得間接享有對不動產或相關權利之收益

富邦一號不動產投資信託基金 (尚未發行 )

萬國商業 (IBM) 大樓新光人壽中山大樓

型態上並無特別區分

依信託契約條件不同，主要分買賣型及融資型二類。主要區分以是否實質銷售及不動產是否自委託人帳載除列來區分。

新光人壽中山大樓與宏泰世紀大樓部分樓層不動產資產信託比較

不動產資產 證券化

新光人壽持有之中山大樓不動產資產信託

宏泰世紀大樓部分樓層不動產資產信託

委託人 新光人壽保險股份有限公司 富泰建設股份有限公司全億建設股份有限公司

發行總金額 新臺幣 28億元 新臺幣 44.40億元

優先順位受益證券

A 券：金額為 8.73億元 (31.18%) 票面利率為年息 2.70% Aaa..tw 存續期間 4.07 年

A 券：金額為 17.4億元 (39.19%) 票面利率為年息 2.80% Fitch AAA(.tw) 存續期間 4.86 年

新光人壽中山大樓與宏泰世紀大樓部分樓層不動產資產信託比較續

優先順位

受益證券

B 券：金額為 2.23億元

(7.96%)

票面利率為年息 2.85%

A2..tw

B 券：金額為 3.55億元

(8.00%)

票面利率為年息 3.00%

Fitch A(.tw)

C 券：金額為 1.24億元

(4.43%)

票面利率為年息 3.00%

Baa3..tw

不動產資產

證券化

新光人壽持有之中山大

樓不動產資產信託

宏泰世紀大樓部分樓層

不動產資產信託

新光人壽中山大樓與宏泰世紀大樓部分樓層不動產資產信託比較續

次順位受益證券

金額為 15.8億元 (56.43%)為無約定票面利率由新光人壽持有

C 券：金額為 2.5億元 (5.63%)D 券：金額為 20.95億元 (47.18%) 為無約定票面利率 由富泰建設全億建 設持有

發行年期 5年

6年

不動產資產

證券化

新光人壽持有之中山大

樓不動產資產信託

宏泰世紀大樓部分樓層

不動產資產信託

※C 券無信評之私募債券 次順位受益證券註

分析兩案之發行條件差異如下：就發行利率而言，投資人再選擇不動產證券投資標的時，須考量各券之信評、流動性及存續期間等因素再對照現行公債利率予以加碼。

就還本來源，融資型與賣斷型所考量的因素是相同的。新光中山大樓案於發行其第五年即處分大樓，做為還本之準備，宏泰世紀大樓案則予第六年期滿時視委託人還款與否，再決定是否進行公開標售，以做為還本來源。此外兩案皆有提前還本機制，新光中山大樓案每半年最多可提前償還 3250萬，宏泰世紀大樓案則為 6000萬元。

就不動產證券化價值評估，採比較法 (35%) 、直接資本化法 (35%) 、折現現金流量分析法 (DCF)(30%) 推定最後價格。

不動產證券化之稅賦優惠證券交易稅：受益證券交易免徵證券交易稅。 ( 不動產證 券化條例第 49 條、證券交易法第 6 條 )

所得稅：信託利益應每年分配，並於分配時依規定扣繳率 6% 分離課稅。如受益人為營利事業者，其由受託 機構分配之利息所得，應全額認屬該營利事業之 所得，並計入當年度未分配盈餘，其分離課稅之 扣繳稅款屬該營利事業繳納之稅款，可予利息所 得實際分配日，全額計入其股東可扣抵稅額帳戶 餘額。 ( 不動產證券化條例第 50 條、所得稅法第 66 之 3 條 )

不動產證券化下受益證券持有人之稅賦規定(一 )

買賣受益證券證券交易稅 依不動產證券化條例第四十九條：發行或交付之受益證券 ，其買賣或經受託機構依信託契約之約定收回者，免徵證 券交易稅。

證券交易所得稅 依所得稅法第四條之依規定停徵證券交易所得稅。

不動產證券化下受益證券持有人之稅賦規定(二 )

獲配信託利益所得稅 ─ 個人 依不動產證券化條例第五十條之規定：發行之受益證券 所分配之信託利益，為受益人之利息所得，依規定之扣 繳率 6% 分離課稅，不併計受益人之綜合所得稅總額，亦 及不受儲蓄投資每年二十七萬免稅額之限制。

─ 營利事業 依不動產證券化條例規定發行之受益證券所分配之信託 利益，為受益人之利息所得，依規定之扣繳率 6% 分離課 稅，不併計受益人之營利事業所得額，並應計入當年未 分配盈餘，其分離課稅之扣繳稅款屬該營利事業繳納之 稅款，可於利息所得實際分配日全額計入其股東可扣抵 稅額帳戶餘額，

不動產證券化下受益證券持有人之稅賦規定(三 )

收回原始投資本金

受託機構以信託利益償還受益人證券之原始投資本金時， 就受益人而言，係屬本金之退回，非利息所得，免扣繳稅 款無須課征所得稅。

對不動產業的建議推出好的產品：提出好的典範。聯合力量，一起努力推動不動產證券化成立不動產專業投資銀行。吸引外資，吸引國外的投資基金前來投

資。加強不動產管理能力，爭取委外管理部

分的業務。

抵押貸款相關計算Mortgage Calculation

WHAT ARE MORTGAGE SECURITIES?

Mortgage pass-through securities

Features of Pass-Through

Pass-through cash flows

Pricing and Yields

Collateralized Mortgage Obligations (CMO)

WHAT ARE MORTGAGE SECURITIES?

Mortgage securities represent an ownership

interest in mortgage loans made by financial institutions (savings and loans, commercial banks or mortgage companies) to finance the borrower's purchase of a home or other real estate. Mortgage securities are created when these loans are packaged, or "pooled," by issuers or servicers for sale to investors. As the underlying mortgage loans are paid off by the homeowners, the investors receive payments of interest and principal.

MBS TYPES Mortgage pass-through securities (MPTs)

– Mortgage-backed security (MBS): FNMA

– Participation Certificates (PCs): FHLMC

– Ginnie Maes

– Private Pass-throughs Mortgage Backed Bonds (MBBs) Other Mortgage Derivative Securities

– Collateralized Mortgage Obligations (CMOs)

– Interest Only (IOs) and Principal Only (POs) Commercial Mortgage Backed Securities (CMBS)

Mortgage pass-through securities The most basic mortgage securities, known as "pass-throughs,"

or participation certificates (PCs), represent a direct ownership interest in a pool of mortgage loans.

These are debt obligations backed by a pool of mortgages. They usually have a pass through feature. Ginnie Mae's are the most popular type of this security. Investors have an 'undivided' interest in the pool. The investor doesn't own any particular mortgage. Rather, he has a proportionate interest in the cash flow generated by the entire pool. When we talk about a pass through feature, we mean that multi-payments of interest, principal, and sometimes pre-payment of mortgages, are passed through to the investor.

Mortgage pass-through securities

Ginnie Mae's (Government National Mortgage Association) are comprised of VA guaranteed loans or FHA insured mortgages and are backed by the full faith and credit of the U.S. Government. Payments are received monthly by the investor.

Mortgage pass-through securities

Fannie Mae's (FNMA) are another type of pass throug

h. Fannie Mae's consist of some conventional mortgage

s and FHA insured mortgages. Fannie Mae's are not gu

aranteed by the full faith and credit of the U.S. Govern

ment. However, it is unlikely that the government woul

d permit them to default. The yields on Fannie Mae's a

re slightly better than Ginnie Mae's.

Freddie Mac's (Federal Home Mortgage Corporation)

are similar to Fannie Mae. Freddie Mac's are 'Particip

ation Certificates or PC's. These are comprised of FHO

MC conventional mortgages on single family homes. Fr

eddie Mac's are not guaranteed by the full faith and cre

dit of the U.S. Government. Therefore, the yield of Fre

ddie Mac's is a little better than Ginnie Mae's.

Mortgage pass-through securities

Mortgage pass-through securities

Features of Pass-Through Pass-Through Treasuries

Credit risk Generally high grade Government guaranteed

Liquidity Good for agency issued/guaranteed pass-through

Excellent

Range of Coupons Full range Full range

Range of Maturities Medium and long term (fast-paying and seasoned pools can provide shorter maturities than stated)

Full range

Call Protection Complex prepayment pattern Noncallable (some exception)

Frequency of Payment Monthly payment of principal and interest

Semiannual interest payment

Average Life Lower than for bullets of comparable maturity; can only be estimated due to prepayment risk

Estimate only for small number of callable issues; otherwise, known with certainty

Duration/Interest rate Risk Function of prepayment risk; can only be estimated,; can be negative when prepayment if high

Unless callable, a simple function of yield, coupon, and maturity; is known with certainty

Basis for Yield Quotes Cash flow yield based on monthly payments and a constant CPR assumption

Based on semiannual coupon payments and 365-day year.

Settlement Once a month Any business day

Ginnie Mae I MBS Ginnie Mae II MBS

Issuer Ginnie Mae approved mortgage lender (single issuers) Ginnie Mae approved mortgage lender (single or multiple issuers)

Underlying Mortgages Government insured or guaranteed loans (FHA, VA, RHS) Government insured or guaranteed loans (FHA, VA, RHS)

Pool Types Single-Family Level Payment MortgageSingle-Family Graduated Payment Mortgage Single-Family Growing Equity MortgageSingle-Family Buydown MortgageManufactured HousingSerial NotesMultifamily Construction LoanMultifamily Project Loan

Single-Family Level Payment MortgageSingle Family Graduated Rate MortgageSingle-Family Growing Equity MortgageSingle-Family Adjustable Rate MortgageManufactured Housing

Interest Rate on Underlying Mortgages

All mortgages in a pool have the same interest rate (except manufactured housing pools)

Mortgages in a pool may have interest rates that vary within a one percent range (except manufactured housing pools)

Guaranty Timely payment of principal and interest Timely payment of principal and interest

Guarantor Ginnie Mae (full faith and credit of United States) Ginnie Mae (full faith and credit of United States)

Principle and Interest Paid monthly to securities holders Paid monthly to securities holders

Payment Date 15th of the month 20th of the month

Record Date Final day of the month before payment Final day of the month before payment

Maturity Maximum 30 years for single-family, 40 years for multifamily Maximum 30 years

Minimum Certificate Size

$25,000; $1 Increments $25,000; $1 increments

Minimum Pool Size $1,000,000 (single-family); $250,000 (multifamily) $250,000 to $1,000,000 depending on pool type

Pass-through cash flows

Monthly payments consisting of – Interest on the mortgage

– Scheduled principal repayments.

– Unscheduled principal repayments.

The cash flow is reduced by servicing fee and guarantee fee of 50 basis points

Cash flow and value of MPT security depends on the cash flow from underlying mortgage

Mortgage Cash Flow

0

100

200300

400

500

600700

800

900

0 100 200 300

MP(t)

I(t)

Pass-through Cash Flow

0

100

200300

400

500

600700

800

900

0 100 200 300

MP(t)

I(t)

Cash Flow to Investors

Cash Flow

0

200

400

600

800

1000

1200

1400

t

26 52 78 104

130

156

182

208

234

260

286

312

338

Period

$

Collateralized Mortgage Obligations (CMO) Real Estate Investment Conduits (REMICs)

Motivation for development of CMO structure MPTs are unattractive investment for institutional investors because o

f extension and contraction risk arising from prepayment

– Extension risk • Financial institutions: short term liabilities

• Insurance companies: guaranteed investment contracts (GIC)

– Contraction Risk • Pension funds and life companies: defined benefit plans and annuity

policy

1. These mortgage securities may be pooled again to create collate

ral for a more complex type of mortgage security known as a C

ollateralized Mortgage Obligation (CMO) or, since 1986, as a R

eal Estate Mortgage Investment Conduit (REMIC).

2. CMOs and REMICs (terms which are often used interchangea

bly) are similar types of securities which allow cash flows to be

directed so that different classes of securities with different mat

urities and coupons can be created.  

3. A CMO has a stated maturity. There are short term, intermedi

ate term, and long term, CMO's.  

4. The REMIC structure offers issuers a flexible tool with which t

o design tranches to meet investor needs and respond to marke

t conditions. Certain REMIC tranches have been designed to re

duce an investor's prepayment risk.

Sequential pay (SEQ) classes

Planned amortization (PACs) classes

Targeted amortization (TACs) classes

Companion or support (SUP) classes

Accrual (Z) classes

Interest only and principal only (IO/PO) classes

Floating-rate and inverse floating-rate (FLT/INV) class

es

Sequential pay (SEQ) classes

1. Sequential pay classes are the most basic classes within a REMIC structure.

2. They are also called Plain Vanilla, Clean Pay, or Current Pay classes. The principal on these classes is retired sequentially; that is, one class begins to receive principal payments from the underlying securities only after the principal on any previous class has completely paid off.

3. When prepayments are faster than the prepayment speed assumed when the security is purchased (at pricing), the principal is retired earlier than expected, thereby shortening the average life of the class.

4. The opposite occurs when prepayments are slower than those assumed at pricing-the average life of a sequential pay class will extend.

PSA標準提前還款模型（ PSA Standard Prepayment Model ）設定提前還本速度

因為他沒有資料不能隨便掰一個 prepayment rate ，所以金融的基礎工作沒有做好，是沒有辦法把風險揭露清楚的；第二的例子就是里昂台北分行規定授信者不能有 prepayment ，用這種消極的方法來跟買家說沒有 prepayment 的風險。像美國有公共證券協會， Public Security Association(PSA) ，他把所有房貸的資料蒐集起來做 benchmark ，若由銀行來做這個會是負擔沈重的，同時單一銀行的資料是不是代表母體還值得商議，我覺得我們台灣對 benchmark 從來沒有概念

Planned amortization (PACs) classes

1. PACs are designed to produce more stable cash flow by redirecting prepayments from the underlying securities to other classes called companion or support classes.

2. The PAC investor is scheduled to receive fixed principal payments (the PAC "schedule") over a predetermined period of time (the PAC 94 "window") through a range of prepayment scenarios (the PAC "band").

3. Cash flow variability from changes in prepayment speed of the underlying securities is redistributed among other classes, but it is not eliminated from the underlying securities as a whole.

4. A REMIC may contain any number of PAC classes. When more than one PAC is present in a REMIC issue, the PACs are classified according to the relative width of their stated bands (e.g., PAC I, PAC II).

Targeted amortization (TACs) classes

1. TACs pay a "targeted" principal payment schedule at a single, c

onstant prepayment speed. As long as the underlying securities d

o not prepay at a rate slower than this speed, the schedule will be

met.

2. TACs may provide protection against increasing prepayments a

nd early retirement of the investment ("call" or "contraction" ri

sk). In contrast, PACs offer investors both call and extension pro

tection.

3. TAC investors can expect higher yields than PAC investors beca

use TACs have more cash flow uncertainty and greater extensio

n risk. TACs may be priced to yield less than SEQs because TAC

s may have more stable cash flow than SEQs.

Companion or support (SUP) classes

1. Prepayment variability from the underlying securities cannot be eliminated; it can only be redistributed. PACs, TACs, and other scheduled classes rely on companion classes to absorb this variability.

2. Companion classes have the most volatile cash flow behavior, even more than the underlying MBS.

3. When prepayment speeds fluctuate, the average life of a companion class can change dramatically. Their average lives extend during periods of low prepayments and shorten during periods of faster prepayments. Principal cash flows are paid to any PAC, TAC, or other scheduled class in a REMIC issue before they are paid to companion classes.

4. Since the prepayment behavior of the underlying securities has a direct impact on a companion class, it is important to understand the nature of the underlying securities and how they may be expected to prepay. It is also important to understand the number and type of classes that the companion supports as well as the number of companion classes in a REMIC issue. The more classes that a companion supports, the more volatile its average life will be.

5. Companion class average lives and yields-to-maturity may vary widely over time.

Accrual (Z) classes

1. Z class investors receive no cash flow from the security until certain other classes are paid off.

2. Unlike other classes that pay interest each month, interest that would have been paid is added to the principal balance of the accrual class until the applicable previous classes have paid off.

3. Over time the balance grows and the interest earned, but not paid, is calculated upon this increasing balance.

4. Z classes are often the last regular class in a REMIC issue and have long average lives.

Interest only and principal only (IO/PO) classes

1. REMIC structures can contain two classes that resemble a stripped mortgage-backed security (SMBS).

2. Each class receives a portion of the monthly principal or interest payments from the underlying securities by "stripping apart" the principal and interest cash flow streams.

3. The underlying securities' scheduled principal amortization and prepayments go to the principal only (PO) class. The interest cash flow goes to the interest only (IO) class.

4. IOs and POs are complex securities that are extremely sensitive to interest rate changes because prevailing rates affect prepayments.

Floating-rate and inverse floating-rate (FLT/INV) classes

A floating-rate class (Floater) is structured so that the coupon rate payable to the investor adjusts periodically (usually monthly) by adding a certain amount (the spread) to a benchmark index (the index), subject to a lifetime maximum coupon (the cap). The one-month LIBOR (London Interbank Offered Rate) is the most popular index, but other indices such as the 11th District Cost of Funds Index (COFi) or various constant maturity Treasury indexes have been used.

The coupon for the floating class is:

– LIBOR +0.65

For the inverse class the coupon rate is

– 42.4 - 4x LIBOR

The weighted average coupon

= (64/80)(Floater coupon rate)

+ (16/80)(Inverse floater coupon rate)

1. The yield of any Floater or Inverse Floater is sensitive to the rate of prepayments as well as the level of the applicable index, particularly if the coupon fluctuates as a multiple of the index (so-called Super Floaters).

2. Low levels of the index will reduce the yield of a floating-rate class and the interest rate cap will limit the investor's yield when the level of the index is high.

3. Because the rate of interest paid on an inverse floating-rate often varies inversely with a multiple of the index, any change in the index may have an exaggerated effect on the yield to the investor.

4. High levels of the index will significantly lower the yield of an inverse floating-rate class because its interest rate can fall to 0 percent.

Basic Principles of valuation of MBS

Price/Yield Relationship for Option-Free Bond

Price/Yield Relationship for Callable

Price Paid No Prepayments 100% PSA 300% PSA 500%

Premium 105 7.550 7.302 6.744 6.177

Par 100 8.077 8.051 7.995 7.938

Discount 95 8.640 8.871 9.368 9.868

*Bond equivalent yeild (%)

Yield-to-Maturity for 8 percent, 30-year MBS*

Credit risk: risk that money lent might not be repaid.

Cash flow risk: risk that market conditions will alter scheduled cash

flows. – prepayment risk – inflation risk – exchange risk – interest rate risk

Liquidity risk: risk that money will be needed before it is due.

Risks faced by mortgage finance intermediaries

Risk to investors

The mortgage security investor is exposed to

three types of risk - prepayment risk, market

risk, and credit risk - which are present in all

callable securities.

Prepayment risk

Market risk

Credit risk

Prepayment risk

Prepayment, or option, risk is the chance that borrowers prepay their mortgages faster or more slowly than expected, thereby affecting the investment's average life and perhaps its yield.

Prepayment behavior is important to mortgage security investors. Generally, the most important factor affecting prepayments is refin

ancing to take advantage of lower interest rates. Some tranches (e.g., PACs or TACs) are structured to mitigate prep

ayment risk by shifting it to companion, or support, tranches. Some tranches are dramatically affected by prepayment patterns. Actual yields and average lives of classes like IOs, POs, floating-rate, inverse floating-rate, and certain companion tranches may widely fluctuate with prepayment changes.

Market risk

The price of any bond is a function of prevailing interest rates, the

length of time the security is expected to be outstanding, and the

liquidity of the issue. The price of mortgage securities is generally

very sensitive to these factors.

Interest rate movements have a greater impact on mortgage

securities than on other fixed-income instruments because they

directly influence prepayment behavior rates, which affects the

average life and yield of the mortgage securities.

Investors should also consider the potential lack of liquidity of

REMIC investments.

Credit risk Credit risk in mortgage securities is the risk that the investor may

not receive all or part of the principal invested because the issuer or credit enhancer of the security defaulted in its financial obligations.

Both Standard and Poor's and Moody's rating agencies have recognized the standard MBS that underlie these agency REMICs as AAA quality

Investors must be aware, however, that Fannie Mae's and Freddie Mac's obligations are not backed by the full faith and credit of the U.S. government, and the performance of those obligations is based on the financial health of the respective entities.

MBSs guaranteed by Ginnie Mae are backed by the full faith and credit of the U.S. government. There are also private label REMICs, which are issued by private institutions.