期權(quán)期貨和其他衍生品英文第

會(huì)計(jì)學(xué)1期權(quán)期貨和其他衍生品英文第Asset

Backed

Security

(Simplified)Asset

1Asset

2Asset

3Asset

nPrincipal:$100

millionSPVSenior

TranchePrincipal:

$80

millionReturn

=

LIBOR

+

60bpMezzanine

TranchePrincipal:$15

millionReturn

=

LIBOR+

250bpEquity

TranchePrincipal:

$5

millionReturn

=LIBOR+2,000bp第1頁/共12頁2The

WaterfallSeniorTrancheMezzanine

TrancheEquity

TrancheAssetCashFlows第2頁/共12頁3ABS

CDOs

or

Mezz

CDOs

(Simplified)AssetsSenior

Tranche

(80%)AAAMezzanine

Tranche

(15%)BBBEquity

Tranche

(5%)Not

RatedSenior

Tranche

(65%)AAAMezzanine

Tranche(25%)

BBBEquity

Tranche

(10%)The

mezzanine

tranche

isrepackaged

with

othermezzanine

tranches4ABSsABSCDOs第3頁/共12頁Losses

to

AAA

Senior

Tranche

of

ABSCDO

(Table

8.1,

page

189)5Losses

onSubprimeportfoliosLosses

onMezzanineTranche

ofLosses

onEquity

Trancheof

ABS

CDOLosses

onMezzanineTranche

ofLosses

onSeniorTranche

of10%ABS33.3%100%ABS

CDO93.3%ABS

CDO0%13%53.3%100%100%28.2%17%80.0%100%100%69.2%20%100%100%100%100%第4頁/共12頁U.S.

Real

Estate

Prices,

1987

to

2013:S&P/Case-Shiller

Composite-10

Index第5頁/共12頁6What

happened…

Starting

in

2000,

mortgage

originators

in

the

US

relaxedtheir

lending

standards

and

created

large

numbers

ofsubprime

first

mortgages.

This,

combined

with

very

low

interest

rates,

increased

thedemand

for

real

estate

and

prices

rose.

To

continue

to

attract

first

time

buyers

and

keep

pricesincreasing

they

relaxed

lending

standards

further

Features

of

the

market:

100%

mortgages,

ARMs,

teaserrates,

NINJAs,

liar

loans,

non-recourse

borrowing

Mortgages

were

packaged

in

financial

products

and

sold

toinvestors7第6頁/共12頁What

happened...■■■■

Banks

found

it

profitable

to

invest

in

the

AAA

rated

tranches

because

the

promised

return

was

significantly

higher

than

the

cost

offunds

and

capital

requirements

were

lowIn

2007

the

bubble

burst.

Some

borrowers

could

not

afford

theirpayments

when

the

teaser

rates

ended.

Others

had

negative

equityand

recognized

that

it

was

optimal

for

them

to

exercise

their

putoptions.Foreclosures

increased

supply

and

caused

U.S.

real

estate

prices

tofall.

Products,

created

from

the

mortgages,

that

were

previouslythought

to

be

safe

began

to

be

viewed

as

riskyThere

was

a

“flight

to

quality”

and

credit

spreads

increased

to

veryhigh

levelsMany

banks

incurred

huge

losses8第7頁/共12頁What

Many

Market

Participants

Did

Not

Realize…

Default

correlation

goes

up

in

stressed

marketconditions

Recovery

rates

are

less

in

stressed

marketconditions

A

tranche

with

a

certain

rating

cannot

be

equated

with

a

bond

with

the

same

rating.

For

example,

the

BBB

tranches

used

to

create

ABS

CDOs

weretypically

about

1%

wide

and

had

“all

or

nothing”

lossdistributions

(quite

different

from

BBB

bond)

This

is

quite

different

from

the

loss

distribution

for

aBBB

bond

from

a

BBB

bond9第8頁/共12頁Regulatory

Arbitrage

The

regulatory

capital

banks

were

requireto

keep

for

the

tranches

created

frommortgages

was

less

than

that

for

themortgages

themselves10第9頁/共12頁Incentives11

The

crisis

highlighted

whatare

referred

to

as

agencycosts

Mortgage

originators

(Theirprime

interest

was

in

inoriginating

mortgages

thatcould

be

securitized)

Valuers(第T1h0頁e/共y12w頁ere

underpressure

to

provide

highvaluations

so

that

the

loan-to-The

Aftermath…

A

huge

amount

of

newregulation

(Basel

II.5,

BaselIII,

Dodd-Frank,

etc).

Forexampl