期权期货和其他衍生品英文第.pptxVIP

会计学 1 期权期货和其他衍生品英文第 Asset Backed Security (Simplified) 2 第1页/共12页 The Waterfall 3 Equity Tranche 第2页/共12页 ABS CDOs or Mezz CDOs (Simplified) 4 ABSs ABS CDOs 第3页/共12页 Losses to AAA Senior Tranche of ABS CDO (Table 8.1, page 189) 5 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% 第4页/共12页 U.S. Real Estate Prices, 1987 to 2013: SP/Case-Shiller Composite-10 Index 6 第5页/共12页 What happened… Starting in 2000, mortgage originators in the US relaxed their lending standards and created large numbers of subprime first mortgages. 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 7 第6页/共12页 What happened... Banks found it profitable to invest in the AAA rated tranches because the promised return was significantly higher than the cost of funds and capital requirements were low In 2007 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 There was a “flight to quality” and credit spreads increased to very high levels Many banks incurred huge losses 8 第7页/共12页 What Many Market Participants Did Not Realize… Default correlation goes up in stressed market conditions Recovery rates are less in stressed market conditions