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Chapter 8 Securitization and the Credit Crisis of 2007Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20121第一页，共十三页。
SecuritizationTraditionally banks have funded loans with depositsSecuritization is a way that loans can increase much faster than depositsOptions, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20122第二页，共十三页。
Asset Backed Security (Simplified) Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20123Asset 1Asset 2Asset 3?Asset nPrincipal:$100 million SPVSenior TranchePrincipal: $80 millionReturn = LIBOR + 60bpMezzanine TranchePrincipal:$15 millionReturn = LIBOR+ 250bpEquity Tranche Principal: $5 millionReturn =LIBOR+2,000bp第三页，共十三页。
The WaterfallOptions, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20124Equity TrancheSenior TrancheMezzanine TrancheAsset Cash Flows第四页，共十三页。
ABS CDOs or Mezz CDOs (Simplified)Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20125AssetsSenior Tranche (80%)AAAMezzanine Tranche (15%)BBBEquity Tranche (5%)Not RatedSenior Tranche (65%)AAAMezzanine Tranche (25%) BBBEquity Tranche (10%)The mezzanine tranche is repackaged with other mezzanine tranches第五页，共十三页。
Losses to AAA Senior Tranche of ABS CDO (Table 8.1, page 184)Options, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20126Losses on Subprime portfoliosLosses on Mezzanine Tranche of ABSLosses on Equity Tranche of ABS CDOLosses on Mezzanine Tranche of ABS CDOLosses on Senior Tranche of ABS CDO10%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%第六页，共十三页。
U.S. Real Estate Prices, 1987 to 2010: SP/Case-Shiller Composite-10 IndexOptions, Futures, and Other Derivatives 8th Edition, Copyright ? John C. Hull 20127第七页，共十三页。
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 i
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