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首页 中国国际投资公司的内部资料

中国国际投资公司的内部资料

中国国际投资公司的内部资料

liulangs
2008-12-13 0人阅读 举报 0 0 暂无简介

简介:本文档为《中国国际投资公司的内部资料ppt》,可适用于经济金融领域

CreditCrisisCreditCrisisChinaInt’lInvestmentStockGroupLimitedTheBeginningsoftheCrisisTheBeginningsoftheCrisisYouhaveheardthatthecurrentcreditcrisisbeganinthehousingmarketWewilllookatthebasicsofthemortgagemarkettounderstandhowitaffectedthefinancialmarketsButfirst,wewilllookatthemeaningofsomefinancialtermsthatyouwillencounterinthispresentationSomeTerminologySomeTerminologyMortgage–topledgepropertyassecurityforaloanCollateral–thepropertythatispledgedLiquidity–easeofconversionofanassetintocashSecurity–Acertificate(paperorelectronic)thatgivescertainrightstothelenderSecuritization–processinvolvingpoolingloansandcreatingsecuritiesbackedbytheloansBondsDebtinstrument–Asecuritythatgivestheholderarighttoreceiveafixedamount(called“facevalue”)onafixeddateinthefuture(dateofmaturity)andrighttoreceiveperiodicinterestpayments(calledthe“couponrate”)ConventionalMortgageProcess…ConventionalMortgageProcess……beginswhenabuyerwishingtobuyahouse,approachesabankfinancialinstitutionsforaloanBankFinancialInstitutionchecksborrower’scredithistory,income,otherfinancialdata(suchasotherdebtsowed),andthendecideswhethertomaketheloanOncetheloanismade,thebank’smoneyistiedupforthedurationoftheloan(typicallyyears)ThismadetraditionalrealestateloansveryilliquidSecuritizationofmortgageswasmeanttoturntheseilliquidloansintomoreliquidassetsWhatisSecuritizationofMortgagesWhatisSecuritizationofMortgagesMortgagesecuritizationistheprocessinwhichseveralrealestateloansarepooledtogetherandthenbrokenupintosmallerpiecestobesoldtoinvestorsJustlikestockownershipmakesitpossibleforeachoneofus(nomatterhowwealthyornotwealthy)toownapieceofacompany(insteadofthewhole),andenjoysharesoftheprofits,mortgagesecuritization,intheory,makesitpossibleforinvestorstoholdapieceofthemortgageandenjoysharesoftheinterest(andprincipal)paymentsSecuritizationcanbeagoodthingSecuritizationcanbeagoodthingbecauseitallowsmoneytoflowfromthesavers(andinvestorswhoarewillingtobeartherisk),totheborrowerswhodonothavethemoneybutwanttouseitObviously,thebank(orotherfinancialinstitution)thatmadetheoriginalloanisalsoalreadyperformingthisfunctionSowhythesecuritizationAnswer:ThebankmaynotbewillingtomaketoomanyrealestateloansifitsmoneywillbetiedupforsuchlongdurationsBybreakingtheloansintopiecesandsellingittoinvestors,thebankturnsanilliquidloanintoaliquidassetThemoneythatisnowfreedupcanbeusedtofundotherproductiveactivitiesMortgageSecuritizationisnotnewMortgageSecuritizationisnotnewIn,GNMA(GinnieMay)wasfirstauthorizedbyCongresstoissueMortgagebackedSecuritiestofinanceitshomeloansFNMA(FannieMay)andFHMC(FreddieMac)havebeenissuingMortgagebackedsecuritiessincethesThemortgagebackedsecuritiescreatedwithpoolsofsubprimeloansarethoughttobetheculpritsinthecurrentfinancialcrisisandthesewereissuedstartinginthemidsSource:“CreditCrunchof,”byPaulMizeninFederalReserveBankofStLouisReview,SeptemberOctober,(),ppMortgagesConventionalVsJumbo,AltA,andSubprimeMortgagesConventionalVsJumbo,AltA,andSubprimeConventionalMortgagesadheredtocertainstandardsBorrowersmusthavegoodcreditratingIncomedocumentationrequiredDownpaymentrequired(typically)Principalbalancecouldnotbehigherthanacertainamount($,in)JumboLoansMadetoborrowerswithgoodcredit(ie,primeborrowers)buttheprincipalbalanceislargerthantheAgency(FannieandFreddie)limits(,in)AltALoansMadetoprimeborrowersbutlaxonotherstandardssuchasincomedocumentationordownpaymentrequirementsSubprimeLoansMadetoborrowerswithbadcreditratingsOtherstandardsmayalsoberelaxedSource:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSubprimeloansincreaseddramatically…Subprimeloansincreaseddramatically…Source:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,JulyButwerestillasmallpartofallmortagesButwerestillasmallpartofallmortagesSource:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,JulyTheSubprimeMortgageSecuritizationProcessTheSubprimeMortgageSecuritizationProcessMortgagor(Borrower)BankFinancialInstitution(Originator)RequestsloanProvidesloanArrangerIssuerLoansoldInvestorsissuessecuritiesWarehouseLender(makesshorttermloanstoIssuerforpurchaseofmortgages)CreditRatingAgencySPV(Trust)LoanspooledandsoldtoTrustServicer(isemployedbyTrusttocollectloanpaymentsetc)MakesloanpaymentsRemitsloanpaymentstoTrustandadvancesunpaidinterestpaymentsProvidescustomerservicetoborrowerAdaptedfrom:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSource:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSource:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSource:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,JulyCreationoftheMBSecuritiesAHighlySimplifiedillustrationCreationoftheMBSecuritiesAHighlySimplifiedillustrationOriginatormakes,letssay,aloansaddingupto,say,$millionTheexpectedpaybackis$million(Principal)plustheinterestpaymentsof,say,$million(assumingnodefaults)TheoriginatorpoolstheloansandsellstotheArrangerfor,say,$million(TheArrangeriswillingtopaymorethan$millionbecauseitexpectstoreceivesomeinterestpayments)TheArrangerthendividesupthe$millionintoseveralsmallerpiecesLet’ssaybondseachwithafacevalueof,andsomeinterestrate(calledacouponrate)NowitwantstosellthesebondstoinvestorsSecuritizationcreatesadistancebetweentheinvestorandtheborrowerSecuritizationcreatesadistancebetweentheinvestorandtheborrowerSohowcananinvestorknowwhetherthemortgagesthatsecureitsinvestmentarehealthySeveralchecksandbalancesexistbutalsomanyproblemsalsoexistateachstageofthesecuritizationprocessInvestorsreliedheavilyoncreditratingsprovidedbytheRatingAgenciesTheRoleofCreditRatingAgenciesTheRoleofCreditRatingAgenciesCreditratingagencies,suchasMoody’s,StandardPoor,andFitch,arepaidbyfinancialinstitutionstoprovideeasytoreadunderstandratingsoftheriskassociatedwithvariousdebtinstrumentsEachAgencyhasitsownscaleofindicatorsandownmodelstodeterminedefaultriskAsamplescaleofratingsAAA–extremelysafe,verylowriskAA–verystrongcredit,lowriskA–strongcreditBBB–GoodcreditBB–goodcreditbutvulnerabletoeconomicconditionsRoleofcreditRatingAgenciescontdRoleofcreditRatingAgenciescontdInratingMortgageBackedSecurities(MBS),theratingagenciesreliedoninformationprovidedbytheIssuerArrangerTheirratingmodelswerepubliclyavailableandIssuersoftenconsultedwiththeratingagencieswhenconstructingtheloanpoolsandcreatingtheMBSThemodelsusedbytheratingagenciesreliedonhistoricaldata(typically,)ofmortgagedefaultandforeclosurefrequencyratesButthetypeofloansmadeduringwereverydifferentfromthetypesofloansmadeduringThelaterloansweremuchmoreriskySource:“CreditCrunchof,”byPaulMizeninFederalReserveBankofStLouisReview,SeptemberOctober,(),ppStructuringtheDealtheDevilintheDetailsStructuringtheDealtheDevilintheDetailsThepotentialinvestorsinthesemortgagebackedsecuritiesweremainlyinstitutionsthatwererestrictedbyregulationtobuyinginvestmentgradebonds(TypicallythesearebondsthatareratedBBBorbetter)So,foranArrangertosellthesemortgagebackedbonds,aratingofBBBorbetterwasessentialWorkinginconsultationwiththecreditratingagencies,thedealswerestructuredinawaythatwouldgivemostofthebondsAAA(safe)ratingStructuredDeals–ConvertingSubprimeLoansintoAAAbondsStructuredDeals–ConvertingSubprimeLoansintoAAAbondsToconvertapoolofloanstoAAAsecurities,theIssuerhadtoprovideCreditEnhancements(CE)intheformofOverCollateralization:Forexample,$millionloansarebackedbyrealestatethatisvaluedatmorethan$millionOr,moretypically,thecollectivefacevalueoftheMBSislessthantheunderlyingloanExcessSpread:TheweightedaverageofthecouponratesontheMBSislessthantheinterestrateontheunderlyinghomeloanSubordination:Inourexample,thesecuritiesaredividedintotranches(groups)senior,mezzanine,equity,andresidualtranchesTypically,aboutofthebondsweredesignatedseniortrancheandwereratedAAA,therestwereratedA,BBBandlowerThemezzanine,equity,andresidualtranchesare“subordinated”totheseniortrancheThatmeansanymoneyrepaidbytheborrowerisfirstappliedtotheAAAtranchebeforeanymoneyispaidtothemezzanine,equity,andresidualtranchesAdditionally,theinvestorswereassuredofthesafetyofthebondsbytheinsuranceprovidedbymonolineinsurerssuchasAMBAC,MBIAetcSource:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,JulyCollateralizedDebtObligations(CDOs)CollateralizedDebtObligations(CDOs)NonaturalmarketforBBandCratedMBSRepackagedintoCDOswithothercollateralizedloanssuchascarloansNonaturalmarketforlowertranchesofCDOsThesearerepackagedintoCDOLowertranchesofCDOarerepackagedintoCDOSource:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,JulyStructuredDeals–EachMBSandCDOisuniqueStructuredDeals–EachMBSandCDOisuniqueForanygivenpoolofloanstheratingagency,(oritspubliclyavailableratingmodel),toldtheIssuerhowmuchcreditenhancementwouldbenecessaryfortheMBStranchestoreceiveAAAratingTheIssuersoftenbundledcarloansandcreditcardloanswithsubprimemortgagestogetthedesiredcreditenhancements(especiallyfortheCDOs)ThisturnedthepreviouslystandardizedMBSmarket(withvirtuallynochanceofdefault)intoamarketwithhighriskAnd,especially,intoamarketwithriskthatwasverydifficulttopriceCompoundingtheriskpricingproblems,werefallinghousingpricesandseveralincentiveandinformationproblemsateachstageofthesecuritizationprocessIncentiveProblemsintheSecuritizationProcessIncentiveProblemsintheSecuritizationProcessMortgagor(Borrower)Originator(getsclosingcosts,pointspaidbyborrowerPLUSsaleproceedsofloan)MakeswarrantiestoArrangerPredatoryBorrowingPredatoryLendingArrangerIssuer(getsfeespaidbyinvestorsplusanypremiumpaidovertheparvalue)MortgageFraudInvestorsPrincipalAgentproblemWarehouseLender(MakesshorttermloanstoIssuerforfundingmortgagepurchases)CreditRatingAgencySPV(Trust)AdverseSelectionServicer(getspaidfixedfeebasedonoutstandingloanvalue)MoralHazardAdverseSelectionMoralHazardModelErrorAdaptedfrom:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSource:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchSource:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport,MarchWhattriggeredthecreditcrunchWhattriggeredthecreditcrunchFallinghousingpricesincreaseddefaultsInvestorsbegantoexercise“putback”optionsthatputtheOriginatorsonthehookforthebadloansHighleveragemeantthatasmalllossonsubprimeloanstranslatedintohugelossesofcapitalTherunonthebanksstartedachainreactionthatresultedinthefailureofseveralstandalone(monoline)banksandinsurersDoubtsabouttheextentoflossessufferedbyeachinstitutioncreatedlargescaleuncertaintythatfrozethecreditmarketWhatNowWhatNowCreditCrisisisrealButwhatisthesolutionIsabailoutnecessaryIfso,whatshouldagoodbailoutdoDependsonwhetherthecreditcrisisisduetoInadequatecapital,orLackofconfidence,orBothinadequatecapitalandlackofconfidenceThecurrentbailoutrescueplanThecurrentbailoutrescueplanMainlyaddressestheproblemoflackofconfidenceSeekstorestoreconfidenceby:Govtbuyingupthe“toxic”assetsCriticalquestionis“atwhatprice”SeekstofindthepricethroughareverseauctionReverseAuctionsReverseAuctionsProblemswithusingreverseauctionsinthiscaseEach“toxic”assetisdifferentTheCDOsandMBSarenotallalikeAsymmetricInformationBanksknowmoreaboutthequalityofthesecuritiesthanthegovernmentAdverseSelectionBanksarelikelytooffertheworstsecuritiesforsaleattheauctionandkeepthegood(morevaluable,profitable)onestothemselvesAlternativestobailoutplanAlternativestobailoutplanWhynotsimplyhelpthehomeownerswhoareinforeclosureCuringcurrentforeclosuresisnotenoughFuturedefaultswillhavetobepickedupbytaxpayersaswellforthistoworkEstimated$trillionofpotentiallyproblematicloansmadeVeryexpensivetobailouthomeownersMoralhazardissue–morearelikelytodefaultisgovernmentbailsoutThisisalsoaproblemwithcurrentplantodirectlyhelpbanksProblematicloansweremadeinothermarkets(carloans,creditcards)aswellCuringdefaultsinhousingmarketsmaynotbeenoughtoavertdeeperrecessionAlternativestoBailoutplanAlternativestoBailoutplanDemandingstock(shareinprofits)inreturnforprovidingcapitaltotroubledbanksGoodideafromtaxpayer’sperspectivebutnotlikelytohelpifbankersdonotparticipateNoeasyanswersNoeasyanswersRulesofauctionandotherdetailsofbailoutarecriticalforpreventingadeeperandlongerrecession,aswellas,NotenrichingbanksattheexpenseoftaxpayersTreasurySecretaryhasdaystocomeupwiththedetailsoftheplantobuytoxicassetsWatchformoredetailsMeanwhile,timeisrunningoutasevidencedbythedeepeningofthecrisis

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  • 木木 给上传者补充下:资料为英文版~

    2009-12-04 00:01:11

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