Credit Crunch: Causes, Effects & Implications. Ian Clarke, 29 th May 2008
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1 : Causes, Effects & Implications Ian Clarke, 29 th May 2008
2 : Causes, Effects and Implications A review of the causal process Impact of the Longer term implications? 2
3 The : Causal Process Background Sustained low-interest environment and liquidity Residential asset bubble in U.S. (subprime) Originate-and-hold mortgages to originate-and-sell Mispricing of risk/conflicted ratings agencies US sub-prime residential mortgage market Problems began as early as Feb 2007 Initially unknown exposures 3
4 Sub-prime debt: The simple mechanics Regular repayments Problems in repayments Source: BBC Source: BBC 4
5 Impact of the on the Debt Market Liquidity Interbank lending, Bond issuance, Bank lending, Leveraged borrowing, Leverage Lending moves to a more conservative basis Cost of Funds Easier to assess based on pricing of pre-existing debt such as bonds Asset Backed Debt 5
6 Impact of the : Irish Stock Market Irish stock market consistently returned 8% p.a. Lost 26bn in value during 2007 Why was the Irish stock market so badly affected? Further volatility in the market as a result of speculation 6
7 Impact of the : Liquidity Reflected in Interbank lending margins LIBOR Risk Free Differential 7 UK12 M LIBOR UK 1yr Govt Bonds 6.5 Interest Rate (%) /05/ /07/ /09/ /11/ /01/ /03/ /04/2008 Date 7
8 Impact of the : Leverage Leverage squeeze 8
9 Impact of the : Leverage Still a huge volume of Sub-Investment Grade debt in market (primarily US) 9
10 Impact of the : Leverage And even some sub-investment grade bonds still being issued 10
11 Impact of the : Cost of Funds Important to place increased cost of funds in historical context US$ BB 5Y Spreads over time 6.0 Spread above US treasury strips % /05/ /05/ /05/ /05/ /05/ /05/ /05/ /05/2007 Date 11
12 Impact of the : Cost of Funds US$ BBB 5Y Spreads over time 3.0 Spread above US treasury strips % /06/00 01/06/01 01/06/02 01/06/03 01/06/04 01/06/05 01/06/06 01/06/07 01/06/08 Date 12
13 Impact of the : Cost of Funds But we have witnessed more than a doubling of the risk margins which have applied in recent years US$ BB 5Y Spreads over time Spread above US treasury strips % /05/ /07/ /08/ /10/ /11/ /12/ /02/ /03/ /04/2008 Date 13
14 Impact of the : Cost of Funds Flight to Quality can be seen in risk margins for various ratings 7 US Industrial : Average Risk Margins (Week to 26 May 2008) Investment Grade 6 5 1w average spread % AAA: AA: A+: A: A-: BBB+: BBB: BBB-: BB+: BB: BB-: B+: B: B-: Credit rating 14
15 Longer Term Implications What will be the economic impact? Other Implications Capital Adequacy Levels in Banking industry Credibility of LIBOR Rating Agencies Risk Modelling as a whole? 15
16 Longer Term Implications Capital Adequacy Levels in Banking industry Tier 1 capital ratio of 8% (6% on a core Tier 1 basis) is increasingly seen as the comfort level for European banks. In April Royal Bank of Scotland announced Europe s biggest ever rights issue ( 12bn). Irish banks have so far resisted undertaking rights issues UK Barclays Royal Bank of Scotland Ireland Anglo Irish AIB Bank of Ireland Bank Core Tier 1 Capital Adequacy Ratio March/April % 4.5% (pre rights issue) 8.5% 7.5% 5.7% 16
17 Longer Term Implications LIBOR Questions in the market regarding the credibility of LIBOR. LIBOR calculated as an average of what 16 banks think their own funding costs are rather than on the basis of actual deals. As long-term funding deals dried up, banks increasingly relying on estimation when submitting their figures. No evidence that banks kept LIBOR low but there is at least a perception in the market that some banks have an incentive to report lower figures. EURIBOR? 17
18 Longer Term Implications Rating agencies Agencies act as market regulators and as a sales force while providing independent opinions Did rating agencies methodologies keep up with increasingly sophisticated debt instruments issued by banks? 18
19 Longer Term Implications Risk Modelling A really complicated model must be right Endogenous risk So what is the point of (say) Basel II Guidelines requiring a greater and greater degree of modelling? 19
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