Les banques françaises vont prendre cher du fait de leur "conduits"

[vincponcet]

http://ftalphaville.ft.com/blog/2007/11/23/9145/le-supersiv/

Five leading French banks were well into negotiations to launch a fund - which was thought would be ready to go in a matter of days. But alas, it was not to be.

Although French banks seem to have escaped the credit crisis relatively unscathed, with minuscule writedowns compared to their other American and European peers, the reality is slightly different. Off-balance sheet conduits, in particular, have been in trouble.

BNP Paribas sponsors six such conduits, which together have credit lines with the bank amounting to about €10bn. Société Générale also runs six conduits, with assets of €20bn and €30bn of liquidity. SocGen also runs a number of SIVs.

Calyon, the investment bank of Crédit Agricole, has four securitisation channels which it provides with €24bn of credit, against €18bn of assets.

Natixis, which has yet to publish third-quarter results, is understood to have several conduits with assets totalling €9bn at the end of June.

Un conduit, c'est comme un SIV mais avec un engagement 100% de la part de la banque sponsor.

C'est une entité juridiquement à part de la banque, qui emprunte à court terme, sur le marché commercial paper, en général asset-backed commercial paper, pour acheter des dettes long terme, généralement, des ABS (asset-backed securities), comme des crédits immo, carte de crédit, etc…

L'objet est de gagner le différentiel des taux court/long.

Sauf que, comme je le disais, pour pouvoir vendre les ABCPs avec une bonne note, et donc avec un taux faible, la banque prend l'engagement d'acheter les ABCPs du conduit, si le conduit n'y arrive pas.

En temps de bulle, pas de souci, ça marche, mais en temps de crise, avec un marché du crédit assez pourri, et surtout une méfiance envers tout ce qui ressemble à un ABS, eh bien, les conduits et les SIVs n'arrivent plus à emprunter à court terme.

Et blam, les banques vont devoir prêter à leurs conduits/SIVs. Encore un engagement hors bilan à la Enron…

Dommage Leepose …

[h16]

Cela promet.

[vincponcet]

illustration de cela : les volumes d'ABCP ont encore diminué.

http://www.bloomberg.com/apps/news?pid=206…&refer=bond

Asset-Backed Commercial Paper Falls for 15th Week (Update1)

By Fabio Alves

Nov. 23 (Bloomberg) -- The U.S. asset-backed commercial paper market fell for a 15th week as rising losses from mortgage-related securities prompted investors to avoid buying the short-term debt.

Debt maturing in 270 days or less and backed by mortgages, credit-card loans and other assets fell $17.5 billion, or 2 percent, to a seasonally adjusted $835.8 billion for the week ended Nov. 21, the Federal Reserve in Washington said today.

The market has shrunk 29 percent since its peak on Aug. 8 of $1.18 trillion, as record defaults on subprime mortgages caused buyers to shun new asset-backed commercial paper from structured investment vehicles including Cheyne Finance and Rhinebridge Plc. The market had shown signs of stabilizing after falling by less than $600 million last week, the smallest contraction since the declines began in August.

This week's drop is ``a disappointment,'' said Jill King, a senior portfolio manager at Chicago-based Horizon Cash Management who oversees about $3 billion in fixed-income assets. ``Appetite for these securities has diminished because of all the news.''

The inability of SIVs to sell new paper is at the root of the market declines, according to King. Investors have also fled amid at least $50 billion in credit-related writedowns at banks and securities firms including Merrill Lynch & Co. and Citigroup Inc., as well as record losses at Fannie Mae and Freddie Mac.

``If market sentiment remains weak, appetite for asset-backed commercial paper will also remain weak,'' said Christian Stracke, an analyst with CreditSights in London.

The broader commercial paper market fell $20.9 billion in the most recent week to $1.84 trillion, the third straight drop, according to the Fed data.

Tighter Lending

Freddie Mac, which owns or guarantees one in five U.S. home loans, this week reported a record net loss of $2.02 billion, following a $1.39 billion loss at Fannie Mae. Fewer reserves at the two government-chartered companies, as well as deterioration at bond insurers and commercial lenders including Countrywide Financial Corp., may limit banks' ability to make new loans, Bank of America Corp. said Nov. 21.

``Lending is getting tighter and tighter,'' said Mary Beth Fisher, an interest-rate strategist at UBS AG in Stamford, Connecticut. ``You're going into year-end and some volatile earnings reports, plus financial companies are writing down assets, so they're going to end up needing more capital for themselves and for their clients.''

Companies typically sell commercial paper, which usually matures in three months or less, to help pay for day-to-day expenses including payroll and rent. Banks and hedge funds set up structured investment vehicles to issue short-term debt and use the money to invest in longer-term assets including bonds and mortgage-backed securities.

SIVs

SIV holdings have fallen at least $75 billion since July to $320 billion as the companies were unable to borrow. The net asset value of SIVs has fallen to 69.7 percent from 100 percent in July, according to Fitch Ratings.

Citigroup Inc., the largest manager of SIVs, along with JPMorgan Chase & Co. and Bank of America on Nov. 12 reached an agreement on the structure of an $80 billion fund to buy SIV assets and revive the market for short-term debt. The banks plan to have the fund in place by year-end.

``This fund has a long way from getting ramped up to its target size,'' Stracke said.

Rising Rates

Interest rates on 30-day asset-backed commercial paper widened to 5 percent on Nov. 21, or about 20 basis points more than the one-month London interbank offered rate, compared with a gap of 58.5 basis points on Aug. 28, the widest this year, Bloomberg data show. In the first half of 2007, one-month Libor was on average 5 basis points wider. A basis point is 0.01 percentage point.

``Rising rates are a reflection of general credit concerns,'' Stracke said.

Yields on three-month Treasury bills have tumbled at least 85 basis points this month to a 12-week low of 3.05 percent, signaling increasing demand for safer assets.

To contact the reporter on this story: Fabio Alves in New York at Falves3@bloomberg.net

Last Updated: November 23, 2007 10:42 EST

source de la statitique : FED outstanding commercial papers (stats mises à jour hebdo)

http://www.federalreserve.gov/releases/cp/

[Invité jabial]

L'air de rien, ce ne serait pas une mauvaise idée d'imposer que tous les engagements soient écrits dans le bilan. Ca fait un peu trop escroquerie à mon goût, nettement plus que le soi-disant délit d'initié qui est selon les cas une vraie escroquerie ou quelque chose qui peut n'être pas condamnable du tout.

[vincponcet]

tiens, encore plus fort, j'apprends que les banques ne sont pas les seules à faire des SIVs.

MBIA un gros assureur d'obligations (aussi appelé "monoline"), annonce incorporer un SIV dans son bilan, car il n'arrive pas à écouler les ABCPs.

à noter, MBIA a commencer à assurer des bonds municipaux, mais depuis, ils assurent aussi des ABS (MBS, CDO, …).

Déjà que l'on parlait qu'ils étaient en watch par les agences de rating, là, ça pourrait faire bobo.

Surtout que si ce genre d'organisme perd son AAA, cela dégrade automatiquement tout ce qu'ils assurent, donc des ABS vont tomber, et les villes US vont avoir du mal à emprunter. attention, on parle en trillions de dollars, là (voir ci-dessous).

http://www.bloomberg.com/apps/news?pid=con…id=acPpr3sdp2KA

MBIA Collapses its Hudson Thames SIV, Takes Writedown (Update1)

By Christine Richard and Neil Unmack

Nov. 27 (Bloomberg) -- MBIA Inc., the largest bond insurer, is winding down its structured investment vehicle after failing to find buyers for the SIV's short-term debt since August, Chief Financial Officer Chuck Chaplin said.

MBIA has shrunk its Hudson Thames Capital SIV to about $400 million from $2 billion through asset sales to bondholders, Chaplin said. The Armonk, New York-based company has taken an ``impairment'' on its own $15.8 million equity stake, Chaplin told a conference hosted by Bank of America Corp. in New York today.

SIVs, which borrow short term debt to buy higher yielding assets, are collapsing as contagion from U.S. subprime mortgage defaults drives investors away from asset-backed debt. HSBC Holdings Plc yesterday said it would bail out two SIVs by providing up to $35 billion of financing to avoid a fire sale of their assets.

The actions by MBIA and London-based HSBC signal that fewer SIV managers are prepared to wait for a possible rescue by the $80 billion ``SuperSIV'' fund being put together by Bank of America, Citigroup Inc. and JPMorgan Chase & Co.

Most banks and asset managers that operate SIVs are working on plans to restructure the companies and don't expect the business model to survive, Moody's Investors Service analysts said earlier this month. The New York-based ratings company said today that HSBC's SIV restructuring doesn't affect the bank's credit ratings.

MBIA asked holders of the lowest ranking bonds of Hudson Thames, known as capital notes, to buy a share of the SIV's bank bonds, asset-backed securities and other holdings in proportion to the amount of debt they own.

`Vertical Slice'

The so-called ``vertical slice'' deals enable SIVs to raise cash while bondholders avoid the risk of their investment being wiped out in a fire sale, Fitch said in a report this month.

Fitch said a ``range'' of the $107 billion of SIVs it rates have carried out the transactions.

SIVs lost as much as 30 percent of their net asset value because of the fallout from record mortgage foreclosures that Deutsche Bank AG analysts estimate may cause $400 billion in credit-market losses. SIV assets have shrunk by at least $75 billion since July to $320 billion, according to Moody's.

Standard Chartered Plc in London is looking at alternatives to finance its SIV, Whistlejacket Capital Ltd., and isn't involved in discussions with the SuperSIV, spokesman Tim Baxter in London said in an interview today.

To contact the reporters on this story: Christine Richard in New York at crichard5@bloomberg.net Neil Unmack in London at nunmack@bloomberg.net

Last Updated: November 27, 2007 13:22 EST

http://www.bloomberg.com/apps/news?pid=206…id=aoiyuz8qt5sI

MBIA, Ambac Downgrades May Cost Market $200 Billion (Update4)

By Christine Richard and Cecile Gutscher

Nov. 15 (Bloomberg) -- The crisis of confidence in bond insurers that bestow top credit ratings on debt sold by borrowers from the New York Yankees to Citigroup Inc. may cost investors as much as $200 billion.

The AAA ratings of MBIA Inc., Ambac Financial Group Inc. and their five smaller competitors are being reviewed by Moody's Investors Service and Fitch Ratings. Without guarantees, $2.4 trillion of bonds may fall in value and some issuers would get shut out of the capital markets.

``We shudder to think of the ramifications,'' said Greg Peters, head of credit strategy at New York-based Morgan Stanley, the second-biggest U.S. securities firm by market value. ``You have politicians, taxpayers, municipalities, states. It just opens up a Pandora's box. That is a huge destabilizing force.''

For more than 20 years, the safety of insurance has eased the way for elementary schools, Wall Street banks and thousands of municipalities to sell debt with unquestioned credit quality. Now, mounting downgrades on insured bonds backed by assets such as mortgages are raising doubts about the stability of the guarantors. Armonk, New York-based MBIA, the world's largest, has a 28 percent probability of default, and Ambac's is 40 percent, prices of derivatives show.

[Jesrad]

C'est le début de la grande braderie

[vincponcet]

C'est le début de la grande braderie

tiens, encore un truc dégueu.

les notes des grosses banques incluent l'idée que si elles sont en défaut, les gouvernements les sauveront !

http://ftalphaville.ft.com/blog/2007/11/28…ating-agencies/

The changes, introduced back in October 2006, were designed to give investors a clearer view of default risk in the financial system, the agency argued - and included a “joint default analysis” to assess the probability of government support in the event of a potential default.

Moody’s concluded that the risk of a large bank default was low because most governments would intervene to prevent such an event. Others argued that the probability or otherwise of government intervention had no place in ratings as it was thought impossible to forecast with any accuracy.

L'aléa moral socialisant jusque dans les notes des entreprises….

quand je vous dis que les banques sont des boites publiques …

[Jesrad]

tiens, encore un truc dégueu.

les notes des grosses banques incluent l'idée que si elles sont en défaut, les gouvernements les sauveront !

La vache, c'est ni plus ni moins que de la fraude

[h16]

Mon dieu ! Mais c'est horrible ! Si, en plus, il venait à l'idée de l'Etat - mettons , hein, pour déconner - qu'en prélevant ses administrés de l'argent par la force pour combler les trous, ben franchement, ce serait … de l'esclavage !

[Jesrad]

Mon dieu ! Mais c'est horrible ! Si, en plus, il venait à l'idée de l'Etat - mettons , hein, pour déconner - qu'en prélevant ses administrés de l'argent par la force pour combler les trous, ben franchement, ce serait … de l'esclavage !

Et imaginons qu'on en vienne à discuter de tout ça sur un forum, et qu'on dévie du sujet pour se moquer de la forme plutôt que du fond, ce serait… du sarcasme !

[h16]

Et imaginons qu'on en vienne à discuter de tout ça sur un forum, et qu'on dévie du sujet pour se moquer de la forme plutôt que du fond, ce serait… du sarcasme !

Franchement, ce n'est pas le genre de la maison !

[vincponcet]

et ça continue …

http://www.bloomberg.com/apps/news?pid=206…id=aSTTvrftNmqQ

Nov. 30 (Bloomberg) -- Moody's Investors Service said $64.9 billion of debt sold by Citigroup Inc.'s structured investment vehicles was cut or placed on review for a downgrade as part of a review of $130 billion of SIV debt.

The ratings company surveyed 20 SIVs since Nov. 7 and expanded its review after noticing ``significant additional deterioration'' in asset values, according to a statement today.

ça compensera l'annonce de vendredi de figer les ARMs reset pour plusieures années, qui, combiné aux annonces de gouverneurs de fed qu'ils allait faire un rate cut, a fait bien remonter les actions financières US en fin de semaine.

[Ventura]

ne vous inquiétez pas pour les banques françaises, elles se referont sur leurs pigeons de clients (le 'réseau').

[vincponcet]

ne vous inquiétez pas pour les banques françaises, elles se referont sur leurs pigeons de clients (le 'réseau').

Dans ces proportions-là, je doute tout de même.

C'est le marché mondial de la finance qui va prendre sa gifle, après ces dernières années de résultats montés jusqu'aux ciels et de bonus stratosphériques.