I rischi delle polizze indicizzate alle obbligazioni in default

I rischi delle polizze indicizzate alle obbligazioni in default
di Federica Pezzatti e Riccardo Sabbatini
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16 SETTEMBRE 2008

Le polizze index linked garantite da Lehman Brothers

Il marchio di fabbrica è quello di una solida compagnia italiana ma il motore di quelle index, da cui dipende la restituzione del capitale agli investitori, è un bond emesso da Lehman Brothers. Ed ora che la quarta banca americana è entrata ufficialmente in amministrazione controllata i rimborsi sono ad alto rischio. Da un monitoraggio sui principali gruppi assicurativi effettuato da "Il Sole 24 Ore" - peraltro incompleto visto l'elevato numero di polizze in circolazione - sono oltre 30 le index linked costruite con un obbligazione di Lehman e la cui garanzia di capitale alla scadenza, come segnalano i prospetti informativi, è a carico dell'emittente e non dell'assicuratore. Collocate a piene mani in questi anni come prodotti con garanzia del capitale, gli investitori scoprono oggi che quella garanzia non c'è. O meglio, riposa sulla capacità di solvibilità dell'emittente dell'obbligazione (di solito uno zero coupon) utilizzata per costruire la polizza. Nel complesso il portafoglio "a rischio" appare per il momento di ammontare limitato, alcune centinaia di milioni in confronto ai 14 miliardi di index linked collocate in Italia soltanto nel 2007 (il 23% della produzione totale vita). Ma molto più pesanti potrebbero essere le conseguenze sull'immagine delle compagnie e, soprattutto, sui portafogli dei piccoli risparmiatori che hanno acquistato le polizze.

Alla Consob e all'Isvap è allarme rosso. Il regulator assicurativo, in particolare, sta svolgendo un censimento per individuare l'ammontare delle esposizioni che coinvolgerebbero circa una ventina di operatori. Tra le imprese colpite dall'attuale collasso della banca Usa ci sono grandi blasoni stranieri come Axa e Zurich ed anche la piccola Bcc Vita che ha collocato ben tre polizze garantite da bond Lehman da un anno a questa parte, per un totale di circa 30 milioni di euro. Il gruppo recentemente acquisito da Cattolica, ha diffuso ieri una nota per avvertire che le quotazioni delle "polizze Lehman" potrebbero essere diffuse in ritardo a causa delle difficoltà da parte dell'agente di calcolo, in questo caso Iccrea, nel reperire informazioni ufficiali. Non solo, il comunicato inserito nel sito di Bcc Vita avverte laconico che «si prevede che il valore delle polizze possa subire consistenti riduzioni».

Il problema della valorizzazione fa emergere un'altro limite di questi prodotti. L'entità del riscatto infatti dipende dal valore "di mercato" della polizza determinato di solito da un terzo soggetto. Esso è influenzato dai caricamenti iniziali applicati e dalla valorizzazione del bond sottostante e della componente derivativa. Poichè i bond Lehman sono attualmente quotati intorno al 30% del valore nominale, chi oggi volesse abbandonare anzitempo la partita andrebbe incontro a notevoli perdite. E per il valore a scadenza non c'è alcuna certezza.

Tra le più coinvolte c'è anche Mediolanum Vita. Lehman compare come garante dei bond in cinque casi, con polizze scese già a fine luglio (ultima quotazione ricavata dal sito) sotto 70. In altri 10 casi Lehman viene indicata come emittente di un titolo strutturato. Colpito anche il gruppo Unipol che, assieme alla controllata Aurora, ha ben sette index garantite da Lehman per un totale di circa 100 milioni di euro.

Difficile capire come si comporteranno ora le compagnie. Per evitare danni reputazionali, potrebbero ad esempio integrare la garanzia offerta dalla banca. Ma, se così fosse, i ratios patrimoniali stabiliti su questi prodotti risulterebbero ex post sottostimati. Nel frattempo il crack di Lehman un risultato lo ha già prodotto: molte compagnie hanno per il momento rinviato le emissioni di nuove index linked e, per qualche assicuratore, già si tratta di un de profundis.

Kass: 10 Rumors on Wall Street

his blog post originally appeared on RealMoney Silver on Sept. 16 at 7:22 a.m. EDT.

1. The hedge fund industry, mired in poor investment returns and under the threat of redemptions, is in an increasingly fragile state. Importantly, prices and performance in many different and historically uncorrelated asset classes are all falling in unison. As a consequence, many of the multi-strategy funds are also suffering more than usual.

2. Even established hedge funds, like T. Boone Pickens' Partnership, and endowments, like Harvard University's, are alleged to have recently suffered large losses over the last two to three months.

3. Long/short managers are poorly positioned in the short consumer/long materials and energy trade, serving to contribute to the abysmal overall hedge fund results.

4. Conventional asset managers are also getting hit hard. A recurring rumor is that Legg Mason's (LM Quote -Cramer on LM - Stock Picks) Bill Miller is about to be replaced.

5. Goldman Sachs (GS Quote - Cramer on GS - Stock Picks) and General Electric (GE Quote - Cramer on GE -Stock Picks) are alleged to have suffered recently (in several profit centers) from their historically close relationship with American International Group (AIG Quote - Cramer on AIG - Stock Picks). Over here and over there (in Europe), several large U.S. non-financial corporations and European banks will shortly announce substantial derivative losses.

6. Lehman Brothers (LEH Quote - Cramer on LEH -Stock Picks) has liquidated sizeable positions from its prop desk in a wide array of assets over the last few weeks. For example, yesterday Lehman is believed to have disposed of a number of REIT stocks held by its desk, contributing to a nearly 9% drop in the REIT index on Monday -- and an almost 3% drop in the last 15 minutes of trading alone. Late last week, Lehman was dumping its commodities positions.

7. Of the eight companies I have contacted over the last two weeks, only one (in the bankruptcy/recovery area) saw clear business visibility.

8. New homebuilding, in particular, has slowed to a crawl. Buyer traffic/interest is virtually nonexistent.

9. The Federal Reserve will not lower interest rates at today's meeting as the Fed views broader issues of solvency and liquidity as trumping the level of interest rates for now.

10. The current Administration has not been meaningfully involved in the Fannie Mae (FNM Quote - Cramer on FNM - Stock Picks)/Freddie Mac (FRE Quote - Cramer on FRE - Stock Picks) rescue or in the AIG discussions, nor has the Administration assisted much in the dialogue and establishment of the new lending facilities implemented over the last three weeks.

Doug Kass writes daily for RealMoney Silver, a premium bundle service from TheStreet.com. For a free trial toRealMoney Silver and exclusive access to Mr. Kass' daily trading diary, please click here.

Overnight Money-Market Rate for Dollars Doubles, BBA Says

Overnight Money-Market Rate for Dollars Doubles, BBA Says 

By Gavin Finch

Sept. 16 (Bloomberg) -- The cost of borrowing in dollars overnight more than doubled to 6.44 percent, its biggest jump, according to the British Bankers' Association.

The London interbank offered rate, or Libor, increased 333 basis points from yesterday, the BBA said today.

To contact the reporter on this story: Justin Carrigan in London atjcarrigan@bloomberg.net

Last Updated: September 16, 2008 07:01 EDT

Lehman Creditors Face Complex Unwind

Lehman Creditors Face Complex Unwind

With Lehman Brothers' (LEH Quote - Cramer on LEH -Stock Picks) bankruptcy filing Monday, the global financial system has entered into uncharted territory, and the potential repercussions are difficult to measure.

Lehman Brothers had $639 billion worth of assets at the time of its Chapter 11 filing, making it the largest bankruptcy in history. The previous holder of that dubious title, WorldCom, had $107 billion worth of assets.

Moreover, Lehman, with subsidiaries and offices around the globe, is such a central player in financial markets that sorting through the various claims of its creditors and trading partners is a daunting task to say the least.

"Enron is the most complex bankruptcy we've ever worked on, but it's possible that the bankruptcy of Lehman Brothers may involve even more convoluted financial issues and relationships," says Jeff Werbalowsky, CEO of Houlihan Lokey, the investment bank that also advised the official unsecured creditors committee for bankruptcy cases involving WorldCom, Conseco andRefco.

In addition to creditor-related issues, the Lehman Brothers default will present a historic challenge to the credit default swaps industry -- a multi-trillion dollar private market in which large institutions insure themselves against the risk of default by their debtors.

Lehman Brothers is one of the largest participants in the credit default swaps market in the world, and it was the fear of what would happen in this market if a major player defaulted that led the Federal Reserve to backstop $29 billion in Bear Stearns securities in orchestrating the firm's fire sale to JPMorgan Chase (JPM Quote - Cramer on JPM - Stock Picks) in March. Now, the appetite forgovernment bailouts has diminished, taking this option off the table for Lehman.

In an attempt to resolve some of the issues in the credit default swaps market, traders worked on Sunday to "facilitate an orderly resolution" of trades involving Lehman Brothers, according to a press release issued by several banks Sunday night.

"The current environment is obviously a difficult period for industry participants," said Eraj Shirvani, chairman and managing director of the International Swaps and Derivatives Association (ISDA) in a press release Monday. "ISDA believes, however, that the industry's progress in building a strong foundation for our business will enable it to successfully address current issues. The privately negotiated derivatives business -- including the credit default swaps business -- continues to function well in these times."

By filing for Chapter 11 protection from its creditors, Lehman has a chance to continue to pay employees and conduct business while trying to sell assets. However, it will have to get court approval to do so. Though only the holding company filed for bankruptcy protection, the assets are held by subsidiaries that did not file for bankruptcy protection. That means that Lehman's creditors may not have control over what gets sold and how.

Lehman's largest unsecured creditors include Aozora Bank, a Japanese bank owned by U.S. private equity firmCerberus Capital Management, and Mizuho Bank, also located in Japan. Aozora owns $463 million of unsecured bonds, while Mizuho owns $289 million.

While Lehman's bankruptcy filing lists Citigroup (C Quote - Cramer on C - Stock Picks) unit Citibank as its largest creditor with $138 billion in Lehman debt, Citi's role "is administrative in nature and does not represent exposure for Citi to Lehman," according to a statement released by Citigroup to address confusion about the issue.

Citigroup's unsecured creditors are scheduled to meet Tuesday to form an official committee to represent their interests.

In the meantime, Lehman is taking steps to sell assets. It said in a press release Monday it is trying to sell its broker-dealer unit and is continuing negotiations to sell its investment management division, which includes its prizedNeuberger Berman subsidiary.

The Wall Street Journal said a week ago Neuberger was worth $5 billion. But given the current turmoil in the market, valuing any financial asset is extremely difficult. Neuberger was not part of the bankruptcy filing, which was made by Lehman Brothers Holdings.

Media reports are circulating Tuesday that Barclays PLCis in talks to buy assets from Lehman after abandoning plans over the weekend to buy the entire firm.

Barclays is weighing a bid for Lehman's broker-dealer unit to increase its U.S. securities revenue, people familiar with the situation said, Reuters reports. Barclays, of London, would take over licenses, buildings and as many as 10,000 people who trade and underwrite securities and advise on acquisitions, Reuters reported.

Sanford Bernstein analyst Brad Hintz estimates that 55% of Lehman's balance sheet can be quickly liquidated relatively, particularly such assets as receivables and short-term loans known as repurchase agreements. There are about $269 billion in securities that are "another story," Hintz wrote in a report released Monday. He estimates 27% of the $269 billion is in mortgages, 17% in derivatives, and 8% in real estate.

"Liquidation of these positions will not be easy to achieve," he writes.

As Lehman winds down and creditors mobilize themselves, financial institutions around the world will be assessing their exposure to Lehman, both direct and indirect, and working to stave off potential aftershocks.

One company that jumped out in front in this respect wasMerrill Lynch (MER Quote - Cramer on MER - Stock Picks), which agreed to sell itself to Bank of America(BAC Quote - Cramer on BAC - Stock Picks), to save itself from potentially sharing Lehman's fate.

Indeed, the fortunes of financial companies are more closely tied to those of their competitors than is the case in other industries.

"Lehman's bankruptcy will have a ripple effect on competitors, and that has the potential to bring them down because they may not be able to honor their contracts with somebody else," says Sreedhar Bharath, assistant professor of finance at the University of Michigan's Ross School of Business.

Like an increasing number of observers, Bharath does not rule out the possibility of this crisis causing a 1930s style crisis, or worse, given the effects of globalization.

"The effects in 1930, perhaps you could argue, were contained in the U.S., but now the potential for something like this is going to be many more times magnified," he says.

Big Risk: Surging Debt Makes U.S. More Dependent on China, Russia, Gulf States

Posted Sep 15, 2008 12:07pm EDT by Aaron Task in Investing, Recession,Banking

Related: BAC, MER, LEH, AIG, C, XLF, ^DJI

The demise of Lehman Brothers, Merrill Lynch, and Bear Stearns this year has investors contemplating the long-term outlook for other once-venerable institutions, including Dow members Citigroup, AIG and Bank of America.

But there's an even bigger financial institution with greater debt and an increasing level of bad loans on its books: The U.S. government.

Given the actions already taken, from the Housing Bill to the nationalization of Fannie Mae and Freddie Mac, the U.S. deficit could double to $800 billion in two years, says Nouriel Roubini, of NYU's Stern School and RGE Monitor. (Even worse, the official government deficit figures exclude the costs of the wars in Iraq and Afghanistan, as well as the unfunded liabilities of Social Security and Medicare.)

The big risk is that foreign holders of Treasuries will no longer accept low interest rates to help fund U.S. debt spending, says Roubini, noting countries like China, Russia and oil-producing nations in the Middle East have becoming increasingly important holders of Treasuries. Should they demand higher rates to hold U.S. debt or, worse, dump their holdings, it could have profound ramifications on the U.S. economy and the value of the dollar.

Roubini further notes the Federal Reserve has put its balance sheet -- and independence -- at risk via its intimate involvement in thus-far failed attempts to stem the crisis.

It's tempting to dismiss the notion of a "run" on the U.S. government as unthinkable and some bears have been warning for years, even decades, about such a worst-case scenario. But after the events of this weekend, much less the past six months, it's clear that (almost) anything is possible and no scenario too "outrageous" to seriously contemplate.

Lehman Collapse Spurs Call for Credit Derivatives Clearinghouse

Lehman Collapse Spurs Call for Credit Derivatives Clearinghouse 

By Shannon D. Harrington

Sept. 16 (Bloomberg) -- Banks may accelerate efforts to move trading in the $62 trillion credit-default swaps market through a central clearinghouse or to an exchange after the bankruptcy of Lehman Brothers Holdings Inc. and the credit downgrade of American International Group Inc.

Lehman, the first major market-maker to go bankrupt in the decade-long history of the privately negotiated, unregulated business, may leave behind billions of dollars in potential losses for trading partners, according to Barclays Plc of London. No one knows exactly how much because there's no central exchange or system for recording trades.

``The fact that I can't tell you the notional value of derivatives contracts Lehman has written the day after a bankruptcy is a scary thing,'' Brian Yelvington, a strategist at New York-based bond research firm CreditSights Inc., said yesterday.

A clearinghouse capitalized by owners could have reduced the risks because it becomes the so-called counterparty, for a fee, to each side of the trade. Now, banks are sifting through trading positions to ``net'' trades that offset each other and reduce potential losses. Untangling that web may last into 2009, said John Jay, a senior analyst at Boston-based Aite Group, a financial services consulting firm.

Stocks in Europe, Asia Fall on AIG Debt Rating Cuts; UBS Drops

Stocks in Europe, Asia Fall on AIG Debt Rating Cuts; UBS Drops 

By Adria Cimino

Sept. 16 (Bloomberg) -- Stocks in Europe and Asia fell for a second day and U.S. index futures retreated after credit- rating downgrades ofAmerican International Group Inc.threatened efforts to keep the company afloat.

UBS AG, which took more than $43 billion of subprime-related writedowns, lost 9 percent, andMitsubishi UFJ Financial Group Inc.slumped 8.5 percent on concern that the seizure in credit markets will worsen and hurt the global economy. Rio Tinto Group sank 4 percent and BG Group Plc declined 4.1 percent as commodity prices retreated, while Porsche SE dropped 2.5 percent after an industry group said the slump in European car sales deepened.

``Things can't get much worse,'' said Roland Lescure, who manages the equivalent of $128 billion as chief investment officer of Groupama Asset Management in Paris. ``We're at the heart of the torment right now. The downgrade of credit ratings is bad news, but inevitable.''

The MSCI World Index lost 0.9 percent to 1,225.7 at 9:03 a.m. in London, bringing this year's decline to 23 percent. More than $16 trillion has been erased from global equities this year as the biggest surge in mortgage defaults in at least three decades sparked $514 billion in credit losses and writedowns.

The dollar fell against the yen and was little changed against the euro.

Traders increased bets the U.S. Federal Reserve may cut borrowing costs today. Futures traders put the odds of a quarter point reduction in interest rates at 68 percent, up from zero a week ago.

Europe, Asia

Europe's Dow Jones Stoxx 600 Index declined 1.5 percent. The MSCI Asia Pacific Index decreased 3.8 percent as trading resumed in Japan, China, Hong Kong and South Korea after markets were shut for public holidays yesterday.

Futures on the Standard & Poor's 500 Index fell 0.3 percent.

UBS, the largest Swiss bank, lost 9 percent 18.29 francs. Natixis SA, France's fourth-biggest bank, slumped 6 percent to 2.80 euros.

Barclays Plc, the U.K.'s third-largest bank, retreated 6.1 percent to 296.75 pence. The bank said today it's in talks with Lehman on a possible purchase of certain assets. The bank said it would make a further announcement in due course.

Mitsubishi UFJ fell 8.5 percent to 786 yen, while Sumitomo Mitsui Financial Group Inc. declined 11 percent to 612,000 yen.

AIG Ratings

AIG's credit ratings were downgraded by S&P and Moody's, threatening efforts to raise emergency funds to keep the company afloat. S&P lowered AIG's long-term counterparty rating three grades to A- from AA-, citing a ``combination of reduced flexibility in meeting additional collateral needs and concerns over increasing residential mortgage-related losses.''

The ratings assessor also lowered AIG's short-term counterparty credit rating and cut its counterparty credit and financial strength ratings on most of AIG's insurance operating subsidiaries. AIG's senior unsecured debt rating was downgraded by Moody's to A2 from Aa3.

AIG added 87 cents to $5.63 in Germany. The shares tumbled 61 percent yesterday in New York trading.

Washington Mutual Inc., the biggest U.S. savings and loan, had its credit rating cut to junk by S&P because of the deteriorating housing market.

Stocks slid yesterday in the U.S., pushing the Standard & Poor's 500 Index to the steepest drop since the September 2001 terrorist attacks, as Lehman Brothers Holdings Inc.'s bankruptcy increased speculation that credit-market losses will worsen.

``Lehman is the latest episode in a series of dark events,'' said Jean Bruneau, head of sales trading at Societe Generale SA in Paris. ``In a healthy economic system, there is confidence -- that confidence is gone.''

Rio Tinto, BG

Rio Tinto, the world's second-largest iron-ore producer, decreased 4 percent to 4,025 pence. BG Group, the U.K.'s third- biggest oil and natural-gas producer, slumped 4.1 percent to 1,051 pence. Total SA, Europe's largest oil refiner, lost 1.9 percent to 42.56 euros.

Copper declined for a second day in Asia. Gold and silver also fell.

Crude oil tumbled below $92 a barrel to a seven-month low and gasoline fell on concern that turmoil on Wall Street may weaken the global economy and reduce demand for fuels and raw materials. The contract for October delivery fell as much as 4.4 percent to $91.54 on the New York Mercantile Exchange.

Porsche, the maker of the 911 sports car, lost 2.5 percent to 82.29 euros. PSA Peugeot Citroen, Europe's second-biggest carmaker, retreated 1.3 percent to 30.65 euros.

European car sales declined 16 percent last month as higher fuel prices and falling consumer confidence hit demand for models from General Motors Corp. and Toyota Motor Corp.

Registrations fell to 805,839 from 955,318 a year earlier, the Brussels-based European Automobile Manufacturers' Association said today in a statement. Sales for the first eight months dropped 3.9 percent, accelerating from a 2.8 percent contraction through July.

To contact the reporter on this story: Adria Cimino in Paris atacimino1@bloomberg.net.

Last Updated: September 16, 2008 04:14 EDT