Leverage et vulnérabilité des institutions financières

Leverage et vulnrabilit des institutions financires Prsentation: 10 Mars 2010 Karine Ishii SOMMAIRE Mcanisme de la securitization et du tranching

Les avantages des securitizations SIV lutilisation des securitizations par les banques Quelques chiffres Leffet de levier et ses revers Les incitations Securitization

Securitization (Titrisation): pratique consistant fractionner des prts et les vendre des investisseurs Mcanisme: Regroupement de plusieurs prts restructur en tanche de capital avec un ordre de priorit (the tranches).

Asset Backed-Securities Tranching Ordre de priorit: Senior Tranche Mezzanine Equity Tranche

Mcanisme Pertes sont supportes par la tranche la plus basse Les pertes impactent la tranche suivante uniquement si la premire tranche ne les absorbent pas toutes

Systemic Risk in the Financial Sector: An Analysis of the subprime-Mortgage Financial Crisis - Hellwig Avantage des securitization et du tranching : Transfer du risque un tiers Possibilit daugmenter le crdit Isolation des Lemons Rduction dala de moralit

Conditions: Lemetteur conserve l equity tranche Investissements par des industries tiers (cf. socits dassurances) Structured Investment Vehicles (SIVs) Bilan Passif: emprunts court et moyen terme

Actif: actif maturit long terme Les profits (spread): Capital note holders Investment manager Capital note holders: first loss investors

Structured Investment Vehicles (SIVs) Structured Investment Vehicles (SIVs) Structured Investment Vehicles (SIVs) Banque (organisatrice et sponsor): Charges de mise en place et gestion du SIV Procure la liquidit en cas de ncessit

=>liquidity backstops (against funding shortages) Characteristiques: Off-balance-sheet entities Consolidation en cas de support de liquidit Securitization evolution

Securitization evolution Exposition aux pertes Balance Sheet Profiles Leverage (effet de levier)

3 risques majeurs: 1. variation du cot de lendettement 2. problme de liquidit (maturity mismatching) 3. variation de la valeur de lactif (markedto-market) Cot de lendettement Leffet de levier permet daugmenter le retour sur

investissement du capital en faisant appel aux dettes A= K + D Rendement de linvestissement (A): r Cot de la Dette (D): i Rendement Sans effet de levier: r Avec effet de levier: r+(r-i)*D/K

i < z => augmentation du rendement i > z => rduction du rendement z < i => aggravation des pertes -[z+(z+i)*l] au lieu de -z Maturity mismatching Principe de leffet de levier:

Emprunter moindre cot (court terme) Investir long terme Dcalage de maturit de linvestissement et de son financement Risque de problme de liquidit Valeur de lactif Marked-toMarket

Leverage 10 Leverage 10,9 Ratio de rgulation Ncessit de rduire les actifs ou augmenter le capital

Repo transactions (Repurchase agreements) Ncessit daugmenter le capital Evolution du Hair Cut SIV et Banque Limplication des SIV Augmentation des cots => rduction de la

marge, normalement support par les Capital Notes Holders Ds lors quil y a des problmes de liquidits, la Banque rcupre doit impacter lactif de son bilan. Les incitations Incitation par une marge importante

Faible taux dintrt court terme Bench-mark & la pression des actionnaires Off-Balance-Sheet-Entities Rating Rating

Bibliographie Adrian & Shin, Le systme bancaire parallle: implication pour la rgulation financire, revue de la stabilit financire n13 (2009), Banque de France Adrian & Shin, Liquidity and Leverage (2008), Financial Cycles, Liquidity, and Securitization Conference Bnassy-Qur & al, The crisis: policy lessons and policy

challenges (2009), Bruegel working paper Hellwig, Systematic Risk in the Financial Sector: An analysis of the subprime-mortgage (2008) Global Financial Stability Report, April 2008, December 2008, December 2009, International Monetary Found

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