大垣尚司 １８９‐２１４／１８９‐２１４
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1 GSE GSE (government sponsored entities) GSE RMBS
2 GSE GSE GSE CRT GSE GNMA (Government National Mortgage Association) Fannie Mae Freddie MacGSE [government sponsored entities] (Federal Home Finance Agency, FHFA) (conservatorship) GSE GSE GSE GSE TBA TBA TBA (to-be-announced) MBS MBS [1] (The Securities Industry and Financial Markets Association) [2] (GSE)
3 GSE GSE GSE GSE (RMBS, residential mortgage-backed securities) GSE RMBS TBA [3] TBA GSE TBA RMBS GSE TBA CRT TBA Good Delivery Rule [16] CMO REMIC GSE RMBS CMO REMIC GSE GSE conduit
4 TBA GSE GSE (A) GSE Scharfstein [4] (B) Fannie Mae Freddie Mac GNMA DeMarco FHFA [5] (C) GSE (Lender Cooperative Model) Mosser [6] GSE FHFA GSE conduit CRT (A) GSE GSE [7]
5 GSE CRT GSE EL/UL RMBS AAA Fannie Mae CRTGSE CLN:SPV CRT BBB/BB/NR (credit risk transfer, CRT) GSE (expected loss, EL) (unexpected loss, UL) (catastrophe loss) GSE FHFA GSE TBA CRT Freddie Mac Structured Agency Credit Risk (STACR) Fannie Mae Connecticut Avenue Securities (CAS) CLN (credit link note) Fannie Mae LTVloan to value ARM (adjustable rate mortgage CRT CRT Fannie Mae [9] [8][9]
6 (a) CRT CAS (Connecticut Avenue Securities) CAS Class M-1 BBB Class M-1 Class M-2 BB Class M-2 Castastrophe Risk Class B NR Class B Fannie Mae CAS Fannie Mae UL EL First Loss (detach points) (attach points) Fannie Mae Fannie Mae Class Class B FAS Fannie Mae CAS Fannie Mae EL UL CAS (first loss) CAS Fannie Mae (first loss) (catastrophe) GSE Fannie Mae GSE
7 GSE CAS UPB First Loss Catastrophe UPB LTV CRT GSE CRT GSE first loss, catastrophe Fannie Mae CAS Fannie Mae (super senior) CDS AIG [8] Table 3a
8 LTV LTV (BBB) (BB) (B) (BBB) (BB) LIBOR+ 195bp LIBOR+ 675bp LIBOR+ 1175bp LIBOR+ 210bp LIBOR+ 695bp REIT CRT (2016-C01) implied guarantee fee) 56bp-61bp GSE BIS GSE CRT [9] Figure 3[10]CAS GSE BBB [9]
9 GSE (BBB) 195bp bp bp (BB) 675bp 64bp 13bp (B) 1175bp 129bp 27bp 41bp TCCA: Temporary Payroll Tax cut Continuation Act of 2011 TCCA 5-10bp 10bp 56-61bp (b) (Credit Insurance Risk Transfer, CIRT) CRT (Fannie Mae: Agency Credit Insurance Structure [ACIS], Freddie Mac: Credit Insurance Risk Transfer [CIRT])CAS First Loss CAS (c) CLN (credit linked note) CAS Fannie Mae GSE SPV CAS GSE CDS (credit [8][9] SPV (special purpose vehicle)
10 default swap) GSE GSE RMBS CAS GSE SPV (CLN, credit linked note) Fannie Mae LStreet Securities CLN CAS CRT GSE GSE SPV (cash collateral account) SPV Fannie Mae CDS GSE Fannie Mae SPV SPV SPV CLN CAS EL/UL CAS [8][9]
11 GSE GSE GSE GSE GSE GSE FHA (Federal Housing GSE RMBS ALM ALM GSE conduit RMBS CRT CLN CLN
12 Administration) VA (Department of Veterans Affairs) Fannie Mae Freddie Mac GSE CRT First Loss GSE RMBS CRT CRT (a) Whole Loan Conduit RMBS Fannie Mae Whole Loan Conduit SPV (b) CLN GNMA GNMA FHA (timely payment) RMBS (excess servicing) Interest Only excess servicing Whole Loan Conduit [11]
13 GSE Whole Loan Conduit Fannie Mae CLN CLN (c) GSE CRT CLN GSE GSE GSE Whole Loan Conduit Whole Loan Conduit Whole Loan Conduit + CLN CRT CRT CLN RMBS RMBS [9]
14 GSE [13] GSE
15 GSE GSE CRT [12]
16 GSE [14] RMBS RMBS RMBS GSE
17 GSE GSE CRT RMBS
18 TBA RMBS GSE (2016) [17]
19 GSE (a) (private mortgage insurance) [18]
20 [15] GSE RMBS (a) GSE
21 GSE RMBS RMBS A B X RMBS TBA GSE [16]
22 RMBS [12] ALM RMBS RMBS RMBS (b) GSE RMBS RMBS CRT RMBS A B X
23 GSE CRT ALM RMBS RMBS RMBS RMBS RMBS RMBS RMBS RMBS TBA RMBS RMBS RMBS
24 CRT Fannie Mae CAS CLN CRT CRT CDS CRT CDS CRT
![GSE [1] The Securities Industry and Financial Markets Association (SIFMA) [2015], TBA Market Fact Sheet (http://www.sifma.org/issues/item.aspx?](/docs-images/92/107909205/images/25-0.jpg "id=23775 [2] SIFMA, Uniform Practices Manual: For the Clearance and Settlement of Mortgage-Backed Securities and Other Related Securities (http://www.sifma.")
25 GSE [1] The Securities Industry and Financial Markets Association (SIFMA) [2015], TBA Market Fact Sheet ( [2] SIFMA, Uniform Practices Manual: For the Clearance and Settlement of Mortgage-Backed Securities and Other Related Securities ( [3] James Vickery and Joshua Wright, TBA Trading and Liquidity in the Agency MBS Market, Federal Reserve Bank of New York Economic Policy Review, May [4] David Scharfstein=Adi Sundram [2011], The Economics of Housing Finance Reform The Future of Housing Finance: Restructuring the US Residential Mortgage Market, assumable loan
26 [5] Michael Bright=Ed DeMarco [2016], Why Housing Reform Still Matters, View Points, Center for financial Market, Milen Institute [6] Patricia C. Mosser=Joseph Tracy=Joshua Wright [2013], The Capital Structure and Governance of a Mortgage Securitization Utility, Federal Reserce Bank of New York Staff Reports No. 644 [7] Mark Calabria [2016], Coming Full Circle on Mortgage Finance, Housing Finance Reform Incubator (Cato Institute), 49. [8] Federal Home Finance Agency (FHFA) [2015], Overview of Finnie Mae and Freddie Mac Credit Risk Transfer Transactions [9] Fannie Mae [2016], Credit Risk Transfer A Primer, MBSenger [10] Prospectus: FANNIE MAE CONNECTICUT AVENUE SECURITIES, Series 2016-C01 Notes Due August 2028 [11] Fannie Mae [2013], Providing Liquidity to the Market Fannie Mae s Single-Family Whole Loan Conduit (a.k.a. The Cash commitment Window), MBSenger [12] [2016] ( [13] [2016] ( [14] [2009] [15] [2015] [2016] (Alternative Equity Release Scheme) [16] [2013] [17] [2016] [18] [2016]
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