By: GZ on Martedì 20 Febbraio 2007 02:43
le banche inglesi hanno prestato solo nel 2006 per i mutui immobiliari 290 miliardi di sterline e per le OPA altri 50 miliardi,
e la leva finanziaria è aumentata dai derivati
Secondo Clear Capital con la piramide dei derivati sul debito l'economia è molto più vulnerabile e basta uno shock secondario...
calcola che per ogni euro di debito che non viene pagato 20 euro di CDO e CDS vengono spazzati via
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^Clear Capital#http://www.clearcapital.co.uk/x/default.html^, the independent research group, considers the outcome of increased leverage and dispersion of risk within the credit economy, in a report published this month.
The rose-tinted view is that the slicing and dicing of risk through the creation of structured finance products has spread the burden of risk more evenly across the economy, and created information that allows risk to be properly priced and managed.
But, counter Clear Capital, there are “risk amplifiers” at work in this scenario.
Firstly, the value of credit derivatives is growing far faster than the underlying credit issuance at a time when interest rate volatility is falling, pointing to enhanced risk appetite rather than risk management at work.
Secondly, lending by UK banks to other financial institutions has grown more rapidly than their lending to the non-financial economy, or the growth of their loan books overall. Two groups of borrowers stand out - MBS issuers, including large banks like RBS, HBOS and Northern Rock, and the private equity groups. MBS issuance in 2006 hit £290m, a year on year rise of 70 per cent, while leveraged loans for LBOs have risen from £10bn in 20043 to £50bn in 2006.
That in itself is not necessarily a concern - but that lending has been available at more aggressive ebita multiples and with weaker covenants.
Moreover, (Risk Amplifier 3) leverage is being piled onto of leverage in lending to private equity as banks distribute debt to CLO managers, CDO managers and hedge funds. Clear Capital estimate that for every £1 of underlying corporate credit that hits trouble, as much as £20 of CDO equity could be wiped out.
Finally, they cite anecdotal evidence that risk is being passed from well-informed institutions with strong balance sheets to weaker ones that lack the relevant expertise.
The result? It may not require a major shock to trigger a rapid turn in the credit cycle. With the opaque dispersion of risk through the use of derivatives, a relatively minor event could trigger a sharper increase in risk aversion, with losses felt more widely. Increased leverage thanks to credit derivatives has “created a credit economy which is both more susceptible to shocks and less capable of mitigating the negative impacts of these shocks. Not much of this risk is currently factored into prices in equity or credit markets.”
