资产证券化<转自百度百科>

(asset securitization) 是指将缺乏流动性的资产，转换为在金融市场上可以自由买卖的证券的行为，使其具有流动性。

一，广义的资产证券化是指某一资产或资产组合采取证券资产这一价值形态的资产运营方式，它包括以下四类：

1 ）实体资产证券化：即实体资产向证券资产的转换，是以实物资产和无形资产为基础发行证券并上市的过程。
　　2 ）信贷资产证券化：是指把欠流动性但有未来现金流的信贷资产（如银行的贷款、企业的应收帐款等）经过重组形成资产池，并以此为基础发行证券。
　　3 ）证券资产证券化：即证券资产的再证券化过程，就是将证券或证券组合作为基础资产，再以其产生的现金流或与现金流相关的变量为基础发行证券。
　　4 ）现金资产证券化：是指现金的持有者通过投资将现金转化成证券的过程。

二，狭义的资产证券化是指信贷资产证券化。按照被证券化资产种类的不同：

信贷资产证券化可分为住房抵押贷款支持的证券化（ Mortgage-Backed Securitization,MBS ）和资产支持的证券化（ Asset-Backed Securitization, ABS ）。

概括地讲，一次完整的证券化融资的基本流程是：发起人将证券化资产出售给一家特殊目的机构 (Special Purpose Vehicle, SPV) ，或者由 SPV 主动购买可证券化的资产，然后 SPV 将这些资产汇集成资产池（ Assets Pool ），再以该资产池所产生的现金流为支撑在金融市场上发行有价证券融资，最后用资产池产生的现金流来清偿所发行的有价证券。

举例简单通俗地了解一下资产证券化:

A:在未来能够产生现金流的资产
B:上述资产的原始所有者；信用等级太低，没有更好的融资途径
C:枢纽（受托机构）SPV
D:投资者

资产证券化——B把A转移给C，C以证券的方式销售给D。

B低成本地（不用付息）拿到了现金；D在购买以后可能会获得投资回报；C获得了能产生可见现金流的优质资产。

投资者D之所以可能获得收益，是因为A不是垃圾，而是被认定为在将来的日子里能够稳妥地变成钱的好东西。
SPV是个中枢，主要是负责持有A并实现A与破产等麻烦隔离开来，并为投资者的利益说话做事。
SPV进行资产组合，不同的A在信用评级或增级的基础上进行改良、组合、调整。目的是吸引投资者，为发行证券。

过去有很多资产成功进行了证券化，例如应收账款，汽车贷款等，现在出现了更多类型的资产，例如电影特许权使用费，电费应收款单，健康会所会员资格等。但核心是一样的：这些资产必须能产生可预见的现金流。

目前我国试点资产证券化的银行有两家，分别是国家开发银行和中国建设银行。

Yield Measures, Spot Rates, and Forward Rates

3 sources of returns:

1. coupon interest payments
2. recovery of principal, along with any capital gain or loss

Introduction to the Valuation of Debt Securities

3 steps in the bond valuation process:

Step 1: Estimate the cash flow
Step 2: Determine the appropriate discount rate
Step 3: Calculate the PV of the estimated cash flow

3 situations where estimating future cash flows poses additional difficulties.

1. The principal repayment stream is not known with certainty.
2. The coupon payments are not known with certainty.
3. The bond is convertible or exchangeable into another security.

Price-yield curve 下凸曲线，横轴是市场收益利率，纵轴为市值。
溢价，折价，等价证券图。3种性质债券随成熟期的临近趋于面值。

A zero-coupon bond 一般都为半年期。计算注意：N*2, I/2, PMT/2, 其他不变。

Understanding Yield Spread

4 interest rate tools of the Fed use:

The discount rate
Open market operation
Bank reserve requirement
Persuading banks to tighten or loosen their credit policies

4 general shapes of yield curve

Flat
Normal
Inverted
Humped

Basic theories of the term structure of interest rates

Pure expectation theory
short-term rates are expected to rise in the future - upward sloping yield curve
short-term rates are expected to fall in the future - downward sloping yield curve
short-term rates are expected to up then fall in the future - humped yield curve
short-term rates are expected to remain constant - flat yield curve

Liquidity preference theory
besides the expectations about future short-term rates, investors require a risk premium for holding longer term bonds.

Market segmentation theory
investors and borrowers have preferences for different maturity ranges (short-term, mid-term, and long-term).

The appropriate discount rates for individual futre payments are called spot rates.

Absolute yield spread = higher yield of bond - lower hield of bond
Relative yield spread = absolute yield spread / benchmark yield bond
yield ratio = subject yield bond / benchmark yield bond = higer yield bond / lower yield bond

Credit spread (信用溢价) is the difference in yields between 2 issues that are similar in all respects except for credit rating.
在经济膨胀期，信用溢价较小，因为投资者倾向投资高风险债券获取高收益，因此差价就会缩小。反之亦然。

Call option状态下，溢价增加，因为投资者需要风险补偿，原因是承担回购的风险；收益率增加。但是在put option状态下，溢价减小，因为投资者有售出权利抵消部分风险，收益率较低。

流动性的风险存在于所有的收益曲线中，它能否改变曲线的形状完全取决与它在总风险中的权重和其他原因。

After-tax yield = taxable*(1 - marginal tax rate)
Taxable-equivalent yield = Tax-free yield / (1- marginal tax rate)

Lond Interbank Offered Rate (LIBOR) 是浮动利率债券定价和一年以下期限短期借贷的重要参考利率。LIBOR被认为是非政府私有高信用等级借款者的利率，因此看作是接待的成本或者短期投资的回报。Funded Investors融资投资者，简单地讲就是借钱投资，所以他们必须考察投资的回报率至少要大于LIBOR才有利可图。

Company Analysis and Stock Valuation

Industry Analysis

4 types of structural changes are:

Demographics
Lifestyle
Technology
Politics and Regulation

An Introduction to Security Valuation

Overview of Security Valuation Techiques

1. Valuation based on the present value of expected futrure cash flows.
2. Relative valuation techniques based on an expected multiple of a firm's expected performance, such as earnings per share or sales per share.

Top-down, 3-step approach

Economic Analysis -- Industry Analysis -- Stock analysis

Step 1: Forecast macroeconomic influence
Step 2: Determine industry effects
Step 3: Perform firm analysis

Forms of Investment returns
Cash flows from projects
interest income on bonds
dividend income on stocks
capital gains
increase in the prices of an asset

The General Dividend Discount Model (DDM): Preferred stock value = Dp / kp
Multiple-year holding period DDM: 不同年度的利息现值+末年本金的现值=证券价值
Infinite period DDM: PV0 = D1 / (ke - gc)

Assumptions of the infinite period DDM:

1. the stock pays dividends, and they grow at a constant rate.
2. the constant growth rate, g, is never expected to change.
3. k must be greater than g. If not, the math will not work.

推出公式 Pn = D(n+1) / (k - g)

Supernormal growth
由超级增长率求出n期利息dividend，然后折现n-1期的利息，用第n期利息根据DDM法则求出第n-1期本金，然后和折现的利息相+的出超级增长债券价值

P0 / E1 = (D1 / E1) / (k - g)

D/E = the expected dividend payout ratio
k = the required rate of return on the stock
g = the expected constant growth rate of dividends

There are several problems with using P/E analysis:

Earnings are historical cost accounting numbers and may be of differing quality.
Business cycles may affect P/E ratios.
k
RFR(nominal) = [1 + RFR (real)](1+IP) - 1
RFR(nominal) = RFR(real) +IP

k = RFR(nominal) + RP
k = RFR + b[E(R) - RFR]

Country Risk Premium:
Business Risk
Financial Risk
Liquidity Risk
Exchange Rate Risk
Country Risk

g=(Retention Rate)(ROE)
Retention rate = 1 - payout ratio

Net profit/ - ROE/ - g/ - (k - g)/ - price of stock/