v****e
发帖数: 19471 | 1 she is rignt on the money by saying it's just a bet dreamed up out of thin
air. |
I***e
发帖数: 1136 | 2 Well, CDOs are asset based security so by definition it is not dreamed up.
The fact that these bad loans have poor credit quality is irrelevant. It's
up to the buyers and sellers of the loans to decide what's a fair price.
【在 v****e 的大作中提到】
: she is rignt on the money by saying it's just a bet dreamed up out of thin
: air.
|
v****e
发帖数: 19471 | 3 synthetic ones are dreamed up -- synthetic = shadow/cloned/dreamed up.
【在 I***e 的大作中提到】
: Well, CDOs are asset based security so by definition it is not dreamed up.
: The fact that these bad loans have poor credit quality is irrelevant. It's
: up to the buyers and sellers of the loans to decide what's a fair price.
|
g****h
发帖数: 481 | 4 I am just curious, if goldman sucks did anything like what Magnetar did?
That is, create the CDO, sell most of it to their customers and buy CDS
on the whole CDO? If the CDO got belly up, they win big with the CDS. If
this is the case, it is definitely a fraud.
up.
It's
【在 I***e 的大作中提到】
: Well, CDOs are asset based security so by definition it is not dreamed up.
: The fact that these bad loans have poor credit quality is irrelevant. It's
: up to the buyers and sellers of the loans to decide what's a fair price.
|
I***e
发帖数: 1136 | 5 Synthetic = repackaged + sliced and diced. They are still based on the
underlying cash flows. They aren't dreamed up even when they aren't plain
vanilla subprimes. The cause of all the financial trouble isn't the
packaging but is mostly related to the poor qualities of the original loans.
You can't call pigs real, while pork sausages "dreamed-up"... :)
【在 v****e 的大作中提到】
: synthetic ones are dreamed up -- synthetic = shadow/cloned/dreamed up.
|
I***e
发帖数: 1136 | 6 Makes sense.
On the other hand, if ACA as a buyer actually can pick the loans and agree
to the basket, then I can't find any basis for them to cry foul now.
【在 g****h 的大作中提到】
: I am just curious, if goldman sucks did anything like what Magnetar did?
: That is, create the CDO, sell most of it to their customers and buy CDS
: on the whole CDO? If the CDO got belly up, they win big with the CDS. If
: this is the case, it is definitely a fraud.
:
: up.
: It's
|
g****h
发帖数: 481 | 7 if there had not been so many derivatives that were created from those
loans, we would not have this catostraphy. The derivatives amplified
what would be a loss that are only limited to subprimes. We may not even
see the suffering of prime mortgages.
plain
loans.
【在 I***e 的大作中提到】
: Synthetic = repackaged + sliced and diced. They are still based on the
: underlying cash flows. They aren't dreamed up even when they aren't plain
: vanilla subprimes. The cause of all the financial trouble isn't the
: packaging but is mostly related to the poor qualities of the original loans.
: You can't call pigs real, while pork sausages "dreamed-up"... :)
|
L****a
发帖数: 572 | 8 They can have their argument against that. Because GS is
a market maker, they should have a pool of CDO inventory
in order to do trade. To protect the value loss of the
CDO inventory, they need to buy CDS to hedge up their
CDO inventory.
【在 g****h 的大作中提到】
: I am just curious, if goldman sucks did anything like what Magnetar did?
: That is, create the CDO, sell most of it to their customers and buy CDS
: on the whole CDO? If the CDO got belly up, they win big with the CDS. If
: this is the case, it is definitely a fraud.
:
: up.
: It's
|
d*****z
发帖数: 114 | 9 this is called "shoot the messenger".
subprice would have existed and exploded as bad as in reality, with or
without the derivatives.
you (wamu, new century, fne/fre, citi...) lend to those who can not afford the house, and how can you avoid the implosion?
derivatives are irrelevant.
【在 g****h 的大作中提到】
: if there had not been so many derivatives that were created from those
: loans, we would not have this catostraphy. The derivatives amplified
: what would be a loss that are only limited to subprimes. We may not even
: see the suffering of prime mortgages.
:
: plain
: loans.
|
g****h
发帖数: 481 | 10 This CDO market making thing is elusive to me. I know the market making
thing for stock/option. Basically, for stocks, the exchange grants you the
privilege to be the market maker. For CDO, there is no clearing house. Can
anyone who trades CDOs claim himself doing market making?
【在 L****a 的大作中提到】
: They can have their argument against that. Because GS is
: a market maker, they should have a pool of CDO inventory
: in order to do trade. To protect the value loss of the
: CDO inventory, they need to buy CDS to hedge up their
: CDO inventory.
|
|
|
L****a
发帖数: 572 | 11 However, there could be more synthetic derivatives than underlying.
It's just like options, there could be more call options than the float
of stocks, as long as somebody is willing to write a call, and somebody
is willing to buy the call. In that case, the call is naked.
Just like Soros said, there's more AAA CDOs than the AAA mortgage debt.
In that sense, some of the synthetic dervatives are created from thin
air.
loans.
【在 I***e 的大作中提到】
: Synthetic = repackaged + sliced and diced. They are still based on the
: underlying cash flows. They aren't dreamed up even when they aren't plain
: vanilla subprimes. The cause of all the financial trouble isn't the
: packaging but is mostly related to the poor qualities of the original loans.
: You can't call pigs real, while pork sausages "dreamed-up"... :)
|
v****e
发帖数: 19471 | 12 good -- you did your googling and now you know what I'm talking about. I enc
ourage you to find out during early 2007 what was the synthetic-to-underlyin
g ratio.
【在 L****a 的大作中提到】
: However, there could be more synthetic derivatives than underlying.
: It's just like options, there could be more call options than the float
: of stocks, as long as somebody is willing to write a call, and somebody
: is willing to buy the call. In that case, the call is naked.
: Just like Soros said, there's more AAA CDOs than the AAA mortgage debt.
: In that sense, some of the synthetic dervatives are created from thin
: air.
:
: loans.
|
L****a
发帖数: 572 | 13 Why market making requires clearing house? I think market making is
more important for OTC market, because the products are thinly traded.
Therefore a middleman is needed in order to keep the market liquid.
Those banks are maket makers for these OTC products. That's why we
hear banks always made a lot of profit by trading.
Right, it depends on how to define market maker.
【在 g****h 的大作中提到】
: This CDO market making thing is elusive to me. I know the market making
: thing for stock/option. Basically, for stocks, the exchange grants you the
: privilege to be the market maker. For CDO, there is no clearing house. Can
: anyone who trades CDOs claim himself doing market making?
|
L****a
发帖数: 572 | 14 What do you mean by "googling". Anybody learned financial engineering should
know what is cash CDO and synthetic CDO and how it works. And I read
an article by Soros in Financial Times.
enc
underlyin
【在 v****e 的大作中提到】
: good -- you did your googling and now you know what I'm talking about. I enc
: ourage you to find out during early 2007 what was the synthetic-to-underlyin
: g ratio.
|
o**o
发帖数: 3964 | 15 just side bet. 不比股票尤其option更罪恶。
一个赌棍玩惯了押大小，去玩不怎么懂的24点，输了。于是就赖casino的游戏不公平，
不透明，不能让他赢。于是还要公审casino和发牌员，甚至casino reform... |
c********t
发帖数: 4527 | 16 niu.
Knowledge is power, Logic is power.
【在 L****a 的大作中提到】
: However, there could be more synthetic derivatives than underlying.
: It's just like options, there could be more call options than the float
: of stocks, as long as somebody is willing to write a call, and somebody
: is willing to buy the call. In that case, the call is naked.
: Just like Soros said, there's more AAA CDOs than the AAA mortgage debt.
: In that sense, some of the synthetic dervatives are created from thin
: air.
:
: loans.
|
v****e
发帖数: 19471 | 17 haha I was just teasing you. hey, seriously, how much synthetic stuff was cr
eated out of existing pool of outstanding subprime mortgage balances as of e
arly 2007? I really wanna know how much leverage the market had as a whole o
n the cash flows from those loans.
should
【在 L****a 的大作中提到】
: What do you mean by "googling". Anybody learned financial engineering should
: know what is cash CDO and synthetic CDO and how it works. And I read
: an article by Soros in Financial Times.
:
: enc
: underlyin
|
o**o
发帖数: 3964 | 18 the quantity of underlying asset actually doesn't matter. as long as you
allow people bet on rates, indices, you'd allow people bet on whatever prime
/subprime mortgages. 比如说赌球吧，你难道限制总赌资不超过两队身家
总和么？doesn't make sense, right? 参赌双方买卖risk，球队根本就只是道具，
连商品都不是。
cr
e
o
【在 v****e 的大作中提到】
: haha I was just teasing you. hey, seriously, how much synthetic stuff was cr
: eated out of existing pool of outstanding subprime mortgage balances as of e
: arly 2007? I really wanna know how much leverage the market had as a whole o
: n the cash flows from those loans.
:
: should
|
v****e
发帖数: 19471 | 19 that is exactly my point.
prime
【在 o**o 的大作中提到】
: the quantity of underlying asset actually doesn't matter. as long as you
: allow people bet on rates, indices, you'd allow people bet on whatever prime
: /subprime mortgages. 比如说赌球吧，你难道限制总赌资不超过两队身家
: 总和么？doesn't make sense, right? 参赌双方买卖risk，球队根本就只是道具，
: 连商品都不是。
:
: cr
: e
: o
|
d*****z
发帖数: 114 | 20 CDO market is relatively small compared to the whole packaged mortage-backed
security market.
US mortgage as a whole is about 10 trillion. Global CDO market is 1.5-2
trillion at its peak in 2006. So CDO itself wasn't creating a lot of
leverage.
cr
e
o
【在 v****e 的大作中提到】
: haha I was just teasing you. hey, seriously, how much synthetic stuff was cr
: eated out of existing pool of outstanding subprime mortgage balances as of e
: arly 2007? I really wanna know how much leverage the market had as a whole o
: n the cash flows from those loans.
:
: should
|
|
|
n******n
发帖数: 12088 | 21 should distinguish insurance and bet.
can you buy 1m insurance for your house whose market value only 100k?
【在 v****e 的大作中提到】
: that is exactly my point.
:
: prime
|
n******n
发帖数: 12088 | 22 how about cds?
i think aig was killed by cds on cdo, not cdo itself.
backed
【在 d*****z 的大作中提到】
: CDO market is relatively small compared to the whole packaged mortage-backed
: security market.
: US mortgage as a whole is about 10 trillion. Global CDO market is 1.5-2
: trillion at its peak in 2006. So CDO itself wasn't creating a lot of
: leverage.
:
: cr
: e
: o
|
v****e
发帖数: 19471 | 23 I certainly can't. but if someone in vegas sets up a gamble that my house wi
ll catch on fire and if he does a good marketing job, the bet pool can very
well exceed my home value.
【在 n******n 的大作中提到】
: should distinguish insurance and bet.
: can you buy 1m insurance for your house whose market value only 100k?
|
v****e
发帖数: 19471 | 24 yeah they insured the CDOs at very low premiums (like 20bp--200bp a year dep
ending on ratings). they realized the problem fairly early--it was like fall
2006 when they stopped doing that. but it was already too late.
【在 n******n 的大作中提到】
: how about cds?
: i think aig was killed by cds on cdo, not cdo itself.
:
: backed
|
g****h
发帖数: 481 | 25 就用你这个赌球的作类比。参与比赛的球队假设为A队，Ｂ队。而且比赛无平局。
假设一个极端的例子，那些HF,IB用全美国一半的人钱赌Ａ队，剩下的ＨＦ，ＩＢ用美
国另一半人的钱
去赌Ｂ队。很多美国人并不知道自己的钱被HF,IB投进了这个赌局。不仅如此，这两边
还各自用了２０
倍的leverage,也就是跟银行借了１９倍的钱。
不管最后比赛结果是什么，总有一半的美国人要被wipe out,很多银行要关门，你觉得
这个赌局不应该
regulate么？
prime
【在 o**o 的大作中提到】
: the quantity of underlying asset actually doesn't matter. as long as you
: allow people bet on rates, indices, you'd allow people bet on whatever prime
: /subprime mortgages. 比如说赌球吧，你难道限制总赌资不超过两队身家
: 总和么？doesn't make sense, right? 参赌双方买卖risk，球队根本就只是道具，
: 连商品都不是。
:
: cr
: e
: o
|
n******n
发帖数: 12088 | 26 the problem is, w/o regulation and transparency, there could be a lot of
such 1M bets on your house appreciation/depreciation, and the total bet
value could be much bigger, say, 1B，or even 1T.
anything bad on the house, it may trigger the crisis.
wi
very
【在 v****e 的大作中提到】
: I certainly can't. but if someone in vegas sets up a gamble that my house wi
: ll catch on fire and if he does a good marketing job, the bet pool can very
: well exceed my home value.
|
o**o
发帖数: 3964 | 27 不觉得这样的赌局有什么错，反正参赌的双方都是老赌棍。双方都明白20倍leverage赢
了也拿不到那么多钱，他们都会factor in counter party risk.
问题不是赌博本身，问题是regulator因为在赌局里有利益蛋疼得要bail out
输掉的赌棍。这样规矩就坏掉了。不让资本自己运作，资本主义的相对公平
反而没有了。
【在 g****h 的大作中提到】
: 就用你这个赌球的作类比。参与比赛的球队假设为A队，Ｂ队。而且比赛无平局。
: 假设一个极端的例子，那些HF,IB用全美国一半的人钱赌Ａ队，剩下的ＨＦ，ＩＢ用美
: 国另一半人的钱
: 去赌Ｂ队。很多美国人并不知道自己的钱被HF,IB投进了这个赌局。不仅如此，这两边
: 还各自用了２０
: 倍的leverage,也就是跟银行借了１９倍的钱。
: 不管最后比赛结果是什么，总有一半的美国人要被wipe out,很多银行要关门，你觉得
: 这个赌局不应该
: regulate么？
:
|
g****h
发帖数: 481 | 28 I assume you understand what is systematic risk and have seen what
happened after lehman's collapse.....
【在 o**o 的大作中提到】
: 不觉得这样的赌局有什么错，反正参赌的双方都是老赌棍。双方都明白20倍leverage赢
: 了也拿不到那么多钱，他们都会factor in counter party risk.
: 问题不是赌博本身，问题是regulator因为在赌局里有利益蛋疼得要bail out
: 输掉的赌棍。这样规矩就坏掉了。不让资本自己运作，资本主义的相对公平
: 反而没有了。
|
o**o
发帖数: 3964 | 29 呵呵bear,lehman倒了天并没塌啊，ML没倒BAC倒差点给它拖垮了。
真正的systematic risk是自己不懂放手让赌棍当regulator
1. 视casion关门（其实是换东家）为end of the world
2. 始终有regulate其他大小赌棍的强烈愿望
【在 g****h 的大作中提到】
: I assume you understand what is systematic risk and have seen what
: happened after lehman's collapse.....
|
L****a
发帖数: 572 | 30 I just listened to the hearing. Yes, I am right. Those 4 people
in the panel are all coming from GS's ABS desks. As they claimed,
they are market makers for CDO and other instruments. Typically,
they have CDO positions and CDS positions (they call it
single-name CDS), so that CDS can hedge the CDO inventory risk,
and vise versa. However, there's always residule risk which makes
the whole inventory net long or net short. However, the inventory risk
could also become profitting opportunity if the
【在 L****a 的大作中提到】
: They can have their argument against that. Because GS is
: a market maker, they should have a pool of CDO inventory
: in order to do trade. To protect the value loss of the
: CDO inventory, they need to buy CDS to hedge up their
: CDO inventory.
|
