Beleggen in kredietrisico

Beleggen in kredietrisico
Niets is zeker…
Hope for the best, expect the worst!
Arnold Gast
9 januari 2009
Balans en Hefboom
Activa
100
Passiva
Vreemd Vermogen (VV): 92
Eigen Vermogen (EV):
8
8% EV = 12,5x hefboom
2
Balans en Hefboom
Activa
95
Passiva
Vreemd Vermogen (VV): 92
Eigen Vermogen (EV):
3
Activa -5% = EV -62,5% en hefboom van 12,5x naar 31,7x
3
Analyse balans cruciaal
Activa
1.
2.
3.
4.
5.
6.
7.
8.
Totale volatiliteit?
Cyclisch?
Correlatie?
Hefboom (op hefboom)?
Faillissement risico?
Marktrisico?
Waardering?
Liquiditeit?
Passiva
Vreemd vermogen:
1. Hoeveel hefboom?
2. Looptijd?
3. Vorm?
4. Van wie?
5. Hoe duur?
Eigen vermogen:
1. Vereist rendement?
2. Risico budget?
4
Risico’s beleggen in kredietrisico
kans
marktrisico
risico faillissement
lage rating
hoge rating
restwaarde
pari
10 - 80%
100%
waarde
5
Terugblik 2008:
6
Zeker…
7
Het onderliggende plaatje…
Overbuild
Falling
demand
Mortgage
Stress
Excess
inventory
Mortgages &
CDOs
RMBS CDOs
Housing
Falling prices
Higher
rates
Risk Aversion
Search for yield
and fees
Lower
MEW
Flat yield
curve
Weaker
Consumer
Lower
GDP
Macro
Growth
Higher
Delinquencies / Defaults
Defaults
Banks
face losses
Lax lending
standards
NINJA
Loans
HF
returns
SIV / conduit
Carry trade
unwind
Asset
Quality
Problems
Liquidity
Withdrawal
Banks sell off
CLO
vehicles
Lower
Spend
Corporates?
Weaker
Economy
Illiquidity
Credit Cards
Commercial
Property
Leveraged
Loans
Auto Loans
8
US huizenmarkt..
Alan Greenspan:
“I do not believe the crisis will come to an end until US house prices
stabilize because this is the real contaminant in the market.”
“US house prices are unlikely to stabilize until 2009 because of the huge
inventory of single family homes for sale in the US.”
Source: Deutsche Bank, IMF, John Mauldin
9
Financiële sector zeer winstgevend
US nominal GDP vs Non-Financial & Financial Profits:
In de afgelopen 10 jaar naar schatting $1,2 triljoen excessieve
winst gemaakt door de financiële sector in de US
10
Dankzij grotere hefboom
Total Assets / Tangible Equity (Times)
Hefboom wereldwijd toegenomen
40
European banks
35
30
Brokers
25
20
US banks
15
10
2001
2003
Source: Citigroup
2005
2007
11
Hefboomwerking op macroniveau
US Total debt to GDP ratio:
Source: Hoisington Investment Management
12
Enorme groei kort vreemd vermogen
Gereguleerd / ongereguleerd:
Ratio broker repo en kort geld + CP nietbank financials over bank tegoeden en repos:
 Ongereguleerde financieringsbron bijna $6.000mrd
Alan Greenspan:
“The credit crisis will not be resolved by injections of liquidity
into the market by Central Banks. It will only come to an end
when US house prices stabilize.”
13
Hoe ver zijn we?
Crowded positions
Hedge funds
Technicals
EM & commodities
Banks
Writedowns
Off-BS exposures
Too much leverage
Higher funding costs
Too much ST debt
Economy
Corporates
Inflation
House prices
Current accounts
Consumers
Funding deficit
Falling earnings
Rising defaults
Progress
Source: Citigroup
14
Vooruitzichten huizenprijzen US
15
Hoe laat is het?
Debt reduction
Credit
Equities
Corporates
The bubble
bursts
Banks
Credit Equities
Profits growing
faster than debt
Credit
Equities
Debt growing faster
than profits
Credit Equities
Source: Citi.
16
Verdere daling winsten te voorzien
Earnings Recessions, Last 100 Years US ISM Suggest a Drop in Profits
Real EPS Declines > 20% from Peak by Month
US ISM vs Non-Financial Profit Bef. Tax (% YoY)
65
0%
US Manufacturing ISM
80%
Non-financial Profits (% YoY)
-20%
60%
60
CURRENT
40%
55
-40%
1989-92
20%
2000-02
50
-60%
0%
1929-34
45
-20%
-80%
40
1916-19
-100%
Months
0
6
12
18
24
Source: Citi Investment Research.
30
36
42
48
54
60
-40%
35
-60%
98
99
01
03
05
07
Source: EcoWin, Federal Reserve, Citi.
17
Defaults > 10%
14
12
120
S&P default rate
Model estimate
Lending Survey
300
BIG Corporate, spread to Treasuries
S&P default rate
100
80
10
12
250
10
60
40
8
14
200
8
20
6
0
-20
4
-40
2
4
100
2
-60
0
Mar-90
6
150
-80
Mar-96
Source: S&P, Citi, Federal Reserve.
Mar-02
Mar-08
50
1980
0
1985
1990
1996
2001
2007
Source: S&P, Citi.
18
Meer verliezen op komst
Source: BNP
19
Kredietrisico aantrekkelijk geprijsd
3000
USD Corporate Bonds
2500
RBS 2003-2007
RBS Average
RBS 1999-2003
2000
RBS 1931-1935
1500
1000
500
0
AA
Source: Citi, iBoxx.
A
BBB
BB
B
20
Vooruitzichten 2009
• 2009 aandelenmarkt hoopvol van start..
• Maar problemen zullen snel opdoemen in 1H09:
- afboekingen 2008
- rating downgrades
- bedrijfswinsten sterk onder druk
- focus verschuift naar leningen aan consumenten
en bedrijven
- snel oplopende faillissementen
- forse stijging werkloosheid
• 2H09 mogelijk capitulatie (weg hoop…) en dus
kans spreads en aandelen herstel
21