Re: Und hier sind noch Hintergruende ueber die Auswirkungen der ABX Abstuerze (mT)

verfasst von dottore, 21.10.2007, 10:00

-->Hi DT,

als ich die Kurven gestern bei markit.com kurz beäugte, überkam auch mich das Grauen. Vielen Dank fürs Reinstellen. Ein Bild sagt mehr als 1000 Worte.

>Wenn man 10:1, 15:1 oder 20:1 geleveragt ist, sogar mit AAA Paper, dann ist ein Drop von 100 auf 91 nicht schoen... Dann ist man unter 95 komplett bankrott... sogar mit AAA.

Genau das ist es. Das Leveragen war eine geld-logische Folge der bis vor ein paar Monaten fast gänzlich verschwundenen Vola (was hier damals ausführlich diskutiert worden war) und jetzt haben wir das Desaster. Ich glaube nicht, dass da noch irgendwelche Fed-Mätzchen oder Giga-M-LECs helfen können. Das Volumen ist schlicht zu groß und wie wenig noch durchs Fenster gereicht werden darf (submitted-accepted) hatten Sie auch schon gezeigt.

>Fragt mal Eure Fondsgebundene Lebensversicherung, die MLP Leben, etc etc... Game Over.

Ja, so ziemlich. Es scheint, als falle der zweite Schuh und der ist kein Lackschuh wie im August, sondern ein genagelter Bergstiefel.

Der Mauldin-Analyse ist wenig hinzuzufügen. Noch eins zu China und Citix/Citi: Die Chinesen sind nun besonders dumm dran: Auf der einen Seite das Tibetproblem (Bush/Dalai Lama, Einbestelllung des Botschafters, etc.) danach werden sie kaum Geld in die USA schaufeln und ihre Erfahrungen mit Blackstone sind auch nicht berauschend, auf der anderen der wohl demnächst steil abgehende USD, der ihnen weder Zeit noch Spielraum lässt, in Nicht-USD-Assets zu switchen.

>This week was not pretty for stocks. It all started off with the announcement of a special 80-100 billion dollar fund orchestrated by the US Treasury to bail out something called an SIV. Then Caterpillar gave negative guidance this morning, especially on its US business and the selling began in earnest. October 19 is still not a friendly day to the stock market 20 years later. But it was a great week for bonds. One-month treasury bills dropped 60 basis points in one day in a real flight to short-term quality, and the entire yield curve moved down substantially.

Das hatte jemand jüngst (war gepostet worden) als den eigentlichen Trigger bezeichnet. Was 1987 post festum lief (flight to quality) wird diesmal vorweggenommen.

>This week we learned that Structured Investment Vehicles or SIVs should more properly be termed SIGs or Structured Investment Garbage.

Ja, wir sollten sie nur noch SIGs nennen.

>Several SIVs worth over $20 billion are closing shop, and investors will lose money. More SIVs are selling assets to meet loan demands. SIVs had issued at the peak about $400 billion worth of asset-backed commercial paper. The total of asset-backed commercial paper was $1.2 trillion. Since July, that has plummeted, nose-dived, crashed to $888 billion, and is on its way to a small fraction of that. In effect, we are taking a trillion dollars of financing for a wide variety of things we need, like credit cards, autos, homes, and corporate loans out of the credit market. That is going to have an impact.

Ganz ohne Zweifel.

>But I don't want to get ahead of myself. Let's start at the beginning. What is an SIV and where do they come from? Who owns them? Why do they exist?
>We can blame the Brits. In 1988, two London bankers left Citigroup to start this industry. Today they run the largest SIV, called Gordian Knot, worth $57 billion. Essentially, a SIV allows a bank to take assets off its books and reduce the bank's capital requirement.

Wie gerade Gordian Knot das überstehen wird, erschließt sich mir nicht.

>If you get a spread of 4% and leverage it up 10-15 times, that is not a bad living, especially if you are investing in safe investment-grade paper. And in the beginning, the spreads were high. Life was good. So the banks decided to get in on the deal. Citibank had over $100 billion in SIVs, though that has dropped to $80 billion in the past few months. And if you run the SIV, you get to make more fees.

Die fees fallen nun auch weg. Das wird diversen Bilanzen gar nicht gut tun.

>The Financial Times had the following chart, which gives us an idea of what might be in a SIV.

Könnten wir den FT-charts freundlicherweise zu Gesicht bekommen? Ich kenne ihn leider nicht. Mir ist auch nicht klar, wer wie die SIGs aufdröseln sollte/könnte.

>The Rhinebridge to Nowhere

Das IKB-Problem ist keineswegs gelöst. Da muss die KfW der Garantie vermutlich demnächst real cash folgen lassen - und das hat politische Implikationen. Im AR sitzt u.a. S.E. der Herr Bundesfinanzminister himself.

>The $100 Billion Superfund to the Rescue?

Wird vermutlich auch nicht funktionieren, falls der M-LEC überhaupt an den Start geschoben wird (noch ca. 80 Tage).

>I think the problem is elsewhere, and especially in Europe.

Eine weitere bittere Erkenntnis.

>Mike Shedlock came up with the great line that the Superfund is really a fund that allows the banks to postpone marking to market.

Sehr richtig. Das geht aber nicht bis zum St. Nimmerleinstag. Ich frage mich auch, wer dem M-LEC seine CP abnehmen soll. Die muss er erstmal platziert haben (nicht-Fed-fähig!), bevor er zum Shoppen gehen kann.

>If all the funds which need to raise cash to pay back their commercial paper rush to the market, even the good children could get punished. My sources tell me there is plenty of appetite to buy good assets for 98 cents on the dollar at market prices, even without a Superfund.

Ich persönlich glaube nicht mehr an sowas wie"good assets", zumal nicht bei einer möglicherweise (s. Caterpiller-CFO) heraufziehenden US-Rezession.

>The large majority of the assets in most SIVs are good children.

Die hätte ich gern mal gesehen.

>The Superfund does not solve the problem of what to do with the subprime debt. Those losses are going to find their way onto the balance sheets of the banks eventually.

Klar.

>But what it does do is buy time. Instead of having to take all that debt (both good and bad) from day one, it strings things out. If you bring those loans back into your bank, it means you have less capital to lend. If you can stretch out the process, it allows you to absorb the losses more easily.

Das folgende Beispiel ist allerdings interessant:

>There is in fact a kind of precedent. In the '70s and very early '80 s, US banks made enormous loans to South American countries formerly known as banana republics. In many cases, they had loans outstanding that were 130-150% of their total capital. The countries made it quite clear they had no intention of paying. Paul Volker winked at the problem, as marking those loans to market at that time would have meant the end of the financial world. Inflation was high, interest rates were higher, and the banks were poorly capitalized as it was, still reeling from two back-to-back recessions.
>As my friend Louis Gave points out, the Fed came up with the fiction that sovereign countries could not default, so therefore the banks carried the assets at 100% of book value. It was not until 1986 that John Reed at Citibank (a little irony) broke ranks and started to sell his debt. That allowed for Brady bonds and all the rest.
>But the point is that it took time for the banks to be able to handle their problems. Now, I would argue that currently banks are in the best shape ever. Citibank has $120 billion in equity. But I can imagine they would like some time to absorb the capital they will eventually have to put back on their books.
>Now, other banks that have no exposure to the SIV problems might wish to get a little more market share and would wish for a faster mechanism. But that is the free market. If Citi, B of A, and Morgan (and Wachovia has said they are interested) want to come up with a plan that helps them while taking some of the risk of a panic out of the market, then fine. As long as my tax dollars get nowhere near the fund.

Wishful thinking.

>If their idea is not all that good, there will be no market for it. I can guarantee you that other banks are not going to help if it is not in their best interest. The market will decide how to solve the problem. If a Superfund is part of the mechanism, then so be it.
>However, what I do not want to see is a delay in pricing assets. Until assets get priced correctly, the market will not function properly.
>The Shadow Banking System
>Paul McCulley wrote last month about the Shadow Banking System (www.pimco.com). SIVs are part of that system, buying all sorts of credit. They are part of the reason that credit spreads went as low as they did. Now we are seeing credit spreads widen as risk is being repriced, in part because of their exit from the market. That means your credit card interest rate is going up, as well as student loans, car loans, etc. It also means that credit standards are going to get tighter, as there will be less money for a period of time.

Wenn das keine Rezession auslöst (und eine Pleitewelle obendrein), weiß ich auch nicht, was denn sonst.

>That will add additional pressure to consumer spending and be a drag on the economy. That is another reason I think the Fed will cut rates again and again. They will not stop cutting until it becomes clear we are not going into recession.

Wie verlorenes Kapital durch 3-Monats-Geld ersetzen?

>We will see a"3 handle" (meaning that the Fed fund rate will start with a 3 from the current 4.75%) in four FOMC meetings or less.

Das wird der Markt vermutlich so interpretieren: Die Fed senkt so schnell und so massiv, also ist mehr im Busch als wir geahnt haben. Also nichts wie raus zum Exit.

>It brings back the Simon and Garfunkel song of my college days:
>Can you imagine us years from today,
>Sharing a park bench quietly?
>How terribly strange to be seventy.
>Old friends,
>Memory brushes the same years
>Silently sharing the same fears.
>Those were the days, my friend. And before I wax more nostalgic, I will hit the send button. Enjoy your week and call an old friend or two.

Vor allem solche Freunde, die 1987 noch in Erinnerung haben.

Es gibt auch den Song mit"Monday, Monday..."

Nochmals Dank und besten Gruß!

Thread gesperrt

 

gesamter Thread:

• Die ABX fallen weiter wie Steine (mBuL) - DT, 21.10.2007, 00:33
  • Hier noch ein paar Kurven zu den Credit Derivatives (mB) - DT, 21.10.2007, 00:50
    • Und hier sind noch Hintergruende ueber die Auswirkungen der ABX Abstuerze (mT) - DT, 21.10.2007, 01:01
      • Re: Und hier sind noch Hintergruende ueber die Auswirkungen der ABX Abstuerze (mT) - dottore, 21.10.2007, 10:00
        • Re: Das ist die SIV-Grafik aus der FT - dottore, 21.10.2007, 10:29
          • Re: L-MEC - so soll's laufen: - dottore, 21.10.2007, 10:46
            • Market Value?? - SUCRAM, 21.10.2007, 14:49
              • Re: Market Value?? - dottore, 21.10.2007, 17:48
                • Re: Market Value?? - weissgarnix, 22.10.2007, 11:41
                  • Re: Market Value?? - certina, 22.10.2007, 12:39
                    • Re: Market Value?? - weissgarnix, 22.10.2007, 12:46
                      • Re: Market Value?? - certina, 22.10.2007, 13:29