AssetSec_CDS_Deriv

AssetSec_CDS_Deriv - Asset Securitization and Credit...

Info iconThis preview shows pages 1–12. Sign up to view the full content.

View Full Document Right Arrow Icon
Asset Securitization and Credit Derivatives Call Report / FR Y-C Items Tom Boemio September 2004 Anyone who isn’t confused really doesn’t understand the situation. Edward R. Murrow
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
2 Asset Securitization The conversion of illiquid assets into securities . Illiquid assets (loans) are sorted into pools. Pools are then transformed into capital market instruments. Investors’ returns stem from the principal and interest cash flows from assets (loan payments). Hence the term Asset-Backed Securities
Background image of page 2
3 Pooling of Assets Obligor 1 Obligor 2 Obligor 3 Obligor 4 Bank $100 Pool of Auto Loans $ 2 0 l o a n 3 5 lo Borrowers/Auto Buyers Investors in the capital markets $100 of Issued ABS
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
4 SPE Funding To fund the purchase of assets, the SPE issues debt securities to investors   Investors SPE Bank $100 Assets $100 Cash $100 Securities $100 Cash
Background image of page 4
5 Asset Securitization Types of Assets Securitized Residential Mortgages Through Government programs Private label Commercial Mortgages Credit Card Receivables Other Consumer Loans (e.g., Auto) Trade Receivables (ABCP programs) Commercial Loans
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
6 Asset Securitization Mortgage-Backed Securities Outstandings in Billion of Dollars Private Year GNMA FHLMC FNMA Issues Total 1985 212.1 105.0 55.0 n/a 372.1 1990 403.6 321.0 299.8 53.3 1,077.7 1995 472.3 515.1 583.0 194.7 1,765.1 2000 610.5 822.3 1,057.8 499.8 2,944.3 2003-3Q 473.7 1,095.9 1,801.1 562.1* 3,932.8 Source: Federal Reserve Board Inside MBS and ABS * Estimate as of June 30, 2001
Background image of page 6
7 Asset Securitization Asset-Backed Securities -Outstanding Amount 291.6 1071.8 1680.6 0 200 400 600 800 1000 1200 1400 1600 1800 1995 2000 2003-3Q Man. H ousing Auto Loans H ome Equity Credit Cards Total B i l l i o n s
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
8 Outstanding Bond Market Debt 22% 20% 19% 8% T re a sury Corpora te Mone y M k t Munic ipa l Fe de ra l Age nc y ABS Total U.S. Debt Market $22.6 Trillion As of September 30, 2003 The Bond Market Association
Background image of page 8
9 Asset Securitization Generic Structure Obligors Originator/ Sponsor/ Servicer Credit Enhancer Purchases credit protection Trust SPE SPE Investors Remit Payments Issues Securities Cash Purchase of Securities Trustee Forwards Servicing Payments Provides credit enhancement Transfers Transfers Loans Loans Cash Cash Forwards Payments
Background image of page 9

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
10 Asset Securitization Transaction Participants Obligors  -- the borrowers of the funds (for autos, credit  cards, houses, i.e.,  you and me Originator/Sponsor  -- Provides the assets to be  securitized.  The sponsor owns or otherwise establishes  the issuer Trust  -- A special purpose entity that holds/acquires the  assets that are securitized and issues the securities  purchased in the capital market
Background image of page 10
11 Asset Securitization Transaction Participants Servicer  -- Often the originator or sponsor.   Collects, for a fee, and transmits to investors the 
Background image of page 11

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 12
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 33

AssetSec_CDS_Deriv - Asset Securitization and Credit...

This preview shows document pages 1 - 12. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online