GS 高盛：亚太银行业深度报告

－次级债还隐藏着什么问题吗？

28页 08.16 August 16, 2007

Asia Pacific: Banks：Subprime/CDO: what’s involved, what problems may still lurk ahead

It is a US credit problem, but Asia financials more directly impacted
versus other Asian sectors via MBS/CDO exposures
This is a US credit problem involving c.US$2.6tn of non-agency RMBS, not
an imploding core business/earnings reset problem for Asia financials.
That said, we acknowledge financials are more directly impacted versus
other Asia sectors given direct (but relatively modest) MBS/CDO exposures
in the case of Taiwan, Singapore, China, Korea and HK financials.
One-time MTM/impairment hit, but uncertainty for now over
magnitude of exposures, likely losses, knock-on impacts
The Fed has publicly estimated subprime/MBS-related losses at US$50bn-
100bn. The severity of losses that various Asia financials will have to absorb
is still unclear, and hinges on more definitive exposure disclosures including
tranche seniority and asset pool composition, as well as ultimate loss
severity on subprime/Alt-A loan defaults, which we fear will be high.
We move from Attractive to Neutral on Asia financials; best to be
in defensive stockpicking, not sector-wide buy-on-correction, mode
Path of least resistance – financials with nil direct exposures, resilient
franchises, intact growth prospects – is arguably the best course until (1)
mortgage ARM resets/defaults resolve (resets do not peak not until 2008
for subprime, 2010 for prime) and (2) losses are established/recognized.
Buy ideas: ten relatively insulated "strong/intact growth" stories
We affirm our Buy ratings and highlight ten names - Axis Bk, Bk Rakyat
Indonesia, China Merchants, Danamon, HKEx, Hang Seng Bk, Ping An (H),
SGX, Shinhan, Standard Chartered - all with minimal direct exposures to
US MBS/CDO problems, and with intact/resilient/solid growth prospects.
Risk/swing factors: loss severity; extent of pass-through impacts
As we detail in this report, investors may still be underestimating (1) the
MBS/CDO exposures for some Asia financials, (2) the ultimate losses
involved with US subprime/MBS exposures, and (3) the size, breadth, likely
slow-motion/long-tailed recovery and potential impacts of the US’ first
nationwide property market correction since 1933. Upside mitigants:
ample Fed policy flexibility, capacity to lower rates. Also in this report:
our take on FAQ’s, facts, myths for US mortgage/subprime lending and
potential complications with securitized mortgage workouts.