資產(chǎn)證券化與社區(qū)貸款：框架和一些來自美國抵押貸款市場的經(jīng)驗教訓[文獻翻譯]

1、外文題目：securitization and community lending: a framework and some lessons from the experience in the u.s. mortgage market 出 處： federal reserve bank of san francisco 作 者： robert van order 原文：securitization and community lending: a framework and some lessons from the experience in the u.s. mortgage mark

2、etthe purpose of this article is to provide a framework for analyzing the development of securitization as a vehicle for funding community economic development (ced) loans. broadly speaking, there are two models for funding assets: the portfolio lender model, which typically involves banks or other

3、intermediaries originating and holding the loans and funding them mainly with debt, most often deposits, and the securitization model, which involves tapping bond markets for funds, for instance, by pooling loans and selling shares in the pools. the focus here is on broad issues of when securitizati

4、on is likely to be the more economic form of funding, some specifics of how the funding might be structured, and an analysis of the experience in the u.s. mortgage market.it is important to consider why securitization has dominated the “prime” mortgage market in the united states, while it has not b

5、een nearly so successful in other markets and other places, and whether this dominance provides a good model for ced loans. securitization might not matter as much as is often thought, and it is not necessarily an especially good tool for funding ced loans. in particular, a reasonable way of posing

6、the problem of which funding structure is best is that it can be defined by a trade-off between the advantages of securitization as a low-cost and elastic source of funds with the disadvantages of securitization due to information asymmetry between investors and lenders and the costs of setting up d

7、eals. a priori, the balance could go either way.a frameworksecuritization has become an important part of the u.s. financial system. it is the process by which lenders raise money in capital markets by selling shares in pools of loans. at the end of 2002, the outstanding volume of mortgage- and asse

8、t-backed securities was close to $6 trillion. of this, over 80 percent was in the form of mortgage-backed securities. credit cards and car loans, combined, were just over 10 percent. securitization is an important part of the system, but it has been largely confined to the mortgage market, particula

9、rly the “prime” market, which consists of relatively low-risk, single-family mortgages. this concentration in a single market is important, and it is important for reasons relevant to ced lending. prime mortgages are among the most transparent financial instruments in the system, particularly becaus

10、e of the collateral that supports them and the legal system that supports foreclosure. that is less true for ced loans. as i will discuss below, while there is no particular reason that any asset cannot be securitized, it is not an accident that high-quality mortgages are securitized more successful

11、ly than other assets. they suffer least from asymmetric information and small volume problems that can present important barriers to securitization.the main advantage of securitization is that it can provide an elastic and low-cost source of funds, particularly for long-term fixed-rate assets. in co

12、ntrast, traditional funding sources for banks, such as deposits, are generally not elastic in supply and have variable rates. as i will argue, in a perfect, frictionless world, different sources of funds would have the same cost in an “all-in” sense, after adjusting for the value of characteristics

13、like embedded options, hedging cost, and loan term. the choice of funding vehicle (e.g., traditional bank via deposits vs. packaging and selling into the bond market) would not matter. this does not appear to be the case in the real world. there are many “frictions,” like asymmetric information, tha

14、t make the choice important and make the public policy issue of barriers to securitization at least potentially important. to get a handle on this, it is best to begin with a very simple framework in which frictions are unimportant, and move from there to the real world by focusing on important fric

15、tions.modigliani-millerthe point of departure is the much-celebrated “modigliani-miller irrelevance theorem” (henceforth mm) (see modigliani and miller 1958). briefly, the theorem assumes perfectly competitive markets, no transaction costs, and widely agreed-on information. the liability structure o

16、f the firm is irrelevant; changing the way the firm finances its assets will not affect its “all-in” cost of funds because different liability strategies are simply different ways of rearranging the same cash flows from the firms assets. in a well-informed, competitive market with a perfectly elasti

17、c supply of funds, arbitrage will assure that all structures will be priced so that none has an overall advantage.taken literally, the theorem implies that while there are lots of possible institutional structures for funding mortgages, for example, and lots of liability structures within the instit

18、utional structures, which institutions and structures are chosen does not affect mortgage rates. a softer version of the theorem is that any advantages of different structures are likely to be small. because of very elastic supply curves, small advantages of one source of funding (e.g., some sort of

19、 subsidy or slightly lower transaction costs) can lead to big effects on how the financing is done, but with small effects on borrower interest rates. the mm theorem is one of those ideas that seems obvious, but of course it does not hold true in the real world. real markets are not perfect, though

20、they are often rather good. asymmetric information is often the rule rather than the exception. and transaction costs matter. mm has been debated extensively in the economics and finance journals, but the theorem is not a bad first approximation. it makes us ask the right question: why should we exp

21、ect one institutional setup to be better than another at financing a particular set of cash flows when they all compete in the same overall financial system? in particular, it suggests that some justifications for particular structures, like “getting assets off balance sheet” or “the high cost of ca

22、pital relative to debt” or “allowing banks to shed the risk of low down payment loans” are wrong, or at least suspect, pending analysis of what part of mm is violated. much of the focus in studying mm has been on debt vs. equity funding. however, the securitization issue is less about debt-equity st

23、ructure than it is about the structure of debt funding, particularly as it relates to institutions that typically use different types of debt funding. for instance, the most common type of debt funding for financial institutions is deposit funding by banks, but the important alternative, especially

24、in u.s. mortgage markets, has been securitization, typically performed by the government-sponsored enterprises (gses), fannie mae and freddie mac, or the government-owned ginnie mae (collectively, the “agencies”). the starting point for our investigation, then, is to understand why there should be a

25、ny difference between deposit funding and securitization.i. community development lendingpublic policy interest in ced lending has been alive, cyclically, at least since the community reinvestment act of 1977. here is a brief discussion of what it is and what characterizes ced loans.what is it?commu

26、nity economic development lending is not easy to define. many ced loans are small business loans, and they are typically defined by lender and customer type rather than loan type. they are often supported by the federal government via a variety of grants, tax subsidies, and guarantees, which are typ

27、ically “l(fā)everaged” with private funding. community development lenders are generally small institutions, often not for profit, though they can also be commercial banks or work closely with commercial banks. sometimes the loans are defined by specific tax benefits for which they are eligible or regio

28、ns in which they operate.the gao (2003) study on barriers to securitizing community development lending defined ced loans by lender and customer: “community and economic development (ced) lenders make loans to qualified businesses that are generally unable to obtain suitable financing from conventio

29、nal private-sector sources.”the customers are typically low to moderate-income borrowers with little experience or observable credit history, and the loans typically have one or more types of subsidy. community development loans are often mortgages, that is, loans secured by real property, but they

30、are also often ordinary business and other loans without property as security. according to the gao, the loans are perceived as risky and requiring a fair number of resources devoted to monitoring and technical assistance.policy and historythe theoretical underpinnings for the public policy concern

31、follow a line of literature associated with the classic stiglitz and weiss (1981) paper on asymmetric information as a source of market inefficiency, leading to “underserved” markets. in particular, weber and devaney (1998) argue that information asymmetries are larger for marginal borrowers in rura

32、l or inner-city geographies, and this causes underallocation to these areas. the asymmetric information here is between borrower and lender, rather than between lender and seller as discussed above, but it presents a similar problem. lenders know a lot less about projects and collateral than borrowe

33、rs know, which makes lending difficult. this in turn creates an asymmetry of information between the lender and the potential buyer of the loans because the lender is closer to the borrower and is likely to have better information than an outside buyer, putting the buyer at risk of being selected ag

34、ainst. other policy issues revolve around externalities, such as that increased lending in certain geographies produces external benefits for those communities. these are reasons for subsidizing the loans, however. they are not directly relevant to the securitization issue. while there has been some

35、 interest in, and some success in, securitizing ced loans, securitization has not been a major factor in ced lending. the gao estimated that less than $6.2 billion in nonfederally guaranteed loans was securitized from 1994 to 2001, and only $22 billion in sba guaranteed loans. in contrast, banks hel

36、d around $450 billion in small business loans in 2001. the leading firm that does securitization of community development loans is the community reinvestment fund (/). it is a private nonprofit, and it has bought over $300 million in loans.stylized factsin the gao study, lenders

37、cited several barriers to securitization. the key barriers were:1. a lack of incentives for lenders to participate due to lack of knowledge of borrower demand.2. a lack of capacity to securitize loans, due especially to small scale.3. external requirements attached to funding sources (both statutory

38、 and programmatic).4. loans with below-market rates that would have to sell at a large discount.5. a lack of lender standardization and performance information.6. mechanisms to support securitization, such as information links among capital markets, lenders, and pool assemblers, are limited in numbe

39、r and capacity. taken together, these observations suggest that there are five major items that can be taken as basic “stylized facts” about ced loans. these “facts” are the focus of the analysis that follows:1. there is a great deal of heterogeneity across ced programs and loan types.2. information

40、 about individual ced loans is poor and the loans are perceived as risky by investors.3. scale is small.4. the loans require more work by lenders (technical assistance and servicing) than do most loans.5. the loans may have to be sold at a discount to cover transaction costs and the present value of

41、 subsidies attached to the loans.there has not been a lot of research in this area. the gao (2003) could not get reliable estimates of the volume of ced loans, and there was little consistent overall performance data. weber and devaney (1998) look at rural vs. urban loans in the lower mississippi de

42、lta region and find some evidence of a dual system with less efficient lending in rural areas. dipasquale and cummings (1990) analyze barriers to securitizing low-income multifamily lending. a related area of research is that of “subprime” lending. cutts and van order (2004) survey some of the econo

43、mic issues in the area, and straten and yezer, eds., (a) and (b) are special issues of the journal of real estate finance and economics devoted to the issue. carr and zhong, eds. (2002) is a volume of research on microlending. data and empirical work being scarce, the focus here is on first principl

44、es, taking the stylized facts above as given and analyzing the underlying economics of securitization and how it might be applied to ced loans. what follows is a discussion of u.s. experience, primarily in the mortgage market, and of the underlying economics that drives securitization, which will pr

45、ovide a framework for the discussion of ced loans.外文題目：securitization and community lending: a framework and some lessons from the experience in the u.s. mortgage market 出 處： federal reserve bank of san francisco 作 者： robert van order 譯文：資產(chǎn)證券化與社區(qū)貸款：框架和一些來自美國抵押貸款市場的經(jīng)驗教訓本文旨在為分析資產(chǎn)證券化的發(fā)展提供一個框架。資產(chǎn)證券化作為一個

46、工具，其為社區(qū)經(jīng)濟發(fā)展所需要的貸款提供資金。廣義上來說，資金資產(chǎn)有兩種組合模式：組合貸款模式，這通常涉及到銀行或其他中介機構(gòu)發(fā)起和舉辦的貸款和資助主要是負債累累，最常見的存款，以及證券化模式，其中包括債券市場的挖掘通過集中貸款和出售股票的資金池。例如，例如，通過共同承擔貸款及出售共同貸款份額的方式實現(xiàn)。此處的焦點是，證券化何時可能是更大的經(jīng)濟形式的資助的廣泛討論，資金可能是如何組織的一些細節(jié)以及美國抵押品市場經(jīng)驗的分析。思考為何資產(chǎn)證券化處于美國抵押品市場的支配地位，而在其他的市場和地方?jīng)]有那么的成功以及這種支配地位是否能夠為社區(qū)經(jīng)濟發(fā)展貸款提供一個好的模式是很重要的。資產(chǎn)證券化可能不是常常認

47、為的那樣，它不一定是一個為社區(qū)經(jīng)濟發(fā)展貸款提供資金特別好的工具。特別是，為解決資金問題提供一種合理安排最好的結(jié)構(gòu)方式。它可以定義為一種平衡資產(chǎn)證券化優(yōu)勢與劣勢的交易關(guān)系。其具有低成本和彈性的資金來源的優(yōu)勢。而資產(chǎn)證券化的不足之處是，由于投資者之間的信息不對稱而帶來的成本與金融機構(gòu)建立的交易。推理可知，平衡可能解決這種方式。一個框架 資產(chǎn)證券化已成為美國金融體系的重要組成部分。這是一個過程，在資本市場上籌集貸款人通過出售股票而募集的資金。截至2002年底，抵押貸款和資產(chǎn)抵押證券未償還數(shù)量接近6萬億美元。其中，80%以上是在以抵押貸款支持證券的形式存在的。信用卡和汽車貸款的組合，剛超過10%。資產(chǎn)

48、證券化是系統(tǒng)的一個重要組成部分，但它一直主要限于抵押貸款市場，特別是主要的市場，相對較低的風險，單戶抵押貸款組成。這在一個單一市場的集中度是重要的，原因是貸款相關(guān)的社區(qū)經(jīng)濟發(fā)展貸款的重要。抵押貸款是在系統(tǒng)中最透明的金融工具，特別是因為他們的抵押品支持和法律系統(tǒng)，支持取消抵押品的贖回權(quán)。這是真正的社區(qū)經(jīng)濟發(fā)展貸款。正如我將在下面討論的，雖然沒有特別的理由來說明任何資產(chǎn)不能證券化，但它不是一個意外的，與其他資產(chǎn)相比，高質(zhì)量的抵押貸款證券制度更加成功。他們受到信息不對稱，數(shù)量體積小等問題，這可能是現(xiàn)在的重要資產(chǎn)證券化的壁壘之一。 資產(chǎn)證券化的主要優(yōu)點是它可以提供一個有彈性的低成本的資金來源，特別是對

49、長期固定利率資產(chǎn)。而相比之下，銀行傳統(tǒng)的資金來源，如存款，一般是無供給彈性和浮動利率。正如我將認為，在一個完美的，無摩擦的世界，不同的資金來源將在“所有的”意義相同的成本，調(diào)整后的特點，如內(nèi)嵌期權(quán)的價值，對沖成本和貸款期限。車輛的經(jīng)費（例如，通過傳統(tǒng)的銀行存款主場迎戰(zhàn)包裝成債券銷售及市場）的選擇不會有問題。這似乎并非是在現(xiàn)實世界的案例。有許多“摩擦”，比如信息不對稱，使重要的選擇、公共政策遇到障礙問題，證券化至少是潛在的重要。要想處理好這一點，最好是一個非常簡單的框架，摩擦是不重要的，重要的摩擦的焦點開始在從那里轉(zhuǎn)移到現(xiàn)實世界。 莫迪利亞尼米勒 其出發(fā)點是極為著名的“莫迪利亞尼-米勒無關(guān)定理”

50、（以下簡稱毫米）（見莫迪利亞尼和米勒1958年）。簡言之，定理假設(shè)在完全競爭的市場，沒有交易成本，并具有廣泛一致同意的信息。該公司的負債結(jié)構(gòu)是無關(guān)緊要的;改變了其資產(chǎn)的公司財務(wù)狀況將不會影響其“全在”資金成本，因為不同的責任戰(zhàn)略是重新安排，從公司的資產(chǎn)相同的現(xiàn)金流量只是不同的方式。在消息靈通，具有完全彈性的資金提供有競爭力的市場中，套利將確保所有結(jié)構(gòu)的價格。因此將沒有一個整體優(yōu)勢。 從字面上看，這個定理意味著，雖然有可能的體制結(jié)構(gòu)，例如抵押貸款提供資金，地段和地段內(nèi)負債結(jié)構(gòu)的體制結(jié)構(gòu)，體制和結(jié)構(gòu)的選擇，不影響抵押貸款利率。一個定理的較軟的版本，不同結(jié)構(gòu)的任何優(yōu)勢可能很小。由于非常有彈性的供給曲

51、線，一個資金來源小等優(yōu)點（例如，一些補貼排序或略有降低交易成本）可能導致很大的影響如何融資完成，但對借款利率的影響小。 在mm定理中那些想法似乎是顯而易見的，但顯然不成立，現(xiàn)實世界是真實的。真實的市場是不完美的，但他們往往是相當不錯的。信息不對稱往往是規(guī)則而不是例外。和交易成本的問題。 mm的已在經(jīng)濟和金融期刊上被人們廣泛地討論，但該定理是個不錯的第一近似值。它使我們提出正確的問題：為什么要期望一個機構(gòu)設(shè)置會比另一種更好的融資一組特定的現(xiàn)金流量時，他們都在同一個整體金融體系的競爭？特別是，它表明，一些特定結(jié)構(gòu)的理由，如“讓資產(chǎn)負債表”，或“資本成本相對高債務(wù)”或“使銀行擺脫低首付貸款的風險”是

52、錯誤的，或至少有懷疑，等待mm的部分是什么違反了分析。 在研究重點的大部分債務(wù)的mm一直在主場迎戰(zhàn)股權(quán)融資。但是，證券化的問題是關(guān)于債務(wù)的股權(quán)結(jié)構(gòu)不足，這是對債務(wù)資金結(jié)構(gòu)，特別是涉及到機構(gòu)，通常使用不同種類的債務(wù)融資。例如，金融機構(gòu)債務(wù)的資金最常見的類型是由銀行提供資金，但重要的替代，尤其是在美國抵押貸款市場，已證券化，通常由政府贊助企業(yè)（兩房），房利美和房地美進行mac或政府全資擁有的國民抵押貸款(統(tǒng)稱“機構(gòu)”)。我們研究的起點是了解為什么應(yīng)該有任何資金存款和證券之間的差異。一、 社區(qū)發(fā)展貸款 社區(qū)經(jīng)濟發(fā)展貸款政策的公共利益循環(huán)、存在，至少應(yīng)從1977年社區(qū)再投資法開始。簡要的探討一下社區(qū)經(jīng)濟發(fā)展貸款的特征是什么？它是什么？ 社區(qū)經(jīng)濟發(fā)展的貸款并不容易界定。許多社區(qū)經(jīng)濟發(fā)展貸款