“In the 1980s, American banks started to bundle together a number of mortgages that they had on their books, and to issue securities backed by them. Those securities they then sold off to others. After mortgages, they moved on to other sorts of consumer lending: credit-card receivables, car loans, commercial property loans and so on. The rationale was that they could make more money by generating the business (and the fees associated with it) than they could by holding on to the loans until they matured. All they needed was to find investors who were happy to take the loans (and their associated risks) off their back). In the early 1990s, that was not difficult. In a climate of falling interest rates, investors who were once happy investing in low-risk treasury bonds were tempted to look for a higher yield, accepting that this meant a higher risk of default. They were helped in their search by the credit-rating agencies… On the basis of its own data and details given to it by the banks, a ratings agency can produce a reasonably independent assessment of, say, the likely number of defaults in a pool of residential mortgages from Minnesota, under different interest rate conditions. A bank, naturally, has an interest in getting the highest possible rating for any pool of its assets. The rating agency has a tendency to be sympathetic since the bank pays its fees.. This has radically changed the function of big banks… these days they make loans and then pass them on as quickly as possible, pocketing the margin. That leaves them more room to take bigger risks elsewhere…
El problema es que no es muy transparente el proceso y no se conoce bien donde acaban esos riesgos pero parece que acaban en manos de instituciones que están peor capitalizadas que los bancos y que son menos expertas en la valoración del riesgo de impago (fondos de pensiones, compañías de seguros). Además, los bancos pueden tener incentivos para
“realizar préstamos que no son rentables en sí mismos pero que saben que pueden venderse a entidades que soportan un régimen jurídico y un coste de capital inferior al de los bancos. Esta es una forma de arbitraje que está trasladando el riesgo crediticio desde unas instituciones – los bancos – donde es bien conocido y bien gestionado a otras instituciones donde tal conocimiento y capacidad de gestión es inferior”.
El uso de derivativos es el otro mecanismo utilizado por los bancos para reducir su exposición al riesgo de impagados de los créditos que otorgan.
“A buyer of a credit derivative buys insurance relating to a single company, from a seller. If the company defaults, the seller of the protection makes good the loss”. Ambos negocios (titulización y derivativos tienen cuantías anuales de billones de euros). “Fitch, one of the big three credit-rating agencies, quizzed 150 participants in the credit-derivatives market and found that banks in the United States and Europe are net buyers of credit protection.. insurance companies and other financial organizations are net sellers…”… “a lending bank may have gone through all the necessary credit checks before making a loan, but if it buys credit protection, it passes the worry on to somebody else – an investor or a bank with no relationship to the borrower. Inevitably, saving companies from bankruptcy has become a more complex task than ever before”.
Como la normativa de supervisión hace indeseable para los bancos tener en su cartera riesgos “de mala calidad” (porque tienen que hacer provisiones mayores), los bancos tienen incentivos para no conservar en sus balances mas que los créditos de “alta calidad”. Trasladar los riesgos crediticios a un tercero está muy bien
“if there were risk takers elsewhere in the financial system equipped to evaluate, take on and manage credit risk. But there are not. Whereas Deutsche Bank has 3,500 credit analysts, most institutional investors (such as insurance companies or pension funds) do not have specialized credit departments at all. Yet, in the past few years, these institutions have sought more esoteric credit risk, for potentially higher rewards. Part of the incentive has been the poor performance of equity markets… In their hunger for higher yields, insurance companies in particular bought portfolios of loans from banks, or guaranteed them against loss by selling credit protection to the banks. Since they did not have their own credit departments, the rating agencies were their chief guide to the potential riskiness of what they were buying… but credit risks bundled up (as they are in the cas or asset-backed securities sold by the banks) defy the predictions of most mathematical models. Those that included loans to airlines and technology companies, for example, have involved investors in considerable losses recently”.
[1] The Economist, 16-VIII-2003, p 51 ss.
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