Collateralized debt obligation (CDO)발음듣기
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Collateralized debt obligation (CDO)
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Well, in the last presentation, we described a situation where you had a bunch of borrowers.발음듣기
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They needed $1 billion collectively, because there's 1000 of them and they each needed $1 million to buy their house.발음듣기
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They borrowed it from their local mortgage broker, who then sold it to a bank, or to an investment bank, who created the special purpose entity, and then they IPO the special purpose entity and raise the money from people who bought the mortgage-backed securities.발음듣기
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But essentially what happened is the investors in the mortgage-backed securities provided the money to the special purpose entity to essentially loan to the borrowers.발음듣기
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And then the reason why we call it a security is because, not only are these people getting this 10% a year, but if they want to - let's say that you had one of these mortgage-backed securities and you paid $1000 for it.발음듣기
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And you're getting this 10% a year, but then all of a sudden, you think that the whole mortgage industry is about to collapse, a bunch of people are going to default, and you want out.발음듣기
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But if you have a mortgage-backed security, you can actually trade the security with someone else.발음듣기
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But there will be at least some type of a market in the security, so you could have what you could call liquidity.발음듣기
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I could trade it just like I could trade a share of IBM or I could trade a share of Microsoft.발음듣기
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But like we said before, this security, in order to place a value on it, you have to do some type of analysis of what you think it's worth.발음듣기
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Or what you think the real interest will be after you take into account people pre-paying their mortgage, people defaulting on their mortgage, and other things like short-term interest rates, et cetera, et cetera.발음듣기
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And there is only maybe a small group of people who are sophisticated enough to be able to figure that out to make some type of models and who knows if even they're sophisticated enough.발음듣기
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He'd be willing to take a lower return as long as he was allowed to invest in less risky investments.발음듣기
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Maybe by law, maybe he's a pension fund or he's some type of a mutual fund, that's forced to invest in something of a certain grade.발음듣기
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So now we're going to take this mortgage-backed security and introduce one step further kind of permutation or derivative of what this is.발음듣기
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You've probably heard the term derivatives and people do a lot of hand-waving saying, oh, it's a more complicated form of security.발음듣기
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All derivative means is you take one type of asset and you slice and dice it in a way to spread the risk, or whatever.발음듣기
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So let's see how we could use this same asset pool, the same pool of loans, and satisfy all of these people.발음듣기
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Satisfy this guy, who wants maybe a lower return but lower risk, and this guy, who's willing to take a little bit higher risk in exchange for higher return.발음듣기
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They borrowed $1 billion collectively, right, because there's 1000 of them, et cetera, et cetera.발음듣기
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And they're still a special purpose entity, but now, instead of just slicing up the special purpose entity a million ways, what we're going to do is we're going to split it up first into three, what we could call, tranches.발음듣기
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A senior just means, if this entity were to lose money, these people get their money back first.발음듣기
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They have a little bit more risk, and they still get a little bit more reward than senior, but they have less risk than this equity tranche. Equity tranche.발음듣기
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So in this situation what we did is we raised - out of the $1 billion we needed - $400 million from the senior tranche, $300 million from the mezzanine tranche, and then $300 million from the equity tranche.발음듣기
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But these guys, it is pretty low risk, because in order for them to not get their 6%, the value of this $1 billion asset or these $1 billion loans, would have to go down below $400 million.발음듣기
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Of that $100 million in payments, 6% on the $400 million, that's $24 million in payments. Right?발음듣기
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And these percentages are usually determined by some type of market or what people are willing to get.발음듣기
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So out of the $100 million every year, $24 million is going to go to these guys, $21 million is going to go to these guys, and then whatever's left over is going to go to the equity tranche.발음듣기
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So the $300 million from equity, they're going to get $55 million assuming that there are no defaults or pre-payments or anything shady happens with the securities.발음듣기
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What happens if - let's go to that scenario where we talked before - 20% of the borrowers just say, you know what?발음듣기
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So then instead of getting $100 million per year, you're only going to get $90 million per year.발음듣기
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This guy is still going to get $24 million, this guy is still going to get $21 million, but now this guy is going to get $45 million.발음듣기
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And instead of getting $90 million per year, you start only getting $50 million in per year.발음듣기
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But then if you start having a lot of defaults, if, let's say, the return on what you get every month goes in half, this guy takes the entire hit.발음듣기
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You can actually do this type of a structure with any type of debt obligation that's backed by assets.발음듣기
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But what you read about the most right now in the newspapers is mortgage-backed collateralized debt obligations.발음듣기
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And I think I'll do another presentation on exactly how and why they have gotten in trouble.발음듣기
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