时间：2022-04-14 04:14:23
【ABSTRACT】In the course of subprime crisis，it is the securitization productions that are responsible for spreading the risk and recession to world economy. Hence，this paper is written to figure out how securitization products spoiled the world economy.
【Key Words】 Securitization products，CDO，conduction mechanism
一、MBS，ABS and CDO
（一）collateralized mortgage obligation（CMO）
A collateralized mortgage obligation（CMO）is a type of complex debt security that repackages and directs the payments of principal and interest from a collateral pool to different types and maturities of securities，thereby meeting investor needs.
（二）assetbacked security（ABS）
“An assetbacked security（ABS）is a security whose income payments and hence value is derived from and collateralized（or "backed"）by a specified pool of underlying assets” According to Wikipedia.
The structure of ABS is similar to CMO except the underlying asset of ABS is Nonmortgage debt. CMO，underwritten by Freddie Mac and Fannie Mac，is regarded as level of riskfree（government credit）. Investors usually concern the prepayment risk of CMO. ABS otherwise is not underwritten by government credit. Thus，American investors consider there has credit risk for ABS.
（三）collateralized debt obligation（CDO）
A collateralized debt obligation（CDO）is a type of structured assetbacked security（ABS）. Originally developed for the corporate debt markets，over time CDOs evolved to encompass the mortgage and mortgagebacked security（"MBS"）markets.
CDO pay to investors in a prescribed sequence. The CDO is "sliced" into "tranches"，which "catch" the cash flow of interest and principal payments in sequence based on seniority.
EXAMPLE
Supposed there are $100 cash flows that CDO collects from the pool of bonds or other assets it owns. It will be divided as follows.
Graph 1The basic idea of CDO二、Securitization Productions Spread Credit Crisis
Securitization productions we have mentioned before are undeniably those as the media to be blame in the Credit Crisis. To be clearer，examples concerning impaired international securitization market will be used hereby. It’s easy to figure out securitization markets were heavily impaired during the crisis.
Graph 2securitization markets activityTo put it into nutshell，a large quantity of CDO evaporated after 2007，the initial time of subprime mortgage crisis. The volume of CDOs issued globally crashed during the subprime crisis but has recovered slightly.
Graph 3change of CDO in the U.S.In the prosperous background of American real estate market，the default rate is very low. The CDOs rate of return whereas is relatively high. Hence，CDOs strongly attracts investor for its profitability and stability. However，after credit crisis，CDOs proved to be a timing bomb.
The conduction mechanism of credit crisis can be illustrated like that：firstly，as increasing of interest rate，subprime mortgage plummeted contributed to decrease of underlying assets. The price of MBS fell down sequentially spread crisis to investment banks and hedge funds. The price of CDO，meanwhile，dropped immediately that made hedge fund went bankruptcy. Clearing banks lost a great number of money consequently. At the same time，international investors owning highrated CDOs，including banks，foundations and institutional investors were in connection with the fiasco. Finally，crisis spread to all over the world and posed threat to real economy.
BIBLIOGRAPHY：
[1]Lemke，Lins and Picard，MortgageBacked Securities，Chapter 4（Thomson West，2013 ed.）
[2]Vink，Dennis. "ABS，MBS and CDO compared：an empirical analysis"，August 2007
[3]Lemke，Limns and Picard，MortgageBacked Securities，§5：15（Thomson West，2014）
[4]Farcaster（talk）Original uploader was Farcaster at en.wikipedia 04：36，10 October 2010（UTC）