期权,期货及其衍生品第八弹-公开课件（讲义）.pptVIP

Chapter 8Securitization and the Credit Crisis of 2007 Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * 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 8th Edition, Copyright ? John C. Hull 2012 * Asset Backed Security (Simplified) Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * Asset 1 Asset 2 Asset 3 ? Asset n Principal: $100 million SPV Senior Tranche Principal: $80 million Return = LIBOR + 60bp Mezzanine Tranche Principal:$15 million Return = LIBOR+ 250bp Equity Tranche Principal: $5 million Return =LIBOR+2,000bp The Waterfall Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * Equity Tranche Senior Tranche Mezzanine Tranche Asset Cash Flows ABS CDOs or Mezz CDOs (Simplified) Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * Assets Senior Tranche (80%) AAA Mezzanine Tranche (15%) BBB Equity Tranche (5%) Not Rated Senior Tranche (65%) AAA Mezzanine Tranche (25%) BBB Equity Tranche (10%) The mezzanine tranche is repackaged with other mezzanine tranches Losses to AAA Senior Tranche of ABS CDO (Table 8.1, page 184) Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * Losses on Subprime portfolios Losses on Mezzanine Tranche of ABS Losses on Equity Tranche of ABS CDO Losses on Mezzanine Tranche of ABS CDO Losses on Senior Tranche of ABS CDO 10% 33.3% 100% 93.3% 0% 13% 53.3% 100% 100% 28.2% 17% 80.0% 100% 100% 69.2% 20% 100% 100% 100% 100% U.S. Real Estate Prices, 1987 to 2010: SP/Case-Shiller Composite-10 Index Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 2012 * What happened… Starting in 2000, mortgage originators in the US relaxed their lending standards and created large numbers of subprime first mortgages. This, combin