Saturday, August 25, 2007

Risky Business

Since I have retired from "real" life, apart from taking care of the kids in the evenings, one of my main interests has become keeping up with what is going on in the financial markets and the economy. Nathalie got me subscriptions to the "Financial Times" every day and "Barron's" on the weekends. It is kind of my homework.

So right now, guys in the financial world are complaining about an "information overload". Yup, that is right, our friends in the financial markets are looking forward to a week of vacation, after a very tumultuous month of August, to "make sense of it all and catch up on reading" as one journalist put it. Basically no one seems to really know what the fuck is going on and where it will all end up.

So where it beging is the implosion of the sub-prime debt markets. Turns out $250B of $10T is at risk in subprime mortgage loans or 2.5% of the total amount. So a fraction of people cannot pay their mortgage. They don't have any money, they can't count and they should never have had a loan in the first place. It would be ok if they just defaulted since the property is a collateral. Problem is that the real-estate prices are going down, so the assets that back the mortgages are rotten, meaning the property was over-valued to begin with. No one wants that debt anymore as its price does not reflect its value.

How did we get there? Cheap credit. The feds have fueled the real-estate boom with cheap credit (no money? no problem!) Who is left holding the bag? not the banks that made the loans it turns out. That debt got repackaged as part of layered instruments with a mix of high-quality debt. Rating agencies got caught off-guard somehow and AAA rating were bestowed on instruments that were really more risky. These instruments were sold to investors all around the world.

Distribution of the risk is a good thing at a macro-level as everyone takes a bit of the risk. The risk is spread thoughout the whole financial system. That is also the problem as it is everywhere. The sytem has to stomach $250B of bad debt with a 20% value decrease (assuming a 20 drop in real estate prices) for a grand total of $50B of evaporated cash. That is about 50bp of the mortgage market, in other words, it is nothing.

On the surface of it, it looks like a simple problem of "repricing" this subprime risk then. However no one wants to move first. No one knows really how to reprice the risk and there is effectively no market to do it. Much like a constipated real estate market where sellers are holding onto their property and buyers are waiting, no one moves first in a game of chicken where liquidity goes to zilch. There is no market, nothing is changing hands, no volume, no liquidity. What is your debt asset worth? we don't know as there is no market.

As a double whammy, when credit pulls back, liquidity pulls backs with a compounding effect. For every dollar that I put in the bank, that is a dollar I have and a dollar that the bank is lending to someone else, so really that is $2 in circulation. Stuff gets bought, deals get made, we have liquidity. Take a dollar back out and the liquidity goes down.

Two weeks ago, in mid-august, the credit markets had all but shut-down. This prompted BNP over in France and another fund here in the US to basically "freeze" accounts so clients could not withdraw their money. Officially they claim this is to protect their customers since a forced sale of assets would net prices that would be marked to market and would by definition suck, since there is no market to the disadvantage of the client or, alternatively, "marked to model" in which case the bank would then carry the risk of then recouping its money in a illiquid market.

Basically the boys over in Paris were saying "neither we nor our customers want to be left holding the bag for the greedy US real estate market, fuck you guys". It is bad enough that they hold the sub-prime paper, no need to fire-sale it back to the US on top of it.

Apparently BNP has reopened its funds for withdrawal as of yesterday, partially yielding to political pressure in France and partially because the markets have gone back to working almost normally.

Normalcy momentarily came back when the central banks in both the EU and the US injected close to $300B of credit into the financial system. Again, credit increases liquidity and the markets have recovered some of their colors, or at least are not completely stuck in the mud as they were a couple of weeks ago.

While the feds support the central banks, they could not care less about the fate of individual hedge funds, who are usually very leveraged, and are feeling the heat these days. In order to respond to demands of liquidity, or margin calls, they find themselves having to dump highly valuable assets, that are still liquid, to meet their cash needs. This is an upside down world that has led to a bloodbath in the hedge fund industry. Many are going belly up.

In turn, hedge funds are blaming "Quant" guys, street-speak for math and computer wizards, for their woes. When all else fails, blame the IT department. All the model guys were doing roughly the same 200 variable economic models (! that cracks me up) to craft their stock picking strategies. But the risk has been so sliced and diced that it is everywhere and no one knows where it is or what it is worth. So it is back to "dealing with the feeling" and the markets live in fear, every participant expecting the next gaping hole to appear at any moment under its feet.

While it means that our Quant friends on Wall Street will pull their hair out retooling all their applications to account for the new economic environment and reality, for a newbie, it is such a great time to learn about these markets. There is something mildly amusing about the puzzled faces everyone seems to sport these days when probed about the markets. I love it.


marcf

22 comments:

Chris Sivori said...

Marc and Nathalie, great blog. My friend Phillip from JBoss turned me on to it. I read a few entries and was hooked and had to subscribe to the feed.

Probably the only good thing (for the larger American economy) about this whole subprime situation is that the damage seems to be hitting the hedge funds and PE guys the hardest rather than forcing lots of companies to close and for people to lose their homes, although I understand there is some of that going on. Lots of people at the top end have been sitting on a ton of cash looking to put it to work and I guess some of it will be wiped away. Like many people, I wonder how this will affect everything else down the line. As a prospective buyer, we are definitely sitting on the sidelines, constipated as you say, waiting to see if the water will get bloodier before we try to buy.

Anecdotally, in the building I work in, two floors of mortgage companies have laid everyone off. Judging by the gaudy, shark-like nature of their sales reps, I'm guessing they were pushing sub-prime mortgages.

We'll have to see what happens. Keep posting your insights. It's highly entertaining.

www.letterneversent.com

ATA said...

Nice analysis. Should be interesting in a week or so when the hedgies are back from the Hamptons and have to "mark to market". The real pain will come end of 3rd Q when they can't hide(read: "have to report") the MBS/CDO losses anymore. Bye-bye to the carry trade as well.

Marcf said...

Chris,

if you like economic coverage, I highly recommend Marc Andreesen as he has a running news commentary on his site at the moment

marcf

pcleddy said...

"somehow" :)

Juha Lindfors said...

Yeah that "Rating agencies got caught off-guard somehow" kinda jumped out from there to me as well...

Sure, they're everybody's favorite scape goat at the moment, and deny any responsibility but I think the missing piece in your article was how they do business.

Turns out (and this is my layman's understanding of it too) they get paid by the companies packaging the loans to market -- not by the companies who use their ratings.

So supposedly the rating company is doing the due diligence -- except too much unfavorable due diligence will drive the customer to somewhere else. So they've created this self-feeding loop where the more good ratings they can give the better for the business.

So they claim is the rating companies never did too much of their due diligence in the first place, much of it came from the loan issuer itself who earned "trustworthy" status by giving a lot of nice business.

So then you have your salaried investor guy at some fund looking to spend $100M and he sees a triple-A paper on his computer, trusts the rating and doesn't do his due diligence, the rating company didn't do theirs, so the whole transaction is based on the loan issuer saying that it's all laying pretty, yes buy some more...

So how does this not end up as a cluster fuck?

I'm a noob too but find it fascinating. FT is my favorite but I had to cancel the subscription, didn't have the attention span to read it every day.

Marcf said...

Hey Juha,

new picture, new blog huh? looking good!

Yeah, reading the FT every day can get really dull actually. For me, the markets move in weeks, the daily stuff is for the pros. I think right now is about as exciting as it can get from an outsiders perspective.

Thanks for clarifying on the ratings agency and the money flow there. It is puzzling though and the fallout for the ratings agencies has got to be coming in one way or the other. What you describe sounds like a terrible conflict of interest.

Juha Lindfors said...

There's a good (long) article on it from May in FT that is posted on naked capitalism: Rating Agencies: The Weak Link?

When you read it now it's pretty impressive in hindsight, calling it: "Some big thing – negative – is going to happen. They will all blame someone. The names they will see will be Fitch, Moody’s and S&P".

Talking about it being up there with Arthur Andersen fall with Enron.

Marcf said...

It is a great read! thanks for the link juha.

Bill Pyne said...

As I left the house today I heard a snippet on the radio about foreign countries wanting more say in the US financial markets. I'd like to read something in depth because it sounds a little sensationalized when put that way. In any case, Juha's post sounds a good reason others would want input to our market.

Army No. Va. said...

I lived through the Austin TX housing bust of 1985-1990s. Not the same level of financial shenanigans as this time, but some similar ideas. 0 down, multiple houses to rent (we rented them out in those days...didn't flip as much), IBM secretaries (we had those too in the 1980s) owning 3 or 4 houses, basically a mania.

Peaked in 1985 and by 1989 there were two pages of RTC (govt owned foreclosures) homes printed in 2 point font every Sunday. Prices had dropped 25% in the best closein neighborhoods and 40-50% in the tract suburbs. This in an environment of declining interst rates and 3% unemployment. Even the people who could pay the mortgage walked when the 20% down payment vanished and they were 20% upside down. Wave after wave of foreclosures from 1987 to 1992.

The bottom occured when one could buy a house for 20% down and rent it out at a 10% positive cash flow after all expenses and vacancy considerations. Calculate what your house will rent for, subtract monthy expenses and a vacancy factor. Subtract 10% more for positive cash flow. That number is what mortgage payment your house can support at the bottom. Calulate mortgage value and add the 20% down payment back and you have the income value of your house which is the price it is likely heading for (unless there truly is something special about it and your area which is also *rare*, e.g., good condition 1890s Grande Dame Victorian).

This time will be worse, esp for S. Fla, most of CA, AZ, NV, Wash DC, the NE, and even less bubbly places like Dallas and Atlanta (suburbs outside the perimeter especially). I expect to be able to buy a $900K So. Cal. home for $400K by 2010.
A No VA McMansion that was $700K in 2005 for $300K in 2010, etc... A $175K Atlanta suburb home for $100K-$120K, etc...Condos and land will be even worse...how about a Atlanta Buckhead condo for $80K? :-)

Indeed, the Fed will need to pump the money supply to offset the Depression-era level of credit contraction we are beginning to see.

I may change careers in 2010 or 11 and become a RE vulture, er, I mean magnate, er, I mean investor...that's it, when the blood is in the streets and RE invstors are extinct, become one. They did well in Austin from 1992 till now.

Army No. Va. said...

Good one to see...

http://www.youtube.com/watch?v=lEj80hTVHyc

Marcf said...

Pierre,

The video is hilarious, I like the "sucker" at the end.

In ATL, the market is really funny. They have their heads in the sand and pretend there is no crash and are still asking top market prices. It is a mentality of "My neighbor sold his property for 10, the market says it is worth 7 today but I will ask 12 to maybe end up at 9."

Greed makes people think like 7 year olds. Basically there is still a lot of high prices, a lot of supply and not much moves. The net-net is that the asking prices and the closing prices are off by 30% right now but that makes for irritating discussions with agents. Stuff is not priced to sell, it is priced to greed and la-la land, or priced to bullshit as Marc Andreessen says.

The tide has gone down but somehow the ASKING prices of the boats still float up in the air? I would rather wait and so would the guy that holds: another seized up market.

I am totally sitting on the sidelines. It took 2 years for the mentality to change in Majorca, which was a MIA, FLA type market. This year the asking prices are off 30-40% in the high end but it took time and it is still going down.

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