美国金融风暴解密

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1、USSub-primetoFinancialcrisisRegulatoryagencyHousingMarketFinancialInstrumentIndustryFinancialInstitutionConsumerFinancialmarketOwner:1994,64%family2004,69%familyEconomicbackgroundDJindexUSFedFundrate86%42001/200007/200001/200107/200101/200207/200201/200307/200301/200407/200

2、401/200507/200501/200607/200601/200707/200701/200807/2008year1MBS(CDO/CMO)USbondMarket:$27tn?Pricechange2Sub-Prime?Subprimeratespread280BP130BP31243MBSOriginalFaceValueCurrentFaceValueCPRProjectedCashFlowon$1,000,000FaceValue,15-yearFNMA5.00%at32.2CPR.ProjectedCashFlowon$1,

3、000,000FaceValue,15-yearFNMA5.00%at6.0CPR4September7,2008FHFAtakeoverA$882BLOffsheet:MBS$2tn1,Whysecuritize?DurationmatchWriteoffbadassets2,Writeoff$200B04,08FinancialNetassetsE$44BMarketVideo56Aug.08thenationinarecessionaryeconomy,withjoblossesexceeding400,000amonth,AreaDi

4、stributionAllofthesestatessawtremendoushomepricerun-upsduringtheboom,whichmeantthatmanybuyershadtouseexotic,riskyloansinordertobeabletoaffordahome.7Futuretrendisunclear1,Furtherdefault?2,Securitizeandrisktransfer.3,Valuationdifficulty.4,Governmentdecision.8