期权,期货及其衍生品第八弹-公开课件（讲义）.pptVIP

下载本文档

6
0
约4.8千字
约 13页
2019-10-17 发布于广西
举报
版权申诉

期权,期货及其衍生品第八弹-公开课件（讲义）.ppt

1、本文档共13页，可阅读全部内容。
2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
5、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
6、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
7、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
8、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

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