1. 美次贷危机与金融危机关系
次贷危机进一步恶化为金融危机。不过也只是提法不同。次贷危机相对不严重，称为金融危机就显得相当严重。
在截至2006年6月的两年时间里，美国联邦储备委员会连续17次提息，将联邦基金利率从1%提升到5．25%。利率大幅攀升加重了购房者的还贷负担。而且，自从2005年第二季度以来，美国住房市场开始大幅降温。随着住房价格下跌，购房者难以将房屋出售或者通过抵押获得融资。受此影响，很多次级抵押贷款市场的借款人无法按期偿还借款，次级抵押贷款市场危机开始显现并呈愈演愈烈之势。
次贷危机是指由美国次级房屋信贷行业违约剧增、信用紧缩问题而于2007年夏季开始引发的国际金融市场上的震荡、恐慌和危机。
金融危机指的是金融资产或金融机构或金融市场的危机，具体表现为金融资产价格大幅下跌或金融机构倒闭或濒临倒闭或某个金融市场如股市或债市暴跌等。系统性金融危机指的是那些波及整个金融体系乃至整个经济体系的危机，比如1930年(庚午年)引发西方经济大萧条的金融危机，又比如2008年9月15日爆发并引发全球经济危机的金融危机。
2. 请教关于CDO
如果中英文皆可的话,我觉得英文的资料更权威和想尽:
Collateralized debt obligations (CDOs) are an unregulated type of asset-backed security and structured credit proct. CDOs are constructed from a portfolio of fixed-income assets. These assets are divided by the issuer into different tranches: senior tranches (rated AAA), mezzanine tranches (AA to BB), and equity tranches (unrated). Losses are applied in reverse order of seniority and so junior tranches offer higher coupons (interest rates) to compensate for the added default risk. Since 1987, CDOs have become an important funding vehicle for fixed-income assets.
Some news and media commentary blame the financial woes of the 2007-2008 credit crunch on the complexity of CDO procts, and the failure of risk and recovery models used by credit rating agencies to value these procts. Some institutions buying CDOs lacked the competency to monitor credit performance and/or estimate expected cash flows. On the other hand, some academics maintain that because the procts are not priced by an open market, the risk associated with the securities is not priced into its cost and is not indicative of the extent of the risk to potential purchasers.[1] As many CDO procts are held on a mark to market basis, the paralysis in the credit markets and the collapse of liquidity in these procts led to substantial write-downs in 2007. Major loss of confidence occurred in the validity of the process used by ratings agencies to assign credit ratings to CDO tranches and this loss of confidence persists into 2008.
Contents
[hide]
* 1 Market history and growth
* 2 Concept
* 3 Structures
* 4 Taxation of CDOs
* 5 Types of CDOs
* 6 Types of Collateral
* 7 Transaction Participants
o 7.1 Investors
o 7.2 Underwriter
o 7.3 The Asset Manager
o 7.4 The Trustee and Collateral Administrator
o 7.5 Accountants
o 7.6 Attorneys
* 8 Subprime mortgage crisis
* 9 See also
* 10 References
* 11 External links
[edit] Market history and growth
The first CDO was issued in 1987 by bankers at now-defunct Drexel Burnham Lambert Inc. for Imperial Savings Association, a savings institution that later became insolvent and was taken over by the Resolution Trust Corporation on June 22, 1990.[2][3][4] A decade later, CDOs emerged as the fastest growing sector of the asset-backed synthetic securities market. This growth may reflect the increasing appeal of CDOs for a growing number of asset managers and investors, which now include insurance companies, mutual fund companies, unit trusts, investment trusts, commercial banks, investment banks, pension fund managers, private banking organizations, other CDOs and structured investment vehicles.
CDOs offered returns that were sometimes 2-3 percentage points higher than corporate bonds with the same credit rating.
It may also reflect the greater profit margins that CDOs provide to their manufacturers.
A major factor in the growth of CDOs was the 2001 introction by David X. Li of Gaussian copula models, which allowed for the rapid pricing of CDOs. [5][6]
According to the Securities Instry and Financial Markets Association, aggregate global CDO issuance totaled US$ 157 billion in 2004, US$ 272 billion in 2005, US$ 552 billion in 2006 and US$ 503 billion in 2007.[7] Research firm Celent estimated the size of the CDO global market to close to $2 trillion by the end of 2006.[8]
[edit] Concept
CDOs vary in structure and underlying assets, but the basic principle is the same. Essentially a CDO is a corporate entity constructed to hold assets as collateral and to sell packages of cash flows to investors. A CDO is constructed as follows:
* A special purpose entity (SPV) acquires a portfolio of credit. Common assets held include mortgage-backed securities, Commercial Real Estate (CRE) debt, and high-yield corporate loans.
* The SPV issues different classes of bonds and equity and the proceeds are used to purchase the portfolio of credits. The bonds and equity are entitled to the cash flows from the portfolio of credits, in accordance with the Priority of Payments set forth in the transaction documents. The senior notes are paid from the cash flows before the junior notes and equity notes. In this way, losses are first borne by the equity notes, next by the junior notes, and finally by the senior notes. In this way, the senior notes, junior notes, and equity notes offer distinctly different combinations of risk and return, while each reference the same portfolio of debt securities.
A CDO investor takes a position in an entity that has defined risk and reward, not directly in the underlying assets. Therefore, the investment is dependent on the quality of the metrics and assumptions used for defining the risk and reward of the tranches.
The issuer of the CDO, typically an investment bank, earns a commission at time of issue and earns management fees ring the life of the CDO. An investment in a CDO is therefore an investment in the cash flows of the assets, and the promises and mathematical models of this intermediary, rather than a direct investment in the underlying collateral. This differentiates a CDO from a mortgage or a mortgage-backed security (MBS).
The loss of an investor's principal is applied in reverse order of seniority (i.e., highest credit risk tranches to lowest). The senior tranche is protected by the subordinated security structure; thus, it is the most highly rated tranche. The equity tranche (also known as the first-loss tranche or "toxic waste") is most vulnerable, and has to offer higher coupons to compensate for the higher risk.
Creating CDOs from other CDOs creates enormous problems for accounting, allowing large financial institutions to move debt off their books by pooling their debt with other financial institutions and then bringing these debts back on to their books calling it a Synthetic CDO asset. [9] This not only has allowed financial institutions to hide their losses, but has allowed them to inflate their earnings.[10] This has the unfortunate effect of doubling potential losses book-wise[11].
[edit] Structures
CDO is a broad term that can refer to several different types of procts. They can be categorized in several ways. The primary classifications are as follow:
Source of funds -- cash flow vs. market value
* Cash flow CDOs pay interest and principal to tranche holders using the cash flows proced by the CDO's assets. Cash flow CDOs focus primarily on managing the credit quality of the underlying portfolio.
* Market value CDOs attempt to enhance investor returns through the more frequent trading and profitable sale of collateral assets. The CDO asset manager seeks to realize capital gains on the assets in the CDO's portfolio. There is greater focus on the changes in market value of the CDO's assets. Market value CDOs are longer-established, but less common than cash flow CDOs.
Motivation -- arbitrage vs. balance sheet
* Arbitrage transactions (cash flow and market value) attempt to capture for equity investors the spread between the relatively high yielding assets and the lower yielding liabilities represented by the rated bonds. The majority, 86%, of CDOs are arbitrage-motivated[12].
* Balance sheet transactions, by contrast, are primarily motivated by the issuing institutions’ desire to remove loans and other assets from their balance sheets, to rece their regulatory capital requirements and improve their return on risk capital. A bank may wish to offload the credit risk in order to rece its balance sheet's credit risk.
Funding -- cash vs. synthetic
* Cash CDOs involve a portfolio of cash assets, such as loans, corporate bonds, asset-backed securities or mortgage-backed securities. Ownership of the assets is transferred to the legal entity (known as a special purpose vehicle) issuing the CDO's tranches. The risk of loss on the assets is divided among tranches in reverse order of seniority. Cash CDO issuance exceeded $400 billion in 2006.
* Synthetic CDOs do not own cash assets like bonds or loans. Instead, synthetic CDOs gain credit exposure to a portfolio of fixed income assets without owning those assets through the use of credit default swaps, a derivatives instrument. (Under such a swap, the credit protection seller, the CDO, receives periodic cash payments, called premiums, in exchange for agreeing to assume the risk of loss on a specific asset in the event that asset experiences a default or other credit event.) Like a cash CDO, the risk of loss on the CDO's portfolio is divided into tranches. Losses will first affect the equity tranche, next the mezzanine tranches, and finally the senior tranche. Each tranche receives a periodic payment (the swap premium), with the junior tranches offering higher premiums.
A synthetic CDO tranche may be either funded or unfunded. Under the swap agreements, the CDO could have to pay up to a certain amount of money in the event of a credit event on the reference obligations in the CDO's reference portfolio. Some of this credit exposure is funded at the time of investment by the investors in funded tranches. Typically, the junior tranches that face the greatest risk of experiencing a loss have to fund at closing. Until a credit event occurs, the proceeds provided by the funded tranches are often invested in high-quality, liquid assets or placed in a GIC (Guaranteed Investment Contract) account that offers a return that is a few basis points below LIBOR. The return from these investments plus the premium from the swap counterparty provide the cash flow stream to pay interest to the funded tranches. When a credit event occurs and a payout to the swap counterparty is required, the required payment is made from the GIC or reserve account that holds the liquid investments. In contrast, senior tranches are usually unfunded since the risk of loss is much lower. Unlike a cash CDO, investors in a senior tranche receive periodic payments but do not place any capital in the CDO when entering into the investment. Instead, the investors retain continuing funding exposure and may have to make a payment to the CDO in the event the portfolio's losses reach the senior tranche. Funded synthetic issuance exceeded $80 billion in 2006. From an issuance perspective, synthetic CDOs take less time to create. Cash assets do not have to be purchased and managed, and the CDO's tranches can be precisely structured.
* Hybrid CDOs are an intermediate instrument between cash CDOs and synthetic CDOs. The portfolio of a hybrid CDO includes both cash assets as well as swaps that give the CDO credit exposure to additional assets. A portion of the proceeds from the funded tranches is invested in cash assets and the remainder is held in reserve to cover payments that may be required under the credit default swaps. The CDO receives payments from three sources: the return from the cash assets, the GIC or reserve account investments, and the CDS premiums.
Single-tranche CDOs
The flexibility of credit default swaps is used to construct Single Tranche CDOs (bespoke CDOs) where the entire CDO is structured specifically for a single or small group of investors, and the remaining tranches are never sold but held by the dealer based on valuations from internal models. Resial risk is delta-hedged by the dealer.
Variants
Unlike CDOs, which are terminating structures that typically wind-down or refinance at the end of their financing term, Structured Operating Companies are permanently capitalized variants of CDOs, with an active management team and infrastructure. They often issue term notes, commercial paper, and/or auction rate securities, depending upon the structural and portfolio characteristics of the company. Credit Derivative Procts Companies (CDPC) and Structured Investment Vehicles (SIV) are examples, with CDPC taking risk synthetically and SIV with predominantly 'cash' exposure.