unece – group of experts on national accounts 6 – 9 may 2014 - geneva
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UNECE – Group of Experts on National Accounts 6 – 9 May 2014 - Geneva. Challanges and approaches to the implementation of 2008 SNA From the Subprime Crisis to Government Debt Wolfgang Eichmann Federal Statistical Office Germany. From the Subprime Crisis to Government Debt:. - PowerPoint PPT PresentationTRANSCRIPT
© Federal Statistical Office of Germany, D 201
UNECE – Group of Experts on National Accounts
6 – 9 May 2014 - Geneva
Challanges and approaches to the implementation of 2008 SNA
From the Subprime Crisis to Government DebtWolfgang Eichmann
Federal Statistical Office Germany
© Federal Statistical Office of Germany, D 201
From the Subprime Crisis to Government Debt:
1. Subprime Crisis and National Accounts2. The elementary monetary circuit3. Generating profit I4. Generating profit II
Wolfgang Eichmann
© Federal Statistical Office of Germany, D 201
- Mechanics
- Presentation in National Accounts
Subprime Crisis and National Accounts
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 4
1. Step: Normal mortgage business
Mortgage borrower
Mortgagebank
Liability/Claim
Money
Collateral
© Federal Statistical Office of Germany, D 201 Slide 5
Mortgagebank
SPV 4) SPV 4)
RMBS 1)Mortgage
Bankincorporates
Bankincorporates
Securisation
Ratingagencyprices
4) Special PurposeVehicle
1) Residential Mortgage BackedSecurities
2. Step: Securisation
© Federal Statistical Office of Germany, D 201 Slide 6
SPV 4) SPV 4)
CDO 2)
Senior
Mezzanine
EquityHedge-Funds
Rating-agencyprices
Loan
Investor BanksInstitutionel
Investors
Bankincorporates
Bankincorporates
Risktransformation
Capitalcontribution
2) CollaterizedDebt Obligations
3. Step: Structuring (Risk transformation)
4) Special PurposeVehicle
New development:Re-Remics„Resecurization of Real Estate Mortgage Investment Conduits“
© Federal Statistical Office of Germany, D 201 Slide 7
Quelle: „Blei zu Gold“, Institutional Money, Ausgabe 3/2007
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 8
AAAAA / ABBB
AAAAA / ABBB
AAAAA / ABBB
AAAAA / ABBB
BBBBBBBBB
BBBBBBBBB
The CDO Machine
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 9
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / ABBB
AAAAA / ABBB
BBBBBBBBB
The CDO Machine
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 10
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / A
AAAAA / ABBB
The CDO Machine
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 11
SPV 4) SPV 4)
CDO 2)
Senior
Mezzanine
Equity
Rating-agencyprices
Bankincorporates
Bankincorporates
Risktransformation
CDS 5)
Insurance AIG
2) CollaterizedDebt Obligations
4) Special PurposeVehicle
5) Credit Default SWAP
3a: Synthetic Securisation by Credit Default SWAPS
© Federal Statistical Office of Germany, D 201 Slide 12
SPV 4)Investor
ABCP 3)
Liquidityconvenant
Bankincorporates
Maturitytransformation
3) Asset BackedCommercial Papers
4) Special PurposeVehicle
4. Step: Maturity transformation
© Federal Statistical Office of Germany, D 201 Slide 13
ClientMortgage
bankSPV 4) SPV 4) SPV 4)
Mortgage RMBS 1)
Investor
CDO 2) ABCP 3)
Mechanics subprime - market- Stylised presentation-
Mortgage
Senior
Mezzanine
Equity
Hedge-Funds
Rating-agencyprices
Liquiditycovenant
Capitalcontribution
Loan
Investor Banks
InstitutionelInvestors
1) Residential Mortgage BackedSecurities
2) CollaterizedDebt Obligations
3) Asset BackedCommercial Papers
4) Special PurposeVehicle
Bankincorporates
Bankincorporates
Bankincorporates
Variant: True Sale
Securisation Risk-transformation
Maturity-transformation
Collateral
© Federal Statistical Office of Germany, D 201 Slide 14
Gain- and loss accountBalance sheet
Financial accounts Revaluation
Balance sheet
Sequence of accounts
..
Output(turnover etc.
Intermediateconsumption
Expenditures
Of which:holdinglosses
Gain/loss
Proceeds
Of which:holdinggains
Net lending/borrowing
Change in liabilitiesand net worth
Change in assets
LiabilitiesAssets
holdinggains/losses
Assets
Assetsnew
Liabilities new
Own funds new
National Accounting
Business Accounting
Balance sheet
Liabilities
Own funds
Assets
Balance sheet
Assetsnew
Liabilitiesnew
Change in net worth total
Own funds
holdinggains/losses
Liabilities
Change in net worth due to nominal holding gains/losses
Net lending/borrowing
(no gross fixed capital formation)
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201
The elementary money circuit
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 16
Labour
Producing enterprise
Banking Systems
Households
Commercial bill
GoodsTrading enterprise
Commercial bill Goods
MoneyCommercial billMoney
Money
Money
The elementary money circuit in detail
© Federal Statistical Office of Germany, D 201 Slide 17
Labour
Producing enterprise
Banking Systems
Households
Commercial bill
GoodsTrading enterprise
Commercial bill Goods
MoneyCommercial billMoney
Money
Money
The elementary money circuit in detail
1
© Federal Statistical Office of Germany, D 201 Slide 18
Labour
Producing enterprise
Banking Systems
Households
Commercial bill
GoodsTrading enterprise
Commercial bill Goods
MoneyCommercial billMoney
Money
Money
The elementary money circuit in detail
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201
Generating profit I
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201 Slide 20
How can profit be generated ?
BankingSystem
Enterprise
Employees
Employer
100 Monetary units (MU)
Collateral
100 MU
100 (MU) : 1,25 (Price) = 80 Goods
Collateral
Labour
100 MU
100 MU
80 Goods
Profit = 20 (Goods) x 1,25 (Price) = 25 MU
100 Goods
20 Goods
Gross Domestic Product at current prices: 125 MUCompensation of employees: 100 MUOperating Surplus (Profit): 25 MU
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201
Generating profit II
zurück zur Übersicht
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
100 RE 100 OF
OF = Own Funds
RE = Real Estate
Balance sheet
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
100 RE 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet50 G 50 OF
G = Gold
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
100 RE 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
20 G 20 OF
L = Loan
G = Gold
MU = Money Units
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
100 RE 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
20 G
180 L
200 MU 20 OF200 MU
L = Loan
G = Gold
MU = Money Units
180 L
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
100 RE 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
20 G
180 L200 MU
20 OF 200 MU
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
20 G
180 L
200 MU20 OF200 RE
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
20 G
180 L
200 MU20 OF200 RE
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
40 OF 40 G50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
20 Gold
200 MU
20 OF 200 RE
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
40 OF40 G
Balance sheet
20 G
180 L
200 MU 50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
60 G
540 L
600 MU20 OF200 RE
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 MU
360 L
40 OF50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
60 G
540 L
600 MU20 OF400 MU
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 RE
360 L
40 OF +200 Profit= 220 OF
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
60 G
540 L
600 MU20 OF400 MU
L = Loan
G = Gold
MU = Money Units
180 L
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 RE
360 L
40 OF+200 Profit= 220 OF
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
40 G
360 L
400 MU 20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 RE
360 L
40 OF +200 Profit= 220 OF
20 G50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
40 G
360 L
400 MU20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 RE
360 L
40 OF +200 Profit= 220 OF
20 G
80 Gold
800 MU
Investor C
Balance sheet
80 G 80 OF50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
120 G
1080 L
1200 MU 20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
400 RE
360 L
40 OF+200 Profit= 220 OF
20 G
80 Gold
800 MU
Investor C
Balance sheet
800 MU 80 OF
720 L
800 MU
800 RE
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
120 G
1080 L
1200 MU 20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
800 MU
360 L
40 OF +200 Profit= 220 OF
20 G
80 Gold
800 MU
Investor C
Balance sheet
800 RE 80 OF
720 L
800 MU
800 RE
+400 Profit= 440 OF
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
120 G
1080 L
1200 MU20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
800 MU
360 L
40 OF+200 Profit= 220 OF
20 G
80 Gold
800 MU
Investor C
Balance sheet
800 RE 80 OF
720 L
800 MU
800 RE
+400 Profit= 440 OF
50 G 50 OF
© Federal Statistical Office of Germany, D 201
A real estate bubble
Landlord
200 MU 100 OF
RE = Real Estate
OF = Own Funds
Investor A
Banking
System
Balance sheet
Balance sheet
Balance sheet
20 Gold
200 MU
800 MU20 OF
200 MU
L = Loan
G = Gold
MU = Money Units
200 MU
200 RE
+100 Profit= 200 OF
Investor B
40 Gold
400 MU
Balance sheet
400 MU
400 RE
40 OF+200 Profit= 220 OF
20 G
80 Gold
800 MU
Investor C
Balance sheet
800 RE 80 OF
720 L
800 MU
800 RE
+400 Profit= 440 OF
40 G 400 MU 80 G
720 L
…
50 G 50 OF
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 200 MU
200 OF
20 OF20 G +200 20 G200 MU
220 OF
40 G 40 OF +400 40 G400 MU
440 OF
80 OF720 L
800 RE
80 G 80 OF
80 G
720 L
800 MU
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
- 200 Landlord- 200 Investor A- 400 Investor B
50 G 50 OF
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 200 MU
200 OF
20 OF20 G +200 20 G200 MU
220 OF
40 G 40 OF +400 40 G400 MU
440 OF
720 L80 G 80 OF
80 G
720 L
800 MU
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
- 200 Landlord- 200 Investor A- 400 Investor B
50 G 50 OF
Government
100 RE
-700 RE
-620 OF
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 200 MU
200 OF
20 OF20 G +200 20 G200 MU
220 OF
40 G 40 OF +400 40 G400 MU
440 OF
80 G 80 OF
80 G
100 RE
800 MU
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
- 200 Landlord- 200 Investor A- 400 Investor B
50 G -570 OF
Government
-700 RE
+/- 0 OF
-620 L
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 200 MU
200 OF
20 OF20 G +200 20 G200 MU
220 OF
40 G 40 OF +400 40 G400 MU
440 OF
80 G 80 OF
80 G
100 RE
800 MU
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
- 200 Landlord- 200 Investor A- 400 Investor B
50 G -570 OF
Government
-700 RE
+/- 0 OF
-620 L
+620 GB
GB = Government Bonds
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 180 MU
200 OF
20 OF20 G +200 20 G 220 OF
40 G 40 OF +400 40 G 440 OF
80 G 80 OF
80 G
100 RE
800 MU
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
- 180 Landlord- 620 Government
50 G -570 OF
Government
-700 RE
+/- 0 OF
-620 L
+620 GB
20 GB
200 GB
400 GB
+620 MU
GB = Government Bonds
© Federal Statistical Office of Germany, D 201
Employees
Employer
Landlord
Investor A
Investor B
Investor C
Banking SytemClosing Balance Sheet
Opening Balance Sheet
Revaluation
Closing Balance Sheet
100 RE
100 OF
+100 180 MU
200 OF
20 OF20 G +200 20 G 220 OF
40 G 40 OF +400 40 G 440 OF
80 G 80 OF
80 G
100 RE
180 MU Landlord
Gross Domestic Product at current prices: 125 MU
Compensation of employees: 100 MU
Operating Surplus (Profit): 25 MU
50 G + 50 OF
Government
-700 RE
+/- 0 OF
-620 L
20 GB
200 GB
400 GB
GB = Government Bonds
-620 GOVERNMENT DEBT+620 GB
© Federal Statistical Office of Germany, D 201
„Ferner war es problematisch, dass komplexe Produkte (CDOs mit Exposures auf zweitrangige Kredite) hemmungslos als Sicherheiten in Repogeschäfte eingebracht wurden.“
CDOs were used as collaterals
Michael Hüther/ Manfred Jäger-Ambrozewicz: „Von der Finanzkrise zur Regulierungsfalle? Die Rolle der Banken als Intermediär“ Zeitschrift für das gesamte Kreditwesen , 2010.
Re-Remics enthalten Tranchen, die stärker als CDOs gegen Verluste bei den zugrunde liegenden Krediten schützen. So sollen qualitativ bessere Anleihen vonrisikoreicheren Papieren getrennt werden. Damit erhöht sich die Chance, dass die besser benoteten Anleihen ihr Spitzenrating behalten, wodurch ihr Wert genügend steigt, um den Gesamtwert des Hypothekenportfolios zu steigern, erläutert Doug Dachille, Vorstandsvorsitzender bei First Principles Capital Management.
Each structuring increases the value of the portfolio
Wirtschaftsblatt (Österreich), on-line Ausgabe vom 8.7.2008
© Federal Statistical Office of Germany, D 201
Source: Pro Publica 2011
The Wall Street Money Machine
© Federal Statistical Office of Germany, D 201
Source: Pro Publica 2011 Thetica Systems
Related story: Banks’ Self-Dealing Super-Charged Financial Crisis
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