期权期货及其他衍生产品第9版赫尔

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1、Chapter8SecuritizationandtheCreditCrisisof2007Options,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20141SecuritizationTraditionallybankshavefundedloanswithdepositsSecuritizationisawaythatloanscanincreasemuchfasterthandepositsOptions,Futures,andOtherDerivatives9th

2、Edition,Copyright©JohnC.Hull20142AssetBackedSecurity(Simplified)Options,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20143Asset1Asset2Asset3AssetnPrincipal:$100millionSPVSeniorTranchePrincipal:$80millionReturn=LIBOR+60bpMezzanineTranchePrincipal:$15millionReturn=

3、LIBOR+250bpEquityTranchePrincipal:$5millionReturn=LIBOR+2,000bpTheWaterfallOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20144EquityTrancheSeniorTrancheMezzanineTrancheAssetCashFlowsABSCDOsorMezzCDOs(Simplified)Options,Futures,andOtherDerivatives9thEdition,

4、Copyright©JohnC.Hull20145AssetsSeniorTranche(80%)AAAMezzanineTranche(15%)BBBEquityTranche(5%)NotRatedSeniorTranche(65%)AAAMezzanineTranche(25%)BBBEquityTranche(10%)ThemezzaninetrancheisrepackagedwithothermezzaninetranchesABSsABSCDOsLossestoAAASeniorTrancheofABSCDO(Table8.1,pag

5、e189)Options,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20146LossesonSubprimeportfoliosLossesonMezzanineTrancheofABSLossesonEquityTrancheofABSCDOLossesonMezzanineTrancheofABSCDOLossesonSeniorTrancheofABSCDO10%33.3%100%93.3%0%13%53.3%100%100%28.2%17%80.0%100%100%

6、69.2%20%100%100%100%100%U.S.RealEstatePrices,1987to2013:S&P/Case-ShillerComposite-10IndexOptions,Futures,andOtherDerivatives9thEdition,Copyright©JohnC.Hull20147Whathappened…Startingin2000,mortgageoriginatorsintheUSrelaxedtheirlendingstandardsandcreatedlargenumbersofsubprimefir

7、stmortgages.This,combinedwithverylowinterestrates,increasedthedemandforrealestateandpricesrose.TocontinuetoattractfirsttimebuyersandkeeppricesincreasingtheyrelaxedlendingstandardsfurtherFeaturesofthemarket:100%mortgages,ARMs,teaserrates,NINJAs,liarloans,non-recourseborrowingMo

8、rtgageswerepackagedinfinancialproductsandsoldtoinvestorsOptio