中国国际投资公司的内部资料

2008CreditCrisisChinaInt’lInvestmentStockGroupLimited2008-12-3TheBeginningsoftheCrisis•Youhaveheardthatthecurrentcreditcrisisbeganinthehousingmarket.•Wewilllookatthebasicsofthemortgagemarkettounderstandhowitaffectedthefinancialmarkets.•Butfirst,wewilllookatthemeaningofsomefinancialtermsthatyouwillencounterinthispresentation.SomeTerminology•Mortgage–topledgepropertyassecurityforaloan•Collateral–thepropertythatispledged•Liquidity–easeofconversionofanassetintocash•Security–Acertificate(paperorelectronic)thatgivescertainrightstothelender.•Securitization–processinvolvingpoolingloansandcreatingsecuritiesbackedbytheloans.•Bonds/Debtinstrument–Asecuritythatgivestheholderarighttoreceiveafixedamount(called“facevalue”)onafixeddateinthefuture(dateofmaturity)andrighttoreceiveperiodicinterestpayments(calledthe“couponrate”).ConventionalMortgageProcess…•…beginswhenabuyerwishingtobuyahouse,approachesabank/financialinstitutionsforaloan.•Bank/FinancialInstitutionchecksborrower’scredithistory,income,otherfinancialdata(suchasotherdebtsowed),andthendecideswhethertomaketheloan.•Oncetheloanismade,thebank’smoneyistiedupforthedurationoftheloan(typically30years).Thismadetraditionalrealestateloansveryilliquid.•Securitizationofmortgageswasmeanttoturntheseilliquidloansintomoreliquidassets..WhatisSecuritizationofMortgages•Mortgagesecuritizationistheprocessinwhichseveralrealestateloansarepooledtogetherandthenbrokenupintosmallerpiecestobesoldtoinvestors.•Justlikestockownershipmakesitpossibleforeachoneofus(nomatterhowwealthyornotwealthy)toownapieceofacompany(insteadofthewhole),andenjoysharesoftheprofits,mortgagesecuritization,intheory,makesitpossibleforinvestorstoholdapieceofthemortgageandenjoysharesoftheinterest(andprincipal)payments.Securitizationcanbeagoodthing..•..becauseitallowsmoneytoflowfromthesavers(andinvestorswhoarewillingtobeartherisk),totheborrowerswhodonothavethemoneybutwanttouseit.•Obviously,thebank(orotherfinancialinstitution)thatmadetheoriginalloanisalsoalreadyperformingthisfunction.Sowhythesecuritization?•Answer:Thebankmaynotbewillingtomaketoomanyrealestateloansifitsmoneywillbetiedupforsuchlongdurations.Bybreakingtheloansintopiecesandsellingittoinvestors,thebankturnsanilliquidloanintoaliquidasset.Themoneythatisnowfreedupcanbeusedtofundotherproductiveactivities..MortgageSecuritizationisnotnew..•In1968,GNMA(GinnieMay)wasfirstauthorizedbyCongresstoissueMortgagebackedSecuritiestofinanceitshomeloans.•FNMA(FannieMay)andFHMC(FreddieMac)havebeenissuingMortgagebackedsecuritiessincethe1980s.•Themortgagebackedsecuritiescreatedwithpoolsofsubprimeloansarethoughttobetheculpritsinthecurrentfinancialcrisisandthesewereissuedstartinginthemid-1990s.•Source:“CreditCrunchof2008,”byPaulMizeninFederalReserveBankofSt.LouisReview,September/October2008,90(5),pp.531-567.MortgagesConventionalVs.Jumbo,Alt-A,andSubprime•ConventionalMortgagesadheredtocertainstandards.•Borrowersmusthavegoodcreditrating•Incomedocumentationrequired•Downpaymentrequired(typically20%)•Principalbalancecouldnotbehigherthanacertainamount($729,750in2008)•JumboLoans•Madetoborrowerswithgoodcredit(i.e.,primeborrowers)buttheprincipalbalanceislargerthantheAgency(FannieandFreddie)limits(729,750in2008).•Alt-ALoans•Madetoprimeborrowersbutlaxonotherstandardssuchasincomedocumentationordownpaymentrequirements•SubprimeLoans•Madetoborrowerswithbadcreditratings.Otherstandardsmayalsoberelaxed.Source:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport318,March2008.Subprimeloansincreaseddramatically…Source:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,July2007.Butwerestillasmallpartofallmortages..Source:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,July2007.TheSubprimeMortgageSecuritizationProcessMortgagor(Borrower)Bank/FinancialInstitution(Originator)RequestsloanProvidesloanArranger/IssuerLoansoldInvestorsissuessecuritiesWarehouseLender(makesshorttermloanstoIssuerforpurchaseofmortgages)CreditRatingAgencySPV(Trust)LoanspooledandsoldtoTrustServicer(isemployedbyTrusttocollectloanpaymentsetc.)MakesloanpaymentsRemitsloanpaymentstoTrustandadvancesunpaidinterestpayments.ProvidescustomerservicetoborrowerAdaptedfrom:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport318,March2008.Source:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport318,March2008.Source:“UnderstandingtheSecuritizationofSubprimeMortgageCredit’”AshcraftandSchuermann,FederalReserveBankofNewYorkStaffReport318,March2008.Source:“MoneyforNothingandChecksforFree”byJohnKiffandPaulMills,IMFWorkingPaper,July2007.CreationoftheM.B.Securities-AHighlySimplifiedillustration..•Originatormakes,letssay,a100loansaddingupto,say,$80million.Theexpectedpaybackis$80million(Principal)plustheinterestpaymentsof,say,$5million(assumingnodefaults).•Theoriginatorpoolsthe100loansandsellstotheArrangerfor,say,$82million.(Th