Содержание
- 2. Credit risk transfer instruments Loan Sales Securitization Credit Derivatives Traditional Distress debt Sovereign debt Pass –
- 3. AGENDA: SECURITIZATION The Pass -Through Security (PTS) Collateralized Mortgage Obligation (CMO) Mortgage-Backed Bonds (MBBs) CREDIT CRISIS
- 4. I. SECURITIZATION Securitization is a process of packaging and selling of loans and other assets backed
- 5. The Pass-Through Security Government National Mortgage Association (GNMA) Sponsors MBS programs and acts as a guarantor.
- 6. Major Benefits of Securitisation: lower cost of funding due to the enhanced rating stemming from mixed
- 7. Incentives and Mechanics of Pass-Through Security Creation Example: Assume that Bank has 1000 new residential mortgages
- 8. Mechanics of Pass-Through Security Creation Bank pays annual insurance premium to the FDIC. Assume the deposit
- 9. GNMA Pass-Through process: Creation of the Asset backed security (ABS) Mortgage credit insurance Bank Mortgages 2.
- 10. Calculation of a constant monthly payment of borrowers: Size of the pool: PV = $100 000
- 11. Payment schedule Fully amortized mortgages:
- 12. GNMA Pass-Through process The bank aggregates the payments for mortgages and passes funds through to GNMA
- 13. Further Incentives The attractiveness of these bonds to investors. In particular, investors in these bonds are
- 14. Effects of prepayments Prepayment risk is the risk that the loan will be paid off before
- 15. Asset Backed Security (continued)
- 16. The Waterfall Equity Tranche 1st loss 2nd loss, if 1st loss is more than 5% 3d
- 17. Collateralized Mortgage Obligations (ABS CMO) were created to manage the prepayment risk Assets Senior Tranche (80%)
- 18. Collateralized Mortgage Obligation (CMO) Prepayment effects differ across tranches (classes) R Class Improves marketability of the
- 19. Mortgage-Backed Bonds (MBBs) Normally remain on the balance sheet. No direct link between the cash flows
- 20. Mortgage-Backed Bonds (MBBs) EXAMPLE: Before securitization Problems: Da > Dl, high risk premium paid to uninsured
- 21. Mortgage-Backed Bonds (MBBs) Weaknesses: Tied up mortgages on the balance sheet for a long time; Increases
- 22. Securitization of other assets CARDs Various receivables, loans, junk bonds, ARMs. Can all assets be securitized?
- 23. U.S. Real Estate Prices, 1987 to 2009: S&P/Case-Shiller Composite-10 Index Credit Crisis 2007
- 24. What happened… Relaxation of Mortgage standards Starting in 2000, mortgage originators in the US relaxed their
- 25. What happened... Mortgages were packaged in financial products and sold to investors: The most important thing
- 26. Key Mistakes Made By the Market Ratings to tranches was not assigned relative to the risk:
- 27. Key Mistakes Made By the Market Regulators required to retain only from 5% to 10% of
- 28. Lessons learned: Ensure transparency of complex products. Creators of the products should provide a way for
- 29. Lessons learned: More emphasis on stress testing More emphasis on stress testing and managerial judgement; less
- 30. Major Reasons of the Financial Crisis in Kazakhstan Financing of the high credit growth through external
- 31. Why Financial Crisis in Kazakhstan was not so severe as in developed countries? Proportion of foreign
- 32. Real Estate Price Dynamic in Kazakhstan
- 33. Structural changes in Kazakhstani banking industry since 2008.
- 34. Concentration ratios of top five Kazakhstani banks Source: www.afn.kz
- 35. Market share of local bank vs market share of banks with foreign ownership Source: www.afn.kz All
- 37. Скачать презентацию