L'Irlanda e i pregiudizi tedeschi. Il falllimento di Basilea 2

Martin Wolf commenta la crisi irlandese sul Financial Times: secondo Wolf "il disastro irlandese" offre un'opportunità all'Europa per capire come "il punto di vista tedesco sui problemi dell'eurozona sia sbagliato".
I tedeschi credono che le difficoltà principali della zona euro vengano dall'incontinenza fiscale e l'inflessibilità economica di alcuni suoi membri. Da questo punto di vista discende in modo naturale una cura fatta di "disciplina fiscale, riforme strutturali e ristrutturazione del debito".
Qui entra in scena il paradosso irlandese, vittima non di uno stato spendaccione e neppure di un mercato del lavoro troppo rigido, ma di una crisi finanziaria dovuta alla spregiudicatezza delle sue banche. Scrive Wolf:  

Ireland has needed rescue, notwithstanding its astonishingly flexible economy; and an emphasis on restructuring of debt has, predictably, triggered a crisis. These realities should make Germany rethink. Will it? I doubt it.

Ireland is nothing like Greece. Back in 2007, Ireland’s net public debt was just 12 per cent of gross domestic product. This compares with 50 per cent in Germany and 80 per cent in Greece. Spain, too, had net public debt in 2007 at just 27 per cent of GDP. If the fiscal rules had been applied as ruthlessly as German policymakers say they now want (though their predecessors resisted their application to themselves in the early 2000s), they would have affected France and Germany more than twice as often as Ireland or Spain between inception of the eurozone and the current wave of crises.
It was not the public but the private sector that went haywire in Ireland and in Spain. 

Wolf prosegue poi il suo articolo osservando come a dispetto delle scelte dolorose di bilancio già compiute dal governo irlandese, la crisi sia precipitata come conseguenza dell'accordo franco-tedesco del 18 ottobre sull'introduzione di meccanismi per la ristrutturazione del debito dei paesi della zona euro, scatenando le vendite delle obbligazioni governative di Grecia, Irlanda e Portogallo. Secondo Wolf è difficile credere che la zona euro possa superare le difficoltà adottando la politica che la Germania vorrebbe imporre e che continuano a ignorare il problema di stimolare la domanda interna:

At best, reliance on fiscal disciplines and sovereign debt restructuring is sure to generate massively pro-cyclical policy. At worst, it will generate serial depression and default among member countries. Moreover, this is also a global problem: the emphasis on deflationary adjustment in weaker countries risks turning the eurozone as a whole into a gigantic Germany, dependent on importing demand from the rest of the world. 

Wolf è solitamente molto misurato nei suoi commenti ma questa volta mi pare che abbia proprio perso la pazienza: ecco come conclude il suo editoriale
 

the Irish case also shows that the German view of how the eurozone should work is mistaken: fiscal sloppiness is not the main problem and fiscal retrenchment and debt restructuring are not the sole solutions. One cannot learn from history if one does not understand it.

A proposito della crisi irlandese, e del ruolo che le banche hanno in questa, si può osservare come ancora una volta siano ben visibili i limiti della regolamentazione delle banche e in particolare dell'accordo di Basilea. Per non parlare degli stress test compiuti qualche mese fa che dovevano rassicurare i mercati sulla solvibilità delle banche europee e che le banche irlandesi superarono a pieni voti. Secondo Simon Nixon che scrive sul Wall Street Journal

In July, Irish banks passed European stress tests. Four months later, they have brought the country to its knees.
Bank of Ireland claims a core Tier 1 ratio of about 8%, yet the market refuses to lend to it. Greek, Portuguese and some Spanish banks have similarly found themselves shut out of private-sector funding markets. This investor skepticism highlights a major weakness of the Basel capital rules that European banks operate under.
Investors fear banks' reported capital ratios may not fully reflect the risks on their balance sheets. Core Tier 1 capital ratios are calculated as a proportion of risk-weighted assets. But while the Basel Committee on Banking Supervision has made progress improving the quality and quantity of capital, the Basel 2 and 3 rules allow banks and national regulators discretion in calculating risk-weighted assets. Where banks have sufficient historical data, Basel lets them use their own models to calculate risk weightings.
This has some logic. A Norwegian mortgage is likely not as risky as a Spanish one, so it shouldn't require the same capital to back it. But the approach creates wide variations. At Banco Santander, risk-weighted assets amount to 48% of the total balance sheet, compared with 24% at Barclays and 14% at Deutsche Bank. The three have core Tier 1 ratios of 8.5%, 10% and 7.6%, respectively. On average, Santander is holding capital equivalent to 2.99% of each exposure, versus an average 2.2% at its major European peers.

L'accordo di Basilea non sembra in grado di consentire una migliore armonizzazione tra la valutazione dei rischi basata sui modelli storici e sul risk-weighting del capitale e quella che si può cercare di dedurre dalla lettura dei bilanci. La distanza tra questi due approcci può essere considerevole, ma l'analisi dei flussi di cassa
bancari può rivelarsi utile e rivelare debolezze che altrimenti non sarebbe facile individuare. Chi è interessato ad approfondire questa tematica può dare un'occhiata all'articolo di Klumpes, Welch e Reibel che trovate qui.

L'Economist e Basilea 3: troppo gentile?

L'Economist appena dato alle stampe discute qui  le probabili reazioni dei mercati all'accordo di Basilea 3 e alle regolamentazioni proposte per i derivati,
con un giudizio più ottimista di Alfaobeta: non occorrerà attendere le calende greche per vedere le banche

to build up buffers of 8-10%, and big ones, such as Deutsche Bank, will be required to hold more than the minimum. (...) “Investors are underestimating the implications of the new requirements,” says Joseph Dickerson of Execution Noble, a stockbroker. “The market itself will require higher capital ratios, and sooner rather than later.” He reckons market pressure will push banks to meet the new targets by the end of 2012.
Moreover, many of the details on Basel 3 still need to be ironed out. Selina Sagayam of Gibson, Dunn & Crutcher, a law firm, says that as these are finalised, a number of big banks may end up having to raise equity to replace hybrids and other instruments that will not qualify as top-notch capital under the new rules. National regulators will also have scope to impose more demanding standards. Among those likely to do so are Britain and Switzerland, she reckons. 

Alla novità di Basilea 3 si è aggiunta poi la proposta di un'importante regolamentazione dei mercati per i derivati, che però non sembra abbastanza determinata nel dare una ridimensionata allo shadow banking system:


A genuine cause for celebration among bank investors, however, was the release on September 15th by the European Commission of proposals for regulations on derivatives trading. These will force most derivatives into clearing-houses. Yet the rules are less onerous than some had feared and are in some ways less stifling to innovation than America’s new regulations, says Edmund Parker of Mayer Brown, a law firm. Over time parts of the business may migrate to Europe, where related rules are also friendlier to universal banks, which combine boring deposit-taking with racier investment banking.
For all the focus on the regulations on both sides of the Atlantic, banks face bigger issues than rule changes over the next few years. Among them is the threat posed to the profitability of the financial system when short-term interest rates rise, as eventually they must. Forcing banks to hold more capital will help to protect the system against shocks. Sometimes, however, says Christopher Whalen of Institutional Risk Analytics, “the waves in the ocean are so big that it does not matter how big the boat is.”

Quest'ultima osservazione mi preoccupa un po', non vorrei che dopo qualche altro anno di abbuffate, magari (leggermente) meno ricche di quelle del decennio scorso, ci sentissimo raccontare nuovamente che per colpa di un cigno nero che nero proprio non è dobbiamo perseguire politiche di austerity in modo da tentare di risanare i bilanci governativi ormai all'orlo del collasso e stremati dalla distribuzione di qualche decina di migliaia di miliardi alle banche (il 2008-2009 è costato un po' meno ma chissà quanto potrebbe costare la prossima crisi). Rimango dell'opinione che la regolamentazione proposta sia insufficiente, staremo a vedere: lietissimo di essere smentito dai fatti se così vorrà il futuro.

Basilea 3, le calende greche e il calendario maya

Sul Financial Times oggi Martin Wolf commenta l'accordo di Basilea 3, che sposta alle calende greche requisiti di capitale per le banche un pochino più stringenti, forse contando sull'avverarsi delle profezie maya sul 2012 per evitare completamente la necessità di adeguamenti del capitale e sperando che una nuova crisi finanziaria non anticipi la fine del mondo già al 2011. Secondo Wolf (ho evidenziato io l'ultima frase in rosso)

To celebrate the second anniversary of the fall of Lehman, the mountain of Basel has laboured mightily and brought forth a mouse. Needless to say, the banking industry will insist the mouse is a tiger about to gobble up the world economy. Such special pleading – of which this pampered industry is a master – should be ignored: withdrawing incentives for reckless behaviour is not a cost to society; it is costly to the beneficiaries. The latter must not be confused with the former. The world needs a smaller and safer banking industry. The defect of the new rules is that they will fail to deliver this.

Am I being too harsh? “Global banking regulators ... sealed a deal to ... triple the size of the capital reserves that the world’s banks must hold against losses,” says the FT. This sounds tough, but only if one fails to realise that tripling almost nothing does not give one very much.
The new package sets a risk-weighted capital ratio of 4.5 per cent, more than double the current 2 per cent level, plus a new buffer of 2.5 per cent. Banks whose capital falls within the buffer zone will face restrictions on paying dividends and discretionary bonuses. So the rule sets an effective floor of 7 per cent. But the new standards are also to be implemented fully by 2019, by when the world will probably have seen another financial crisis or two.

Poi Wolf entra nel merito, spiegando perchè a suo dire il nuovo accordo non mette per nulla in sicurezza il sistema bancario. Wolf è piuttosto arrabbiato, non mi pare che manchi di argomenti e di ragioni per esserlo. Vi raccomando caldamente di leggere il suo articolo. Ecco le conclusioni

The conclusion, then, is that equity requirements need to be very much higher, perhaps as high as 20 or 30 per cent, without the risk-weighting. It would then be possible to dispense with the various forms of contingent capital that are far more likely to exacerbate panic in a crisis than assuage it. It is only because we have become used to these extraordinarily fragile structures that this demand seems so outrageous.
This is not to deny two huge problems.
One is that any such transition will be like taking drugs from an addict. The simplest way to minimise the costs would be for governments to underwrite the additional capital and then, over time, sell what they take up into the market. Even so, the aggregate balance sheets of the banking system probably need to shrink. Such deleveraging almost certainly means a longer period of large fiscal deficits than almost anybody now imagines.
The other is that there is tremendous potential for regulatory arbitrage, with risks shifted elsewhere in the system. Such risks can easily collapse back on to the banking system. Thus higher capital requirements for banks will only work if regulators are able to identify the emergence of systemic risks elsewhere.
The regulators are trying to make the existing financial system less unsafe, incrementally. That is better than nothing. But it will not create a safe system. The world cannot afford another such crisis for at least a generation. By these standards what is emerging is simply insufficient. This mouse will never roar loudly enough.