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摩根士丹利_全球_投资策略_跨资产配置:十年之后_20180916_12页

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Ten years after Lehman
Lehman Brothers filed for bankruptcy ten years ago yesterday. It was a seminal moment
in financial history – touching most in this industry, if not directly, then by one or two
degrees of separation. A decade is a long time in finance, and yet we’d reckon most
readers remember where they were when they heard the news.
This note is not about the past, but how things have changed up to the present. Some of
those changes have been dramatic, some minimal, some counter-intuitive. Broadly
speaking, DM banks have delevered dramatically from a capital and funding perspective.
Similarly, the consumer has delevered thanks to low rates and an improving macro
cycle. Corporate leverage is worse than pre-Lehman as years of record-low rates
facilitated corporate borrowing. Counter-intuitively, corporate credit is also very rich on
valuations despite worse fundamentals. Sovereign leverage has risen as they took on
the burden of delivering counter-cyclical stimulus and benefitted from QE keeping real
yields low.
How have banks changed
A decade after Lehman’s collapse, the recovery in bank balance sheets has been
dramatic. The core Tier 1 capital ratio of US banks has risen from 5.4% to 12.0% since
2009, while in Europe it’s risen from 7.8% to 14.2%. Much of this improvement came
from direct increases of equity capital; our global banks team estimates that over
US$1.29 trillion has been raised since January 2008.
Banks are not just better capitalised, they’re better funded. Loan/deposit ratios have
fallen on both sides of the Atlantic (Exhibit 3), as new regulations and lessons from the
crisis have fundamentally changed the bank funding model.
But not everything is better. Ten years on, the equity market cap of US banks has firmly
overtaken the prior peak in 2007. But in Europe, it remains a different story. Banks have
been an underperformer over the last decade, returning less than the broad MSCI Index
for six of the last ten years, and still not overtaking their 2007 market-cap high.
Notable too are the sector’s ratings. Despite more capital and better funding, new
regulations that make losses in senior debt more likely (among other factors) mean that
the banking sector remains much lower rated than it was in 2007 (Exhibit 5).
Exhibit 2:Core Tier 1 ratios have risen for both
the US and Europe...
0%2%
4%6%
8%10%
12%14%
16%
USWestern Europe
Sep-07TodayCoreTier 1 Ratio
Source: Morgan Stanley Research, SNL Financial
Exhibit 3:…while loan/deposit ratios have
fallen since September 2007
0%
20%
40%
60%
80%
100%
120%
140%
USWestern Europe
Sep-07TodayLoans to DepositRatio
Source: Morgan Stanley Research, SNL FinancialHow have consumers changed
Consumer balance sheets have improved dramatically, thanks to a decade of ultra-low
rates, steady improvement in the employment backdrop and a rebound in housing
pricing. On an aggregate basis, US debt/income ratios sit at a 30-year low, and aggregate
household debt/GDP has fallen over the last decade.
But the picture of consumer strength can also be misleading. In the US, it’s true that the
average consumer, who owns a home, is likely better off. But for a large segment of the
population, especially those priced out of home ownership, the picture remains more
strained, as our securitized products strategist Jim Egan discussed in a recent note (see
The Affordability Challenge). Levels of US student loan and auto debt remain
historically high. Wage gains have been unevenly distributed, with families at the top of
the income distribution seeing larger gains than other families, according to the Federal
Reserve's 2016 survey of consumer finances.
The global picture is similarly varied. Previously torrid housing markets in Australia,
Sweden and the UK have started to slow dramatically.
How have corporates changed
Banks and consumers were at the heart of the GFC’s stresses, and de-leveraged in
response. Corporates took a different route. As QE pushed bond yields to all-time lows
and created strong demand for yield, corporates took advantage of it to borrow in
record numbers. This is reflected in the near tripling of the size of the US investment
grade bond market over the last decade (Exhibit 8) and lower-rated issuance.
Exhibit 4:Banks' equity market cap has risen
in the US but not Europe
0200
400600
8001000
12001400
1600
US Banks (USD)Europe Banks (Local Ccy)
Sep-07TodayEquityMarket Cap (Billions)
Source: MSCI, RIMES, Morgan Stanley Research
Exhibit 5:Banks' debt is much lower rated
today
01
23
45
67
89
AAAAA+AAAA-A+AA-BBB+BBBBBB-
# of Banks in Each Ratings Bucket
20072018
Source: Bloomberg, Morgan Stanley Research; Note: Includes both USand European banks.
Exhibit 6:US debt-service ratio near a 30-year
low
10.291113Mar-80Mar-85Mar-90Mar-95Mar-00Mar-05Mar-10Mar-15
Household Debt Service RatioCurrent
Source: Federal Research Board, Haver Analytics, Morgan StanleyResearch
Exhibit 7:Household debt/GDP is lower in the
US
0%
20%
40%
60%
80%
100%
USEurope
Sep-07Mar-18Household Debt to GDP
Source: Haver Analytics, Federal Reserve, BEA, Morgan Stanley ResearchOur US credit strategist Adam Richmond has been flagging deterioration in corporate
credit quality on a number of metrics (see Leveraged Finance Research: A Structural
Issue). Leverage has crept higher, with US investment grade leverage rising from 1.5x in
2007 to 1.9x today (Exhibit 9). Interestingly, Europe was far less aggressive, despite even
more direct central bank involvement. As US high yield leverage has remained near
historical highs, European high yield leverage has been falling towards historical lows.
How have government balance sheets changed
The GFC saw debt shift to government balance sheets from the banks and consumers.
That shift was necessary to save the global economy and financial system, but the
consequences have been lasting. The austerity that followed in 2008-10 acted as a
significant drag on global growth in the crisis aftermath, and helped to fuel political
frustrations. This increase in government leverage could have caused a significant
increase in the cost of funding (and indeed did so for some countries) but central bank
balance sheet expansion helped to keep global funding costs in check and real yields
low to encourage recovery.
The process of reversing the balance sheet expansion has now begun with the US. That
said, while the Fed balance sheet has stagnated and is expected to fall, that of European
sovereigns continues to remain high (Exhibit 11). While the Fed has a few rate hikes under
its belt and has room to cut rates in the next downturn, other regions have limited room
to cut rates and expand balance sheets.
As a result, for regions such as Europe, fiscal policy becomes paramount to cushion the
next downturn. Our chief eurozone economist, Daniele Antonucci, thinks that Europe's
ability to deploy fiscal stimulus is underappreciated (see The Future of Europe: Fiscal
Integration Has a Greater Chance than You Think). The US may be a different story.
Thanks to recent tax cuts, the federal budget is unusually stretched for ‘good’ economic
times, limiting the ability to ease further in a crisis.
Exhibit 8:US corporate debt market has nearly
tripled versus 2007
0500
10001500
20002500
30003500
4000
US IG Non-FinancialsUS HY Corp
Sep-07NowCredit MarketSize (US$ Bn)
Source: Citigroup Index LLC, S&P LCD, Morgan Stanley Research
Exhibit 9:Net leverage in US IG and HY is
higher now
0.0x0.5x
1.0x1.5x
2.0x2.5x
3.0x3.5x
4.0x
US IGUS HY
Sep-07Today
Net Leverage
Source: Morgan Stanley Research, Bloomberg Finance LP, S&P Capital IQ,Citigroup Index LLC
4。。。。。。。。。