期权,期货及其衍生品第八弹

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1、Chapter8SecuritizationandtheCreditCrisisof2007Options,Futures,andOtherDerivatives8thEdition,Copyright©JohnC.Hull20121SecuritizationTraditionallybankshavefundedloanswithdepositsSecuritizationisawaythatloanscanincreasemuchfasterthandepositsOptions,Futures,andOtherDerivativ

2、es8thEdition,Copyright©JohnC.Hull20122AssetBackedSecurity(Simplified)Options,Futures,andOtherDerivatives8thEdition,Copyright©JohnC.Hull20123Asset1Asset2Asset3AssetnPrincipal:$100millionSPVSeniorTranchePrincipal:$80millionReturn=LIBOR+60bpMezzanineTranchePrincipal:$15mill

3、ionReturn=LIBOR+250bpEquityTranchePrincipal:$5millionReturn=LIBOR+2,000bpTheWaterfallOptions,Futures,andOtherDerivatives8thEdition,Copyright©JohnC.Hull20124EquityTrancheSeniorTrancheMezzanineTrancheAssetCashFlowsABSCDOsorMezzCDOs(Simplified)Options,Futures,andOtherDerivat

4、ives8thEdition,Copyright©JohnC.Hull20125AssetsSeniorTranche(80%)AAAMezzanineTranche(15%)BBBEquityTranche(5%)NotRatedSeniorTranche(65%)AAAMezzanineTranche(25%)BBBEquityTranche(10%)ThemezzaninetrancheisrepackagedwithothermezzaninetranchesLossestoAAASeniorTrancheofABSCDO(Tab

5、le8.1,page184)Options,Futures,andOtherDerivatives8thEdition,Copyright©JohnC.Hull20126LossesonSubprimeportfoliosLossesonMezzanineTrancheofABSLossesonEquityTrancheofABSCDOLossesonMezzanineTrancheofABSCDOLossesonSeniorTrancheofABSCDO10%33.3%100%93.3%0%13%53.3%100%100%28.2%17

6、%80.0%100%100%69.2%20%100%100%100%100%U.S.RealEstatePrices,1987to2010:S&P/Case-ShillerComposite-10IndexOptions,Futures,andOtherDerivatives8thEdition,Copyright©JohnC.Hull20127Whathappened…Startingin2000,mortgageoriginatorsintheUSrelaxedtheirlendingstandardsandcreatedlargen

7、umbersofsubprimefirstmortgages.This,combinedwithverylowinterestrates,increasedthedemandforrealestateandpricesrose.TocontinuetoattractfirsttimebuyersandkeeppricesincreasingtheyrelaxedlendingstandardsfurtherFeaturesofthemarket:100%mortgages,ARMs,teaserrates,NINJAs,liarloans

8、,non-recourseborrowingMortgageswerepackagedinfinancialproductsandsoldtoinvestorsOptions,Futures,