Crisis de las hipotecas "Subprime": burbujas y? algo más (Malas prácticas) (página 6)

Partes: 1, 2, 3, 4, 5, 6

Anexo II: Información estadística

A continuación se presentan algunas Figuras y Tablas,
correspondientes al Informe "Global
Financial Stability Report" (GFSR), presentado por el Fondo Monetario
Internacional, en Septiembre de 2007.

La información se presenta en inglés,
adjuntándose un glosario, para
evitar problemas de
interpretación. Se mantiene la
numeración de las Figuras y Tablas, según el
original, para facilitar la localización, en su caso. En
algunas Tablas, se ha limitado el período observado.

GLOSSARY

ABX: An index of credit default swaps referencing 20 bonds
collateralized by subprime mortgages.

Asset-backed commercial paper (ABCP): Commercial paper
collateralized by loans, leases, receivables or asset-backed
securities.

Asset-backed security (ABS): A security that is collateralized
by the cash flows from a pool of underlying loans, leases,
receivables, instalment contracts on personal
property, or on real estate. Often, when the security is
collateralized by real estate, it is called a mortgage-backed
security (MBS), although in principle an MBS is a type of
ABS.

Assets under management (AUM): Assets managed by an investment
company on behalf of investors.

Call (put) option: A financial contract that gives the buyer
the right, but not the obligation, to buy (sell) a financial
instrument at a set price on or before a given date.

Capital-to-risk-weighted assets ratio: A measure that
represents an institution™s capacity to cope with credit
risk. It is often calculated as a ratio of categories of capital to
assets, which are weighted for risk.

Carry trade: A leveraged transaction in which borrowed funds
are used to take a position in which the expected return exceeds
the cost of the borrowed funds. The "cost of carry" or "carry" is
the difference between the yield on the investment and the
financing cost (e.g., in a "positive carry" the yield exceeds the
financing cost).

Cash securitization: The creation of securities from a pool of
pre-existing assets and receivables that are placed under the
legal control of
investors through a special intermediary created for this
purpose. This compares with a "synthetic" securitization where
the generic securities are created out of derivative
instruments.

CAT (catastrophe) bonds: A type of insurance-linked security
whereby investors bear risk if a specified catastrophic event
occurs in return for an interest premium.

Collateralized debt obligation (CDO): A structured credit
security backed by a pool of securities, loans, or credit default
swaps, and where securitized interests in the security are
divided into tranches with differing repayment and interest
earning streams.

Collateralized loan obligation (CLO): A structured vehicle,
backed by whole commercial loans, revolving credit facilities,
letters of credit, or other asset-backed securities.

Commercial paper: A private unsecured promissory note with
short maturity. It need not be registered with the Securities and
Exchange Commission provided the maturity is within 270 days, and
it is typically rolled over such that new issues finance maturing
ones.

Corporate governance: The governing relationships between all
the stakeholders in a company -including the shareholders,
directors, and management- as defined by the corporate charter,
bylaws, formal policy, and rule of law.

Credit default, swap (CDS): A default-triggered credit
derivative. Most CDS default settlements are "physical," whereby
the protection seller buys a defaulted reference asset from the
protection buyer at its face value. "Cash" settlement involves a
net payment to the protection buyer equal to the difference
between the reference asset face value and the price of the
defaulted asset.

Credit derivative: A financial contract under which an agent
buys or sells risk protection against the credit risk associated
with a specific reference entity (or specific entities). For a
periodic fee, the protection seller agrees to make a contingent
payment to the buyer on the occurrence of a credit event (default
in the case of a credit default swap).

Credit-linked note (CLN): A security that is bundled with an
embedded credit default swap and is intended to transfer a
specific credit risk to investors. CLNs are usually backed by
highly rated collateral.

Credit risk indicator: An indicator that measures the
probability of multiple defaults among the firms in selected
portfolios.

Credit spread: The spread between benchmark securities and
other debt securities that are comparable in all respects except
for credit quality (e.g., the difference between yields on U.S.
treasuries and those on single A-rated corporate bonds of a
certain term to maturity).

Derivatives: Financial contracts whose value derives from
underlying securities prices, interest rates, foreign exchange
rates, commodity prices, and market or other indices.

EBITDA: Earnings before interest, taxes, depreciation and
amortization.

Economic risk capital (ERC): An assessment of the amount of
capital a financial institution requires to absorb losses from
extremely unlikely events over long time horizons with a given
degree of certainty. ERC calculations make provision not just for
market risk, but also for credit and operational risks, and may
also take account of liquidity, legal and reputational risks.

EMBIG: JP Morgan™s Emerging Market Bond Index Global,
which tracks the total returns for traded external debt
instruments in 34 emerging market economies with weights roughly
proportional to the market supply of debt.

Emerging markets: Developing countries™ financial
markets, that are less than fully developed, but are nonetheless
broadly accessible to foreign investors.

Expected default frequency: An estimate of a firm™s
probability of default over a specific time horizon constructed
using balance sheet and equity price data according to a
Merton-type model.

Expected shortfall: The average expected portfolio loss,
conditional on the loss exceeding the value-at-risk
threshold.

Foreign direct investment (FDI): The acquisition abroad (i.e.,
outside the home country) of physical assets, such as plant and
equipment, or of a controlling stake in a company (usually
greater than 10 percent of shareholdings).

Generalized method of moments (GMM): A generalized statistical
method-used primarily in econometrics- for obtaining estimates of
parameters of statistical models; many common estimators in
econometrics, such as ordinary least squares, are special cases
of the GMM. The GMM estimator is robust in that it does not
require information on the exact distribution of the
disturbances.

Hedge funds: Investment pools, typically organized as private
partnerships and often resident offshore for tax and regulatory
purposes. These funds face few restrictions on their portfolios
and transactions. Consequently, they are free to use a variety of
investment techniques -including short positions, transactions in
derivatives, and leverage- to raise returns and cushion risk.

Hedging: Offsetting an existing risk exposure by taking an
opposite position in the same or a similar risk, for example, by
buying derivatives contracts.

Home-equity loan/Home-equity line of credit (HEL/HELOC): Loans
or lines of credit drawn against the equity in a home, calculated
as the current market value less the value of the first mortgage.
When originating a HEL or HELOC, the lending institution
generally secures a second lien on the home, i.e., a claim that
is subordinate to the first mortgage (if it exists).

Implied volatility: The expected volatility of a
security™s price as implied by the price of options or
swaptions (options to enter into swaps) traded on that security.
Implied volatility is computed as the expected standard deviation
that must be imputed to investors to satisfy risk neutral
arbitrage conditions, and is calculated with the use of an
options pricing model such as Black-Scholes. A rise in implied
volatility suggests the market is willing to pay more to insure
against the risk of higher volatility, and hence implied
volatility is sometimes used as a measure of risk appetite (with
higher risk appetite being associated with lower implied
volatility). One of the most widely quoted measures of implied
volatility is the VIX, an index of implied volatility on the
S&P 500 index of U.S. stocks.

Institutional investor: A bank, insurance company, pension
fund, mutual fund, hedge fund, brokerage, or other financial
group that takes large investments from clients or invests on its
own behalf.

Interest rate swap: An agreement between counterparties to
exchange periodic interest payments on some predetermined dollar
principal, which is called the notional principal amount. For
example, one party will make fixed-rate and receive variable-rate
interest payments.

Intermediation: The process of transferring funds from the
ultimate source to the ultimate user. A financial institution,
such as a bank, intermediates credit when it obtains money from
depositors or other lenders and on-lends it to borrowers.

Investment-grade obligation: A bond or loan is considered
investment grade if it is assigned a credit rating in the top
four categories. S&P and Fitch classify investment-grade
obligations as BBB- or higher, and Moody™s classifies
investment grade bonds as Baa3 or higher.

Large complex financial institution (LCFI): A major financial
institution frequently operating in multiple sectors and often
with an international scope.

Leverage: The proportion of debt to equity. Leverage can be
built up by borrowing (on-balance-sheet leverage, commonly
measured by debt-to-equity ratios) or by using off-balance-sheet
transactions.

Leveraged buyout (LBO): Acquisition of a company using a
significant level of borrowing (through bonds or loans) to meet
the cost of acquisition. Usually, the assets of the company being
acquired are used as collateral for the loans.

Leveraged loans: Bank loans that are rated below investment
grade (BB+ and lower by S&P or Fitch, and Baa1 and lower by
Moody™s) to firms with a sizable debt-to-EBITDA ratio, or
trade at wide spreads over LIBOR (e.g., more than 150 basis
points).

LIBOR: London Interbank Offered Rate.

Liquidity-adjusted value-at-risk (L-VaR): A value-at-risk
calculation that makes an adjustment for the trading liquidity of
the assets that constitute the assessed portfolio. This can
either be limits on trading positions in the portfolio linked to
the assets™ underlying turnover or adjustments made to the
VaR™s volatility and correlation structures to take account
of illiquidity risk in extreme circumstances.

Mark-to-market: The valuation of a position or portfolio by
reference to the most recent price at which a financial
instrument can be bought or sold in normal volumes. The
mark-to-market value might equal the current market value -as
opposed to historic accounting or book value- or the present
value of expected future cash flows.

Mezzanine capital: Unsecured, high-yield, subordinated debt,
or preferred stock that represents a claim on a company™s
assets that is senior only to that of a company™s
shareholders.

Mortgage-backed security (MBS): A security that derives its
cash flows from principal and interest payments on pooled
mortgage loans. MBSs can be backed by residential mortgage loans
(RMBS) or loans on commercial properties (CMBS).

Nonperforming loans: Loans that are in default or close to
being in default (i.e., typically past due for 90 days or
more).

Payment-in-kind toggle note: A note (or loan) feature that
gives the borrower the option to defer the interest due on
existing debt or to make payment using new debt, and in the
process pay an effectively higher interest rate.

Primary market: The market in which a newly issued security is
first offered/sold to investors.

Private equity: Shares in companies that are not listed on a
public stock exchange.

Private equity funds: Pools of capital invested by private
equity partnerships. Investments can include leveraged buyouts,
as well as mezzanine and venture capital. In addition to the
sponsoring private equity firm, other qualified investors can
include pension funds, financial institutions, and wealthy
individuals.

Put (call) option: A financial contract that gives the buyer
the right, but not the obligation, to sell (buy) a financial
instrument at a set price on or before a given date.

Risk aversion: The degree to which an investor who, when faced
with two investments with the same expected return but different
risk, prefers the one with the lower risk. That is, it measures
an investor™s aversion to uncertain outcomes or
payoffs.

Risk premium: The extra expected return on an asset that
investors demand in exchange for accepting the risk associated
with the asset.

Secondary markets: Markets in which securities are traded
after they are initially offered/sold in the primary market.

Securitization: The creation of securities from a pool of
pre-existing assets and receivables that are placed under the
legal control of investors through a special intermediary created
for this purpose (a "special-purpose vehicle" [SPV] or
"special-purpose entity" [SPE]). With a "synthetic"
securitization the securities are created out of a portfolio of
derivative instruments.

Security arbitrage conduit: A conduit (a vehicle that issues
ABCP only) that is formed specifically for the purpose of
investing in assets using relatively cheap financing. The mix of
assets can change over time.

Sovereign wealth fund (SWF): A special investment fund
created/owned by government to hold assets for long-term
purposes; it is typically funded from reserves or other foreign
currency sources and predominantly owns, or has significant
ownership of, foreign currency claims on non-residents.

Spread: See "credit spread" (the word credit is
sometimes omitted). Other definitions include (1) the gap between
bid and ask prices of a financial instrument; and (2) the
difference between the price at which an underwriter buys an
issue from the issuer and the price at which the underwriter
sells it to the public.

Structured investment vehicle (SIV): A legal entity, whose
assets consist of asset-backed securities and various types of
loans and receivables. An SIV™s liabilities are usually
tranched and include debt that matures in less than one year and
must be rolled over.

Sub-investment-grade obligation: An obligation rated below
investment-grade, sometimes referred to as "high-yield" or
"junk."

Subprime mortgages: Mortgages to borrowers with impaired or
limited credit histories, who typically have low credit
scores.

Swaps: An agreement between counterparties to exchange
periodic interest payments based on different references on a
predetermined notional amount. For example, in an interest rate
swap, one party will make fixed-rate and receive variable-rate
interest payments.

Syndicated loans: Large loans made jointly by a group of banks
to one borrower. Usually, one lead bank takes a small percentage
of the loan and partitions (syndicates) the rest to other
banks.

Value-at-risk (VaR): An estimate of the loss, over a given
horizon, that is statistically unlikely to be exceeded at a given
probability level.

Yield curve: A chart that plots the yield to maturity at a
specific point in time for debt securities having equal credit
risk but different maturity dates.

Estimates of Nonprime Mortgage Losses

The loss estimations on U.S. subprime and alt-A mortgages
based on two approaches.

The first estimates losses over the lifetimes of the
mortgages, and the second estimates mark-to-market losses.

Loss estimates on mortgages vary considerably, in part due to
the different assumptions about inputs and differences in
valuation methods. The top panel of the table estimates lifetime
losses based on a scenario in which house prices decline by 5
percent over the first year and then stabilize (1). In this
scenario, 25 percent of the subprime mortgages and 7 percent of
the alt-A mortgages are assumed to eventually default, and
average loss severities (amounts ultimately not received) are
assumed to be, respectively, 45 and 35 percent of the original
amounts outstanding ($1,300 billion and $1,000 billion,
respectively). Of the resulting $170 billion of estimated losses,
about 25 percent would be directly absorbed by the banking
system, and the other $130 billion by ABS and ABS CDOs.

The lower panel estimates the mark-to-market losses since
February 2007 on all outstanding nonprime mortgage-related
securities. Admittedly, they might represent worst-case
devaluations, because they assume that all ABS and ABS CDOs
issued in 2004 through 2006 remain outstanding, ignoring the
impact of prepayments and defaults. Also, the securities are
priced off ABX indices (for the ABS) and TABX tranches (for the
ABS CDOs), which may represent worst-case prices (2). On the
other hand, the estimates do not include potential losses on
nonprime mortgage-backed synthetic CDOs, which are difficult to
estimate given the opacity of these markets. However, keeping all
of this in mind, the table estimates mark-to-market losses of
about $200 billion.

In addition to differences in input assumptions and valuation
methods, other factors increase the uncertainty of the magnitude
and timing of estimated losses. The magnitude of losses is
uncertain because delinquencies on recently originated nonprime
loans significantly exceed the prior trend, making historical
relationships of limited use. The proliferation of various
derivations of mortgage securities, including ABS CDOs, CDOs of
CDOs, CDS on CDOs, etc., each with unique cash flow distribution
rules, further complicates the process of calculating the impact
of collateral losses on securities (3). The timing of cash flow
losses is similarly uncertain, since structured securities tend
to delay the transmission of losses from the underlying
collateral, and cash flow distribution rules may change in the
event of a rating downgrade. Uncertainty regarding the extent of
loan modifications, or the process of renegotiating terms on
delinquent loans, further complicates the timing and magnitude of
foreclosures and losses.

Note:

(1) Potential losses on nonprime mortgages tend to be highly
correlated with the path of future house prices, so assumptions
on house prices are a key input to forecasted losses.

(2) The ABX is an index of credit default swaps linked to 20
underlying subprime mortgages. The TABX is an index that tranches
synthetic CDOs based on the BBB- and BBB ABX indices. The TABX is
fairly illiquid, and does not reflect the impact of collateral
management on the cash ABS and ABS CDOs being priced in the
table. In fact, analysis has shown that ABS CDO collateral
managers have minimized exposure to the worst-performing 2006
vintages.

(3) For instance, the impact of loan losses on cash flows to
these securities is reduced by credit enhancement mechanisms,
such as subordination of securities, excess servicing,
over-collateralization and credit insurance.