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TEL: +1 970-476-7110 FAX: 970-476-7104 [email protected] : +45 6166 7183 [email protected]
225 WALL STREET, SUITE 245, VAIL, COLORADO 81657HAVNEGADE 39 3.26c, 1058 COPENHAGEN K
Kredit krisenAnatomi, dynamik og konsekvenser
Carsten Valgreen6 marts, 2008
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Jan
05
Apr Jul Oct Jan
06
Apr Jul Oct Jan
07
Apr Jul Oct Jan
08
7.5
10.0
12.5
15.0
17.5
20.0
22.5
25.0
27.5
30.0
32.5
0.00
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
<< VIX, equity market volatility
TED spread >>
<< TED spread - money market distress
Equity market volatility >>
%
04/22/23 Page: 2
Figur 1: Ikke én krise - 2-3 forskellig kriser
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04/22/23 Page: 3Jan
05
Apr Jul Oct Jan
06
Apr Jul Oct Jan
07
Apr Jul Oct Jan
08
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
0.00
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
<< VIX, equity market volatility
TED spread >>
<< TED spread - money market distress
BAA Corporate bond spread >>
%
Figur 2: Ikke én krise - 2-3 forskellig kriser
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• Fase 1 (juli) Stigende risikoaversion, aktiemarkedet ned og volatiliteten op
• Fase 2 (8 august) Interbank krise, udløst af sammenbrud i ABCP marked og i subprime relaterede kredit strukturer
• Fase 3 (januar 2008) Bredere kredit krise i f.eks. Corporate bond markedet, Mono liners i problemer etc.
For hver fase er det blevet sværere at pege på en specifik forklaring/årsag
04/22/23 Page: 4
Figur 3: Krise anatomi
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Home owner
Mortgagelender
Trust(SPV)
Collateral(Home mortgage)
Funding
Mortgages
Funding
Investment bankor originator
Investor
LoanservicerPayment &
InterestPayment &
InterestPayment &
Interest
ABS/MBS
Funding
04/22/23 Page: 5
Figur 4: Fase 2; Subprime låne kæden – dårlig regulering, manglende transparens eller investor indifferens?
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.
01 02 03 04 05 06 07 08
pe
rce
nt (
tho
us
and
bill
ion
s)
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
pe
rce
nt (
tho
us
and
bill
ion
s)
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
Asset Backed Commercial Paper
Trn. USD
04/22/23 Page: 6
Figur 5: Fase 2; ABCP markedet var nøglen til problemerne
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Investment vehicles(e.g. SIV)
Assets (CDO, CLO etc. )
CP investors (banks, funds etc.)
Funding (CP) Investment
Banks
Committedfacilities
Collateral Return
Fee
Investment vehicles(e.g. SIV)
Assets (CDO, CLO etc. )
CP investors (banks, funds etc.)
Funding (CP) Investment
Banks
Committedfacilities
Collateral Return
Fee
Subprimemortgages
Shorter maturity Longer maturity
Mistrust &rising risk aversion
04/22/23 Page: 7
Figur 6: Fase 2; Kredit krisen handler om tillid og forventede tab – ikke de egentligt realiserede
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04/22/23 Page: 8Jan
05
Apr Jul Oct Jan
06
Apr Jul Oct Jan
07
Apr Jul Oct Jan
08
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
0.00
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
<< VIX, equity market volatility
TED spread >>
<< TED spread - money market distress
BAA Corporate bond spread >>
%
Figur 2 (igen): Ikke én krise - 2-3 forskellig kriser
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04/22/23 Page: 955 60 65 70 75 80 85 90 95 00 05
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.02
3
4
5
6
7
8
9
10
11
12
%% of NFC Value added
<< Non financial corporate profits, inverted
BAA Corporate Bond spread >>
Figur 7: Fase 3 – ‘it’s the economy stupid’
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55 60 65 70 75 80 85 90 95 00 05
-5.0
-2.5
0.0
2.5
5.0
7.5
10.0
-50
-25
0
25
50
75
Nonfincial Corporate profits, left
GDP, right
% y/y% y/y
04/22/23 Page: 10
Figur 8: Profit cyklen er ikke altid det samme som BNP cyklen
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04/22/23 Page: 1155 60 65 70 75 80 85 90 95 00 05
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
<< Change in BAA corporate bond spread
Relative growth in ULC to output prices over 4 Q>>
Financial crisis!!
Figur 9: Credit bear markets kommer altid når indtjeningen kommer under pres
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Figur 10: Hvad driver så indtjenings cyklen?
.
55 60 65 70 75 80 85 90 95 00 05
per
cen
t
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
per
cen
t
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
Change in NFC profit share
Fit of:Unemployment rate Change in NFC output growth
Recession scenario
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.
55 60 65 70 75 80 85 90 95 00 05
pe
rce
nt
-4
-3
-2
-1
0
1
2
3
4
pe
rce
nt
-4
-3
-2
-1
0
1
2
3
4
Change in NFC profit to output share
Effect from changes in growth
% over 4Q% over 4Q
Effect from unemployment rate
Figur 11: Arbejdsmarkedet kvæler indtjeningsopsving
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• Regulering: For al snak om finansiel stabilitet, overså regulatorer og centralbanker et ikke helt lille problem med SIV’s, Conduits etc
• Basel II er ikke uden skyld – halvbagt regulering er nogle gange værre end ingen regulering
• Er det en god idé at give private rating selskaber en central rolle i reguleringen? (Ratings er generelt medcykliske)
• Det amerikanske realkreditmarked er måske reguleret hvor det ikke burde være det (prime) og ureguleret,hvor det burde være det (sub prime)
• Men investorerne har vel også et ansvar?• Kriser er markedets natur – og vil altid være det• Finansielle kriser et ‘normalt’ sencyklisk fænomen – at modgå dem med
aggressivt lempelig politik kan have langsigtede omkostninger
Bør Børsmæglere være bekymrede?
04/22/23 Page: 14
Figur 12: Hvad krisen koger ned til
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Figur 13: Økonomiske konsekvenser?
.
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08
pe
rce
nt
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
pe
rce
nt
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
GDP
% y/y% y/y
Final Sales excl. residential construction
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Figure 14: Langsigtede trends peger på at boligrecessionen er tæt på at være færdig
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
66 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08
housing starts plus mobile homes as a % of the housing stockcivilian population (16+years) growth
percent4-quarter
percent change
difference, average = 0.64 (left)
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74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08
-20
-15
-10
-5
0
5
10
15
20
25
30
-40
-30
-20
-10
0
10
20
30
40
50
60
<< Total home sales
Change in housing affordability >>
Change, points% y/y
Effect of sub prime crisis?
Bubble?
30
40
50
60
70
80
90
100
30
40
50
60
70
80
90
100
Index
Housing affordability:Average family income/home prices*mortgage yield
Figur 15: Housing affordability er markant forbedret igennem 2007
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• USA er muligvis i recession
• Men, givet; – Stimulus i pipeline– Boligmarkedet nær bund– Intet lageroverhæng i fremstilling
• Vil (en evt) recession næppe blive lang eller dyb
• En amerikansk recession er muligvis slet ikke en dårlig ting!?
04/22/23 Page: 18
Figur 16: Opsummering