摘要
過去二十幾年來，資產證券化觀念及其有關商品在國際金融市場上獲得長足且顯著之發展。和傳統證券不同的是，這些「新型」金融商品係以特定資產之預期現金流量為基礎（擔保）而發行，而非以私人企業或公眾部門的未來整體償還（獲利）能力為依據。
實質資產證券化（以特定資產或債權所能帶來之現金流量為基礎的抵押型證券）的觀念首先出現在美國（1970年代的Ginnie Mae），該類型證券的交易數量和產品設計創新能力，美國亦執牛耳。本文第一部份使用質性研究方法，檢視美國金融市場上資產證券化的發展概況。
資產證券化以穩定而可預測之現金流量為發行基礎，該型證券雖然解決了大型資產流動性偏低的問題，但其適用範圍主要在於可確切估價、可分析（具歷史紀錄）的實質資產和債權。對於最近漸獲注意的大型專案和不可見資產（智慧財產權、管理能力、銷售通路等）籌資與權利分割，資產證券化則因其對現金流量穩定性與可分析性的限制，在應用上有其侷限。
簡言之，專案證券化（無形資產證券化）著重的是因專案或無形資產所帶來的具風險性之現金流量。而為有效管理其風險，該型商品要比資產證券化商品更重視發行機構的積極管理能力。專案證券化的出現與發展適時滿足了發行者對於專案融資的需要與投資者參與未來營利的渴望。本文第二部份將從專案證券化的產品結構與組成切入，描繪其輪廓，並預測其未來發展。

Abstract
One of the more prominent developments in international finance in the past two decades, and one which could assume even greater importance in the future is securitization, by which is meant the issuance of marketable securities backed not by the expected capacity to repay of a private corporation or public sector entity, but by the expected cash flows from specific assets.
This paper, using the qualitative research method, examines the current status of tangible asset securitization, namely mortgage-backed and asset-backed securities, within the United States, which generally leads the way in both transaction volume and technology of securitization.
By doing so, it anticipates to build the structure and elements of the newly developed project-backed securitization, which represent in some aspects the market needs of more financial devices to bring qualified projects to investors and channel capital to potential investment opportunities.
Though it is difficult to predict the success of each project-backed securitization deal by looking at the U.S. precedents, but by empathizing the structure and elements of such process, it is hoped that edification may be comprehended.

Contents
Chapter Page
Acknowledgments………………………………………………………………i
Abstract………………………………………………………………………ii
I.Introduction ………………………………………………………………1
1.1Research Objectives……………………………………………………1
1.2Research Method…………………………………………………………2
1.3Research Scope …………………………………………………………3
II.Tangible Asset Securitization ………………………………………5
2.1Tangible Asset Securitization Defined……………………………5
2.2The Creation of Synthetic Securities ……………………………6
2.3Structure and Basic Elements ………………………………………7
2.4Categories of Securitization………………………………………10
2.4.1Mortgage-backed Securities ……………………………………11
2.4.1.1Mortgage Pass-throughs………………………………………12
2.4.1.2Collateralized Mortgage Obligations ……………………13
2.4.1.3Stripped Mortgage-backed Securities ……………………14
2.4.1.4Callable Pass-throughs………………………………………15
2.4.2Asset-backed Securities…………………………………………16
2.4.2.1Credit Card Receivables ……………………………………17
2.4.2.2Automobile Loan Receivables ………………………………20
2.4.2.3Student Loans …………………………………………………21
2.4.2.4Tax Liens ………………………………………………………22
2.4.2.5Tobacco Settlements …………………………………………24
2.4.2.6High-yield bonds………………………………………………25
2.4.2.7Asset-backed commercial paper ……………………………25
2.5Basic Requirements for Securitization …………………………26
2.6Reasons for Success of Securitization …………………………27
III.Project-backed Securitization ……………………………………32
3.1The Emergence of Project-backed Securitization………………32
3.2Deficiency of Asset-backed Securitization ……………………32
3.3Reasons for Project-backed Securitization ……………………34
3.4Intangible Asset Securitization Defined ………………………35
3.5Structure and Basic Elements………………………………………36
3.5.1Credit enhancement measures……………………………………40
3.5.2Security package …………………………………………………42
3.6Application Areas of Project-backed Securitizat ……………44
3.6.1Project Financing…………………………………………………44
3.6.2Merger & Acquisition ……………………………………………45
3.6.3Intangible Asset Financing ……………………………………46
3.6.3.1Valuation of Intangible Assets……………………………49
3.6.3.1.1The Pros and Cons of Valuation………………………49
3.6.3.1.2Uses of Valuation ………………………………………51
3.6.3.1.3Key Issues in Valuation ………………………………52
3.6.3.2Valuation Approaches…………………………………………52
3.6.3.2.1Categories of Intangible Assets ……………………53
3.6.3.2.2Valuation Methods ………………………………………54
IV.Conclusion ………………………………………………………………64
V.Appendixes…………………………………………………………………66
VI.Bibliography ……………………………………………………………76

參考文獻
一、碩士論文
1. 何宗坤，金融資產證券化對銀行經營成本與風險之影響與在我國發展之可行性分析，國立台灣大學商學研究所碩士論文，民國八十一年六月。
2. 呂姝靜，資產證券化法制之研究，國立台灣大學法律學研究所碩士論文，民國八十七年六月。
3. 吳以苓，美國住宅抵押貸款擔保債券之研究，國立台灣大學財務金融學研究所碩士論文，民國八十八年六月。
4. 楊宗祐，抵押貸款證券發行實務研究 — 以美國市場為例，國立台灣大學財務金融學研究所碩士論文，民國八十九年六月。
二、期刊
1. 何玉峰著，美國資產證券化之展望，存款保險資訊季刊，民國八十一年十二月。
2. 張國銘著，美國資產證券化概論，財稅研究，民國八十年九月。
3. 臧大年著，資產證券化 — 美國之經驗，證券市場發展季刊，第十六期，民國八十一年十月。
4. 劉紹樑著，談資產證券化之法律問題，證券市場發展季刊，第十六期，民國八十一年十月。
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