次按危機的啟示： 房市泡沫的預防 何濼生 嶺南大學公共政策研究中心

Financial Market Tsunami 2008 Causes Effects Remedial Measures Long Term Implications

Causes Subprime debacle following the reversal of US housing market in 2006 Scale of subprime was relatively small Effects were however magnified because many lenders were excessively exposed and because market dynamics is driven by psychology Bear Stearns Role of CDS and the demise of Lehman

三類貸款人 沒有能力還款的人 有能力，但早期收入較低，不易供款；後期由於收入大增，十分輕鬆 自始至終，同樣輕鬆的人

房貸市場的發展 按揭貸款多由中間人安排 有供款採先低後高形式者，但有 “逆向按揭”(negative amortization)，變成先甜後苦， 愈欠愈多 亦有先低息後高息，後高息以指標息率加數個百分率計，也是先超輕鬆後超艱苦 有非銀行機構提供，不受銀行條例約束者 按揭證券化，由投資銀行包銷，評級機構評級，投行的 SIV 或 SPV 發行

房貸市場的發展的結果 評級機構有利益衝突的情况 按揭證券化的評級忽視了系統性風險 樓市不升即跌，勉強借貸人士斷供誘因突然急增，進一步推高系統性風險 按揭經紀欺詐誘因高，金融機構管理層因與股東分割，或不監管或協助欺詐 凸顯了 “委託人受託人問題” (principal agent problem)

勉強借貸人士對樓價 推波助瀾，造成泡沫 沒有實力的買盤即是泡沫 按揭經紀與地產經紀合謀，製造連環虛假交易，欺騙股東，收取費用，斷供損失由公司承擔，一如80年代儲貸危機；虛假交易的假高價誤導市場，間接造成泡沫

協助有能力，但早期收入較低取得按揭不是問题 可採逐步縮短還款期按揭 首年以60年分期算，次年以58年分期算，第三年按56年分期算，如此類推，30年內還清供款，避免傳統按揭的 Front loading effect 先實重後實輕的還款式樣

Subprime Mortgage Meltdown in the US: a miscarriage of regulatory duties Mortgage lending to sub-prime borrowers, i.e., borrowers with low credit rating or debt servicing ability Surging subprime mortgages have been fed by rising real estate values which encouraged both lenders and borrowers to take more risks. Wall Street encouraged this behavior, too, by bundling the loans into securities that were sold to pension funds and other institutional investors seeking higher returns.(note FMD driving Risk)

Credit Default Swaps and Moral Hazard

Tuesday, November 4, 2008 Clarified CDS Market Size (Bloomberg) -- Credit-default swaps totaling $33.6 trillion are outstanding on companies, governments and asset- backed securities worldwide, the Depository Trust & Clearing Corp. said in a report that gives the broadest data yet on the unregulated market. About $15.4 trillion of the contracts were linked to individual corporate, sovereign and asset-backed bonds, the DTCC said in the report released on its Web site today. About $14.8 trillion is tied to indexes. The report also lists the 1,000 most-traded contracts. The New York-based DTCC estimates it sees about 90 percent of all trades.

對沖機制 樓市價格指數期貨市場讓各類有樓市利益的人士對沖風險，減少震盪 置業人士、買入了MBS的人士、對沖基金、金融機構等，都可沽出樓價期貨，以對沖風險 1991 年 Ho 已提出，2006 年 Chicago Mercantile Exchange 引入。如 Bear Stearns 能沽出足夠的樓市期貨對沖，就可免陷入財政危機

The lure of “cheap mortgages” Many mortgage schemes had low upfront payments but payment rising after a few years; Home buyers thinking home prices will rise will borrow now even though they may know they cannot service later. An estimated $265 billion in subprime mortgages are scheduled to be subject to higher interest rates in 2007, some as high as 12 percent. Question: Why allow such mortgages in the first place?

華府救市主要花費 (MP 26/11/2008)_ 　 【明報專訊】聯儲局救市開支：4.74 萬億美元，包括購入商業票據（2.4萬億美元）、挽救貝爾斯登（290億美元）、拯救AIG（1228億美元）等 聯邦存款保險公司（FDIC）擔保銀行存款﹕1.4萬億美元 財政部救市開支：8920億美元 聯邦住宅管理局（FHA）擔保之按揭：3000億美元 接管兩房：2000億美元 通用電氣貸款：1390億美元

Longer Term Implications Demise of the deregulation school Regulation comes back; more attention to risk management by regulators; Culture shock: market expectations of continued double digit growth of profits should be revised Economic supremacy of US changes