商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap009.ppt 42页

ChapterNineRiskManagement:Asset-BackedSecurities,LoanSales,CreditStandbys,andCreditDerivatives KeyTopicsTheSecuritizationProcessSecuritization’sImpactandRisksSalesofLoans:NatureandRisksStandbyCredits:PricingandRisksCreditDerivativesandCDOs–BenefitsandRisks IntroductionManyissuessuchascreditriskandtheburdenofhavingtoraisenewcapitaltomeetthefundingneedsofyourcustomersandsatisfyregulatorystandardskeepmanagersbusyNewtoolssuchassecuritizingloans,sellingloansoffbalancesheets,issuingstandbylettersofcredit,andparticipatingincreditderivativecontractscanhelpwithriskmanagementNotonlyhavethesetoolsattemptedtocontrolriskmoreeffectively,buttheyhavealsoopenedupnewsourcesoffeeincomeAsthegreatcreditcrisisof2007-2009emergedwealsolearnedthatthesenewrisk-managementtoolscarrysignificantlimitations,includingunexpectedrisksandextremecomplexity,thatcanoverwhelmunpreparedfinancialinstitutionsandwreakhavocwiththefinancialsystem SecuritizingLoansandOtherAssetsSecuritizationofloansandotherassetsisasimpleideaforraisingnewfundsRequiresalendinginstitutiontosetasideagroupofincome-earning,relativelyilliquidassets,suchashomemortgagesorcreditcardloans,andtosellrelativelyliquidsecurities(financialclaims)againstthoseassetsintheopenmarketIneffect,loansaretransformedintopubliclytradedsecuritiesThelenderwhoseloansaresecuritizediscalledtheoriginatorTheseloansarepassedontoanissuer,whoisusuallydesignatedaspecial-purposeentity(SPE)TheSPEisseparatedfromtheoriginatortohelpensurethat,iftheoriginatinglendergoesbankrupt,thiseventwillnotaffectthecreditstatusofthepooledloans,supposedlymakingthepoolanditscashflow“bankruptcyremote” EXHIBIT9–1TheHeartoftheSecuritizationProcess SecuritizingLoansandOtherAssets(continued)AcreditratingagencyratessecuritiestobesoldsothatinvestorshaveabetterideawhatthenewfinancialinstrumentsareworthPossiblemoralhazardproblemTheissuerthensellssecuritiesinthemoneyandcapitalmarkets,oftenwiththeaidofasecurityunderwriter(investmentbanker)AtrusteeisappointedtoensuretheissuerfulfillsalltherequirementsofthetransferofloanstothepoolandprovidesalltheservicespromisedinvestorsAservicer(whoisoftentheloanoriginator)collectspaymentsonthesecuritizedloansandpassesthosepaymentsalongtothetrustee,whoultimatelymakessureinvestorswhoholdloan-backedsecuritiesreceivetheproperpaymentsontimeInvestorsinthesecuritiesnormallyreceiveaddedassurancetheywillberepaidintheformofguaranteesagainstdefaultCreditenhancerLiquidityenhancer EXHIBIT9–2KeyPlayersintheSecuritizationProcess:CashFlowsandSupportingServicesThatMaketheProcessWorkandGenerateFeeIncome SecuritizingLoansandOtherAssets(continued)TheconceptofsecuritizationbeganintheresidentialmortgagemarketoftheUnitedStatesThreegovernment-sponsoredenterprises(GSEs)workedtoimprovethesalabilityofresidentialmortgageloansTheGovernmentNationalMortgageAssociation(GNMA,orGinnieMae)TheFederalNationalMortgageAssociation(FNMA,orFannieMae)TheFederalHomeLoanMortgageCorporation(FHLMC,orFreddieMac)UnfortunatelyforFannieMaeandFreddieMacthelong-rangeoutlookfortheirgrowthandsurvivalisquestionableduetorecentrecorddefaultsonmanyofthehomeloanstheytraded SecuritizingLoansandOtherAssets(continued)Beginninginthe1980s,withthecooperationofFirstBostonCorporation(laterapartofCreditSuisse),amajorsecuritydealer,FreddieMacdevelopedanewmortgage-backedinstrumentinwhichinvestorswereoffereddifferentclassesofmortgage-backedsecuritieswithdifferentexpectedpayoutschedulesThecollateralizedmortgageobligation(CMO)CMOstypicallywerecreatedthroughamultistepprocessinwhichhomemortgageloansarefirstpooledtogether,thenGNMA-guaranteedsecuritiesareissuedagainsttheloanpoolandultimatelyofferedtoinvestorsaroundtheglobeThesesecuritieswereplacedinatrustaccountoffthelender’sbalancesheetandseveraldifferentclassesofCMOsissuedasclaimsagainstthesecuritypoolandtheincometheywereexpectedtogenerate SecuritizingLoansandOtherAssets(continued)EachclassofCMO–knownasatranche–promisesadifferentrateofreturn(coupon)toinvestorsandcarriesadifferentriskexposureThedifferentsecuritytranchesnormallyreceivetheinterestpaymentstowhichtheyareentitledTheloanprincipalpaymentsflowfirsttosecurityholdersinthetop(senior)trancheuntilthesetop-tierinstrumentsarefullyretiredSubsequentlyprincipalpaymentsthengotoinvestorswhopurchasedsecuritiesbelongingtothenexttrancheuntilallsecuritiesinthattranchearealsopaidout,andsoondownthe“waterfall”untilpaymentsaremadetoinvestorsinthelastandlowesttrancheThe“senior”tranchesofaCMOgenerallycarryshortermaturitiesReducestheirreinvestmentriskexposureAttractivetorisk-averseinvestors EXHIBIT9–3TheStructureofCollateralizedMortgageObligations(CMOs) SecuritizingLoansandOtherAssets(continued)ExamplesofTypesofSecuritizedAssetsResidentialMortgages–thebeginningsofsecuritizationTheroleofGSEs(GNMA,FNMA,FHLMC)RiskierCMOsHomeEquityLoansAutomobileLoansCommercialMortgagesSmallBusinessAdministrationLoansMobileHomeLoansCreditCardReceivablesTruckLeasesComputerLeases EXHIBIT9–4SecuritizationActivitiesofFDIC-InsuredDepositoryInstitutions,2010 SecuritizingLoansandOtherAssets(continued)AdvantagesofSecuritizationDiversifiesabank’screditriskexposureCreatesliquidassetsoutofilliquidassetsTransformstheseassetsintonewsourcesofcapitalAllowsthebanktoholdamoregeographicallydiversifiedloanportfolioAllowsthebanktobettermanageinterestrateriskAllowsthebanktogeneratefeeincome SecuritizingLoansandOtherAssets(continued)Securitizationhasincreasedregulators’concernsaboutthesoundnessandsafetyofindividuallendersandthefinancialsystem,especiallyinthewakeofthe2007–2009creditcrisisRegulatorstodayarelookingcloselyatTheriskofhavingtocomeupwithlargeamountsofliquidityinahurrytomakepaymentstoinvestorsholdingasset-backedsecuritiesandcoverbadloansTheriskofagreeingtoserveasanunderwriterforasset-backedsecuritiesthatcannotbesoldTheriskofactingasacreditenhancerandunderestimatingtheneedforloan-lossreservesTheriskthatunqualifiedtrusteeswillfailtoprotectinvestorsinasset-backedinstrumentsTheriskofloanservicersbeingunabletosatisfactorilymonitorloanperformanceandcollectmoniesowedlendersandinvestors SalesofLoanstoRaiseFundsandReduceRiskLoansalesarecarriedouttodaybyfinancialfirmsofwidelyvaryingsizesAmongtheleadingsellersoftheseloansareDeutscheBank,JPMorganChase,theBankofAmerica,andINGBankoftheNetherlandsOnlyaminorityofU.S.depositoryinstitutionsreportregularandsignificantassetsalesTheseareconcentratedamongresidentialmortgagecreditsandothermiscellaneousloansextendedprimarilytothehouseholdsectorMostloanssoldintheopenmarketusuallymaturewithin90daysandmaybeeithernewloansorloansthathavebeenontheseller’sbooksforsometime SalesofLoanstoRaiseFundsandReduceRisk(continued)Usuallythesellerretainsservicingrightsonthesoldloans,enablingthesellinginstitutiontogeneratefeeincomebycollectinginterestandprincipalpaymentsfromborrowersandpassingtheproceedsalongtoloanbuyersServicinginstitutionsalsomonitortheperformanceofborrowersandactonbehalfofloanbuyerstomakesureborrowersareadheringtothetermsoftheirloansMostloansarepurchasedinmillion-dollarunitsbyinvestorsthatalreadyoperateintheloanmarketplaceandhavespecialknowledgeofthedebtor SalesofLoanstoRaiseFundsandReduceRisk(continued)TypesofLoanSalesParticipationLoansWhenanoutsidepartypurchasesaloanTheygenerallyhavenoinfluenceovertheloantermsAssignmentsOwnershipoftheloanistransferredtothebuyeroftheloanThebuyerhasadirectclaimagainsttheborrowerLoanStripShort-datedpiecesoflongertermloans,maturinginafewdaysorweeksTwoofthemostpopularformsofloansalesareparticipationloansandassignments EXHIBIT9–5TheImpactofLoanSales EXHIBIT9–6AssetsSoldWithRecourseandNotSecuritizedbyFDIC-InsuredDepositoryInstitutions,2010 SalesofLoanstoRaiseFundsandReduceRisk(continued)ReasonsbehindLoanSalesWaytoridthebankoflower-yieldingassetstomakeroomforhigher-yieldingassetswheninterestratesriseWaytoincreasethemarketabilityandliquidityofassetsWaytoeliminatecreditandinterestrateriskWaytogeneratefeeincomePurchasingbankcandiversifyloanportfolioandreducerisk SalesofLoanstoRaiseFundsandReduceRisk(continued)TheRisksinLoanSalesBestqualityloansaretheeasiesttosellwhichmayincreasevolatilityofearningsforthebankwhichsellstheloansLoanspurchasedfromanotherbankcanturnbadjustaseasilyasonefromtheirownbankLoansalesarecyclical StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformanceFinancialguaranteesInstrumentsusedtoenhancethecreditstandingofaborrowertohelpinsurelendersagainstdefaultandtoreducetheborrower’sfinancingcostsDesignedtoensurethetimelyrepaymentoftheprincipalandinterestfromaloaneveniftheborrowergoesbankruptorcannotperformacontractualobligationOneofthemostpopularguaranteesisthestandbyletterofcredit(SLC)SLCsmayincludePerformanceguaranteesAfinancialfirmguaranteesthataprojectwillbecompletedontimeDefaultguaranteesAfinancialfirmpledgestherepaymentofdefaultednoteswhenborrowerscannotpay StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)KeyAdvantagestoIssuingSLCsLettersofcreditearnafeeforprovidingtheservice(usuallyaround0.5percentto1percentoftheamountofcreditinvolved)Theyaidacustomer,whocanusuallyborrowmorecheaplywhenarmedwiththeguarantee,withoutusinguptheguaranteeinginstitution’sscarcereserves.SuchguaranteesusuallycanbeissuedatrelativelylowcostbecausetheissuermayalreadyknowthefinancialconditionofitsstandbycreditcustomerTheprobabilityusuallyislowthattheissuerofanSLCwilleverbecalledupontopay StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)StandbyshavebecomeimportantfinancialinstrumentsforseveralreasonsThespreadofdirectfinanceworldwide,withsomeborrowerssellingtheirsecuritiesdirectlytoinvestorsratherthangoingtotraditionallendersTheriskofeconomicfluctuationshasledtodemandforrisk-reducingdevicesTheopportunitystandbysofferlenderstousetheircreditevaluationskillstoearnadditionalfeeincomewithouttheimmediatecommitmentoffundsTherelativelylowcostofissuingSLCs–theycarryzeroreserverequirementsandnoinsurancefees StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)SLCscontainthreeessentialelementsAcommitmentfromtheissuer(oftenabankorinsurancecompanytoday)Anaccountparty(forwhomtheletterisissued)Abeneficiary(usuallyalenderconcernedaboutthesafetyoffundscommittedtotheaccountparty)ThekeyfeatureofSLCsistheyareusuallynotlistedontheissuer’sorthebeneficiary’sbalancesheetThisisbecauseastandbyisonlyacontingentliabilityInmostcasesitwillexpireunexercised EXHIBIT9–7TheNatureofaStandbyCreditAgreement(SLC) StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)Ineffect,theSLCissueragreesforafeetotakeonariskthat,intheabsenceoftheSLC,wouldbecarriedfullybythebeneficiaryIngeneral,anaccountpartywillseekanSLCiftheissuer’sfeeforprovidingtheguaranteeislessthanthevalueassignedtotheguaranteebythebeneficiaryIfPisthepriceofthestandby,NListhecostofanonguaranteedloan,andGListhecostofaloanbackedbyastandbyguarantee,thenaborrowerislikelytoseekanSLCif StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)SourcesofRiskwithSLCsDefaultriskofissuingbankBeneficiarymustmeetallconditionsoflettertoreceivepaymentBankruptcylawscancauseproblemsforSLCsIssuerfacessubstantialinterestrateandliquidityrisksWaystoReduceRiskExposureofSLCsFrequentlyrenegotiatingthetermsofanyloansextendedtocustomersDiversifyingSLCsissuedbyregionandbyindustrySellingparticipationsinstandbysinordertoshareriskwithotherlendinginstitutions StandbyCreditLetterstoReducetheRiskofNonpaymentorNonperformance(continued)RegulatoryConcernsAboutSLCsBankexaminersareworkingtokeepriskexposureundercontrolleadingtonewregulatoryrulesBanksmustapplythesamecreditstandardstoSLCsasforloansBanksmustcountSLCsasloanswhenassessingriskexposuretoasinglecustomerBanksmustpostcapitalbehindmostSLCs CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheetSecuritizingassets,sellingloans,andissuingstandbycreditsmaypossiblyreducenotonlyinterestrateriskbutalsoexposuretocreditriskHowever,itmaybemoreefficienttoreducecreditriskwithasomewhatnewerfinancialinstrument–thecreditderivativeAnover-the-counteragreementpossiblyofferingprotectionagainstlosswhendefaultoccursonaloan,bond,orotherdebtinstrumentUntilthe2007-2009creditcrisisthecreditderivativesmarketwasoneofthefastestgrowingintheworldBankersgenerallyleadthecreditderivativesmarket,followedbysecuritydealers,insurers,andmanagersofhedgefunds CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)CreditSwapsTwolendersagreetoswapaportionoftheircustomer’sloanpaymentsCanhelpeachlenderfurtherspreadouttheirriskVariationisatotalreturnswap,wherethedealerguaranteespartiesaspecificrateofreturn EXHIBIT9–8ExampleofaCreditSwap EXHIBIT9–9ExampleofaTotalReturnSwap CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)CreditOptionsGuardsagainstlossesinthevalueofacreditassetorhelpstooffsethigherborrowingcoststhatmayoccurduetochangesincreditratings EXHIBIT9–10ExampleofaCreditOption CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)CreditDefaultSwaps(CDSs)Aimedatlendersabletohandlecomparativelylimiteddeclinesinvalue,butwantinginsuranceagainstseriouslossesInthiscasealendermayseekoutadealerwillingtowriteaputoptiononaportfolioofbonds,loans,orotherassetsTheremaybeamaterialitythresholdAminimumamountoflossrequiredbeforeanypaymentoccursCreditdefaultswapswerefirstdevelopedatJPMorgan(nowJPMorganChase)in1995Todaymorethan90percentofallcreditderivativesarecreditdefaultswaps EXHIBIT9–11ExampleofaCreditDefaultSwap CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)Credit-LinkedNotesFusestogetheranormaldebtinstrument,suchasabond,plusacreditoptioncontract,togiveaborrowergreaterpaymentflexibilityGrantsitsissuertheprivilegeofloweringtheamountofloanrepaymentsitmustmakeifsomesignificantfactorchanges CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)CollateralizedDebtObligations(CDOs)CDOsmaycontainpoolsofhigh-yieldcorporatebonds,stock,commercialmortgages,orotherfinancialinstrumentsNotes(claims)ofvaryinggradearesoldtoinvestorsseekingincomefromthepooledassetsTheclaimssoldaredividedintotranchessimilartothosecreatedforthesecuritizationofhomemortgages,fromthemostriskytrancheofferingthehighestpotentialreturntotheleastrisky(“senior”)tranchewithlowestexpectedreturnsRegularCDOshavebeensurpassedbyanexplosioninsyntheticCDOsTheseinstrumentsrestonpoolsofcreditderivatives(especiallycreditdefaultswaps)thatmainlyensureagainstdefaultsoncorporatebondsThus,creatorsofsyntheticCDOsdonothavetobuyandpoolactualbonds,butcancreatesyntheticinstrumentsandgeneraterevenuesfromsellingandtradingthem CreditDerivatives:ContractsforReducingCreditRiskExposureontheBalanceSheet(continued)RisksAssociatedwithCreditDerivativesPartnersinswaporoptioncontractmayfailtoperformSmallervolume–MarketsarethinnerandvolatileLegalissuesRegulatoryconcernsLessonsofrecentCreditCrisis:SecuritizedassetsandcreditswapsarecomplexfinancialinstrumentsthataredifficulttocorrectlyvalueandmeasureintermsofriskexposuresThesederivativesoperateincyclicallysensitivemarketsContagioneffectcannotbestoppedwithoutactivegovernmentintervention QuickQuizWhatdoessecuritizationofassetsmean?Whatkindsofassetsaremostamenabletothesecuritizationprocess?Whatadvantagesdoessecuritizationofferlendinginstitutions?Disadvantages?Whatadvantagesdosalesofloanshaveforlendinginstitutionstryingtoraisefunds?Whatisloanservicing?Whatarestandbycreditletters?Whyhavetheygrownsorapidlyinrecentyears?Whoaretheprincipalpartiestoastandbycreditagreement?Whywerecreditderivativesdeveloped?Whatadvantagesdotheyhaveoverloansalesandsecuritizations,ifany?Whatrisksdocreditderivativesposeforfinancialinstitutionsusingthem?Inyouropinionwhatshouldregulatorsdoabouttherecentrapidgrowthofthismarket,ifanything?