资产证券化产品及其交易研究

1231.................................................................................................1....................................2..............................................................2............................................................4...........................................................5..............................................................8............................................................................12..........................................16..................................16..........................18..........................20..................................................21..............................................22..................................24..............................................29......................................................................29..............................................30..............................32............................................35...........................................................................................................402...................................................................40.................................................................44CDO.................................................................45CDO...........................................................................................51.....................................................58MBS.................................................59MBS.........................................................64..........................................665.......................................................66...............68..........................71NASDTrace.......................................72...........................................................................................73121.–3CDOABS()RMBSCMBSCBOCLOMBSABS4562.7Melennec2000;Fabozzi,200128Melennec200093“”10411Melennec2000“”2reinvestment12Lee,Chen1998)13FullAmortizingControlledAmortizationSequentialPayBulletsSoftBulletHardBulletFloaters14C1:BBA2:AAAC2:BBBB1:AD1:BBB2:AD2:BBE:NotRated0123456715Fabozzi,2001;FitchIBCA,1997,200016“”17)(1)(isiSSLNTT=λ)(Tiλ)(Tiλ18“”TheBondMarketAssociation.194TheBondMarketAssociation2044%Internet5TheBondMarketAssociation21224.23SPV2001200120026200272001245.25SPV8262728credit-sensitive291112SPVSPV112001423630SPV3425631Fleisig,1995,1997,1999CenterfortheEconomicAnalysisof1998321996:199619961953CenterfortheEconomicAnalysisofLawWashingtonD.C.(80)8791SPVSPV336.34357.MBS3637CDO3839200140“”“”“”“”41“”424344CDO45464748CDOSyntheticCDO4950CDO“”5152CDO53’5455CDO56–57CDO5859606123”6263PIPIPIBCPIPIPICPIAPIBPIC64tnnttrMrCP)1()1(10+++=∑=65∑=++=nttssttMBSrrCP1)1(trssr66676869707172CUSIP/SymbolNine-digitCUSIPortheNASDSymbolExecutionTimetradesthatwereexecutedatthattimeorlater.TradeTypeSellBuy-T-DateT-day-tradeswithanexecutiondateoftoday.T+1-tradeswithanexecutiondateofthepreviousbusinessday(As-Of).T+2..n-tradeswithanexecutiondateoftwoormorebusinessdaysago(As-Of).When-IssuedY/NContraContraID,onlytradeswiththatContraparty.ExecutionTimeexecutiontimetodisplaytradesthatwereexecutedatthattimeorlater.Ifthisfieldisleftblank,Pricepriceatwhichthetradewasexecuted.YieldtheyieldatwhichthebondwasreportedorcalculatedbyTRACE(thelowerofYTCorYTM).Quantityquantityofbondstradedexpressedasnumberofbonds,notparvalue.BuyMPIDofthebuysideofthetrade.SellMPIDofthesellsideofthetradeBCL#thebuy-sideclearingfirmnumber.SCL#thesell-sideclearingfirmnumber.Br-Seqaonetoeightcharacteralphanumericcodedenotingthebranchofficeandsequencenumber,ifitwasentered.StatusTradeReport-Displaysallthetradereportsenteredtodaybythereportingparty.Other-Displaysthecanceledandcorrectedtradesenteredtodaybythereportingparty.All-Displaysalltransactions,(tradereports,canceledandcorrectedtrades).By/Againstbytherequestingfirm,enteredagainsttherequestingfirmorboth.TheAgainstbuttonallowsyoutoseetradereportsbeingenteredbyotherTRACEparticipantswhoarelistingyourfirmastheircounterparty.73Amihud,Y.andH.Mendelson,1991:Liquidity,Maturity,andtheYieldsonU.S.TreasurySecurities,JournalofFinance46,1411-1425.AmermanDanielJ.1996CollateralizedMortgageObligationsNewYorkMcGraw-HillInc.Constantinides,G.M.1986:CapitalMarketEquilibriumwithTransactionCosts,JournalofPoliticalEconomy94,842-862.Dean,M.,C.MrazekandR.Drason,1999:ABCsofCreditCardABS,TheSecuritizationConduit,Vol2,No.2&3,pp.26-37.FabozziFrankJ1997AdvancesinFixedIncomeValuationModelingandRiskManagement.NewHopeInc.FabozziFrankJ1998FoundationsofFinancialMarketsandInstitutionsPrentice-Hal1inc.74FabozziFrankJ1995TheHandbookofMortgageBackedSecuritiesChicagoProbusPublishingCompany.FabozziFrankJ2001TheHandbookofFixedIncomeSecurities,6thed.,ChicagoMcGraw-Hill.FitchIBCA,1997:CBO/CLOratingCriteria,MarchFitchIBCA,1999:MarketValueCBO/CLOratingCriteria,JuneFitchIBCADuff&Phelps,2000,RatingCriteriaforEuropeanArbitrageCollateralisedDebtObligations,June.FitchIBCADuff&Phelps,2003,StressedbutSurviving,June.Fleisig,H.,1996,AssessingtheEconomicCostof