Asal Usul Krisis Keuangan 2007/8

Dampak dan Respond

Outline

Inovasi produk keuangan

Asal usul krisis
Dampak
Respon

RP FSSK

Inovasi di Produk keuangan

(oleh para financial engineer dg kompensasi yg

tinggi)

Mortgage Loan : Prime, sub-prime

Asset Backed Securities (ABS)
/Mortgage Backed Securities
(MBS) /Commercial MBS/Residential
MBS
Collateral Debt Obligation
Credit Default Swaps

RP FSSK

Aliran transaksi uang Sub-Prime

Bagaimana sub-prime mortgage berakhir di portfolio rumah tangga

Mortgage
brokers

AAA
AABBB

Rating
companies

Rating

Securities
/CDOs

LOAN
DEBTS

MORTGAGE

MBS

WALL

ST

CDO

LOANS

Home
buyers

Subprime
lenders

Big banks

Securitizatio
n
manufacture
of CDOs

Investors

Sub-prime : skore kredit dibawah standard, dokumentasi sangat longgar

bahkan peminjam yang tidak punya pendapatan, tidak punya pekerjaan dan
tidak punya aset (kaum NINJA) dapat diberikan pinjaman perumahan, kredit
kard maupun kendaraan
RP FSSK

Senyawa Keuangan (Financial Alchemy)

Wall Street punya cara untuk mentrasform surat hutang berisiko tinggi menjadi

CDOs dengan
rating AAA atau debt
Aaa (investment grade)
1.The
CDO (collateralized
2.Multiply CDOs
obligation)
A CDO is a company typically incorporated
offshore that buys collateral such as bonds,
mortgage-backed securities and loans and
sells debt securities with varying degrees of
risk
Interest payment

A CDO with collateral consisting of pieces

of other CDOs is called a CDO squared.
When a CDO is built of CDO squareds, its
called a CDO cubed.

$
COLLATERAL

CDO squareds

SECURITIES

Bonds

AAA

Mortgage- Other assetbacked

Backed
securities securities

AA-

CDO

CDO

CDO

CDO cubeds

BBB

Unrated equity(toxic waste)

Potential losses

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

CDO

Problem makin bertambah dengan

struktur produk
yang lebih
kompleks
Typical Mezzanine
CDO of ABS
Underlying
loans

Typical RMBS

AAA
AA
A
A
A
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
CDO

AAA

Potential
loss 10%

Underlying

AA
A
BBB
BBB-

Unrated

RP FSSK

CDO of ABS
100%
90%

Potential
loss 75%

80%

Super
senior

70%
60%
50%
40%

AAA

30%

AA

20%

10%

Equity

0%

Ilustrasi pasar KPR dalam keadaan

normal atau kondusif
Asumsi :
Harga perumahan naik
Tingkat pendapatan naik
Tingkat suku bunga rendah
atau turun

Contoh: refinancing:

Hasil :
Tambahan ekuitas
perumahan akibat apresiasi
harga
Peminjam akan dapat
membayar hutangnya
melalui refinancing.

Real estate
value:
$200.000

After 1 year
Real estate
value:
$300.000

Mortgage
loan:
$200.000
Repayment
of initial
loan:
$200.000

Mortgage
loan:
$300.000

Cash remaining
$100.000
RP FSSK

Ilustrasi pasar KPR dalam keadaan

pasar tertekan
Asumsi :
Harga perumahan turun
Pendapatan turun atau
stagnasi
Suku bunga tinggi atau naik

Figure:
Interest rate movements on
U.S. mortgage market
(hybrid ARM rates).

Hasil
Ekuitas perumahan tergerus
Pembayaran hutang lewat
refinancing tidak mungkin
Peminjam mengalami
kesulitan untuk membayar
cicilan.

RP FSSK

Structured finance: sekuritisasi

tingkat pertama
Mortgage backed securities (MBS)

1. tranche
(low risk)

Mortgage
loans
Supply:
originators
of mortgage
loans

Total value:
$900.000

3.000 bonds at $100

Coupon rate: 10 %

Securitization

Mortgage loan portfolio

can be divided into 9.000
bonds with $100 face falue.
Different tranches of bonds
carry different levels of
risk depending on their
seniority/subordination in
debt repayment.

2. tranche
(medium risk)
3.000 bonds at $100
Coupon rate: 15 %

Demand:
financial
investors

3. tranche
(high risk)
3.000 bonds at $100
Coupon rate: 20 %

RP FSSK

Structured finance:
Kunci utama membuat menjadi rating
(AAA)
Credit enhancement facilities
External:
Bond insurance monoline insurers;
Letter of credit banks.
Internal:
Overcollateralization;
Excess spread;
Reserve account;
Senior/subordinated debt structure.

Liquidity facilities sponsor banks

RP FSSK

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Structured finance:
Para pemain di bisnis sekuritisasi
End borrowers
I&P ($)

Servicer

Broker places mortgage

loans to borrowers for fee

Broker

LEGEND KEY
O&G interest and principal
SPV special purpose vehicle
SPE special purpose enterprise
SIV special investment vehicle
MBS mortgage backed securities

$
Mortgages
Typically a specialized
mortgage bank

Originator

$
I&P ($)
Manages the flow of
interests and principal
(I&P); usually, but not
necessarilly the Originator

Conduit/trust/
SPV/SPE/SIV

Exposure of founder: implicit

guarantee in case of large
losses.

Can assume part of

risks (insurance of
mortgage loans,
insurance of MBS
returns).

MBS
Investment bank
(underwriter)

Founder: loan originator or

investment bank
Purpose: transfering
ownerhship of claims (loans)
and collateral (mortgages) in
order to issue mortgage
backed securities (bonds).

Insurance
company

Mortgages

Mutual funds,
pension funds,
hedge funds

MBS, I&P ($)

Rating agency

Assigns credit
rating to issued
MBSs.

Organizes issuing of
MBSs and places
MBSs to investors in
financial markets.

Institutional
investor

Financial
returns ($)
End lenders

RP FSSK

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Structured finance:
sekuritisasi tingkat yang kedua
Mortgage backed securities (MBS)

Mortgage bonds
Rating: AAA/Aaa
Investment
grade

Other
claims

Mortgage bonds
Rating: AA/Aa2
Mortgage bonds
Rating: A/A2
Mortgage bonds
Rating: BBB/Baa2

Speculative
grade

Collateralized debt obligations (CDO)

MBS

CDO
Ratings: AAA/Aaa BBB/Baa2

Investment
grade

Mortgage bonds
Rating: BB/Ba2
Mortgage bonds
Rating: B/B2

CDO
Ratings: less than BBB/Baa2

Equity tranche

RP FSSK

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Structured finance:
sekuritisasi tingkat yang ketiga
A mil. $ question:
if I am a sponsor bank
of the SIV that issued
CDO2, what is my
risk exposure?

RP FSSK

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Structured finance:
Instruments and volumes

RMBS residential mortgage backed

securities
CMBS commercial mortgage backed
securities
MBS mortgage backed securities
ABS asset backed securities
CDO collateralized debt obligations
CDS credit default swaps

RP FSSK

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Asal mula Krisis

United States, 2007: a price bubble in the housing market

bursts

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Asal mula Krisis

marking the end of the largest speculative surge of real

housing prices in the U.S. in the last 50 years

Notice the
prolonged
exponential
growth!

RP FSSK

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Asal mula risis

and resulting in a surge of loan delinquencies in the

residential mortgage loan market

RP FSSK

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Bright New Financial System

(Volker)
New Financial

Traditional

Loans
Loans Securitization off
balance sheet MBS
Repackaging derivative
CDO
Derivative insurance CDS
Broker, servicer, Rating
agency
Cross border sector/country
Spread out the risk

RP FSSK

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Lend to trusted
customer
Held loan in banks
book

Technology & Fin. Innovation

Bright new financial system

Positive

Productive allocation of
capital
Democracy of credit
Consumption smoothing

Great moderation and NICE ???

Innovation went faster and

further than the ability of
market and regulators to
understand and handle the
associated risk

Negative

Debt/leverage
Housing price pro-cycle
Wealth construction vs
destruction
Rely on whole sale funding

Financial markets are

inherently unstable
Minsky : Stable finance is
an illusion

Moral Hazard (unwillingness to be prudent)

Bounded rationality (inability to be prudent)
RP FSSK

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Environment
Misguided (implicit) credit subsidy
Distorted market (sub-prime Fanny
mae, Freddy Mac)
Speculative/greed/mania
fear/panic (animal spirit)
Loose M Policy/cheap money
NICE ??
Lax Supervision
RP FSSK

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In Number
Dj vu 1929 1933 ??

Unemployment rate 25%

Now, number in perspective (Not quite the same yet),

but certainly deeper and broader (systemic &global)
than any other crisis after the great depression)

Housing price down 15% 25%

Credit losses $ 1.4 2 T
Bank losses $ 0.6 0.9 T
Bank asset contraction $ 10 15 T

Market crash : 30 - 60% (Ytd performance)

Recession in many advanced economies

Credit contraction/crunch
Negative growth and high unemployment

RP FSSK

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Trigger and impact

from Wall Street to Manggo two

Balance sheet, House hold, Company, Government

Trigger (external)
Housing market collapse
Wealth effect (Income)
Credit default
Liquidity crunch
Confidence
Deleveraging
Capital write down
Capital injection
Psychology
Fear/panic
contagion

Impact (Indonesia)
Export order down
Money market : Premi/ Spread with
T Bill is widening

Away from Emerging market : availability

and interest rate.

Bond Yield Up/ price down

Tight Competition for funding in global

market and higher rate

Govt finance (limited budget

deficit)

Company capital expenditures

Confidence on
Banking credit down expansion of
investment and consumption down
growth/jobs
Financial market (Fin. System) jittery
new IPO and issuance drop

RP FSSK

BOP
Govt Budget financing

22

Complication in Indonesia
Commodity price (Up/Down)
Oil
Mining
plantation

Oil Subsidy
Led to Inflation hike
CA/BOP pressures
Limit the effectiveness of Policy:

Fiscal / subsidy versus revenue

Monetary/ Interest rate, Exchange rate

RP FSSK

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Immediate Respond

Liquidity facility

Budget rationalization

Relax Repo facility

Relax Swap facility
Relax Reserve requirement
Relax FPJP (OMO)
Placing of Government
account
Accelerate spending
considering budget financing pb
2009)

Next in the arsenal

Relaxation of Mark to market

valuation of securities, of buy
back
3 Perpus (emergency laws) for

hadling crisis

Collateral for FPJP (BI)

Deposit guarantee (LPS)
Financial safety net (JPSK)

RP FSSK

LOLR
Interest rate cut
Capital injection
Separation of good and bad
asset (AMC)
Fiscal expansion (counter
cyclical)
Comprehensive package
Maintaining the
sustainability of Budget,
BOP and Monetary
balance
Concerted actions across
countries (leadership
issues)
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Tahap

Ruang Lingkup Pengamanan

Sistem Keuangan Nasional

Ruang Lingkup & Mekanisme

Dasar Hukum

Kondisis
Normal

Pengaturan dan Pengawasan Bank dan

LKBB

Undang-Undang terkait
dengan Lembaga Keuangan

Penjaminan Simpanan

Undang-Undang LPS

Transisi

Fasilitas Pendanaan Jangka Pendek (FPJP)

Undang-Undang BI dan Perpu

BI

Penjaminan Simpanan

Undang-Undang LPS dan

Perpu LPS

Pencegahan dan Penanganan Krisis:

Fasilitas pembiayaan/pinjaman

Penyertaan modal sementara

Insentif dan fasilitas untuk

mempercepat penyelesaian masalah
yang dilakukan oleh sektor privat

Perpu Jaring Pengaman

Sistem Keuangan

Kondisi
Krisis

Penjaminan Simpanan

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Undang-Undang LPS dan
Perpu LPS

Next / Intermediate
Fiscal (counter cyclical)
Balance growth (stability vs. growth) BOP, Budget,
House hold Balance sheet
Regulation
Capital (counter cyclical)
Liquidity
Leverage
Off balance sheet
Avoid implicit credit subsidy
Strengthen supervision
Link all the dot / mapping the trees but look at the forest
and go beyond national level
Regular crisis preparedness exercise
RP FSSK

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