MANAGEMENT OF FINANCIAL

INSTITUTIONS
:

(ASSET SECURITIZATION)

(Securitization): ,
...


GNMAs

pass-throughs.
.

: CMOs, STRIPs
MBBs,
&


:
,

.
:


( ,
, )

:
1998, , $500
. , 1980 15%
, 1998 47%.

1980
1985
1990
1995
2000
2005
2007
2008
3 2009

(. $)

/
(%)

1,458
2,368
3,781
4,525
6,754
12,065
14,529
14,616
14,419

12%
25%
35%
52%
53%
60%
63%
62%
64%

: . (, 2010)


,
.

FNMA: 1938 (Federal National Mortgage Association or Fannie Mae)

US Treasury


Mortgage Backed Securities
(
).
: ( / ) < 80%, conforming
loan.
GNMA: 1968 (Government National Mortgage Association or Ginnie Mae)
FNMA .
i. MBS




iii. ,
:

Federal Housing Administration (FHA)

Veterans Administration (VA)

Farmers Home Administration (FMHA)

, .. , ,
...
.
ii.

FHLMC: Federal Home Loan Mortgage Corporation or Freddie Mac

FNMA, savings
banks. US
Treasury.

1.000 :
$100.000
30 ,
12%,

FHA
: $100 . 0,5
0,08
= $4 .
10%
27
FDIC.



($ .)

$ 10,66

$100,00
$110,66

$106,66
$ 4,00
$110,66

:
: DA > DL
:



.
GNMA .


FHA / VA / FMHA

GNMA


= 6

. . 12,00%
Servicing fee
0,44%
GNMA insurance fee
0,06%
GNMA
11,50%

1.
:
12%

2. Trustee

rust

5.
GNMA

3. GNMA:

: 11,5%

4. ( ,
)
GNMA .


:
($ .)

$ 10,66

$106,66

$100,00

$110,66

4,00

$110,66

10

1
$100.000.000
2
99.971.390
3
99.942.494

360

1.028.610
1.028.610

1.000.000
999.714

28.610
28.896

C:

C
1
C = $1.028,613
$100.000 =
1

360
0,01 (1,01)
1.000 $1.028.613

11

 GNMA
GNMA :

CGNMA
1
CGNMA = $990,291
$100.000 =
1
360
0,115 0,115

1 +

12

12

GNMA, :

$990,291
$990,291
PV =
+ ...... +
360
y
y

1+
+
1

12
12
y

12


-
. :
() ,

()
Y > r ,
Y < r

(.. )

.
Y-r ,
.

13

(-r)

()

()

- 2%

-4%

R1

CF1

R2

CF2

R59

+2%

R60

CF59 CF60

+4%

R359

(-r)

R360

CF359 CF
360

14


,
,
.
,
1. ,
.
2. , :
() .
()
.
,

.
.

,
.

15


GNMA,
,
, .
.
;
1. .
.
2. PSA (Public Securities Association):
30,
0,2% 6%.
0,5% 6%
. %PSA: .
3.
: , , Y-r,
(burn-out factor) ,
,
, .

16



(Weighted - Average Life)

$ 40

$ 40

60

120

$ 100

$ 160

WAL =

Time Expected principal received

Total principal outstanding

160
WAL =
= 1,6
100

17

PSA

0,2
2

360

30

O 100% PSA

125% PSA
100% PSA
75% PSA

7,5
6
4,5

30

360

18

:
Collateralized Mortgage Obligations
FHLMC First Boston 1983
.
MBSs
-
.
3 17 .

BS.
.

: GNMAs $150 , $1
:
:
:

C= $291.667 7% $50 .

C= $333.333 8% $50 .


C= $375.000 9% $50 .

19

 CMOs
: 7%, $50 .
: 8%, $50 .
: 9%, $50 .

GNMA

GNMA

1
2
3

CMO

GNMA

GNMA

..

20

 CMOs
P=$1.500.000
+
C=$291.667

C=$333.333
$2,5 .
CMO
=
$ 1 .
+
C=$375.000
$1,5 .

A
B

C=
P=
CA+CB+C = $1.000.000

CMO

$1.208.333
=
$708.333
+
$500.000

=$500.000
C=$333.333

B
CB+C = $708.333

C=$375.000

1,5 3

15 20

21

:
MORTGAGE PASS-TROUGH STRIPS
CMO, 1987:
(IO-strip)
(PO-strip).
-strip ,
:
()
()

, -
, y < c.
.
-strip -
- .
() y > c, - .
() y < c, -
.

22

INTERST-ONLY STRIPS
P

-STRIP

10

11

12

y%

23

 -STRIPS
Strips

IO Strips

10%

IOs

10%

24

PRINCIPAL-ONLY STRIPS
PO-STRIP
PPO

10

12

y%
25

MORTGAGE-BACKED-BONDs
.
: Aspis Bank, 250 , libor + 30 b.p.,
: AAA, 11/2003.
Mortgage pass-throughs CMOs :
()
.
.
() . ,
,
. Duration Gap .
, ,
( ), ..
() ,
pass-throughs/CMOs.
() . , ..,
,
+ .. ,
.
()
.

26

MBBs -

1.
2.

$20 , $12 .
$10 .


(. $)

$20

$20

$10
10
$20

(. $)

=(

MBB
$12
8
$20

$10
10
$20

27

 &
:
, ,
, . :
.

( ).

.

..
,

,

.

/


.

.

(

).
28

MANAGEMENT OF FINANCIAL INSTITUTIONS

:

Martin Neil Bailey, Robert E. Litan, and Matthew

S. Johnson, The Origins of the Financial
Crisis, Business and Public Policy at Brookings,
Nov. 2008

29

Bailey, Litan, Johnson

3)
4)

5) CDOs, SIVs,
6) Credit Default Swaps
7)
8)
9) : ;
10)
11)
1)
2)

30

.1

1)
2)
3)
31

.1 :

(2007)
(EUR ..) /

: 1) , 2006
2) ,

: Unicredit Group

32

.2

$ billion

prime mortgages 2003

85%

PRIME:
85%

64%

56%

52%

2006, 48% Sub-prime Alt-A

HEL: Home Equity Loans

33

.2

Share of Interest-only &
Negative amortization Loans
in total mortgage originations

%

,

ARMs ( sub-prime) 51% 1999 81% 2006

ALT-A 6% 1999 70% 2006

CLTVs ( sub-prime) 79% 1999 86% 2006

Combined (for all liens) Loan-to-value ratio

34

.3

:
1.
2.
3.

without recourse

originate to distribute

. brokers

, .

35

I.4 GSEs
S&Ls 3 : () , () -, ()

1980, S&Ls Resolution Trust

Corporation $150
S&Ls,

Government Sponsored Enterprises GSEs (1938, 1970) Fannie Mae, Freddie Mac
,
conforming loans Mortgage Backed Securities.
MBSs - . GSEs
.
2008 GSEs $5,4
.
subprime loans, subprime securities
. 2002-2007 $340-$660 subprime Alt-A
MBSs.
To 2000 78% MBSs 2006 44%,
jumbo mortgages (Lehman
Brothers, Bear Stearns, Countrywide, Washington Mutual, Merrill Lynch, )
, GSEs >

36

.4

(. $)

/
(%)

1980

1,458

12%

1985

2,368

25%

1990

3,781

35%

1995

4,525

52%

2000

6,754

53%

2005

12,065

60%

2007

14,529

63%

2008

14,616

62%

3 2009

14,419

64%

: Securities Industry and Financial Markets Association, US Census

Bureau, EFG Eurobank Research

37

.4
subprime
%

81%
81%

47%

38

.4 CMOs,

39

.5 CDOs, SIVs,
CDOs 2000. 0 1995 $500
2006. 81% MBS 2005.
CDOs tranches ABSs CMOs
(, -, , .)
ABSs
CDO !! ( )
. CDSs
CDO.

SPVs, SIVs (Structured Investment Vehicles)
MBSs, CDOs, . Asset Backed Commercial Paper.
SIVs $400 2007.
SIVs bankruptcy remote.
SIVs
. ,

.
,

,
.

40

.5

ABCP, $bn

( 30 )

41

.6 Credit Default Swaps

$

42

.7
7)
8) Fed,

9)
:
;

10)
11)

43