La crisi dell'eurozona ha aiutato la Germania a conservare la AAA

Come mai la Germania ha mantenuto un rating AAA e gli U.S.A. lo hanno perso?

La domanda non è accademica: le condizioni del debito sovrano dei due paesi sono confrontabili, benchè la traiettoria recente del debito sia stata meno virtuosa negli Stati Uniti.

Se si tiene conto però del peso che il debito pubblico complessivo (includendo le pensioni) ha relativamente al reddito disponibile, la situazione tedesca non è molto migliore di quella del Belgio e persino dell'Italia, e addirittura nettamente peggiore di Portogallo, Spagna e Grecia (si veda la tabella qui accanto, tratta da  http://workforall.net/CDS-Credit-default-Swaps.html), una situazione assolutamente diversa da quella degli U.S.A.

Ciononostante i mercati si fidano della Germania e ne amano le emissioni obbligazionarie al punto da prestare

 soldi per due anni senza chiedere nulla in cambio, nemmeno un pochino di interesse. Certo, la Germania deve attingere assai meno ai mercati per rifinanziare il proprio debito nel 2012-2013, con solo il 9-10% del GDP offerto sui mercati obbligazionari contro il 30% degli U.S.A. (che pure riescono ad approvigionarsi a tassi bassissimi, con buona pace di chi invoca i bond vigilantes per punire la dissennatezza finanziaria delle amministrazioni U.S.A. degli ultimi anni). 

Una possibile spiegazione è che la crisi dell'eurozona abbia provocato una fuga verso il Bund come bene rifugio, unico asset percepito come veramente risk-free tra quelli denominati in euro (o almeno come la migliore approssimazione di un asset risk-free disponibile sul mercato), segnalando quindi sul mercato obbligazionario un miglioramento del rating del debito sovrano tedesco proprio mentre sul mercato dei Credit Default Swaps si assisteva a un deterioramento del merito creditizio. E' questo fenomeno, leggibile sulla dinamica congiunta dei CDS e delle obbligazioni, che ha segnato il divorzio tra la Germania e gli USA e che ha reso possibile il downgrade del debito americano mentre quello tedesco ha mantenuto la AAA. Se vi ho incuriosito, e volete comprendere meglio il meccanismo della divergenza tra la dinamica del merito creditizio (implicito nelle quotazioni di mercato) degli USA e della Germania potete leggere questo articolo (in collaborazione con Niccolò Cottini e Aldo Nassigh) nel quale analizziamo la dinamica degli spread dei CDS e delle obbligazioni negli ultimi 5 anni e dal quale ho tratto le due figure riprodotte qui sotto. 

Nella prima si riassumono i movimenti di Germania, Stati Uniti e Francia in un piano i cui due assi coordinati misurano gli spread delle obbligazioni  quinquennali con il LIBOR (in ordinata) e quello del Credit Default Swap pure con scadenza quinquennale (in ascissa). La differenza del comportamento tra la Germania e gli altri due paesi durante la crisi dell'Eurozona è evidente: solo in questo caso l'aumento del CDS quinquennale si accompagna ad una vistosa riduzione dei tassi obbligazionari (ancora una volta guidato dall'affannosa corsa verso un investimento risk-free denominato in euro). Nella figura qui sotto ci concentriamo sul confronto tra USA e Germania, riportando 923 osservazioni giornaliere (dal settembre 2008 al marzo 2012): senza il calo dei tassi un downgrade della Germania sarebbe stato difficilmente evitabile.

AhAA! Il Bund è un po' meno sicuro! AhA?

Dal New York Times di oggi:

The value of German bonds — considered a shelter from Europe’s debt storm during the last two years — has started to fall, now that investors sense a calming in other European waters.

On Wednesday the yield — or effective interest rate demanded by markets — on the benchmark 10-year German bond rose as high as 2.07 percent, an 18 percent increase from last week. Later in the day, it fell back somewhat, to 1.98 percent.

Because bond yields rise as their prices fall, that means investors holding them now feel proportionately poorer than they did last week. A lot of those holders are big European banks, which have enough problems already without having to worry about their bunds, as German bonds are known.

The spiking yields partly reflect a shift by hedge funds and asset managers into debt issued by countries like Italy and Spain. Those offer a much higher interest rate — but are evidently not considered quite as risky as they were just a few months ago, as Europe shows signs of having muddled through the worst of the crisis.

L'anno scorso la fuga verso il Bund, come rifugio dalle turbolenze dei tassi dei PIIGS, era stata impressionante e aveva nascosto le debolezze della Germania (non è un ossimoro: queste debolezze esistono, non sono di trascurabile entità e sono state messe in secondo piano dalla crisi del debito dei paesi periferici dell'eurozona):

As a sign of the bunds’ rising value on the open market last year, the yield on the 10-year bunds went from about 3.5 percent in April to as low as 1.67 percent in September. Now some of those gains are turning into losses. 

Le debolezze tedesche non si limitano al fatto che nel caso siano necessari ulteriori salvataggi la Germania dovrà contribuire in modo sostanziale ai costi ma sono anche di tipo strutturale: l'economia tedesca forse è meno robusta di quanto non ci vogliano far credere:

But another reason for the yield surge may be that investors see potential weaknesses in Germany. If the crisis heats up again, as many analysts say it will, Germany is the country that would bear the greatest share of the cost. Its creditworthiness could then slip.

¶“Whenever there is a disbursement to a Greece program or a Portuguese program, Germany is on the hook for roughly one quarter of the bill,” said Mr. Weinberg of High Frequency Economics.

¶

He is also skeptical about another premise for Germany’s status as a refuge from the financial crisis: that it has a robust economy. Mr. Weinberg noted that the German economy shrank in the last quarter of 2011, and that recent data shows a slowdown in orders to German manufacturers.

¶“Based on the numbers I see,” Mr. Weinberg said, “the notion that Germany is safe as an economy doesn’t hold any water.”

Standard and Poor's non ha perso tempo l'estate scorsa a togliere la tripla A agli USA: ma è davvero convinta che i Treasury Bonds siano più rischiosi del Bund? 

AAAdieu?

Dagli analisti di UBS un breve report sul rischio che la Francia perda la tripla A:

10.19.11 UBS Downgrading AAA is France Next

Nel report qui sotto di Deutsche Bank trovate un approfondimento dedicato alla Francia significativamente intitolato France in stormy weather  con una sintesi dei problemi che i cugini d'oltralpe si trovano davanti

• debito pubblico: The French government seeks to bring its public deficit to 4.5% next year from 5.7% in 2011. This is based on a GDP growth forecast for 2012 (1.75%) which is markedly more optimistic than ours (+0.3%).
• investimenti e credito: both residential and business investment will be challenged in 2011. We highlight in this note that the French corporate sector is already financially stretched, with poor profitability and large borrowing requirements.
• rallentamento e non accelerazione dei consumi: the usual savings behavior of the French households tends to be pro-cyclical
• costo dei meccanismi salva-banche e salva-stato europei
• rischio di downgrade del rating sul debito sovrano

DB France

Ancora un po' di incentivi, please. I rating dei CDOs: sbagliati per caso?

Su Seekingalpha Brad De Long difende con caparbietà la necessità di nuovi incentivi per l'economia USA contro i fautori dell'austerità di bilancio fin da subito.

Vi segnalo da Econotwist un post al vetriolo dedicato al rapporto preliminare della commissione del congresso USA sulla crisi finanziaria: se non vi basta il titolo del post How To Create A 3 Trillion Dollar Bubble And Burst It  eccovi un assaggio dei contenuti che chiamano in cause senza mezzi termini le agenzie di rating:

The U.S. Financial Crisis Inquiry Commission have released a preliminary report on its findings after investigating the rating agencies role in the financial crisis.  Inflated initial ratings, and later rapid  
downgrades, on mortgage-related securities by the agencies have contributed to the financial crises through a number of channels, the commission concludes.
“In total, $2.5 trillion worth of RMBS and $564 billion worth of CDOs have been downgraded since January 2007.” 
In other words; the rating agencies have erased more than 3 trillion dollars from investors accounts by correcting their own initial mistakes, triggering the biggest financial crisis since the 1930′s. The preliminary report explains what happened and how, but leaves the questions on why open to more speculations. (...)

Stupidity Or Manipulation?

There are only two possible explanations for the rating agencies handling of the credit derivatives:
1. They had no clue what so ever about what they were doing.
Or
2. They purposely tried to manipulate the market.
The commission don’t make any conclusive statements at this point, but the last word have definitely not been said in this matter.
But its beyond doubt that the rating mess was one of the main triggers behind today’s the financial crisis.

La fine dell'oligopolio delle agenzie di rating? Le banche e il gioco del cerino con il debito dei PIIGS: chi si scotterà?

Con un OpEd, il New York Times dà voce a  una posizione netta a favore della non obbligatorietà dei ratings per alcuni tipi di investimenti, ponendo fine all'oligopolio delle agenzie di rating:

Reliance on ratings has grown significantly since the 1970s (...)
But as the reliance on ratings has spread, their reliability has plummeted. A continuous thread runs through the collapse of Orange County, Enron, Bear Stearns and the issuers of collateralized debt obligations: All received high ratings and then promptly collapsed.
The crisis hasn’t changed a thing. In fact, more than two years since it began, there are still nearly 2,000 references to credit ratings in the Federal Register. At the height of the crisis, the Federal Reserve instituted the Term Asset-Backed Securities Loan Facility, a huge program to encourage lending, but the borrowers could buy only AAA-rated investments.
Just this year, the S.E.C. endorsed ratings in regulations governing money market funds, even after it removed references to ratings in other rules. Meanwhile the Department of Labor has exempted pension funds from some rules if they trade securities with high ratings.
Government reliance on credit ratings explains why they retain such power in the market. Just as people must obtain a driver’s license before driving a car, borrowers must obtain a regulatory license before borrowing money. This is why Mr. Buffett feels powerless.
Mr. Buffett’s testimony comes at a crucial time, with the House and Senate working to reconcile more than 3,000 pages of financial reform legislation, including a short, simple provision to remove credit ratings requirements and force regulators and institutional investors to find substitutes. (...)  under the proposed reform in Congress, ratings wouldn’t be banned, just not required.
Ratings will continue to play an important role in the financial markets, and investors should continue looking to them in making their credit quality judgments. But using them should be an option, not a mandate to follow a government-enshrined oligopoly. 

Intanto continuano le incertezze sul debito dei PIIGS, alimentate anche dalla difficoltà a identificare i creditori. E' una versione ad alto livello del gioco del cerino...Secondo il New York Times:
The problem is, alas, that no one — not investors, not regulators, not even bankers themselves — knows exactly which banks are sitting on the biggest stockpiles of rotting loans within that pile. And doubt, as it always does during economic crises, has made Europe’s already vulnerable financial system occasionally appear to seize up. Early last month, in an indication of just how dangerous the situation had become, European banks — which appear to hold more than half of that $2.6 trillion in debt — nearly stopped lending money to one another.
Now, with government resources strained and confidence in European economies eroding, some analysts say the Continent’s banks have to come clean with a transparent and rigorous accounting of their woes. Until then, they say, nobody will be able to wrestle effectively with Europe’s mounting problems.(...)
Limited disclosure and possibly spotty accounting have been long-voiced concerns of analysts who follow European banks. (...) 
“Everybody knew there was a lot of debt out there,” said Nick Matthews, senior European economist at Royal Bank of Scotland and one of the authors of the report that tallied up Greek, Spanish and Portuguese debt. “But I think the extent of the exposure was a lot higher than most people had originally thought.”
Concern has quickly spread beyond just the sovereign bonds issued by the three countries as well as by Italy and Ireland, which are also seriously indebted.(...)
The European Central Bank estimates that the Continent’s largest banks will book 123 billion euros ($150 billion) for bad loans this year, and an additional 105 billion euros next year, though the sums will be partly offset by gains in other holdings.
Analysts at the Royal Bank of Scotland estimate that of the 2.2 trillion euros that European banks and other institutions outside Greece, Spain and Portugal may have lent to those countries, about 567 billion euros is government debt, about 534 billion euros are loans to nonbanking companies in the private sector, and about 1 trillion euros are loans to other banks. While the crisis originated in Greece, much more was borrowed by Spain and its private sector — 1.5 trillion euros, compared with Greece’s 338 billion.
Beyond such sweeping estimates, however, little other detailed information is publicly known about those loans, which are equivalent to 22 percent of European G.D.P. And the inscrutability of the problem, as serious as it is, is spawning spoofs, at least outside the euro zone. A pair of popular Australian comedians, John Clarke and Bryan Dawe, who have created a series of sketches about various aspects of the financial crisis, recently turned their attention to the bad-debt problem in Europe. After grilling Mr. Clarke about the debt crisis in a mock quiz show, Mr. Dawe tells Mr. Clarke that his prize is that he has lost a million dollars. “Well done,” says Mr. Dawe. “That’s an extraordinary performance.”
On a more serious front, Timothy F. Geithner, the United States Treasury secretary, visited Europe at the end of May and called on European leaders to review their banks’ portfolios, as American regulators did last year, to separate healthy banks from those that need intensive care.
Others say that if such reviews do not occur, the banking sector in Europe could be crippled and the broader economy — dependent on loans for business expansions and job growth — could stall. And if that happens, says Edward Yardeni, president of Yardeni Research, the Continent’s banks could find themselves sinking even further because “European governments won’t be in a position to help them again.” (...)
On May 7, the cost of insuring against credit losses on European banks reached levels higher than in the aftermath of the Lehman Brothers collapse in the United States. Officials at the European Central Bank warned that risk premiums were soaring to levels that threatened their ability to carry out their fundamental role of controlling interest rates. Three days later, European Union governments joined with the International Monetary Fund to offer nearly $1 trillion in loan guarantees to Europe’s banks. At the same time, the European Central Bank began buying government bonds for the first time ever to prevent a sell-off of Greek, Spanish and other sovereign debt.
The measures, widely regarded as a de facto bank rescue, restored some calm to the markets, but critics said that the aid merely bought time without reducing overall debt load. Europe’s major stock indexes and the euro have continued to fall as investors remain dubious about the ability of Greece and perhaps other countries to repay their debts.
Even so, figuring out which banks may be most exposed to those countries largely remains a guessing game.
Regulators in each country know what assets their domestic banks hold, but have been reluctant to share that information across borders. (...)
According to the Royal Bank of Scotland study, banks in France have the largest exposure to debt from Greece, Spain and Portugal, with 229 billion euros; German banks are second, with 226 billion euros. British and Dutch banks are next, at about 100 billion euros each, with American banks at 54 billion euros and Italian banks at 31 billion euros.
“Banks continue to not trust each other,” says Jörg Rocholl, a professor at the European School of Management and Technology in Berlin. “They know other banks are sick, but they don’t know which ones.”

Abolire le agenzie di rating, l'arbitraggio della latenza, Basilea n+1 e i CDS sulle banche europee

L'articolo di Andrew Ross Sorkin sul New York Times di qualche giorno fa sulle agenzie di rating mi era sfuggito: si tratta di uno j'accuse senza mezze parole che potete leggere qui. 

Ci sono tanti modi di implementare strategie di trading ad alta frequenza, molti dei quali comportano un giusto premio alla creatività e intelligenza dei loro ideatori: non c'è dubbio però che questo tipo di vantaggi (bellino l'eufemismo....latency arbitrage) dovrebbero essere eliminati!

Dal G20 ci si aspetta un sostanziale passo avanti verso Basilea 3. Però aspettare il 2022 per la sua piena implementazione mi sembra un po' tanto. Leggendo l'articolo si trova una frase agghiacciante come:
As part of the rule-making process, the banks conducted studies this spring to gauge the likely impact of the proposals on their capital and liquidity levels.
The data show that banks world-wide would face huge capital and liquidity shortfalls under the proposals, according to government and industry officials briefed on the results.
In Europe, bank executives say there is likely to be a gap of more than €1 trillion ($1.2 trillion) between banks' current capital and liquidity buffers and what would be required under the Basel proposals.
In comparison, stress tests ordered by the U.S. government last year resulted in 10 of the nation's biggest banks being told to raise a combined $74.6 billion in capital to cushion themselves.
E poi vi stupite che l'euro sia in caduta libera e che la crisi (pardon..."correzione") delle borse abbia avuto inizio proprio in Europa?

Intanto la liquidità si sta nuovamente prosciugando anche se siamo ancora lontani dai livelli parossistici del dopo Lehman. La paura degli investitori in un nuovo aggravarsi della crisi finanziaria, magari con qualche banca europea che finisce gambe all'aria, è in continuo aumento, almeno a giudicare dal costo dei CDS sulle principali banche europee, come mostra il grafico qui accanto tratto da un articolo dell'Economist sull'argomento.

Buffett, le agenzie di rating, la dis-Unione Europea

Breve elenco di letture suggerite:

• oggi Warren Buffett testimonia davanti alla commissione del Congresso USA che studia le cause della crisi finanziaria. Berkshire Hathaway è il maggiore azionista di Moody's e sarà interessante vedere in che misura la testimonianza di Buffett riuscirà a sfuggire alle accuse relative all'ovvio conflitto di interessi. Il tema sul tavolo è se liberalizzare opppure no il mercato delle agenzie di rating. Ne parla in questo articolo il Wall Street Journal che attribuisce a Bill Gross questa non propriamente diplomatica citazione: Bond-fund king William Gross of PIMCO recently wrote to investors that the raters' credit models call to mind "an idiot savant with a full command of the mathematics, but no idea of how to apply them." He added that the agencies "no longer serve a valid purpose for investment companies free of regulatory mandates" and urged investors to dismiss their judgments.
•  Un'idea per il carry trade fai-da-te (attenzione però alla doppia tassazione dei dividendi)
• Aiuto! Ci siamo...dopo la Grecia la speculazione ha l'Italia nel mirino!
• La dis-Unione Europea attira l'attenzione alla riunione dei ministri delle finanze del G20
• Le obbligazioni decennali del Tesoro USA rendono poco più del 3%. Alla fine del 2008 avevno toccato il 2% ma due mesi fa il rendimento era salito al 4%. Ecco il panorama delle previsioni degli analisti secondo il Wall Street Journal:
  Jefferies now has the highest 10-year yield forecast among primary dealers, supplanting Morgan Stanley, which on May 10 slashed its outlook from 5.5% to 4.5%, citing the European crisis and the likelihood of the Fed keeping short-term rates lower for longer.
  RBS Securities Inc., is likely to cut its rate outlook from 4.4% when its forecast committee meets later this month, said RBS Treasury strategist William O'Donnell.
  "It's going to change, and it's likely to be lower," said Mr. O'Donnell, who suggested he would lobby for a significantly lower forecast. "We're about to face fiscal austerity, a threat to growth and for further disinflation, which should support Treasury prices."
  
  
  
  HSBC Securities, which has long had the lowest forecast among primary dealers for Treasury yields, has kept its year-end 10-year note forecast at 3%. Goldman Sachs has held firm to its second-lowest year-end forecast of 3.25%. Cantor Fitzgerald, which in late March expected the 10-year note to end the year at 4.15%, was the only primary dealer unavailable for comment.
  Economists and analysts, meanwhile, generally think yields will eventually end the year higher, even as they have lowered their forecasts.
  "I think we have a sustainable expansion in the U.S., and inflation, though it will remain quite low, is not going to slip into Japan-style deflation," said Mr. Pandl of Nomura. "The inflation outlook is really the biggest point of uncertainty—if you're going to get lower yields, it means you're going to have some deflation scenario for the economy as a whole."
  The risks for Treasury bond bulls include economic growth that is stronger than expected and a cooling of the European debt problems that have driven investors into Treasurys. These would help remind investors that the Treasury Department is still borrowing heavily, a situation that could bring higher yields, as it did in Europe
• A proposito di inflazione negli USA e della capacità di debito del Tesoro USA: i TIPS decennali hanno un rendimento appena sopra l'1% (!)

La Grecia più rischiosa del Venezuela? Come riformare le agenzie di rating?

Nuovo picco dei rendimenti delle obbligazioni del governo greco: secondo il Financial Times oggi i rendimenti sulle obbligazioni con scadenza biennale hanno raggiunto il 12.71% con un balzo di 258 punti base. Lo spread sui bund raggiunge così il 12% (!) L'idea è che mentre a brevissimo termine un default possa essere escluso (se il FMI e l'UE si danno da fare....), ciò non sia vero già su una scala temporale di medio termine.
Se si guarda poi al mercato dei CDS secondo il Wall Street Journal

Investors now judge Greece to be at greater risk of default than Pakistan and Ukraine. Only Argentina and Venezuela command higher prices to insure against default.

Intanto quando gli analisti parlano di rischio contagio continuano a concentrarsi su Spagna, Portogallo e Irlanda, lasciando la nostra amata italietta fuori dai giochi (per ora). 

Continua il pressing della stampa sulle agenzie di rating: oggi è il turno dell'editoriale di Paul Krugman sul New York Times. Com'è nel suo stile non usa Krugman non usa giri di parole:


Let’s hear it for the Senate’s Permanent Subcommittee on Investigations. Its work on the financial crisis is increasingly looking like the 21st-century version of the Pecora hearings, which helped usher in New Deal-era financial regulation. In the past few days scandalous Wall Street e-mail messages released by the subcommittee have made headlines.
That’s the good news. The bad news is that most of the headlines were about the wrong e-mails. When Goldman Sachs employees bragged about the money they had made by shorting the housing market, it was ugly, but that didn’t amount to wrongdoing.
No, the e-mail messages you should be focusing on are the ones from employees at the credit rating agencies, which bestowed AAA ratings on hundreds of billions of dollars’ worth of dubious assets, nearly all of which have since turned out to be toxic waste. And no, that’s not hyperbole: of AAA-rated subprime-mortgage-backed securities issued in 2006, 93 percent — 93 percent! — have now been downgraded to junk status.
What those e-mails reveal is a deeply corrupt system. And it’s a system that financial reform, as currently proposed, wouldn’t fix.

Vi consiglio di leggere il resto dell'articolo che mi sembra molto chiaro e in gran parte condivisibile. Non mi convince però la proposta di riforma che viene indicata come esempio da  Krugman (il quale pure non sembra sostenerla con troppo entusiasmo):

The bill now before the Senate tries to do something about the rating agencies, but all in all it’s pretty weak on the subject. The only provision that might have teeth is one that would make it easier to sue rating agencies if they engaged in “knowing or reckless failure” to do the right thing. But that surely isn’t enough, given the money at stake — and the fact that Wall Street can afford to hire very, very good lawyers.What we really need is a fundamental change in the raters’ incentives. (...)
An example of what might work is a proposal by Matthew Richardson and Lawrence White of New York University. They suggest a system in which firms issuing bonds continue paying rating agencies to assess those bonds — but in which the Securities and Exchange Commission, not the issuing firm, determines which rating agency gets the business.
I’m not wedded to that particular proposal. But doing nothing isn’t an option. It’s comforting to pretend that the financial crisis was caused by nothing more than honest errors. But it wasn’t; it was, in large part, the result of a corrupt system. And the rating agencies were a big part of that corruption.

Addio alla Grecia? Il comma 22 delle agenzie di rating. Aggiornamento al 23 aprile.

E' divertente confrontare il tono sdrammatizzante del commento di Roberto Perotti  al probabile default della Grecia pubblicato in prima pagina sul Sole 24 Ore di oggi (se non lo avete a portata di mano potete leggerlo qui) con l'editoriale del New York Times sullo stesso tema intitolato...Greece and who is next? Perotti invita l'Unione Europea a lasciare che la Grecia vada in default:


(...) Aiutando la Grecia, l'Fmi fa il suo lavoro; come sempre applicherà condizioni molto onerose, e per questo salutari nel lungo periodo; e come sempre verrà percepito come il diavolo yankee venuto a imporre austerità. È un ruolo cui è abituato, e che fa comodo a tutti i governi, a partire da quello greco. Il salvataggio della Ue sarebbe invece, per motivi politici, molto più riguardoso, e quindi molto meno utile nel lungo periodo alla Grecia stessa.

Quale occasione migliore, per la Ue, di dire «questa volta no»?

Questa invece è l'opinione del Times:


(...) Greece’s efforts to curtail public spending have not made enough of a dent in its deficit to persuade investors it can bring its debt under control. But amid a severe recession, which is likely to be exacerbated by budget cuts, even the tightest belt-tightening can’t eliminate a deficit that amounted to more than 13 percent of its gross domestic product last year.
To stop a rout, the European Union must commit to activating the bailout. Then Europe and the International Monetary Fund must start negotiations with Greece for a much bigger bailout package. This would help restore investors’ confidence, allowing interest rates on its debt to fall from the punitive heights of nearly 9 percent reached last week. While some economists believe Greece would still have to restructure its debts, it would have space to negotiate the terms.
As investors made clear this week, the turmoil doesn’t end with Greece. Portugal, Spain and Ireland have seen their deficits balloon as the housing bust and the economic downturn took a toll. The European Union and the International Monetary Fund must put together a pre-emptive bailout package to convince investors of the stability of their finances and head off a flight to dump their bonds on a bigger scale. Speed is essential.
Treasury Secretary Timothy Geithner and European finance ministers should start working on that during this weekend’s International Monetary Fund meeting in Washington. This is mainly a European problem. But Washington must ensure that the fund commits adequate resources. The good news, if there is any here, is that American banks do not own much Greek debt. But the American economy won’t be immune if the Greek crisis spreads much further.


Il New York Times si diverte a descrivere il clima all'annuale International Swaps and Derivatives Association conference quest'anno incentrata su “Collateralization and Netting — the Impact” e “Systemic Risk: Advances and Challenges in the Wake of the Crisis.” Sempre sul Times vi segnalo un altro articolo dedicato alle agenzie di rating  (oltre a quello che vi ho segnalato in questo post). Per giustificare le grossolane sottovalutazioni del rischio nel 2008-2009 si invoca addirittura il Comma 22 (io l'ho conosciuto grazie alle Sturmtruppen e recita: chiunque sia pazzo può chiedere di essere esonerato dalle missioni di guerra, ma chi chiede di essere esonerato dalle missioni di guerra non è pazzo): 

(...) The major credit rating agencies, Moody’s, Standard & Poor’s and Fitch, drew renewed criticism on Friday on Capitol Hill for failing to warn of the dangers posed by complex investments like the one that has drawn Goldman Sachs into a legal whirlwind.

But while the agencies have come under fire before, the extent to which they collaborated with Wall Street banks has drawn less notice.

The rating agencies made public computer models that were used to devise ratings to make the process less secretive. That way, banks and others issuing bonds — companies and states, for instance — wouldn’t be surprised by a weak rating that could make it harder to sell the bonds or that would require them to offer a higher interest rate.

But by routinely sharing their models, the agencies in effect gave bankers the tools to tinker with their complicated mortgage deals until the models produced the desired ratings.

“There’s a bit of a Catch-22 here, to be fair to the ratings agencies,” said Dan Rosen, a member of Fitch’s academic advisory board and the chief of R2 Financial Technologies in Toronto. “They have to explain how they do things, but that sometimes allowed people to game it.”

Ecco l'aggiornamento al 23 aprile.

Agenzie di rating: poco accurate ma ancora potenti...la Grecia chiede aiuto: meglio il default?

Tra i protagonisti della crisi finanziaria, le agenzie di rating sono riuscite finora ad evitare di essere indicate al pubblico ludibrio per i loro errori e la loro cupidigia, al contrario di quanto invece è capitato ai banchieri e più in generale al mondo della finanza. Il pubblico sembra ipnotizzato dalle storie dello star system finanziario, con i suoi bonus incredibilmente alti, e a volte difficili da giustificare sulla base dei risultati.
Per questo vi segnalo questo articolo sul New York Times di oggi che affronta il tema del conflitto di interessi delle agenzie e analizza le proposte contenute nella legge di riforma finanziaria che cercano (timidamente, forse) di affrontare la questione.

La Grecia intanto, colpita dal downgrade di ieri di Moody's e dalla revisione del deficit del bilancio 2009 ad alemeno il 13,6% del GDP (fonte Eurostat), contro un dato precedente pari al 12,9%, è sull'orlo del default e si è rivolta oggi al FMI e  agli altri paesi dell'eurozona chiedendo che sia attivato il meccanismo di prestiti a tasso agevolato. Ieri i tassi di interesse sulle obbligazioni governative a 10 anni ha sfiorato il 9%. La notizia della richiesta di aiuto greca ha comunque prodotto una riduzione
dello spread sui Bund decennali al 5,11% dal picco di ieri del 5,86%. Vi consiglio l'articolo di oggi sul sito dell'Economist per approfondire l'analisi delle prospettive future...non è una lettura incoraggiante! Vi riporto qui sotto una sintesi delle conclusioni:

The default option

Is a sovereign default by Greece imaginable? Conventional wisdom has it that sovereign defaults are always messy and painful. In fact the lesson of such defaults over the past decade or more is that this is not necessarily so. (...)

In 2003 Uruguay restructured all its domestic and external debt, exchanging old bonds at par and at the same coupon rate for new ones but stretching maturity dates by five years. The country returned to capital markets a month later. The “haircut”, or loss to bondholders, was small (13.3%, in net present value), as were the amounts restructured ($5.4 billion), but it showed that orderly sovereign workouts are possible. Countries such as Jamaica and Belize have had orderly restructurings recently.

Greece is different because it has much more debt outstanding and because bondholders may face a more severe haircut—although with sufficient fiscal consolidation a more modest restructuring could be feasible. Sovereign-debt lawyers say that in some ways a restructuring of Greek debt would be easier than many people think. But other things would be new and harder, especially the complexity caused by credit-default swaps, which have not yet played a big role in any sovereign-debt restructurings. (...)

Would a defaulting country have to leave the euro? No. It is perhaps natural to conflate default with devaluation because they often occur together. But a euro member has no currency to devalue. Nor is there a means to force a defaulter out, since membership is meant to be for keeps. A new currency would have to be invented from scratch, a logistical nightmare. All contracts—for bonds, bank deposits, wages and so forth—would have to be switched to the new currency. The changeover to the euro was planned in detail and in co-operation. The reverse operation would be nothing like as orderly. A country that had lost the faith of investors in its public finances would find it hard to reconstruct a sound monetary system. Default by a member would be a body blow to the euro’s standing. But it need not spell the end of the currency.

Per concludere con toni meno tristi, vi segnalo la
formica e la cicala, ovvero come salvarsi dall'eruzione del vulcano...una rivisitazione fatta da La Voce della celebre favola di Esopo  per
sottolineare le differenze tra l'Italia (delle formiche) dagli USA (delle cicale). Conclude così Daveri il suo intervento:

è l’incrollabile ottimismo che farà ripartire la locomotiva americana, mentre è la paura del futuro a frenare la crescita dell’Italia.

D'accordo, ma la domanda forse più interessante è: come mai gli americani sono ottimisti incrollabili e gli italiani no? Non avrà per caso a che vedere con la differenza tra una cultura del fare e delle (poche!) regole condivise e una pseudocultura del disfare e della furbizia a scapito degli altri? Ai posteri l'ardua (?) sentenza...