<   2008年 02月 ( 9 )   > この月の画像一覧

Big Loss of the Day --- AIG

Market Watchより:
AIG Financial Products sold guarantees on CDOs, using credit-default swaps, a type of derivative-based insurance that pays out in the event of a default. It sold "super senior" credit-default swaps that guaranteed higher-quality parts of CDOs.

うーむ、Super SeniorのCDOもほとんど無価値ということですね。AIGのMarket Capは1300億ドルぐらいですので、まあこのぐらいの損失で大騒ぎすることはないのですが、他の中小の金融機関は結構ヤバイかもしれません。
[PR]
by stupid-market | 2008-02-29 15:08 | Derivative

CDS

Market Moverより:
If you're worried about counterparty risk and the NYT's problem, then there's good news and bad news. The bad news is that I am indeed most likely to assign the contract I've got, rather then piling up a bunch of nominally-offsetting trades. The good news, however, is that hedge funds and other buyers of CDS almost never trade directly with each other. If I assign the contract, I'm going to be assigning it to a dealer.

なるほどね。勉強になります。ビル・グロスNYTなどが、次の爆弾はCDSだというようなことを書いていたので心配していたのですが、まあそんなに大したことはなさそうです。と思いたいです。
[PR]
by stupid-market | 2008-02-29 11:21 | Derivative

今に始まった話では、、、

日経ヴェリタスより:
「いまの市場リスクは二重構造になっている」と指摘するのは臼杵政治・ニッセイ基礎研究所主席研究員だ。1つは個々の資産クラスの持つ固有の価格変動リスク。これは資産間の分散により、ある程度軽減できる。しかし、市場全体を覆う「流動性リスク」がもう1つ大きく横たわっているという。

うーむ、多分記者が悪いのでしょうが、今に始まった話では無いでしょう、と突っ込みたいです。だいたいファイナンスの世界では分散可能なリスクを市場リスクとは言わないでしょう。分散できないからこそ市場リスクなんですがねえ。色々な資産クラスに分散すればリスクが消えて無くなるとでも思っていたのでしょうか?
[PR]
by stupid-market | 2008-02-29 09:48 | Asset Management

Honest Ben

Bloombergより:
"There probably will be some bank failures,'' Bernanke said. "There are, for example, some small, or, in many cases, de novo banks that are heavily invested in real estate in locales where prices have fallen.''

心の中で思っていても、それを言ったら拙くないですか?あんた只の学者じゃなくて、FRB議長なんだから。
[PR]
by stupid-market | 2008-02-29 09:12 | Monetary Policy

Winner's Game

Economist.comより:
In part, this is because most fund managers do not compete on price. Instead, they persuade their clients to select their funds on the basis of past performance, even though there is little evidence to show that this is a good predictor of future success.

まさにその通り。資産運用は「敗者のゲーム」だとチャールズ・エリスが言ってますが、運用会社、投信販売会社、ブローカーなどにとっては「勝者のゲーム」なのです。要は如何に上手に「敗者=投資家」を騙す説得するかが勝負のポイントです。資産運用そのものの優劣ではなく、実際に優れているかどうか分からないけど「優れた資産運用スキルがあると投資家を説得する能力」が勝負のポイントな訳ですね。
[PR]
by stupid-market | 2008-02-29 09:07 | Asset Management

PBGC

PBGCより:
The PBGC currently has approximately $55 billion to invest in the new investment policy. Under this new policy, the PBGC will allocate 45 percent of its assets to a diversified set of fixed-income investments, 45 percent to diversified equity investments and 10 percent to alternative investment classes. The agency’s previous policy set an equity investment target of 15–25 percent, although the actual level of equity investments was 28 percent at the end of FY 2007.

うーむ。開いた口が塞がりません。例えば、恐慌が起きて多くの会社が倒産したり、株価がガーンと下がったりしたらどうするつもりなのでしょう。そういう時こそPBGCの出番なのに、大損こいて役立たずになってしまうということを考えないのでしょうか。


FTより:
The PBGC press release asserts that the new strategy significantly increases the likelihood of full funding within 10 years and that the new policy "is designed to take advantage of a long-term investment horizon". The PBGC clearly believes that equity risk, measured by the volatility of returns, decreases the longer the time horizon.

Volatility analysis as a measure of equity risk ignores the severity of any shortfall. Although the probability that equities will earn less than the risk-free rate decreases with the time horizon, the extent of any possible shortfall increases. Equity risk should be measured as the cost of buying insurance via an equity put option, which increases over time. Adjusted for risk there is no equity "free lunch".

さすがにBodie先生は的を射てます。
[PR]
by stupid-market | 2008-02-28 13:37 | Pension

巨大カモ

ロイターより:
――収益管理と運用体制はどうするか。

 「最初は単年度で考えるべきだ。外債、外貨、株式、オルタナティブなどにポートフォリオを分けて、その中で10社くらいに発注して競争してもらう。それを選ぶのがSWFになる。単年度で利益を上げないと退場してもらう。発注する会社は内外無差別だが日本に事務所を置くことを条件にする」

典型的なカモの言うことです。突っ込みどころが多すぎて、笑ってよいのやら、悲しんでよいのやら。リターンの実績からはファンドの良し悪しを判断することができない、という本質的なことが分かってないようですね。


ワシントンポストより:
Next Oz writes some covered options on this event and sells 110 million of them in the derivatives market. This obligates him to pay the option holders $110 million if the event does occur and nothing if it does not. He collects $11 million on the options. To cover his obligations in case the 'bad' event occurs, he uses the investors' money plus the proceeds from the options to buy $110 million in one-year Treasury bills yielding 4 percent, which he deposits in escrow. This leaves $1 million in "pocket money," which he uses to lease some computer terminals and hire a few geeks to sit in front of them, just in case his investors drop by.

The probability is ninety percent that the bad event does not occur and Oz owes nothing to the option holders. With a gross return (before expenses) of $15,400,000, the investors are thrilled, and so is Oz. He collects $2 million in management fees (of which he has only spent $1 million), plus a performance bonus equal to 20 percent of the 'excess return', namely, 20 percent of $11,400,000. All in all, Oz nets over $3 million for doing absolutely nothing.

日本の役人をカモるなんてちょろいもんですね。
[PR]
by stupid-market | 2008-02-28 11:05 | SWF

MBIA

Moody'sより(要登録):

Based on the risks in MBIA's portfolio, as assessed by Moody's according to the approach outlined above, estimated stress-case losses would be in the range of $13.7 billion. This compares to Moody's estimate of MBIA's claims paying resources of approximately $16.1 billion, resulting in a total capital ratio of about 1.2x, which is significantly in excess of the "minimum" Aaa level, but short of the 1.3x Aaa "target" level by about $1.7 billion.

へー、最大推定損失額は137億ドルだけど、161億円は用意できるからAAAということですか。ちなみに今日のMBIAのMarket Capは21億ドルです。何かがオカシイ。
[PR]
by stupid-market | 2008-02-28 10:38 | Rating Agency

VIEs

ブルームバーグより:

Predictions for losses vary widely because banks aren't required to specify the type of assets being held in the VIEs or how much they are worth, said Tanya Azarchs, managing director for financial institutions at S&P.

"The disclosure on VIEs is hopeless,'' Azarchs said. "You have no idea of the structure or how that structure works. Until you know that you don't know anything. It's like every day you come into the office and another alphabet soup has run off the rails.''


良くわからない巨額の簿外債務・資産があるのに、どうやって格付けしているのでしょう?「格付けして欲しければ全部情報を出してください」と言えば良かっただけでは?勝手格付けでもない限り、非公開の情報だって手に入れられるでしょうに。もう少しましな言い訳を用意した方が良いのではないでしょうか。

HT: Long or Short Capital
[PR]
by stupid-market | 2008-02-28 09:57 | Rating Agency