Kein Folientitel
Due To Deregulation, Liberalization and Globaliza-tion The
Traditional Bank Business Has Changed Dramatically.Banks can enter
a business that had been off limits beforeDeepening of Capital
markets connected corporates directly to the market.Corporate
Finance business has suffered from highly specialized securities
firms and institutional asset managers. Traditional Sources Of Bank
Profits Have ShiftedBank Deposits are decreasing. Liabilities as
bank loans are also decreasing on the assets side (Table 1,2).On
the other side negotiable liabilities have increased (tradable
securities on the asset side) (Table 3,4).
Table 1. Bank Deposits in percent of total bank liabilitiesIn
Most G7-Countries Bank Deposits in Percent of Total Liabilities
were Decreasing During the Last Twenty Years
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle3
Table 2. Bank Loans in percent of total Bank AssetsIn Some
G7-Countries also Bank Loans as in Percent of Total Bank Assets
Decreased
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
USAUSAUSA
JapanJapanJapan
GermanyGermanyGermany
FranceFranceFrance
ItalyItalyItaly
UKUKUK
CanadaCanadaCanada
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle3
Table 3. Negotiable Liabilities in percent of total Bank
LiabilitiesBanks are Using More and More Capital Market Instruments
to Refinance Their Businesses
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Table 4. Tradable Securities Holding in percent of Total Bank
AssetsBanks Have Also Entered resp. Enlarged Their Asset Management
Businesses
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Three Major Changes In The Composition Of Banks Balance Sheets
Displacement of lending by other activities. Growth of
off-balance-sheet assets in percent of total assets. Displacement
of deposit loan-income by other operating income.Changes Are
Reflected By Desegementation And Restructuring Expanding into other
markets (Securities) to face competition to the Asset Management
Industry. Entering the insurance markets Entering Asset Management
business providing investment management services and a wider range
of financial services to their customers. All this changes are
reflected by heavily increasing M & A activities.
Table 5. Balance Sheet Information of Top 50 Banks in percent as
notedSource of Bank Profits Have Shifted From Interest Related
Income to Other Income
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other Earning Assets /33.3533.7837.14
Total Assets
Off-Balance-Sheet Items /14.5820.8120.33
Total Assets
Other Operating Income /49.1862.0067.06
Net Interest Revenue
Commission and Fees/86.5661.0957.54
Other Operating Income
Trading Income /24.8022.0618.15
Other Operating Income
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Traditionally banks intermediate between borrowers and savers by
using deposits, securities firms were providing the distribution of
new issues of equity and debt to public.On the supply side, Nonbank
financial institutions have entered the traditional bank business.
Insurance Comp., Investment banks, even telcos and food companies
are providing bank-services.On the demand side, households were
bypassing banks by investing directly to those investment firms
which could cause of theire specializtion more effective handle the
savings.As a result from this, the nonbank-sector became larger and
larger. (Table 6,7). In the United States the nonbank-sector is
managing (1995)11,5 trillion US$ compared to 5 Trillion $ in the
banking sector.The Traditional View of Financial Intermediation Has
Eroded
Table 6. Assets of Institutional InvestorsInstitutional
Investors Were Steadily Growing at High Average Rates
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other earning assets /33.3533.7837.14
total assets
Off-balance-sheet items /14.5820.8120.33
total assets
Other operating income /49.1862.0067.06
net interest revenue
Commission and fees/86.5661.0957.54
other operating income
Trading income /24.8022.0618.15
other operating income
All Institutional Investors199019931995Annual
(in Billions of US$)Growth
Rate
United States6,820.609,262.2011,490.2010.99%10.99%
Japan2,490.603,576.704,068.2010.31%
Germany641.80776.201,179.8012.95%
France632.00870.501,159.0012.89%
Italy215.30244.70325.608.62%
United Kingdom1,248.501,637.001,908.908.86%
Canada348.20437.20509.707.92%
Total12,397.0016,804.6020,641.4010.73%
Total Assets all Investors199019931995Annual
(in % of GDP)Growth
Rate
United States118.70141.40158.605.97%
Japan77.9084.1087.002.23%
Germany39.5042.5048.904.36%
France49.8072.5074.008.24%
Italy18.5026.9029.109.48%
United Kingdom117.50175.20176.008.42%
Canada60.3081.2089.208.15%
Total84.70103.70110.505.46%
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Table 7. Assets of all Institutional Investors in % of
GDPInstitutional Investors Were Steadily Growing at High Average
Rates
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other earning assets /33.3533.7837.14
total assets
Off-balance-sheet items /14.5820.8120.33
total assets
Other operating income /49.1862.0067.06
net interest revenue
Commission and fees/86.5661.0957.54
other operating income
Trading income /24.8022.0618.15
other operating income
All Institutional Investors199019931995Annual
(in Billions of US$)Growth
Rate
United States6,820.609,262.2011,490.2010.99%10.99%
Japan2,490.603,576.704,068.2010.31%
Germany641.80776.201,179.8012.95%
France632.00870.501,159.0012.89%
Italy215.30244.70325.608.62%
United Kingdom1,248.501,637.001,908.908.86%
Canada348.20437.20509.707.92%
Total12,397.0016,804.6020,641.4010.73%
Total Assets all Investors199019931995Annual
(in % of GDP)Growth
Rate
United States118.70141.40158.605.97%
Japan77.9084.1087.002.23%
Germany39.5042.5048.904.36%
France49.8072.5074.008.24%
Italy18.5026.9029.109.48%
United Kingdom117.50175.20176.008.42%
Canada60.3081.2089.208.15%
Total84.70103.70110.505.46%
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
GlobalizationFinancial Markets Are Facing Closer Integration
Liberalization and Development of Information Technologies prepared
the way to globalization and integration Securities Portfolios
became far more internationally diversified (Table 8). The growth
in gross portfolio flows increased by almost more than 200
times.Cross border transactions in Bonds and Equities reached up to
between seven and one times GDP. In the US those transactions
between US and foreign investors totaled 17 Trillion US$. (see
Table 9) or 213% of the US - GDP.Although investment portfolios are
fare away from beeing adequately internationally diversified, i.e.
portfolios still do not reflect the the structure of the world
market capitalization (USA: 42%, Japan 15%, UK: 9%, other
industrial countries: 23%, emerging markets: 11%)
Mirroring this expansion firms also turned to international
markets to raise funds (see Table 10).Even the volume of
outstanding issues of international debt securities reached to 3,7
Trillion US $, sixfold larger than in 1985.Financial Globalization
has been a counterpart to international trade. The foreign exchange
market has far outpaced the growth of trade. In 1995 an annual
worldwide trade volume of 6,1 Trillion US$ was faced by a daily
market turnover of 1,2 Trillion US $. (see T.11.)Nonresidents
holdings of public debt also increased substantially (see Table
12)GlobalizationFinancial Markets are Facing Closer Integration
Table 8. Gross and Net Flows of Foreign Direct and Portfolio
Investment (G7)Foreign Net and Portfolio Investments (in bn $)
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
19911993
Other earning assets /33.3533.78
total assets
Off-balance-sheet items /14.5820.81
total assets
Other operating income /49.1862.00
net interest revenue
Commission and fees/86.5661.09
other operating income
Trading income /24.8022.06
other operating income
All Institutional Investors19901993Growth
(in Billions of US$)rate
United States6,820.609,262.2014
Japan2,490.603,576.7013
Germany641.80776.2017
France632.00870.5017
Italy215.30244.7010
United Kingdom1,248.501,637.0011
Canada348.20437.209
Total12,397.0016,804.6013
Total Assets all Investors19901993Growth
(in % of GDP)rate
United States118.70141.406.00
Japan77.9084.102.20
Germany39.5042.504.40
France49.8072.508.20
Italy18.5026.909.50
United Kingdom117.50175.208.40
Canada60.3081.208.10
Total84.70103.705.50
Gross and Net Flows of19701980199019951997
Foreign Direct and Portfolio
Investment (billions US$)
Gross Flows
Foreign Direct Investment14.4582.82283.24369.01448.32
Portfolio Investment5.2660.93329.63764.341,040.19
Net Flows
Foreign Direct Investment-4.05-8.14-59.58-83.18-92.60
Portfolio Investment1.4216.0241.36186.53272.51
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Table 9. Cross Border Transactions in Bonds and EquitiesCross
Border Transactions of Bonds and Equities
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other earning assets /33.3533.7837.14
total assets
Off-balance-sheet items /14.5820.8120.33
total assets
Other operating income /49.1862.0067.06
net interest revenue
Commission and fees/86.5661.0957.54
other operating income
Trading income /24.8022.0618.15
other operating income
All Institutional Investors199019931995Growth
(in Billions of US$)rate
United States6,820.609,262.2011,490.2014
Japan2,490.603,576.704,068.2013
Germany641.80776.201,179.8017
France632.00870.501,159.0017
Italy215.30244.70325.6010
United Kingdom1,248.501,637.001,908.9011
Canada348.20437.20509.709
Total12,397.0016,804.6020,641.4013
Total Assets all Investors199019931995Growth
(in % of GDP)rate
United States118.70141.40158.606.00
Japan77.9084.1087.002.20
Germany39.5042.5048.904.40
France49.8072.5074.008.20
Italy18.5026.9029.109.50
United Kingdom117.50175.20176.008.40
Canada60.3081.2089.208.10
Total84.70103.70110.505.50
Gross and Net Flows of19701975198019851990199519961997
Foreign Direct and Portfolio
Investment (billions US$)
Gross Flows
Foreign Direct
Investment14.4534.2582.8275.49283.24369.01357.53448.32
Portfolio
Investment5.2627.1060.93233.44329.63764.341,162.641,040.19
Net Flows
Foreign Direct
Investment-4.05-9.93-8.14-12.66-59.58-83.18-87.41-92.60
Portfolio
Investment1.428.5316.0225.0341.36186.53267.37272.51
Cross Border197519801985199019951997
Transactions
Bonds & Equities
(in percent of GDP)
United States4.009.0035.0089.00135.00213.00
Japan2.008.0062.00119.0065.0096.00
Germany5.007.0033.0057.00172.00253.00
France...5.0021.0054.00187.00313.00
Italy1.001.004.0027.00253.00672.00
Canada3.009.0027.0065.00189.00358.00
Total15.0039.00182.00411.001,001.001,905.00
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Table 11. Foreign Exchange TradingForeign Exchange Trading
(Turnover in bn $ per day)
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other earning assets /33.3533.7837.14
total assets
Off-balance-sheet items /14.5820.8120.33
total assets
Other operating income /49.1862.0067.06
net interest revenue
Commission and fees/86.5661.0957.54
other operating income
Trading income /24.8022.0618.15
other operating income
All Institutional Investors199019931995Growth
(in Billions of US$)rate
United States6,820.609,262.2011,490.2014
Japan2,490.603,576.704,068.2013
Germany641.80776.201,179.8017
France632.00870.501,159.0017
Italy215.30244.70325.6010
United Kingdom1,248.501,637.001,908.9011
Canada348.20437.20509.709
Total12,397.0016,804.6020,641.4013
Total Assets all Investors199019931995Growth
(in % of GDP)rate
United States118.70141.40158.606.00
Japan77.9084.1087.002.20
Germany39.5042.5048.904.40
France49.8072.5074.008.20
Italy18.5026.9029.109.50
United Kingdom117.50175.20176.008.40
Canada60.3081.2089.208.10
Total84.70103.70110.505.50
Gross and Net Flows of19701975198019851990199519961997
Foreign Direct and Portfolio
Investment (billions US$)
Gross Flows
Foreign Direct
Investment14.4534.2582.8275.49283.24369.01357.53448.32
Portfolio
Investment5.2627.1060.93233.44329.63764.341,162.641,040.19
Net Flows
Foreign Direct
Investment-4.05-9.93-8.14-12.66-59.58-83.18-87.41-92.60
Portfolio
Investment1.428.5316.0225.0341.36186.53267.37272.51
Cross Border Transactions197519801985199019951997
in Bonds and Equities
(in percent of GDP)
United States4.009.0035.0089.00135.00213.00
Japan2.008.0062.00119.0065.0096.00
Germany5.007.0033.0057.00172.00253.00
France...5.0021.0054.00187.00313.00
Italy1.001.004.0027.00253.00672.00
Canada3.009.0027.0065.00189.00358.00
Total15.0039.00182.00411.001,001.001,905.00
Nonresident's Holdings of1983198819931996
Public Debt (in % of total)
United States14.9018.4022.2035.00
Japan...2.005.404.30
Germany14.1020.7032.8029.30
Italy......10.1015.90
United Kingdom7.2015.7021.8023.80
Canada10.7015.7021.8023.80
Foreign Exchange1986198919921995
Trading
Global Estimated Turnover
(daily, in billions of US $)1885908201190
As a percent of
World Exports of Goods7.4015.8017.4019.1
Total reserves minus gold36.7075.9086.0084.30
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Table 12. Nonresidents Holdings of Public Debt (in percent of
total public debt)Nonresidents Holdings of Public Debt (in % of
Total Debt)
Deposits to Liabilities
198019901995
USA75.569.958.5
Japan71.871.371.3
Germany73.971.265.7
France34.127.5
Italy46.344.236.9
UK86.584.686
Canada79.774.372.4
Deposits to Liabilities
0000000
0000000
0000000
USA
Japan
Germany
France
Italy
UK
Canada
Bank Deposits in % of Total Bank Liabilities
Tabelle2
198019901995
USA63.362.958.9
Japan55.356.265.4
Germany83.681.277.7
France40.436.4
Italy35.745.642.4
UK43.657.952.4
Canada70.470.867.6
Tabelle2
000
000
000
000
000
000
000
1980
1990
1995
Bank Loans in % of Total Bank Assets
Tabelle1
199119931996
Other earning assets /33.3533.7837.14
total assets
Off-balance-sheet items /14.5820.8120.33
total assets
Other operating income /49.1862.0067.06
net interest revenue
Commission and fees/86.5661.0957.54
other operating income
Trading income /24.8022.0618.15
other operating income
All Institutional Investors199019931995Growth
(in Billions of US$)rate
United States6,820.609,262.2011,490.2014
Japan2,490.603,576.704,068.2013
Germany641.80776.201,179.8017
France632.00870.501,159.0017
Italy215.30244.70325.6010
United Kingdom1,248.501,637.001,908.9011
Canada348.20437.20509.709
Total12,397.0016,804.6020,641.4013
Total Assets all Investors199019931995Growth
(in % of GDP)rate
United States118.70141.40158.606.00
Japan77.9084.1087.002.20
Germany39.5042.5048.904.40
France49.8072.5074.008.20
Italy18.5026.9029.109.50
United Kingdom117.50175.20176.008.40
Canada60.3081.2089.208.10
Total84.70103.70110.505.50
Gross and Net Flows of19701975198019851990199519961997
Foreign Direct and Portfolio
Investment (billions US$)
Gross Flows
Foreign Direct
Investment14.4534.2582.8275.49283.24369.01357.53448.32
Portfolio
Investment5.2627.1060.93233.44329.63764.341,162.641,040.19
Net Flows
Foreign Direct
Investment-4.05-9.93-8.14-12.66-59.58-83.18-87.41-92.60
Portfolio
Investment1.428.5316.0225.0341.36186.53267.37272.51
Cross Border Transactions197519801985199019951997
in Bonds and Equities
(in percent of GDP)
United States4.009.0035.0089.00135.00213.00
Japan2.008.0062.00119.0065.0096.00
Germany5.007.0033.0057.00172.00253.00
France...5.0021.0054.00187.00313.00
Italy1.001.004.0027.00253.00672.00
Canada3.009.0027.0065.00189.00358.00
Total15.0039.00182.00411.001,001.001,905.00
Nonresident's1983198819931996
Holdings of
Public Debt (in % )
United States14.9018.4022.2035.00
Japan...2.005.404.30
Germany14.1020.7032.8029.30
Italy......10.1015.90
United Kingdom7.2015.7021.8023.80
Canada10.7015.7021.8023.80
Tabelle3
198019901995
USA0.40.81.1
Japan2.03.94.8
Germany19.219.023.5
France...21.719.4
Italy12.218.722.0
UK3.96.17.3
Tradable Liabilities in percent of total bank liabilities
198019901995
USA18.018.920.1
Japan14.714.315.4
Germany10.212.115.7
France...7.313.7
Italy20.413.013.9
UK9.29.217.9
Tradable Securities Holding in percent of total bank assets
Accompanying all this, we can observe extending linkages between
international Exchanges (Eurex, CBOT and Eurex)OTC- and Exchange
traded markets will mergeNew Markets for unbundling and trade of
risks will emergeActually the risk market volume is estimated to
reach up to a volume of more than 130 Bio US$ /year (notional
amount outstanding per end of year). This would be more than the
total volume of all traded bonds, equities and bank assets Outlook
to new market propositionsIn future we will face an ongoing
increase of methods and products concerning risk markets, also
dealing new kinds of risks like:Catastrophe Risks (ART) will change
insurance markets Credit Risks will change the business potential
of credit business. Private Income Risks
New TrendsNew MarketsNew ChancesNew Risks
New Markets and Products for Unbundling, Pricing, Trading and
Managing RisksExample:U.S. bank has given a floating rate Yen
denominated loan to a Japanese bank.Credit-risk loaded
floating-rate, Yen-denominated loan Riskless, fixed rate dollar
denominated security
How Risk Management WorksUS BankJapanese Bank100 Bio Y at
LIBORLIBOR Payed in YPayback in YenLIBOR in YenFixed rate in YenUS$
ReceiverYen - PayerInterest Rate SwapCurrency SwapFloating Rate Yen
LoanFixed Rate Dollar Loan OTC - MarketCredit Default SwapFloating
Rate Yen Credit
Growth in Global Security Issues,1990-2003Global debt &
equityU.S. Issuers worldwide$ Bn
Derivatives - Notional Amount Outstanding per 12/1987 to
12/2005
Diagramm1
0.87
3.45
8.48
25.5
58.3
63.1
69.2
99.8
221.7
280.8
316.4
in Thousand Bio US$
Tabelle1
H87225.0
2H87$248.6
$865.6865.6
1H88$310.8
2H88$379.9
$1,654.31654.3
1H89$653.6
2H89$685.1
2,474.7
1H90$794.1
2H90$975.2
3450.3
1H91$1,122.2
2H91$1,210.7
4449.5
1H92$1,768.0
2H92$1,948.9
5345.7
1H93$2,604.9
2H93$2,911.9
8474.5
1H94$4,214.1
2H94$3,919.3
11303.2
1H97
1H95$4,258.52H97
2H95$6,910.8
17712.6
1H968310
2H969464.5
25453.1
$9,464.5
$25,453.1
$13,821.9
$28,733.328733.3
$8,359.0
$29,035.0
1H98
2H98
$36,974.0
1H99
2H99$50,997.0
1H00
$52,710.5
$58,265.0
$60,366.0
Tabelle2
19870.87
19903.45
19938.48
199625.5
199958.3
200063.1
200169.2
200299.8
2003221.7
2004280.8
2005316.4
Tabelle2
0
0
0
0
0
0
0
0
in Bio US$
Tabelle3
Markets are Interlinked Example: Spot and Futures Market
Spot Future - ParityToday, one (theoretical) Index-Future is
sold at 5,500 (1 per Index-point). Long and Short-positions can be
described by a profit and loss diagram:If you are Long-Future, then
you may claim for delivery of one index at a price of 5,500 at the
maturity of the index-future. That means, if the index at delivery
is quoted at more than 5,500, you will win from your futures
position.Spot Future ParityIndex Arbitrage (Example)
Spot Future - ParityYou hold an Index-Portfolio, currently
valued at 5,500 (1 Index-point = 1 ). If the annual risk free rate
rf is at 3.5 % and the expected dividends on your Index portfolio
are at 100 (d = 100/5,500) , an Index Future with one year to
maturity has a fair price of:To prevent our Index-Portfolio from
losses, we could hedge the price risk by taking a short future
position (selling a future at 5,592.40).Spot Future ParityIndex
Arbitrage (Example)
Spot Future - ParityThe total expected payoffs from your
portfolio will depend on the fu-ture state of the environment (see
below payoffs 1-5). A decreasing stock market will be compensated
by profits from the short future po-sition, increasing stock prices
will be outbalanced by losses due to pay-ment obligations from the
future.Spot Future ParityIndex Arbitrage (Example)
AssetsPayoff1Payoff2Payoff3Payoff4Payoff5Stock
Portfolio+4500,00+5000,00+5500,00+6000,00+6500,00Dividends+100,00+100,00+100,00+100,00+100,00Short
Future+1092,40+592,40+92,40-407,60-907,60Total+5692,40+5692,40+5692,40+5692,40+5692,40
Spot Future - ParityInitially you have paid 5,500 for your stock
portfolio. Taking the short future position, the final outcome of
your portfolio will be 5,692,40 , whatever the stock price will be,
i.e. you will earn 192,40 which equals 3.5%. Obviously, this profit
is riskless:Spot-Future-ParitySpot Future ParityIndex Arbitrage
(Example)
AssetsPayoff1Payoff2Payoff3Payoff4Payoff5Stock
Portfolio+4500,00+5000,00+5500,00+6000,00+6500,00Dividends+100,00+100,00+100,00+100,00+100,00Short
Future+1092,40+592,40+92,40-407,60-907,60Total+5692,40+5692,40+5692,40+5692,40+5692,40
Spot Future - ParityRising future prices will due to arbitrage
trading - induce rising spot prices. For example, a future traded
at 6,000 is (relative to a spot market price of 5,500) clearly
overpriced, if the stock price remains unchanged at 5,500 . In this
case, smart traders will make arbitrage profits of 407,50 per
contract and bring back the market to equilibrium:Note, that the
arbitrage profit equals the difference between a fair- and
mispriced future (6,000 5,592,40) plus Dividends. Higher Future
prices will lead to massivly increased demand at spot markets until
spot prices and futures are back to equilibrium. Spot Future
ParityIndex Arbitrage (Example)
Actiont0t1Borrow money at rF (3,5%)+ 5,500.00- 5,692.50Buy/Sell
Stock Portfolio- 5,500.00 + StockSell/Buy Future at 6,0000+
6,000.00 - StockTotal0+ 307,50
Spot Future ParityFinancial Market StabilitySpot Markets and
Future (Forward) Markets are interlinked.Mispriced spot or future
market instruments will affect both markets.Future market
speculations that drive futures prices will also drive spot market
prices due to arbitrage trading (et vice versa).Speculation on
futures markets, resulting in higher future prices will induce
higher spot market prices due to arbitrage trading. Finally this
may result in spot market bubbles that jeopardizes the allocation
mechanism of real goods markets. Spot Future ParityIndex Arbitrage
(Example)
Management of Operational Risks:WeatherDerivatives
Weather Derivatives HistoryWeather Derivatives occured in 1997
in the USA after the El Nio effects. (Aquila Energy, Kansas
City/Missouri).At the end of 1998 first Weather Derivatives were
issued in GermanySince 1998 Weather Futures and Weather - Options
are traded at the Chicago Mercantile Exchange .In August 2001
London International Financial Futures Exchange (LIFFE) started
trading Weather Futures.Eurex planned to launch weather related
derivatives in 2004.
Weather DerivativesGerman Temperature Index Xelsius
Weather DerivativesGerman Temperature Index Xelsius
HDDInterval = Max { 0, 18C - Temp } CDDInterval = Max { 0, Temp
- 18C } Example: On December, 12th 2001 the average temperature in
Berlin has been - 6 C. This day the Index shows 24 HDD.Weather
DerivativesGerman Temperature Index Xelsius
Weather DerivativesIn many cases operational income is directly
weather related
Tabelle2
SeasonHDDGWhTurnoverper HDD
199630471090810060.3301608139
1997264097859030.3420454545
1998237987858100.3404791929
1999260692478530.3273215656
2000242583577710.3179381443
Tabelle2
00
00
00
00
00
GWh
Umsatz
Tabelle1
HDDUmsatz
1600* 512 _M
1700* 544 _M
1800* 576 _M
1900* 608 _M
2000* 640 _M
2100* 672 _M
2200* 704 _M
2300* 736 _M
2400* 768 _M
2500* 800 _M
2600* 832 _M
2700* 864 _M
2800* 896 _M
2900* 928 _M
3000* 960 _M
3100* 992 _M
3200* 1,024 _M
3300* 1,056 _M
Tabelle1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Umsatz
The annual turnover (Business Unit Heating Energy) of the former
Berlin Energy - Supplier BEWAG (now VATTEN-FALL) 1999 / 2000
mounted to 771 Mio DM. The winter season 1999/2000 showed 2.425
HDD. This equals an average turnover per HDD of 320 TDM. If the
winter would have been warmer (for example at only 2000 HDD) this
would have caused a lower turnover of approx. 425 HDD x 320 TDM =
136 Mio DM. Insofar BEWAGs operational income is directly related
to the average temperature in winter season. Weather DerivativesIn
many cases operational income is directly weather related
Weather Derivatives The Payoff-Profile from Heating Business
remembers to the payoff profile of a financial future. Example: If
2500 HDD would represent an average cold winter, then a higher
number of HDD would create additional turnovers, whereas a lower
number would lead to a smaller turnover.
Weather Derivatives In this example the risk of warmer winters
(i.e. < 2500 HDD) could be hedged by weather futures. At a
Standard of 100 per HDD, a weather future on the basis of 2500 HDD
has a contract value of 2500 x 100 = 250 T. Given a profit-margin
of approx. 20% (turnover at 2500 HDD = 2500 x 320 TDM = 800 Mio DM
(400 Mio ) i.e. a total average profit of 160 Mio DM or 80 Mio
resp. an average profit per HDD of 32 T) BEWAG could hedge the
weather risk selling 320 weather futures at an Index of 2500
HDD.
Weather Derivatives If BEWAG takes the short-position this could
result in the following scenarios: Operational Income Income from
HDD Turnover (Mio ) Profit (Mio ) Short Future (Mio ) Total Profit
(Mio ) 2000 320 64 16 80 2100 336 67 12,8 80 2200 352 70 9,6 80
2800 448 90 -9,6 80 2900 464 93 -12,8 80 3000 480 96 -16 80
Weather DerivativesPayoff-profiles of a hedged (operational)
business are similiar to the payoff-profiles of a future hedged
trade.
Weather DerivativesOptions Put - OptionsHedging with weather
futures means not only to eliminate operational risks but also to
eliminate the chance of having a better result than hedged. To
avoid this, one could lmake use of weather options (as traded at
LIFFE). To minimize option premiums, options frequentlly contain
caps or floors.
Long Call at a Strike of 2500 HDD2500 HDDShort Call at a Strike
of 2500 HDDFloor at 2700 HDDWeather DerivativesOptions Call -
OptionsTo buy a put at a strike of 2500 HDD leads to compensations
when the average number of HDD is below 2500 HDD. To buy a call
wouold mean, that the buyer can claim fo compensation-payments if
the number of HDD is above 2.500 HDD.
Max. ChanceMax. RiskWeather Collar Short Call 2700 HDD and Long
Put at 2300 HDD
Weather Collar (Short Call 2700 HDD and Long Put at 2300 HDD) A
Zero Cost Weather Collar (Short Collar) can be designed to restrict
the volatility of weather related profits wo to the boundaries of
an upper and lower limit.
Management of Operational Risks: Non Performing Loans and Credit
Risk Marktes
Topics Covered:NPLs in China and GermanyOrigin and Dynamics of
NPLsCentralized Problem Solving ApproachesDecentralized Problem
Solving ApproachesOutlook
Germany: At a Total Volume of 3,500 bn. Loans Outstanding
approx. 300 bn. are Non Performing (estimated in 2004)
Referring to Fundamental Data (Profits) German Stock Markets
Were Overvalued From 1997-2001
Diagramm2
11
1.37339055791.0140186916
2.01430615161.1355140187
2.38721983791.308411215
3.31807343821.2710280374
3.06771578451.3317757009
2.4606580831.3691588785
1.37911301861.4065420561
1.89079637581.4158878505
Index
Unternehmensgewinne
Tabelle2
trifft voll zutrifft eher zuindifferenttrifft eher nicht
zutrifft nicht zuwei nicht
38.80%46.50%6.20%7.80%0.80%
Auslagerbar sind nur einfache standardisierte Kreditprozesse wie
Privatkunden/Retail. Die Abwicklung komplexer Produkte wie
strukturierte Finanzierungen fr Corporate / Industrials
verbleiben.
Tabelle2
0
0
0
0
0
0
Tabelle3
VertriebRisikobernahmeAbwicklung
89.10%15.10%9.20%
Tabelle3
0
0
0
Tabelle4
triff voll zutrifft eher zuindifferenttrifft eher nicht zutriff
nicht zuwei nicht
2.30%18%13.30%24.20%39.80%2.30%
Tabelle4
0
0
0
0
0
0
Liegen Informationen zu allen Prozesskosten vor ?
Tabelle5
199019921994199619982000200120022003
KSt.15.415.91015.118.523.6-0.42.98.3
Lohnsteuer92.6126.5136.3128.5132.1135.7132.6132.2133.1
Tabelle5
00
00
00
00
00
00
00
00
00
KSt.
Lohnsteuer
Steuereinnahmen in Mrd
Marktkapitalisierung Turnover
Dm
199619971998199920002001200220032004
Marktkapitalisierung1203681658573855452
Aktienumsatz961496140095920190742016341318806725611822277253
Aktienumsatz (Stcke)
199519961997199819992000200120022003
Dividendenzahlungen5859638191102118110100
Steuerzahlungen223030384042192024
199519961997199819992000200120022003
Index209728804224500669586433516028923965
Dividendenzahlungen5659668391101115105104
Unternehmensgewinne214217243280272285293301303
199519961997199819992000200120022003
Index100.0%137.3%201.4%238.7%331.8%306.8%246.1%137.9%189.1%
Dividendenzahlungen100.0%105.4%117.9%148.2%162.5%180.4%205.4%187.5%185.7%
Unternehmensgewinne100.0%101.4%113.6%130.8%127.1%133.2%136.9%140.7%141.6%
Marktkapitalisierung Turnover
00
00
00
00
00
00
00
00
00
Index
Unternehmensgewinne
Dax und Akteure
00
00
00
00
00
00
00
00
00
Index
Dividendenzahlungen
Indexentwicklung und Dividendenzahlungen
NPL Struktur in Deutsch
19921994199619971998199920002001200220032004
Shareholders (Corporate
Shares)15521498141414621658159916011459147413481330
Shareholders (Other
Shares)24322436234024582857340646104235352636983244
Fondsowners (Only Shares)15912222319156496036488543804505
Total3984393437545511673781961186011730988594269079
Index15452097288042245006695864335160289239654250
198819921994199619971998199920002001200220032004
Shareholders (Corporate
Shares)2.30%2.50%2.40%2.20%2.30%2.60%2.50%2.50%2.30%2.30%2.10%2.10%
Shareholders (Other
Shares)4.50%3.90%3.90%3.80%3.90%4.50%5.30%7.20%6.60%5.50%5.70%5.00%
Fondsowners (Only
Shares)2.50%3.50%5.00%8.80%9.40%7.60%6.80%7.00%
Total6.80%6.40%6.30%6.00%8.70%10.60%12.80%18.50%18.30%15.40%14.60%14.10%
Years19871988198919901991199219931994199519961997199819992000200120022003
(DAX)10001329179013981578154522552097226028804224500669586433516028923965
19921994199619971998199920002001200220032004
Belegschaftsaktionre15521498141414621658159916011459147413481330
Andere Aktionre24322436234024582857340646104235352636983244
Aktienfondsbesitzer15912222319156496036488543804505
Index15452097288042245006695864335160289239654250
NPL Struktur in Deutsch
0.0230.04519880.068
0.0250.03919920.064
0.0240.03919940.063
0.0220.03819960.06
0.0230.0390.0250.087
0.0260.0450.0350.106
0.0250.0530.050.128
0.0250.0720.0880.185
0.0230.0660.0940.183
0.0230.0550.0760.154
0.0210.0570.0680.146
0.0210.050.070.141
Shareholders (Corporate Shares)
Shareholders (Other Shares)
Fondsowners (Only Shares)
Total
Tabelle1
15522432199239841545
14982436199439342097
14142340199637542880
14622458159155114224
16582857222267375006
15993406319181966958
160146105649118606433
145942356036117305160
14743526488598852892
13483698438094263965
13303244450590794250
Shareholders (Corporate Shares)
Shareholders (Other Shares)
Fondsowners (Only Shares)
Total
Index
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
Belegschaftsaktionre
Andere Aktionre
Aktienfondsbesitzer
Index
Aktienbesitzer in 1000
Index DAX
BestandNPL gesamtNPL (Spark./ LB)
Kreditbanken956.8
Landesbanken579.2
Sparkassen702.4
Sonstige Institute810.6
Genossen-schafts-banken423.5
Bausparkassen121.030060
Summe3593.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
CooperativeBanks12%423,5 Mrd.
Others23%810,6 Mrd.
Mutual Savings20%702,4 Mrd.
MortgageSavings3%121 Mrd.
Federal Banks16%579,2 Mrd.
Credit Banks26%956,8 Mrd.
000000
000000
000
Kreditbanken
Landesbanken
Bausparkassen
Sparkassen
Sonstige Institute
Genossen-schafts-banken
000000
000000
000000
Kreditbanken
Landesbanken
Sparkassen
Sonstige Institute
Genossen-schafts-banken
Bausparkassen
Struktur Kreditbestand und Non Performing Loans(Stand April
2004, Quelle: Deutsche Bundesbank)
stimme zuwei nichtstimme nicht zu
91.40%4.70%3.90%
0
0
0
Die Auslagerung von Kreditprozessen steht erst am Anfang
Although Investments (Plant, Machinery) Were Decreasing Loans to
Enterprises Remained High
After the Bubble Bad Debt and Bad Debt Losses Increased
Solving the ProblemStock ProblemFlow Problem
China: In 2002 Total NPL Amounted to $ 770 bn. Which
Corresponded to 61% of GDP or 37% of Total LoansTotal Outstanding
LoansTotal Non Performing LoansApprox. 2,508 bn$ 168 bn$ 602 bn
Diagramm1
602
168
Total
$ 168 bn
$ 602 bn
Tabelle1
Total Loan
Total NPL
Total
Non Performing602
Transfers to AMCs168
Tabelle1
956.8
579.2
702.4
810.6
423.5
121
CooperativeBanks12%423,5 Mrd.
Others23%810,6 Mrd.
Mutual Savings20%702,4 Mrd.
MortgageSavings3%121 Mrd.
Federal Banks16%579,2 Mrd.
Credit Banks26%956,8 Mrd.
Tabelle2
956.8579.2BestandBestand300Bestand
NPL gesamtNPL gesamtNPL gesamtNPL gesamt60NPL gesamt
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)NPL (Spark./ LB)
Kreditbanken
Landesbanken
Bausparkassen
Sparkassen
Sonstige Institute
Genossen-schafts-banken
Tabelle3
956.8579.2702.4810.6423.5121
NPL gesamtNPL gesamtNPL gesamtNPL gesamtNPL gesamt300
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)60
Kreditbanken
Landesbanken
Sparkassen
Sonstige Institute
Genossen-schafts-banken
Bausparkassen
Struktur Kreditbestand und Non Performing Loans(Stand April
2004, Quelle: Deutsche Bundesbank)
Total
1,885 bn
1,415 bn
839 bn
Total
$ 602 bn
$ 168 bn
BestandNPL gesamtNPL (Spark./ LB)
Kreditbanken956.8
Landesbanken579.2
Sparkassen702.4
Sonstige Institute810.6
Genossenschaften423.5
Bausparkassen121.030060
Summe3593.5
Gesamtvolumen ausstehender Kredite in 2004:
3,5935 Mrd. Euro,davon ca. 300 Mrd. Euro NPL
956.8
579.2
702.4
810.6
423.5
121
956.8
579.2
702.4
810.6
423.5
121
956.8
579.2
702.4
810.6
423.5
121
Genossen-schaften12%423,5 Mrd.
Sonstige Institute23%810,6 Mrd.
Sparkassen20%702,4 Mrd.
Bausparkassen3%121 Mrd.
Landesbanken16%579,2 Mrd.
Kreditbanken26%956,8 Mrd.
956.8579.2BestandBestand300Bestand
NPL gesamtNPL gesamtNPL gesamtNPL gesamt60NPL gesamt
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)NPL (Spark./ LB)
Kreditbanken
Landesbanken
Bausparkassen
Sparkassen
Sonstige Institute
Genossenschaften
956.8579.2702.4810.6423.5121
NPL gesamtNPL gesamtNPL gesamtNPL gesamtNPL gesamt300
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)60
Kreditbanken
Landesbanken
Sparkassen
Sonstige Institute
Genossenschaften
Bausparkassen
Struktur Kreditbestand und Non Performing Loans(Stand April
2004, Quelle: Deutsche Bundesbank)
8, 5 %300Mrd.
Notleidende Kredite
Gesamtvolumen:3,59 Mrd. Euro
MBD00178FD8.xls
Diagramm1
956.8
579.2
702.4
810.6
423.5
121
Kreditbanken26%956,8 Mrd.
Landesbanken16%579,2 Mrd.
Bausparkassen3%121 Mrd.
Sparkassen20%702,4 Mrd.
Sonstige Institute23%810,6 Mrd.
Genossen-schaften12%423,5 Mrd.
Abbildung 1
Abbildung 2
Abbildung 3
Abbildung 4
Abbildung 5
Abbildung 6a
Abbildung 6b
Abbildung 7
Abbildung 8
Abbildung 9
BestandNPL gesamtNPL (Spark./ LB)
Kreditbanken956.8
Landesbanken579.2
Sparkassen702.4
Sonstige Institute810.6
Genossenschaften423.5
Bausparkassen121.030060
Summe3593.5
Gesamtvolumen ausstehender Kredite in 2004:
3,5935 Mrd. Euro,davon ca. 300 Mrd. Euro NPL
Abbildung 9
956.8
579.2
702.4
810.6
423.5
121
Abbildung 10
956.8
579.2
702.4
810.6
423.5
121
Abbildung 11
956.8
579.2
702.4
810.6
423.5
121
Genossen-schaften12%423,5 Mrd.
Sonstige Institute23%810,6 Mrd.
Sparkassen20%702,4 Mrd.
Bausparkassen3%121 Mrd.
Landesbanken16%579,2 Mrd.
Kreditbanken26%956,8 Mrd.
Abbildung 12
956.8579.2BestandBestand300Bestand
NPL gesamtNPL gesamtNPL gesamtNPL gesamt60NPL gesamt
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)NPL (Spark./ LB)
Kreditbanken
Landesbanken
Bausparkassen
Sparkassen
Sonstige Institute
Genossenschaften
Abbildung 13
956.8579.2702.4810.6423.5121
NPL gesamtNPL gesamtNPL gesamtNPL gesamtNPL gesamt300
NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./ LB)NPL (Spark./
LB)NPL (Spark./ LB)60
Kreditbanken
Landesbanken
Sparkassen
Sonstige Institute
Genossenschaften
Bausparkassen
Struktur Kreditbestand und Non Performing Loans(Stand April
2004, Quelle: Deutsche Bundesbank)
Abbildung 14
Abbildung 15
Abbildung 16
Abbildung 18
trifft voll zutrifft eher zuindifferenttrifft eher nicht
zutrifft nicht zuwei nicht
38.80%46.50%6.20%7.80%0.80%
Abbildung 18
0.388
0.465
0.062
0.078
0.008
wei nicht
Abbildung 19
Abbildung 20
triff voll zutrifft eher zuindifferenttrifft eher nicht zutriff
nicht zuwei nicht
2.30%18%13.30%24.20%39.80%2.30%
Abbildung 20
0.023
0.18
0.133
0.242
0.398
0.023
Liegen Informationen zu allen Prozesskosten vor ?
Abbildung 21
Dm
199619971998199920002001200220032004
Marktkapitalisierung1203681658573855452
Aktienumsatz961496140095920190742016341318806725611822277253
Aktienumsatz (Stcke)
199519961997199819992000200120022003
Dividendenzahlungen5859638191102118110100
Steuerzahlungen223030384042192024
199519961997199819992000200120022003
Index209728804224500669586433516028923965
Dividendenzahlungen5659668391101115105104
Unternehmensgewinne214217243280272285293301303
199519961997199819992000200120022003
Index100.0%137.3%201.4%238.7%331.8%306.8%246.1%137.9%189.1%
Dividendenzahlungen100.0%105.4%117.9%148.2%162.5%180.4%205.4%187.5%185.7%
Unternehmensgewinne100.0%101.4%113.6%130.8%127.1%133.2%136.9%140.7%141.6%
11
1.37339055791.0535714286
2.01430615161.1785714286
2.38721983791.4821428571
3.31807343821.625
3.06771578451.8035714286
2.4606580832.0535714286
1.37911301861.875
1.89079637581.8571428571
Index
Dividendenzahlungen
Indexentwicklung und Dividendenzahlungen
Dm
199619971998199920002001200220032004
Marktkapitalisierung1203681658573855452
Aktienumsatz961496140095920190742016341318806725611822277253
Aktienumsatz (Stcke)
199519961997199819992000200120022003
Dividendenzahlungen5859638191102118110100
Steuerzahlungen223030384042192024
199519961997199819992000200120022003
Index209728804224500669586433516028923965
Dividendenzahlungen5659668391101115105104
Unternehmensgewinne214217243280272285293301303
199519961997199819992000200120022003
Index100.0%137.3%201.4%238.7%331.8%306.8%246.1%137.9%189.1%
Dividendenzahlungen100.0%105.4%117.9%148.2%162.5%180.4%205.4%187.5%185.7%
Unternehmensgewinne100.0%101.4%113.6%130.8%127.1%133.2%136.9%140.7%141.6%
11
1.37339055791.0140186916
2.01430615161.1355140187
2.38721983791.308411215
3.31807343821.2710280374
3.06771578451.3317757009
2.4606580831.3691588785
1.37911301861.4065420561
1.89079637581.4158878505
Index
Unternehmensgewinne
11
1.37339055791.0535714286
2.01430615161.1785714286
2.38721983791.4821428571
3.31807343821.625
3.06771578451.8035714286
2.4606580832.0535714286
1.37911301861.875
1.89079637581.8571428571
Index
Dividendenzahlungen
Indexentwicklung und Dividendenzahlungen
MBD000B4BFE.xls
Diagramm13
0.023
0.18
0.133
0.242
0.398
0.023
Liegen Informationen zu allen Prozesskosten vor ?
Tabelle4
triff voll zutrifft eher zuindifferenttrifft eher nicht zutriff
nicht zuwei nicht
2.30%18%13.30%24.20%39.80%2.30%
Tabelle4
0
0
0
0
0
0
Liegen Informationen zu allen Prozesskosten vor ?
Tabelle3
VertriebRisikobernahmeAbwicklung
89.10%15.10%9.20%
Tabelle3
0
0
0
Tabelle2
trifft voll zutrifft eher zuindifferenttrifft eher nicht
zutrifft nicht zuwei nicht
38.80%46.50%6.20%7.80%0.80%
Tabelle2
0
0
0
0
0
0
Tabelle1
stimme zuwei nichtstimme nicht zu
91.40%4.70%3.90%
Tabelle1
0
0
0
Die Auslagerung von Kreditprozessen steht erst am Anfang
MBD0017BB35.xls
MBD000A44CF.xls
Diagramm2
0.914
0.047
0.039
Die Auslagerung von Kreditprozessen steht erst am Anfang
Tabelle4
triff voll zutrifft eher zuindifferenttrifft eher nicht zutriff
nicht zuwei nicht
2.30%18%13.30%24.20%39.80%2.30%
Tabelle4
0.023
0.18
0.133
0.242
0.398
0.023
Liegen Informationen zu allen Prozesskosten vor ?
Tabelle3
VertriebRisikobernahmeAbwicklung
89.10%15.10%9.20%
Tabelle3
0.891
0.151
0.092
Tabelle2
trifft voll zutrifft eher zuindifferenttrifft eher nicht
zutrifft nicht zuwei nicht
38.80%46.50%6.20%7.80%0.80%
Tabelle2
0.388
0.465
0.062
0.078
0.008
wei nicht
Auslagerbar sind nur einfache standardisierte Kreditprozesse wie
Privatkunden/Retail. Die Abwicklung komplexer Produkte wie
strukturierte Finanzierungen fr Corporate / Industrials
verbleiben.
Tabelle1
stimme zuwei nichtstimme nicht zu
91.40%4.70%3.90%
Tabelle1
0
0
0
Die Auslagerung von Kreditprozessen steht erst am Anfang
Origin and Characteristics of NPL
NPLStockFlowStock and Flow Problems Need Different
ApproachesSolve the Flow Problem:Credit Ceilings Efficient Legal
Framework Operational Restructuring Centralized Bad Bank Hard
Budget Constraints
Market for Credit Derivatives Source: British Bankers
Association (in Bio. US$)
Basics of Credit Derivatives Asset Swapspays fixed Swap-rate
(Coupon Rate)Receives fixed ratereceives LIBOR + var. Premium
(spread)The Investor protects his portfolio against credit quality
degradations by a simple swap construction: using a interest swap
the investor swaps fixed income from his portfolio into variable +
premium payments from the risk buyer.
Credit Default Swap (C.D.S.)Premium: bps x Notional ValueCredit
Event ?Yes: Compen-sationNo: No Com-pensation
Total Rate of Return Swap (Synthetic Sales or Short Sales of
Loans)Reference Value (e.g. Bondes, Indices Asset baskets,
Loans)LIBOR +/-Spread Fixed Interest Ratespositive Market price
changesnegative Market price changes
Credit Linked Notes (CLN)Fixed Rate CLNRepayment of C.L.N.
possibly minus compensation if Credit EventNotional Value of
CLN
Credit Spread Put Construction of strike-spreads Example: 5-y.
Corp.Bond: 5,95% 5-y. Swap-rate (fix against 6-M-EURIBOR):
5,50%Credit Spread: 0,45% = 45 base points At an agreed
strike-spread of 45 bps, the short side will pay a compensation, if
the spread increases.
Credit Spread Put Mechanism
What is A Credit Event ?The ideal case would be a reference
value (e.g. a bond) that is highly correlated with the secured
loan.
Credit Default Swap / Option Settlement Versions
Extension of Risk Management by Credit DerivativesMarket
RisksRisk of Default Insolvency RiskSpread RiskCredit Default
SwapCredit Spread PutTotal Rate of Return Swap
Alternative I: ABS Transactions (True Sale)
Market Securitisation of Credit Risks (Europe 2002 in Mrd.
$)
Alternative II: Synthetic Sales by Collateralized Debt
Obligations (C.D.S.)
FazitDie Problemkreditbearbeitung wird zuknftig deutlich strker
von risikoprventiven und/oder risikokurativen Managementaufgaben
geprgt sein.Im risikoprventiven Bereich erwarte ich einerseits eine
intensive Auseinandersetzung mit portfolio-orientierten
Risikostrategien, andererseits eine sprbare Zunahme des Transfers
von Adressen-risikenIm risikokurativen Bereich erwarte ich eine
strkere Akzentuierung eines fundamentalen
(Kredit-)Sa-nierungsmanagements auch unter Einbeziehung
bankexterner Funktionen
Management of Operational Risks: Capital Markets and Refinancing
of Insurance Industry
Alternativer Risiko Transfer (A.R.T.)Katastrophen -
DerivateKatastrophen Anleihen (Cat Bonds)Act of God - Bonds
A.lternativer R.isiko T.ransfer Grte versicherte Schden 1989 -
2001
Alternativer Risiko Transfer Versicherbarkeit von
RisikenZuflligkeitMax. Schaden schtzbarAusr. Anzahl gleichartiger
RisikenRisikenAusfall Olympische SpieleProdukthaftpflicht fr
ArzneimittelAttentat mit nuklearen WaffenXXX??nein?neinnein
Klassischer vs. Alternativer Risiko TransferKlassischer
versicherungstechnischer Risiko-transferAlternativer
versicherungstechnischer Risiko-transfer
Produktentwicklung im Risikogeschft
A.R.T. -
ProdukteFinanztiteloriginrderivativBondsPrincipalCouponOptionsFuturesUnderlyingVerknpfung
mit versicherungstechnischem RisikoGCCI , PCS (Property Claims
Services) - IndicesPrincipal und / oder Coupon at Risk
A.R.T. - Produkte Struktur eines CAT - Bonds mit
S.P.V.Versicherungs- nehmerVersichererSpecial Purpose
VehicleInvestorenKapitalmrkteRefinanzierung des
SchadenausgleichsTilgung, ZinsenKapitalTilgung
ZinsenWert-papierePrmienPrmienSchadens-ausgleich
A.R.T. - Produkte Ausstattungsmerkmale Cat-BondsPionierprodukt
war der Cat-Bond (Hagelbond) der Winterthur Versicherung (WinCat).
Der erste WinCat Bond enthielt folgende Formulierung:Die Zahlungen
auf den Zinscoupon entfallen, wenn die Winterthur whrend der
Beobachtungs-periode, die jeweils vom 1. November bis zum 31.
Oktober des Folgejahres dauert, als Folge min-destens eines groen
Hagel- oder Sturmereignisses fr mehr als 6,000 Motorfahrzeuge ihrer
Motorfahrzeug-Kasko-versicherung Leistungen erbringt. Dabei werden
Schden, die innerhalb eines Kalendertages auftre-ten, dem gleichen
Schadensereignis zugeordnet.
A.R.T. - Produkte Beispiel Cat-Bonds1997 plazierte ein SPV
(United Services Automobile Association und Residential
Reiunsurance Limited) einen Cat-Bond ber 477 Mio USD in zwei
Tranchen mit jeweils einjhriger Laufzeit: Die erste Tranche war
nominalwert-geschtzt (Class A-1, LIBOR + 273 bps) und umfate 164
Mio USD, die zweite Tranche (Class A-2, LIBOR + 576 bps) ber 333
Mio USD unterlag Tilgungsrisiken. Die Zahlungsstrme der Tranchen
waren auf Hurricane Katastrophenschden bedingt, soweit diese in
ausgewhlten Regionen einen Gesamtbetrag von 1 Mrd. USD bersteigen.
Erreichen die Hurricane - Schden ein Volumen von 1,5 Mrd. USD,
verlieren die Class-A-2 Investoren ihr gesamtes Kapital.
A.R.T. - Produkte Optionsprodukte/ BeispielAn der Chicago Board
of Trade werden seit 1992 indexbasierte Optionsprodukte, Puts und
Calls, gehandelt. Der zugrunde-liegende Index ist der PCS -
Property Claims Services - Schadensindex. Jeder Indexpunkt
reprsentiert einen Marktschaden von 10 Mio USD. Beispiel: Ein
Erstversicherer mchte sein Sturmrisiko / Florida reduzieren. Er
nutzt hierzu den an der CBOT gehandelten Florida PCS - Call Spread
100 / 150, d.h. er kauft Call Optionen auf einen PCS - Indexstand
100 und verkauft gleichzeitig Call Optionen auf einen PCS -
Indexstand von 150.
A.R.T. - Produkte Wirkung eines 100/150 Call Spreads auf den
PCS-Index
Diagramm2
-105-5
-105-5
-105-5
055
10515
20525
30535
40-535
50-1535
60-2535
70-3535
80-4535
Gehedgtes Risiko
Long Call 100
Short Call 150
Total
Tabelle1
8090100110120130140150160170180190
Long Call 100-10-10-1001020304050607080
Short Call 1505555555-5-15-25-35-45
Total-5-5-551525353535353535
Tabelle1
Gehedgtes Risiko
Long Call 100
Short Call 150
Total
Tabelle2
Tabelle3
A.R.T. - Produkte Optionsprodukte/ BeispielSzenario A:Liegt der
PCS -Index aufgrund der in Florida aggregierten Marktschden bei
weniger als 1 Mrd. USD, verfallen beide Optionen. Per saldo sind
Prmien von 5 Mio USD verloren. Szenario B:Marktschden bersteigen 1
Mrd. USD, bleiben jedoch niedriger als 1,4 Mrd. USD: Die Long Call
Position bei einem Strike-Index von 100 gert ins Geld, die
Short-Position verfllt wertlos. Schadensausgleich wird im Idealfall
kompensiert durch A.R.T. Gewinne. Szenario C: Die Marktschden
liegen bei mehr als 1,4 Mrd. USD. Der Wertzuwachs der Long-Position
wird kompensiert durch Verluste aus der 140er Short-Position.
Alternativer Risiko TransferA.R.T. - Refinanzierung der
Versicherer / Rckversicherer ber die Kapitalmrkte erffnet Chancen
zur Kapazittser-weiterung und Versicherung bislang unversicherbarer
Risiken.A.R.T. bietet Instrumente, die aufgrund ihrer
Kovarianzpro-file gut in viele Anlageportfolios passen wrden.A.R.T.
bieten sich an zur kapitalschonenden Risikodiver-sifkation der
Versicherer bzw. zur Ergnzung von klassischen Investor - Portfolios
aus traditionellen Finanzmarktprodukten.A.R.T. Produkte sind
schwierig zu bewerten. Es exisitiert kein allgemein anerkanntes
Preisbildungsmodell, Investoren verhalten sich deshalb abwartend.
A.R.T. Markt ist klein und entwickelt sich zgerlich.
Financial Markets Imbalances areAccompanied By Increasing Size
and Activity of Alternative Investments
Alternative Investment StrategiesAnd Financial Market
Stability
Southwestern University of Finance and EconomicsChengduSeptember
2006
The only hope to produce a superior record is to do something
different. If you buy the same securities as other people, you will
have the same results as other people John Templeton Prof. Dr.
Rainer StachuletzBerlin School of Economics
Berlin School of Economics
ContentsBusiness models of hedge fund investors and their
current role in financial marketsTypical designs, mechanisms and
conditions of hedge funds investment strategiesDo alternative
investments jeopardize the stability of financial marketsSummary /
Conclusions / What to do ?
The Universe of Alternative Investments
General Characteristics of Alternative Investment Strategies
Hedge Funds Business ModelMostly unregulated, offshore residing
eclectic investment pools with aggressively managed short term
portfolios. Hedge Funds employ investment techniques like short
selling, leverage, and are allowed to create a variety of synthetic
positions by unlimited usage of derivatives.Often hedge funds are
set up as private partnerships, open to a limited number of
investors and require a very large initial minimum investment.
Typically hedge Funds are illiquid as they often require investors
keep their money in the fund for a minimum number of years.Hedge
funds managers typically charge a management fee (1-2% of asset
value) and a performance fee of about 20% of the capital gains and
capital appreciation.
Development of Hedge Funds Number and Portfolio (in Bio US$)
Risk and ReturnHedge Funds Investment Strategies
Relative Value Strategy Long / Short Equity Hedge
Relative Value Strategy Long / Short Equity Hedge
Directional Strategies Non Hedge Long-/ShortDirectional
Strategies represent unhedged, directional speculations on growing
(long) or declining (short selling) markets. By additional usage of
debt (leverage) respectively completing short or long-positions
synthetically, the total risk and return positions can be
amplified.
Event Driven Strategies (Merger Arbitrage)
Event Driven Strategies LongShortEquity and Merger Arbitrage
Event Driven Strategies (Merger Arbitrage)
Three Popular Arguments on Hedge Fund Investments and Financial
Market Stability ?Hedge Funds operate high leveraged portfolios of
mostly risky assets. As a result, market processes tend to be more
volatile and more uncertain. Thus syestemic market risk will
increase !Hedge Fund investments tend because of their sheer size
to manipulate asset prices. This will directly compromise the
pricing mechanism and thus lead to inefficient factor allocations
!As Hedge Funds often do not have to follow any regu-lations that
are used to be applied to onshore finan-cial institutions
(transparancy of investment styles, accounting, disclosure and
auditing, taxes etc.) investors are not sufficiently protected.
1. Do Hedge Funds Increase Market Volatility ?
1. Are Hedge Fund Strategies Risky Investments ?
1. Do Hedge Funds Increase Systematic Risk ?(Theoretical
Portfolios of Traditional Assets (MSCI 50%, JP Morgan Global 50%)
and the CSFB-Hedge Fund Index based on monthly figures between
1994-2004)
2. Hedge Funds and Market ManipulationHedge Funds do not rely on
momentum investments and often take contrary positions. Thus, their
engagement will support the pricing mechanism while providing
liquidity and keeping the market process running. By this, Hedge
Funds help substantially to rebalance the markets and smooth
volatility. Hedge Funds, that operate in smaller markets generally
have the potential of market manipulation. In the case of arbitrage
trading or related relative value strategies, hedge funds
activities target directly to change market prices. A manipulation
of prices back to the equilibrium is desired. This may be seen
different concerning other investment strategies.
2. Hedge Funds and Market Manipulation In fact, only 20% of the
total investment is arbitrage tra-ding. The rest is more or less
directional. The major part of directional investments is
represented by directional equity-investments
(long-/short-only).
Diagramm1
0.0880.1150.674
0.2070.2010.55
0.1950.1850.479
ARBITRAGE
EVENT DRIVEN
DIRECTIONAL
Tabelle1
199420022004
Managed Futures5.60%ARBITRAGE8.80%20.70%19.50%
Equity Market Neutral4.50%EVENT DRIVEN11.50%20.10%18.50%
Fixed Income Arbitrage7.90%DIRECTIONAL67.40%55.00%47.90%
Convertible Arbitrage4.90%
Global Macro Investments9.43%
Event Driven Arbitrage21.30%87.70%95.80%85.90%
Long/Short Equity26.30%
Emerging Markets3.70%
Others13.10%
Tabelle1
Tabelle2
1994
2002
2004
Tabelle3
ARBITRAGE
EVENT DRIVEN
DIRECTIONAL
0.173
0.1187
0.4953
0.213
The Hedge Funds market is dominated by well experienced, well
informed and educated powerful investors (average entry investment
at 630 T$ !) like banks, pension funds, endowments and wealthy
individuals (HNI). As they are strong enough to take care of their
specific information needs, no regulation is required. 3. Need
Investors to be Protected ?
Diagramm2
0.27
0.53
0.14
0.06
Diagramm1
0.27
0.53
0.14
0.06
Tabelle1
Banks, Insurances27%
High Networth Individuals53%
Pension Funds14%
Endowments6%
Tabelle1
0
0
0
0
Tabelle2
Tabelle3
Investor protection seems to be a week argument, if it is
focused on the typical hedge fund investor as shown above. As hedge
funds have started to copy the profitable investment model of
private equity funds in a short term version, there are not the
hedge fund investors that need to be protected, but those long term
investors, who are affected by short term hedge fund investment
activities.Therefore, to focus investor protection on the hedge
fund investor is misleading. Investors should be protected against
hedge fund investors. 3. Need Investors to be Protected ?
Summary and ConclusionsCurrently Hedge Funds control an
investment volume of about 1.2 Trillion USD, which means a
proportion of 12% of the total global fund investments.Although
they are powerful, Hedge Funds are widely un-regulated, e.g. they
do not report their acitivities like other financial institutions,
mostly they dont have to fol-low minimum capital requirements,
minimum disclosure standards or minimum audit standards. In a
strong sense they do not contribute to rational decision making.
Due to their characteristics non regulated offshore residents,
excessive leverage, short sales and unlimited incorporation of
derivatives (synthetic assets) their investment styles and their
sheer size, hedge funds affect or have the potential to affect
market processes.
Summary and ConclusionsThe total business model including
investors who provide equity, hedge fund corporations that select
investments and investment styles and investment banks which
provide the loan is highly concentrated and interlinked. That high
integrated and concen-trated business modell increases the
probability of extensively widespread cascading effects in case of
a failure (see the LTCM Case in 1998).As Hedge Funds have started
to copy typically Private-Equity-Engagements even those parts of
the real economy that have not been direktly linked to capital
markets, have become the target of short term financial investments
and will be exposed to intensified leverage risks.
Does The Market Need Hedge Fonds ?Hedge Funds are in general non
transparent, offshore located and tax avoiding investment
strategies beyond any national jurisdiction. With the today known
market strategies that includes desireable arbitrage trading only
to a proportion of approxi-mately 20% and the observable move to
directional strategies concerning long equity positions Hedge Funds
need to be regulated to support long term oriented micro- and
macro-policy approaches.Hedge Funds have not only the potential but
also strong incentives to manipulate market processes e.g. to
generate price movements that enhance the profitability of their
underlying positions.
Private Equity Investments and Regulatory (Tax) ArbitragePrivate
Equity means to invest in non-listed, frequently undervalued
corporations and any other (undervalued) assets. Mostly returns
result simply from tax arbitrage.