《期权期货和其他衍生品》英文第9版-Chap08-Securitization and the Credit Crisis of 2019-精选文档
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This, combined with very low interest rates, increased the demand for real estate and prices rose. To continue to attract first time buyers and keep prices increasing they relaxed lending standards further Features of the market: 100% mortgages, ARMs, teaser rates, NINJAs, liar loans, non-recourse borrowing Mortgages were packaged in financial products and sold to investors
4
ABS CDOs or Mezz CDOs (Simplified)
The mezzanine tranche is repackaged with other mezzanine tranches
ABSs
Assets Senior Tranche (80%) AAA
ABS CDOs
Senior Tranche (65%) AAA
Mezzanine Tranche (15%) BBB
Mezzanine Tranche (25%) BBB Equity Tranche (5%) Not Rated Equity Tranche (10%)
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
20%
100%
100%
100%
100%
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
6
U.S. Real Estate Prices, 1987 to 2019:
S&P/Case-Shiller Composite-10 Index
Chapter 8 Securitization and the Credit Crisis of 2019
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
1
Securitization
Traditionally banks have funded loans with deposits Securitization is a way that loans can increase much faster than deposits
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
3
The Waterfall
Asset Cash Flows
Senior Tranche
Mezzanine Tranche Equity Tranche
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
Asset n Principal: $100 million Equity Tranche Principal: $5 million Return =LIBOR+2,000bp
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
8
What happened...
Banks found it profitable to invest in the AAA rated tranches because the promised return was significantly 源自文库igher than the cost of funds and capital requirements were low In 2019 the bubble burst. Some borrowers could not afford their payments when the teaser rates ended. Others had negative equity and recognized that it was optimal for them to exercise their put options. Foreclosures increased supply and caused U.S. real estate prices to fall. Products, created from the mortgages, that were previously thought to be safe began to be viewed as risky
5
Losses to AAA Senior Tranche of ABS CDO (Table 8.1, page 189)
Losses on Subprime portfolios 10% 13% 17% Losses on Mezzanine Tranche of ABS 33.3% 53.3% 80.0% Losses on Equity Tranche of ABS CDO 100% 100% 100% Losses on Mezzanine Tranche of ABS CDO 93.3% 100% 100% Losses on Senior Tranche of ABS CDO 0% 28.2% 69.2%
2
Asset Backed Security (Simplified)
Asset 1 Asset 2 Asset 3 Senior Tranche Principal: $80 million Return = LIBOR + 60bp
SPV
Mezzanine Tranche Principal:$15 million Return = LIBOR+ 250bp
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
7
What happened…
Starting in 2000, mortgage originators in the US relaxed their lending standards and created large numbers of subprime first mortgages.
4
ABS CDOs or Mezz CDOs (Simplified)
The mezzanine tranche is repackaged with other mezzanine tranches
ABSs
Assets Senior Tranche (80%) AAA
ABS CDOs
Senior Tranche (65%) AAA
Mezzanine Tranche (15%) BBB
Mezzanine Tranche (25%) BBB Equity Tranche (5%) Not Rated Equity Tranche (10%)
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
20%
100%
100%
100%
100%
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
6
U.S. Real Estate Prices, 1987 to 2019:
S&P/Case-Shiller Composite-10 Index
Chapter 8 Securitization and the Credit Crisis of 2019
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
1
Securitization
Traditionally banks have funded loans with deposits Securitization is a way that loans can increase much faster than deposits
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
3
The Waterfall
Asset Cash Flows
Senior Tranche
Mezzanine Tranche Equity Tranche
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
Asset n Principal: $100 million Equity Tranche Principal: $5 million Return =LIBOR+2,000bp
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
8
What happened...
Banks found it profitable to invest in the AAA rated tranches because the promised return was significantly 源自文库igher than the cost of funds and capital requirements were low In 2019 the bubble burst. Some borrowers could not afford their payments when the teaser rates ended. Others had negative equity and recognized that it was optimal for them to exercise their put options. Foreclosures increased supply and caused U.S. real estate prices to fall. Products, created from the mortgages, that were previously thought to be safe began to be viewed as risky
5
Losses to AAA Senior Tranche of ABS CDO (Table 8.1, page 189)
Losses on Subprime portfolios 10% 13% 17% Losses on Mezzanine Tranche of ABS 33.3% 53.3% 80.0% Losses on Equity Tranche of ABS CDO 100% 100% 100% Losses on Mezzanine Tranche of ABS CDO 93.3% 100% 100% Losses on Senior Tranche of ABS CDO 0% 28.2% 69.2%
2
Asset Backed Security (Simplified)
Asset 1 Asset 2 Asset 3 Senior Tranche Principal: $80 million Return = LIBOR + 60bp
SPV
Mezzanine Tranche Principal:$15 million Return = LIBOR+ 250bp
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2019
7
What happened…
Starting in 2000, mortgage originators in the US relaxed their lending standards and created large numbers of subprime first mortgages.