New Risk Management Strategies

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1 Moderator: Jon Najarian, Co-Founder, optionmonster.com New Risk Management Strategies Wednesday, May 4, 2011; 2:30 PM - 3:45 PM Speakers: Jim Lenz, Chief Credit and Risk Officer, Wells Fargo Advisors John Moninger, Executive Vice President, Advisory and Brokerage Consulting Services, LPL Financial David Morton, Chief Research Officer and Co-Chief Investment Officer, Foxhall Capital Management Colbert Narcisse, Chief Operating Officer, Global Investment Strategies and Solutions Group, Morgan Stanley Smith Barney Lisa Shalett, Chief Investment Officer, Merrill Lynch Global Wealth Management

2 The Ramifications of the Great Recession Consolidations Cause a Shift in the Industry Landscape Intermediary Breakdown Insurance 8% RIA 16% Independent Advisors 19% Wirehouses 46% Wirehouse FA headcount Assets ($ bn) Morgan Stanley Smith Barney 18,087 1,500 Bank of America Merrill Lynch 15,142 1,410 Wells Fargo Advisors 15,102 1,100 UBS Wealth Management 6, Total 55,091 4,717 % of Total 18% 46% Regional B/D 11% Source: Goldman Sachs Research. 2

3 U.S. 10 Year Treasury Rate Age Group Revisiting Risk Market Dynamics Force Risk Trades U.S. 10 Year Treasury Rate Investable Assets by Age Group 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% <45 14% 18% 13% 18% 14% 24% 30% 33% 33% 24% 22% 17% 15% z 13% 12% Retirement Segment Source: Bloomberg. Data as of April 15, McKinsey Analysis. 3

4 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Net Flows ($ millions) Tomorrow s Investment Solutions Asset Allocation and Portfolio Construction to Play Crucial Role U.S. Mutual Fund Net Flows and Net Assets Alpha Beta Separation * $4,500 $180,000 $4,000 $160,000 $3,500 $3,000 $2,500 $2,000 $1,500 $1,000 $500 $- $140,000 $120,000 $100,000 $80,000 $60,000 $40,000 $20,000 $- Total Net Assets ($ millions) 45% 14% 41% Commodities Alternative Total Net Assets (Alt & Commodities) Source: Morningstar. Net flows and net assets as of March 31, McKinsey Analysis. *Survey examining the investment practices of 120 of the largest 350 defined benefit pension plans in the U.S. Plans making the distinction Plans considering making the distinction Plans not making the distinction 4

5 Unprecedented rise in market volatility during the 2008 market crash Volatility index (VIX) VIX long-term average,1990-april 2011 Long-Term Capital Management bailout (September 1998) Dot-com bubble burst (March 2000) Lehman Brothers collapsed (September 2008) Note: VIX is the Chicago Board Options Exchange's volatility index. Source: DataStream. 5

6 Positive & highly correlated Global stock markets are highly correlated FTSE day rolling correlation with S&P 500 DAX 30 0 MSCI Emerging Markets Source: DataStream. 6

7 Stock prices around the world gained strongly, but most remained below their pre-crisis peaks January 2006 = Emerging markets 120 Europe 80 S&P Note: Data are as of April 20, Source: Bloomberg. 7

8 The U.S. small- and mid-cap stocks outperform large cap stocks January 1998 = S&P 400 Mid Cap S&P 600 Small Cap S&P 100 Large Cap Note: Data are as of April 19, Source: Bloomberg. 8

9 2011: U.S. stock market is off to a good start 2011 YTD gains for key U.S. stock indexes (%) (as of 04/20/2011) S&P mid-cap Dow Jones industrial avg Russell 2000 S&P small-cap NYSE composite S&P 500 Nasdaq composite Dow Jones utility Dow Jones transports Note: Data are as of April 19, Source: Bloomberg. 9

10 Five largest banks control almost half of the U.S. national banking assets (2010) All FDIC insured commercial banks Total assets = US$12 trillion; Total number = 6,529 banks Other commercial banks 53.0% JPMorgan Chase, 13.5% Bank of America, 12.3% Citibank, 9.6% Wells Fargo, 9.1% US Bank, 2.5% Sources: Federal Reserve and FDIC. 10

11 Derivatives activity is dominated by few large banks The top five banks hold 96% of all derivatives The notional amount of derivative contracts held by large U.S. commercial banks, fourth quarter 2010 (% total) Goldman Sachs Bank USA 18.4% Wells Fargo Bank 1.6% Other banks 3.6% JPMorgan Chase Bank 33.7% Bank of America 21.0% Citibank National 21.7% Source: Comptroller of the Currency. 11

12 Derivative contracts are concentrated in top five largest banks Credit derivatives Q Futures & forwards Options Top five banks Other banks Swaps Total US$ trillions Note: Other banks include only U.S. commercial banks with derivatives activity. Source: OCC s quarterly report on bank trading and derivative activities, Comptroller of the Currency, fourth quarter,

13 Despite significant decline after the crisis, the CDS market is still valued at $26 trillion US$ trillions Credit default swaps, notional amounts outstanding Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Source: International Swaps and Derivatives Association. 13

14 Bank CDS spreads: Still elevated Median 10-year bank CDS spreads, basis points 400 United States Eurozone Source: International Monetary Fund. 14

15 U.S. bank bailout returns 9.4% Return on TARP investment TARP bailouts ($B) Return on TARP ($B) Return on TARP (%) Citigroup Bank of America Corp Wells Fargo & Company GMAC Financial Services JPMorgan Chase & Co Goldman Sachs Group Inc Morgan Stanley Hartford Financial Services group PNC Financial Services group Others Total % Note: Data are as of April 20, Source: Bloomberg. 15

16 Financial institutions received largest government bailouts (all countries) Bailout funds received from governments (US$ billions) Fannie Mae (U.S.) Royal Bank of Scotland Group (U.K.) AIG (U.S.) Citigroup (U.S.) Freddie Mac (U.S.) Bank of America Corp. (U.S.) Commerzbank AG (Germany) JPMorgan Chase & Co. (U.S.) Wells Fargo & Company (U.S.) $26 $25 $25 $45 $51 $55 $70 $75 $ Note: Data are as of April 20, Source: Bloomberg. 16

17 Government capital investments in financial firms Most recently available data, as of April 6, 2011 (US$ billions) Total outstanding = $491 billion Belgium, $18 Netherlands, $23 Rest of the world, $20 Ireland, $31 Germany, $68 United States, $232 United Kingdom, $99 Source: Bloomberg. 17

18 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Continued accommodative monetary policy in the United States U.S. federal funds rate (%) Federal funds effective rate Target rate Source: Federal Reserve. 18

19 U.S. Treasury yields remained low by historical standards Percent Interest rates on Treasury securities Percent year 2-year Source: Federal Reserve. 19

20 Investment returns for selected asset classes As of March 2011, a $100 investment made in December 2000 gives you: 500 $ $237 $191 $169 $133 $ Emerging markets Sources: Bloomberg, Milken Institute. U.S. high-yield bonds U.S. AAA corporates U.S. Treasuries Commodities S&P

21 Gold prices hit record highs and silver rallied to its strongest since 1980 Gold price (US$/oz) 1,600 Silver price (US$/oz) 60 1, Silver price (right axis) Gold price (left axis) Source: Bloomberg. 21

22 Silver ETF (SLV) down 15% in past 3 days 22

23 Silver has been down 15% in 3 days 11 times source: Bespoke Investment Group 23

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