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Τιτλοποιήσεις
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Παρασκευή, 1 Φεβρουαρίου 2008
16:05

Ενδιαφέρον παρουσιάζει η είδηση ότι οι εγχώριες τράπεζες προχώρησαν σε αυξημένες τιτλοποιήσεις δανείων τον περασμένο Νοέμβριο.
"..από 970,8 εκατ. ευρώ τον Οκτώβριο, εκτινάχθηκαν στα 4,4 δισ. ευρώ τον Νοέμβριο, αυξάνοντας συνολικά τα δάνεια που τιτλοποίησαν στα 12,9 δισ. ευρώ."
πρόκειται περί "καταναλωτικών δανείων"
ενώ "Τα υπόλοιπα των καταναλωτικών δανείων εμφανίζονται μειωμένα"

Τιτλοποίηση σημαίνει
α. μετακύλιση του κινδύνου από την τράπεζα στον αγοραστή της τιτλοποίησης
β. αύξηση ρευστότητας από την εισροή μετρητών
γ. "ξεκαθάρισμα" του ισολογισμού
δείτε και την ελληνική wikipedia
(που όμως πρέπει να γράψω ότι ακόμα δεν της έχω απόλυτη εμπιστοσύνη)

Το θετικό είναι ότι οι εγχώριες τράπεζες βρήκαν αγοραστές για τις τιτλοποιήσεις τους.
Δεν γνωρίζουμε βέβαια ποιοι είναι αυτοί, γιατί π.χ. στην Enron ήταν θυγατρικές της και τα αποτελέσματα γνωστά...

Το αρνητικό είναι ότι πιθανότατα κι αυτές αντιμετωπίζουν προβλήματα ρευστότητας, όπως οι περισσότερες τράπεζες του πλανήτη...

P.S. δεν μου άρεσε το σημερινό άρθρο του capital Αυξάνεται η λίστα των "δομημένων" τραπεζών στην Ελλάδα - που σχετίζεται με τιτλοποιήσεις των γνωστών CDOs - μόνο και μόνο επειδή δεν κατονόμασε!
Όταν έχουμε να κάνουμε με φαινόμενο παγκόσμιας πυραμίδας είναι λίγο δύσκολο να έχουν εμπλακεί εγχωρίως μόνο οι "κρατικές" τράπεζες τη στιγμή που οι κατεξοχήν κυνηγοί εύκολου κέρδους συναντώνται πάντοτε στον ιδιωτικό τομέα!
Ανησυχία, όπως γράφει και το άρθρο, δεν θα πρέπει να υπάρχει, εάν τα ανοίγματα (χασούρες) ήταν μεγάλες θα το ξέραμε ήδη!
P.S. 2 Τους οργανισμούς τιτλοποίησης δανείων θα πλήξει η κρίση στην Ε.Ε.
Η πιστωτική κρίση βρίσκεται προ των πυλών της Ευρώπης. Και αυτήν τη φορά θα χτυπήσει μέσω των οργανισμών που αναλαμβάνουν τις τιτλοποιήσεις δανείων
διατυπώνεται η ανησυχία για το πόσο ευάλωτη είναι η ευρωπαϊκή οικονομία, κυρίως μέσω πιθανής κρίσης στην αγορά ακινήτων. Αυτό στηρίζεται τόσο στις εύθραυστες αγορές ακινήτων σε Βρετανία, Ισπανία και Ιταλία, όσο και στα τεράστια ποσά τιτλοποιημένων στεγαστικών δανείων που πραγματοποίησαν πέρυσι -κυρίως στο πρώτο εξάμηνο- οι ευρωπαϊκές τράπεζες

Σχετικές μετοχές:
ΑΛΦΑ ΑΣΠΤ ΑΤΕ ΑΤΤ ΓΤΕ ΔΤΡ ΕΓΝΑΚ ΕΜΠ ΕΤΕ ΕΥΡΩΒ ΚΥΠΡ ΜΑΡΦΒ ΜΙΓ ΠΕΙΡ ΠΡΟ ΤΤ
Σχόλια

01/02 17:30  Θρασύβουλος Καλοχαιρέτας
Εξαιρετική προσεγγισις δια μίαν εισέτι φοράν, 5*
01/02 18:06  Τριαντάφυλλος Κατσαρέλης
Διαβάστε και αυτό (ελπίζω να εμφανίζεται...)http://about.edhec.com/1201265349270/1/fiche_article/?xtor=ES-51
Πανεπιστημιακή πηγή βεβαίως... και μάλιστα γαλλική...
01/02 18:09  Τριαντάφυλλος Κατσαρέλης
How much do you really know about the recent crisis that rocked the US economy and which could soon affect you in your every day life? Dominic O'Kane, Affiliated Professor of Finance at EDHEC Business School gives a clear understanding of the factors that led to the notorious subprime crisis, describes the mechanisms involved and draws conclusions for the near future.
Once upon a time, local banks lent money to local citizens to help them to buy their home. Based on first-hand knowledge of the creditworthiness of the borrower, an independent appraisal of the value of the house, and the size of the down-payment, the bank would decide if they were happy to assume the credit risk and if so, the loan went ahead. The bank would charge the borrower an interest rate which would be higher than the interest rate paid to its depositors, and the difference would be used to compensate the bank against the risk of a default by the borrower and to provide a fee. There would also be a component added on to enable the borrower to repay the principal over the life of the mortgage. The mortgage would be owned by the bank, where it would sit until it was repaid.

This whole model of mortgage-related banking was revolutionised in the mid-1980s with the arrival of mortgage securitisation. Mortgage securitisation is the process by which the credit risk of mortgages is transferred out of the banking sector and into the capital markets where it is sold to investors in the form of bond-like mortgage backed securities (MBS). In this process, mortgages are originated by banks or by mortgage lending companies who then sell them to an investment bank. The investment bank then places the mortgages into a legal entity known as a special purpose vehicle (SPV) out of which the MBS are issued and from which the issued securities are paid.

The proponents of securitisation argue that it enhances the liquidity of the underlying mortgages by transforming them into tradable securities. It also sh
01/02 18:10  Τριαντάφυλλος Κατσαρέλης
The proponents of securitisation argue that it enhances the liquidity of the underlying mortgages by transforming them into tradable securities. It also shifts the credit risk out of the banking sector, and so makes it easier for the bank to make further loans, thereby making credit more generally available.

The US MBS market is a large segment of the global fixed income markets. Total mortgage related issuance in 2007 was $1.95 trillion (1) and more than half of this issuance was based on agency MBS, i.e. mortgage securities whose credit risk has been guaranteed by one of the several US government or quasi-governmental agencies. The remaining issuance is made up of the non-agency mortgages which are divided into three main groups:

Private Label Mortgages: Mortgages which do not conform to the underwriting standards of agency mortgages, e.g. the loan size may exceed agency limits. The borrowers may have a good credit history.
Alt-A: Lower credit quality mortgages in which the borrowers have a generally good credit history but may have variable incomes or may be buying second homes.
Subprime: These are mortgages where the borrower typically has a history of paying late or not paying. Historically, subprime mortgages have been made on the basis of a low loan to value (LTV) ratio, i.e. the size of the loan is much less than the value of the home, giving the lender the safety of an equity buffer if the loan has to be foreclosed and the property sold. In 2007, subprime issuance was 33% of the total non-agency MBS issuance.

In the credit markets, there are different types of investor with different risk appetites, ranging from insurance companies who invest in highly rated AAA investments to the credit-specific hedge funds, which are happy to buy much more risky high yielding BBB- and BB rated credit assets. To understand how the securitisation approach is able to provide a range of products which are tailored to these different credit risk appetites, we n
01/02 18:12  Τριαντάφυλλος Κατσαρέλης
To understand how the securitisation approach is able to provide a range of products which are tailored to these different credit risk appetites, we need to understand the mechanics of MBS.

In order for securitisation to satisfy these different needs, the issuers of mortgage backed securities use structural subordination. First, note that each MBS is exposed to not one single mortgage, but to a pool of up to several thousand individual mortgages. Structural subordination is then a technique for distributing or tranching the credit risk of a pool of mortgages across several different classes of securities, also known as tranches, in a way which makes some of the securities have a low credit risk and some a high credit risk.

Before we describe how this works, we note that an MBS will specify what coupon and principal payments are scheduled to be made to the different tranches during its life. Note that these are the scheduled payments, i.e. they are what will be received assuming no defaults on the mortgage pool.

The mechanism which transfers the credit risk of the mortgage pool to the MBS tranches is known as a waterfall. In simple terms, a waterfall involves taking the monthly interest and principal payments from the mortgages and using it to make the scheduled payments on the MBS starting with the senior tranche, then the mezzanine tranches and so on down the capital structure until we get to the equity tranche which receives whatever is left.

If the mortgage pool experiences no delinquencies (delayed payments) or defaults, the equity coupon can be substantial for the life of the MBS. However, as soon as mortgage payments become delinquent or if foreclosures occur which result in a loss(2), this will reduce the coupon on the equity tranche. If there are sufficient losses, the equity tranche may receive no coupon and the first mezzanine tranche will then see a reduced coupon. If the losses are high, this can cause the more senior tranches to experienc
01/02 18:13  Τριαντάφυλλος Κατσαρέλης
If there are sufficient losses, the equity tranche may receive no coupon and the first mezzanine tranche will then see a reduced coupon. If the losses are high, this can cause the more senior tranches to experience a reduced coupon. As a result, the mechanism of the waterfall has redistributed the credit risk of the mortgage pool creating a high-risk equity tranche and a low-risk senior tranche.

The spread payment made on each of the MBS securities has to be commensurate with the associated risk. Otherwise investors would not buy them. We therefore have the senior tranche investor receiving the lowest scheduled coupon and the equity tranche holder receives the highest scheduled coupon. In general, the scheduled coupon is determined by observing the coupons of other newly issued MBS tranches which have a similar credit rating, where the rating is determined by one (or more) of the credit rating agencies. To do this, rating agencies have developed sophisticated rating models which take into account factors including the credit quality of the borrowers, the loan-to-value ratio of each mortgage, estimates of house price inflation and a model of the waterfall. The rating assigned is designed to be consistent with the historical expected loss of a single-name credit with the same credit rating. No concern is paid by the rating agencies to the market risk of the MBS. A rating only captures the credit risk if the MBS will be held to maturity and never sold.

Over the past few years, there has been a large growth in the sale of MBS in the form of a CDO of ABS(3). A CDO is a collateralised debt obligation - the generic name for the structure used within the credit markets to tranche up a pool of credit risky securities using a waterfall mechanism. The CDO therefore works in the same way as the tranching mechanism of the mortgage backed security. Most notable within this asset class are mezzanine CDOs (of ABS). These have portfolios consisting of BBB-rated subprime MBS.
01/02 18:14  Τριαντάφυλλος Κατσαρέλης
These have portfolios consisting of BBB-rated subprime MBS. While the credit risk of the low-rated MBS in the portfolio of the CDO is already high, through the tranching of this portfolio, the resulting CDO tranches can be even more sensitive to the credit risk of the underlying subprime mortgage pools.



What caused the Subprime Crisis?

The subprime crisis was triggered by the fall in US house prices which began in late 2005. This followed a very rapid increase in house prices over the period from 2001 to 2005. These falls in house prices have continued since then although there is a lot of variability across the US. While a few states showed price increases in 2007, most showed price falls with Florida and California experiencing house price falls in excess of 10%. While these falls would already be cause for concern in the subprime mortgage market, their effect has been compounded by two additional factors:

The first factor is the relaxation of underwriting standards which has occurred in recent years. This has included an increased willingness of mortgage lenders to accept borrower-stated levels of income without documentary proof in what are known as stated-income loans. According to Fitch Ratings, 60% of loans were issued with limited borrower documentation in 2006 compared to 40% in 2000.

A second factor has been the increased use of adjustable rate mortgages which now constitute 80% of the subprime sector (4). These fix the interest rate for a period of 2-3 years at a so-called teaser rate. At the end of this period, the interest rate steps up, and in some cases it may double or even treble (5). With the drop in house prices, some of the 2006 subprime mortgages are now in a negative equity state so refinancing to avoid the higher rate is costly. In addition, many of these mortgages have prepayment penalties which mean that even if the mortgage holder can refinance, it may be prohibitively expensive to do so as a way to avoid the step-up.

T
01/02 18:15  Τριαντάφυλλος Κατσαρέλης
The growing risk of subprime MBS can be seen in the increasing delinquency rate of borrowers. The 60+ delinquency rate measures the percentage of payments due which is 60 or more days late. The delinquency rate for mortgages originated in 2006 already exceeded that of the earlier vintages.



Conclusions

Some progress has been made in addressing some of the factors which have contributed to this crisis. Banks have tightened their lending standards; rating agencies have amended their rating models and the Federal Reserve has lowered interest rates and launched a limited programme of mortgage protection (6) in which borrowers with stable credit records who have been hit by high rate resets in adjustable rate mortgages are able to avoid foreclosure (7).

However, the subprime crisis is far from over. With continued US house price deflation, a large portion of adjustable rate mortgages stepping-up in 2008, and a continued increase in delinquency rates, it will take time for the losses in the 2006/7 vintage subprime MBS to appear and for these losses to work through the system. The fact that subprime MBS have been sold internationally to a wide range of investor types means that the losses will be spread globally and will be felt beyond the banking sector. All that is certain about the future is that there will be more financial pain to bear for the owners of subprime MBS investments and for the many borrowers who will see their homes foreclosed.



Footnotes

1) Securities Industry and Financial Markets Association Research Outlook, January 2008.

2) Whether a foreclosure results in a loss depends upon the loan to value (LTV) ratio of the mortgage and the costs of foreclosing.

3) An ABS is any asset-backed security. It includes MBS and other such securitised debt ranging from corporate loans to credit cards receivables.

4) 2006 Global Structured Finance Outlook: Economic and Sector-by-sector Analysis: Fitch Ratings Credit Policy, Jan 2006.

5
02/02 11:07  geokalp
@thrassos
σας περιμένουμε

@τριαντάφυλλος

το άρθρο που βάλατε συνοψίζει πολύ μεστωμένα όλη την αλυσίδα, την οποία κι εγώ έχω προσπαθήσει να περιγράψω
τελικά θεωρώ - κι εγώ - ότι το πρόβλημα, εκτός από το κομμάτι των CDOs που θα ονόμαζα κι αλαζονεία, εστιάζεται στο πρώτο κομμάτι του άρθρου σας...

δείτε το επόμενο post
οι έννοιες θέλουν λίγο δουλειά ακόμα, το προτιμώ όμως "ακατέργαστο"!

ευχαριστώ πάρα πολύ ακόμα μια φορά
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