MBS-->ABS-->CDO-->CDS--> Goldman Sachs

Cch y ng 1 tun (16/4) SEC (Securities and Exchange Commission) co buc Goldman Sachs v nhng gian ln trong mortgage deal. C th, SEC cho rng Goldman lp ra Abacus 2007-AC1 theo yu cu ca qu u c ni ting l Paulson & Co. Abacus deal ny sau c bn ra cng chng. Nh uy tn ca Goldman m rt nhiu nh u t mua loi chng khon ny, bao gm cc ngn hng nc ngoi, cng ty bo him, v cc qu u c khcnhng trong cuc chi ny nh u t l k nm chc phn tht bi bi s bt tay ca Paulson v Fabrice Tourre (VP Goldman) V kin ny ang lm l ra nhng hnh vi xu xa khng khip ph Wall v ha hn mang n mt c hch mnh cho vic ci t h thng ti chnh M (ch yu v cc sn phm phi sinh) chnh sch i ni m Obama ang hng n. Abacus 2007-AC1 l mt loi CDO. Mt dng chng khon phi sinh hnh thnh t nhng khon vay th chp. Quy trnh hnh thnh ca n nh sau: MBS ( Mortgage Backed Securities ) Khi cc ngn hng thng mi (NHTM) chp nhn cho ngi i vay tin mua bt ng sn (BDS) th chp bng chnh BDS R rng vic nm gi nhng khon vay th chp BDS nh th ny s c tnh ri ro rt cao i vi cc NHTM, bi vy phn tn ri ro ca mnh th NHTM bn nhng hp ng cho vay ny cho mt bn th 3 l ngn hng u t (NHDT) NHDT tr tin cho NHTM mua quyn c hng li sut ca cc khon vay t NHTM, sau chng khon ha (securitize) thnh cc loi c phiu khc nhau gi l MBS. Nh u t nm MBS s c tr li t nhng khon thu t ngi i vay ni trn ABS (Asset Backed Securities) Cc MBS gp vi cc chng khon vay khc (vay mua xe, BDS thng mi, tiu dng) to nn mt loi chng khon m bo bi ti sn th chp chung chung chung gi l ABS CDO (Collateralized Debt Obligations) Thm mt nc na, cc ABS c kt hp to thnh mt danh mc vn u t (portfolio) v c gi chung l CDO. Mt c trng portfolio ny l cc mc ri ro c chia t cao ti thp. l senior, mezzanine v equity. Khi ngi i vay khng tr c n(*) th nhm equity s chu l trc, sau mi n mez v Senior s phi chu cui cng. Hay ni cch khc th khi senior l nhng khon s c u tin tr li trc tin. V d : Tng cho vay l $1b, Gi mi Cp l $1k, tr li hng nm l 10%( $100m)

yield Tin li Equity 20% 200k $200m 23% $46m Mez 30% 300k $300m 8% $24m Senior 50% 500k $500m 6% $30m Tng 100% 1000k $1b $100m

S cp

Khi (*) xy ra, tr li ch cn $60m

$6m $24m $30m $60m

Khi th li tc cho Equity ch cn $6m/$200m = 3% CDS (Credit Default Swap) Cch m nh u t phng ri ro cho bn than l mua bo him cho cc CDO phng khi CDO mt gi. Tuy nhin c im tuyt vi ca CDS l n hon ton khng b qun l bi bt k c quan chc nng no cho nn ai cng c th bn sn phm ny, ngha l bo him cho mt ti sn no m khng cn phi tun th theo nhng qui nh ngt ngho ca ngnh bo him. Thm vo , ai cng c th mua CDS m khng cn thit phi s hu ti sn cn bo him. iu ny gip cho cc bn tham gia vo th trng CDS c th leverage ln n v hn. [1]

Tr li vn chnh Khi khng hong ti chnh din ra th gi tr CDS danh ngha ln hn nhiu chc ln so vi gi tr s CDO m n bo him. Lc ny gi CDS t ngt t ln do ngi i vay khng th tr c n. Cn Paulson & Co kt thc phi v bng vic bn CDS m n u c lc gi r v kim c mt khon li nhun kch x ($3.7b). Khon ny ng nhin n t cc cng ty bo him trong c AIG. (Theo Financial Times, AIG chi $6b thanh ton CDS nhng ch thu v c $2b ) Vy l vic Goldman tip tay cho Paulson & Co l r, cn vic SEC c thng trong v kin ny hay khng vn cha th kt lun c bi v Goldman ang mi nhng lut s gii nht bin h cho mnh. Nhng uy tn ca Goldman sau v ny chc chn s gim ng k.