米国による死ぬ死ぬ詐欺の実態：サブプライム問題の裏側

この記事が理解できたら、ひーちゃんとかがこの件について引用してるサイトがどれだけアフォか理解できるかも。（爆ｗ

For all of its rock solid financial surpluses, it appears that Asia has not remained immune from the contagion either. The FT's Alphaville reported about a letter from Kyle Bass of Hayman Capital in which Bass claimed:

I recently spent some time with a senior executive in the structured product marketing group (Collateralized Debt Obligations, Collateralized Loan Obligations, Etc.) of one of the largest brokerage firms in the world. ... This individual proceeded to tell me how and why the Sub-prime Mezzanine CDO business existed. Sub-prime Mezzanine CDOs are 10-20X levered vehicles that contain only the BBB and BBB- tranches of Sub-prime debt.

He told me that the "real money" (US insurance companies, pension funds, etc) accounts had stopped purchasing mezzanine tranches of US Sub-prime debt in late 2003 and that they needed a mechanism that could enable them to "mark up" these loans, package them opaquely, and EXPORT THE NEWLY PACKAGED RISK TO UNWITTING BUYERS IN ASIA AND CENTRAL EUROPE!!!! ....

Interestingly enough, these buyers (mainland Chinese Banks, the Chinese Government, Taiwanese banks, Korean banks, German banks, French banks, UK banks) possess the "excess" pools of liquidity around the globe. These pools are basically derived from two sources: 1) massive trade surpluses with the US in USD, 2) petrodollar recyclers.

These two pools of excess capital are US dollar denominated and have had a virtually insatiable demand for US dollar denominated debt...until now. They have had orders on the various desks of Wall St. to buy any US debt rated "AAA" by the rating agencies in the US. How do BBB and BBB-tranches become AAA? Through the alchemy of Mezzanine-CDOs. With the help of the ratings agencies the Mezzanine CDO managers collect a series of BBB and BBB- tranches and repackage them with a cascading cash waterfall so that the top tiers are paid out first on all the tranches - thus allowing them to be rated AAA. ... This will go down as one of the biggest financial illusions the world has EVER seen. These institutions have these investments marked at PAR or 100 cents on the dollar for the most part. Now that the underlying collateral has begun to be downgraded, it is only a matter of time (weeks, days, or maybe just hours) before the ratings agencies (or what is left of them) downgrade the actual tranches of these various CDO structures.

This is an extraordinary assertion - and one at odds with the relatively limited exposure of China to US mortgages reported in the US data (the Bank of China acknowledged it held $9.65 billion in sub-prime asset-backed securities and collateralized debt obligations, or CDOs. Industrial & Commercial Bank of China, China's biggest lender, said that its sub-prime mortgage-backed securities were valued at $1.23 billion by the end of June, accounting for only 0.3 percent of its total securities investment.). Why the discrepancy?

First, and most obviously, the US survey data is now a year out of date. It misses $400 billion in Chinese reserve growth (roughly $370 billion when adjusted for valuation effects) and an additional $63.6 billion in private Chinese debt purchases in the second half of 2006 that shows up in the Chinese balance of payments data (some of those private purchases may have been reversed in the first half of 2007). The acceleration in Chinese reserve growth over the past year coincided with an increase in China's risk appetite. The purchase of debt securities by China's banks also picked up in the course of 2006 - and a lot of these purchases were financed using funds borrowed from the PBoC through foreign exchange swaps.

China and US Mortgage Debt
As a result, China -- both the banks and the government -- probably added substantially to their holdings of US mortgage debt over the past year. This does not bode well for China, given that the underlying quality of these instruments has shown a marked deterioration in the past 12 months. A good number of these mortgages were taken out by people who likely exaggerated the extent of their net worth and assets in order to qualify for a loan to buy a home that they expected to rise in value, aided by mortgage-brokers looking for another commission. As an example, consider the case of Casey Serin, a 24-year old web designer from Sacramento, who bought seven houses in five months with US$2.2 million in debt. He lied about his income on "no document" loans. He had no deposit. In 2007, three of his houses were repossessed. The others face foreclosure. Serin's website - www. Iamfacingforeclosure.com - has become the symbol of the excesses of the sub-prime mortgage market.

In addition, as economist Brad Setser has noted, after looking at the data on the reported holders of US MBS in the middle of 2006, it is probable that the US data has not picked up the ultimate owners of a lot of MBS. Here is Setser on August 28 in a blog commentary called "Just How Large is China's Subprime Exposure":

Two stand out: the single biggest holder of MBS was the Cayman Islands ($72.4b of $340.9b total) and the Caymans, Bermuda and Jersey combine to account for about 30% of total foreign holdings. It is probable is that a lot of CDOs are legally set up as Cayman island funds, as was the case in Bear Stearns's ill-fated fund that was recently closed down. Any purchases of US debt made by these sorts of vehicles show up as purchases from the Caymans. But the CDO then sells tranches - effectively its own bonds - to investors globally, many of which have likely found their way to Europe and Asia. Those sales would not be reflected in the US data.

Another $120b of MBS were held in the UK, the Netherlands, Luxembourg, Belgium and Ireland. Some of those MBS were held by conduits set up by European firms - and US banks who prefer to show profits (and perhaps now losses) in Europe for tax reasons. But perhaps some CDOs are also managed out of these locations - all of which offer relatively favorable tax treatment for offshore investors.

Certainly China's $9.5b in recorded holdings of MBS - and Japan's $19.8b in recorded holdings - seems a bit low. China and Japan have large current account surpluses to invest in global markets. The Caymans - and for that matter Europe - does not.

Pricing opacity, then, is mirrored by a lack of statistical transparency, which breeds even greater uncertainty.

http://www.jpri.org/publications/occasionalpapers/op37.html

要するにですね・・・

��００３年の時点で米国内のリアルマネーはこの手のヤバイもんには
手を出さなくなってて、そこで彼らはそれを新しくパッケージングして
海外に輸出するわるだくみを考えついたわけです。（ｗ
勿論、為替操作もやってるでしょう。
コレを考慮するとドル安というかその他の通貨高がこのリスクの輸出
促進に一躍買ったのは一目両全ですから。（ｗ

で、先日触れたMBSの件ですが・・・

Mortgage-backed security
http://en.wikipedia.org/wiki/Mortgage-backed_security

まあコレも要するに中国がはめ込まれまくってるわけです。（爆ｗ

それと

サブプライム問題の大きな問題はその実態がつかみ難いことなんですね。
海外向けにはケイマンとかオフショア経由ではめ込まれてるので何処の誰が
どれぐらい持ってるかわからない。


まあとりあえず中国などアジア諸国とヨーロッパ諸国など通貨が強かった国ほど
はめ込まれてるわけで、まあ日本はまだマシな方じゃまいかと・・・


イラクの件に対する御褒美ですかね？（爆ｗ

サブプライム問題：邦銀の保有額は1兆3000億円、10月以降の追加損失は反映せず…拡大の可能性も [07/11/22]

　金融庁は22日、米国の低所得者向け住宅ローン(サブプライムローン)問題で、邦銀の損失状況を
発表した。9月末現在で、サブプライムローンを含む証券化商品の保有額は、国内の銀行(新生銀行と
あおぞら銀行などを除く)や信用金庫・信用組合の全体で約1兆3000億円あり、評価損と損失処理を
合わせ約2300億円が9月中間決算に計上された。

http://mainichi.jp/select/biz/news/20071123k0000m020145000c.html



＞新生銀行とあおぞら銀行などを除く

・・・（爆ｗ

PS

カバードボンドマーケット（欧州版ＭＢＳ）はマジヤバっすね。（爆ｗ