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ULOGA KREDITNIH
DERIVATA U TEKUĆOJ
FINANSIJSKOJ KRIZI
Rezime
Izloženost kreditnom riziku je prisutna u skoro svim finansijskim transakcijama, i kreditni derivati predstavljaju najnoviji instrument za transfer kreditnog rizika između dve ugovorne strane, kao i hedžing i upravljanje kreditnim rizikom. Sekjuritizacija i kreditni derivati su stvorili sintetičku sekjuritizaciju koja je omogućila širu primenu kreditnih derivata, i na taj način su oni svrstani u red investicionih proizvoda. Oni nose skrivene rizike, od kojih neki utiču na investitore, neki na prodavce kreditnih derivata, a neki na celokupan finansijski sistem, a najvećim delom su vezani za činjenicu da je tržište kreditnih derivata novo i nedovoljno istraženo. Kreditni derivati su imali značajnu ulogu u širenju tekuće finansijske krize, i iako se ne mogu u potpunosti okriviti za njen nastanak, svakako su doprineli njenom jačanju. I pored toga, smatra se da pravilna upotreba kreditnih derivata može da doprinese ponovnom uspostavljanju finansijske stabilnosti. Uvođenju i razvijanju finansijskih derivata u Srbiji bi trebalo oprezno da se pristupi, kako bi se izbegli ili bar minimizirali potencijalni odjeci tekuće finansijske krize.
Ključne reči: kreditni derivati, kreditni rizik, CDS, kompleksni strukturisani finansijski proizvodi, tekuća finansijska kriza, moralni hazard
JEL klasifikacija: G01; G21.
originalni naučni rad
UDK 005.334:336.71
mr Jana SpasojevićTelekom Srbija a.d.
Rad primljen: 15.11.2011.
Odobren za štampu: 07.12.2011.
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Summary
Credit risk exposure is present in almost all financial transactions, and the credit derivatives are the latest instrument for the credit risk transfers between the counterparties, as well as the hedging and the credit risk management. Securitisation and credit derivatives have created a synthetic securitisation which allows for a broader implementation of credit derivatives, and in this way they are classified as investment products. They are bearing hidden risks, some of them impacting investors, some other ones the sellers of credit derivatives, and the third ones the entire financial system, mostly due to the fact that the credit derivatives market is still a new and insufficiently explored market. Credit derivatives had a significant role in spreading of the financial crisis and although they can not be entirely blamed for its eruption, they have certainly contributed to its strengthening. In spite of this, however, the opinion prevails that a correct use of credit derivatives can boost a renewed establishment of financial stability. Introduction and development of financial derivatives in Serbia should be approached with prudence, in order to avoid or at lease minimise potential reverberations of the current financial crisis.
Key words: credit derivatives, credit risk, CDS, complex structured financial products, current financial crisis, moral hazard
JEL Classification: G01, G21, G32
THE ROLE OF CREDIT DERIVATIVES IN THE CURRENT FINANCIAL CRISIS
original scientific paper
UDC 005.334:336.71
Jana Spasojević MScTelekom Srbija [email protected]
Paper received: 15.11.2011
Approved for publishing: 07.12.2011
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Karakteristike kreditnih derivata
Izloženost kreditnom riziku je prisutna u skoro svim finansijskim transakcijama, i kreditni derivati predstavljaju najnoviji instrument za transfer i upravljanje kreditnim rizikom. Uvedeni su 1993. godine kako bi se otklonila neadekvatnost tradicionalnih tehnika za transfer kreditnog rizika, i deo su tržišta finansijskih derivata. Kreditni derivati se mogu definisati kao aranžmani koji omogućavaju jednoj strani (kupcu zaštite) da transferiše, za premiju, definisani kreditni rizik ili celokupan kreditni rizik, obračunat na osnovu teorijske vrednosti referentne aktive, koju može ali ne mora da poseduje, jednoj ili više drugih ugovornih strana (prodavcima zaštite). To su finansijski instrumenti čija je glavna uloga transfer kreditnog rizika između dve ugovorne strane, kao i hedžing i upravljanje kreditnim rizikom. Transformisali su način na koji finansijske institucije posmatraju, hedžuju i regulišu kreditni rizik, jer su omogućili njegov efikasan, fleksibilan i jednostavan transfer. Od njihovog samog nastanka, korišćeni su od strane banaka, portfolio menadžera i korporativnih blagajnika u cilju uvećanja prihoda, trgovine kreditima, u špekulativne svrhe i kao instrumenti hedžinga.
Sekjuritizacija i kreditni derivati su stvorili sintetičku sekjuritizaciju, odnosno konverziju kreditnih derivata u utržive hartije od vrednosti, da bi se omogućio transfer kreditnog rizika na tržište kapitala. Sintetička sekjuritizacija je omogućila širu primenu kreditnih derivata, i na taj način su kreditni derivati ušli u red investicionih proizvoda.
Kreditni derivat kojim se najčešče trguje je svop kreditnih neizvršenja - CDS, koji ne zahteva finansiranje, i u osnovi ima mogućnost neizvršenja - to znači da je njegova isplata povezana sa nastupanjem ili nenastupanjem kreditnog događaja.
Razvoj tržišta kreditnih derivata predstavlja odgovor na rastući značaj upravljanja kreditnim rizikom. Uvođenje finansijske inovacije koja je omogućila diversifikaciju kreditnog rizika, i povećanje efikasnosti i stabilnosti, je dovelo do revolucije na finansijskim tržištima. Tržište kreditnih derivata je izuzetno poraslo, u prilično kratkom vremenskom periodu, i razvilo se od
malog ogranka kreditnog tržišta u jedno od najznačajnijih na svetskom nivou.
Veliki broj prednosti, kao i nove mogućnosti koje kreditni derivati pružaju investitorima i hedžerima, je uticao na konstantan rast ovog tržišta sve do 2007. godine. Nakon toga, sledi krah tržišta i ono se još uvek nije oporavilo.
Sledeći grafikon prikazuje eksponencijalni rast tržišta kreditnih derivata tokom proteklih godina, u skladu sa podacima preuzetim iz izveštaja Međunarodnog udruženja za svopove i derivate. Prema izveštaju ISDA, polovinom 2010. godine iznos CDS je bio 26,3 biliona $, što znači da se smanjio za 14% tokom prvih šest meseci 2010. godine, sa iznosa od 30,4 biliona $ na kraju 2009. godine (što je bilo 3% manje u odnosu na 31,2 biliona $ na kraju juna 2009. godine).
S jedne strane, kreditni derivati donose koristi, kao što je činjenica da omogućavaju bankama da hedžuju kreditni rizik, dok, s druge strane, nose skrivene rizike, od kojih neki utiču na investitore, neki na prodavce kreditnih derivata, a neki na celokupan finansijski sistem. Oni su omogućili razdvajanje kreditnog rizika od tržišnog rizika, prenos kreditnog rizika na druge učesnike na tržištu, kao i transfer kreditnog rizika uz istovremeno zadržavanje vlasništva nad aktivom. Rizici koje donose kreditni derivati su uglavnom vezani za činjenicu da je tržište kreditnih derivata novo i nedovoljno istraženo. Ogroman broj finansijskih institucija je uspeo da održi dobru finansijsku poziciju primenom kreditnih derivata, dok su istovremeno druga preduzeća izgubila čitava bogatstva njihovom upotrebom.
Grafikon 1: Kreditni derivati (u bilionima $)
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Credit derivatives characteristics
Credit risk exposure in present is almost all financial transactions and credit derivatives are the latest instrument for the credit risk transfers and management. They were introduced in 1993, in order to eliminate inadequacy of traditional credit risk transfer techniques, and are a part of the financial derivatives market. Credit derivatives may be defined as arrangements allowing one counterparty (protection buyer) to transfer, for a premium, a defined credit risk or entire credit risk, calculated on the basis of theoretical value of the reference assets, which he may but does not have to own, to one or more contracting parties (protection sellers). These are the financial instruments with the main role to transfer credit risk between the two counterparties, and conduct hedging and the credit risk management. They have transformed the way in which financial institutions are viewing, hedging and regulating credit risk, as they have allowed for its efficient, flexible and simple transfer. From the very beginning of their creation, they were used by banks, portfolio managers and corporate treasuries for increasing profits, credit trading, for speculative purposes, and as hedging instrument.
Securitisation and credit derivatives have created synthetic securitisation, i.e. a conversion of credit derivatives into marketable securities, in order to allow for the transfer of credit risk to the capital market. Synthetic securitisation also allowed for a broader application of credit derivatives, and in this way credit derivatives joined the ranks of investment products.
Credit derivative most frequently traded is the Credit Default Swap - CDS, which does not require financing and is based on the default probability - which means that its payment is linked with the presence or absence of the credit event.
Development of the credit derivatives market is an answer to the growing importance of the credit risk management. Introduction of financial innovation which has made possible diversification of the credit risk, and an improved efficacy and stability, led to the revolution on the financial markets. Credit derivatives market
has experienced an outstanding growth over a rather short period of time, and has developed from a small branch of the credit market into one of the most important markets on the world level.
A large number of advantages and new options that credit derivatives are offering both to investors and hedgers had an impact on the growth of this market throughout the period up to 2007. Thereafter, what followed was the crash of the market and it is still in its recovery period.
The following graph presents exponential growth of the credit derivatives market during the past years, on the basis of data from the International Swap and Derivatives Association - ISDA report. According to the ISDA report, in mid-2010, the amount of CDS was 26.3 billion USD, which means that it had fallen for 14% during the first six months of the year 2010, from the amount of 30.4 billion USD by the end of the year 2009 (which was 3% less in respect to 31.2 billion USD by the end of June 2009).
On the one hand, credit derivatives are bringing gains, such as the fact that they allow the banks to hedge credit risk, while on the other hand, they entail hidden risks, some of them impacting investors, some other ones credit derivatives sellers, and another ones the entire financial system. They have allowed for the separation of the credit risk from the market risk, credit risk transfer on to the other market participants, and also transfer of credit risk while the assets ownership is retained. Risks entailed in credit derivatives are mainly linked with the fact that the credit derivatives market is a new one and insufficiently explored. An enormous number of financial institutions succeeded in upholding its good financial position through the deployment of credit derivatives, while at
Graf 1: Credit derivatives (in billion $)
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Kreditni derivati i tekuća finansijska kriza
U periodu između 2001. i 2007. godine, često je dovođena u pitanje uloga kreditnih derivata na finansijskim tržištima. Čuvena je izjava Warren Buffet-a, u izveštaju za 2002. godinu preduzeća Berkshire Hathaway, čiji je on predsednik upravnog odbora i generalni direktor, da su kreditni derivati „oružje masovnog uništenja“. S druge strane, Alan Greenspan, koji je bio predsednik upravnog odbora Federalnih rezervi u SAD-u u periodu od 1987. do 2006. godine, je smatrao da su kreditni derivati odličan instrument za disperziju rizika, koji olakšava mnogim pojedincima i preduzećima pristup kreditima. On je u svom govoru održanom 2004. godine izjavio da su derivati i drugi kompleksni finansijski instrumenti doprineli „razvoju fleksibilnijeg, efikasnijeg, i samim tim otpornijeg finansijskog sistema“. Takođe je u tom istom govoru izjavio da su „novi instrumenti disperzije rizika omogućili najvećim bankama da prilikom dodeljivanja kredita uklone veliki deo kreditnog rizika na taj način što će da ga prenesu na institucije koje imaju znatno manji leveridž“.
Kreditni derivati su imali značajnu ulogu u nastanku i širenju tekuće finansijske krize. Oni se ne mogu u potpunosti okriviti za nastanak krize, ali su svakako doprineli njenom jačanju.
Tržište kreditnih derivata je funkcionisalo u uslovima duboke informacione asimetrije i praktično potpunog odsustva regulative. Različita informisanost učesnika u transakcijama je posledica nejednake raspoloživosti informacija, a ne preferencija učesnika. Asimetričnost informacija dovodi do grešaka prilikom izbora alternative, odnosno prouzrokuje negativnu selekciju. Asimetrična distribucija informacija se u tekućoj finansijskoj krizi snažno i brzo produbljivala, a posebno je bila prisutna na tržištu kreditnih derivata. Informaciona asimetrija izaziva i problem moralnog hazarda koji predstavlja skup poremećaja gde se kod jednog
ili oba učesnika u nekoj relaciji menja odnos prema riziku, u vidu povećavanja sklonosti prema rizičnim ulaganjima i transakcijama. Problem moralnog hazarda je posebno izražen u tekućoj finansijskoj krizi, gde je bio prisutan u gotovo svim slučajevima velikih poremećaja, a posebno vezano za masovnu upotrebu kreditnih derivativa.
Postoje značajna sporna pitanja vezana za podsticaje kod primene kreditnih derivata. U odsustvu tržišta za transfer kreditnog rizika, odnos između korisnika kredita i kreditora je izložen problemima negativne selekcije i moralnog hazarda, koje umanjuje primena kontrole i nadzora od strane banaka. Uvođenjem transakcija vezanih za transfer kreditnog rizika, strukture podsticaja koje su preovlađujuće u odnosu korisnika kredita i kreditora su se izmenile stvaranjem nove grupe odnosa među korisnicima kredita, kreditorima/kupcima zaštite i prodavcima zaštite. Na primer, dostupnost kreditnih derivata može da ima nepovoljan uticaj na banke smanjujući njihove podsticaje da vrše kontrolu i nadzor korisnika kredita. Takođe, ti novi odnosi mogu da prouzrokuju dalje stvaranje moralnog hazarda, kao i konflikta interesa.
Na sledećem grafikonu je dat kratak pregled klasičnih odnosa između korisnika kredita i kreditora pre i posle uvođenja transakcija vezanih za transfer kreditnog rizika.
Grafikon 2: Kratak pregled odnosa na koje utiču transakcije vezane za transfer kreditnog rizika
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the same time some other companies have lost enormous fortune through their use.
Credit derivatives and the current financial crisis
In the period between 2001 and 2007, there was often a question raised regarding the role of credit derivatives in financial markets. We can find here the famous statement made by Warren Buffet, in the Berkshire Hathaway company report for 2002, Buffet being its CEO and general director, that the credit derivatives are “the weapons of mass destruction”. On the other hand, Allan Greenspan, who was the CEO of the US Federal Reserves in the period from 1987 to 2006, argued that credit derivatives are an excellent instrument for risk dispersion, facilitating for many individuals and companies access to credit facilities. In his speech held in the year 2004, he stated that the derivatives and other complex financial instruments have contributed towards “development of a more flexible, more efficient, and thus a more resilient financial system”. Also in the same speech, he said that “the new instrument for risk dispersion allowed the major banks, when granting credit facilities, to eliminate a large portion of credit risk by transferring it onto those institutions which are having a considerably lower leverage”.
Credit derivatives had an important role to play also in the spreading of the current financial crisis. They can not be fully blamed for the eruption of the crisis, but they have certainly contributed to its strengthening.
Credit derivatives market was functioning in an environment of profound information asymmetry and of a practically complete absence of regulatory framework. Different level of information access by participants in transactions is the consequence of an uneven availability of information, not of the preferences of the participants. Asymmetric distribution on
information leads to the mistakes in the choice of alternatives i.e. it causes negative selection. Asymmetric information distribution in the current financial crisis very forcefully and quickly was deepening, and was especially present in the credit derivatives market. Information asymmetry also caused the problem of moral hazard which is a set of disturbances where either one or both participants in a given relationship, risk attitude change in the form of an increased risk appetite for risk exposed investments and transactions. The problem of moral hazard was especially manifested in the current financial crisis where it was present in almost all the cases of great disturbances, and was particularly linked with the mass use of credit derivatives.
There are important disputable issues connected with the incentive to use credit derivatives. In the absence of a credit risk transfer market, the relationship between a credit beneficiary and the creditor is exposed to problems of negative selection and moral hazard, which are mitigated through the exercise of control and supervision by the banks. With the introduction of transactions linked with the credit risk transfer, motivational structures which are predominant in the relationship between credit beneficiary and the creditor, have changed with the creation of a new group of relations between credit beneficiaries, creditors/protection buyers, and the protection sellers. For example, accessibility to credit derivatives may have had its negative impact on banks by lowering their motivation for exercising control and supervision over credit beneficiaries. In addition, such new relationships may cause further creation of moral hazard, and also of conflict of interests.
The following Graph presents a brief review of the classical relationship between credit beneficiaries and creditors before and after the introduction of transaction related to the credit risk transfer.
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Na grafikonu se može uočiti da uvođenje transakcija vezanih za transfer kreditnog rizika menja odnos između korisnika kredita i kreditora na nekoliko načina. Kao prvo, odnos između kupca zaštite i prodavca zaštite (spona A) je izložen sledećim problemima: (1) Principal-agent problemu koji nastaje usled mogućnosti da kreditor održi odnos sa korisnikom kredita i postane agent one strane koja preuzima rizik nakon transfera kreditnog rizika. S obzirom na to da prodavac zaštite ne može bez propratnih troškova da ima uvid u mere nadzora koje primenjuje kupac zaštite, to uvećava podsticaje kupca zaštite da smanji nadzor; (2) Problemu nepotpunog ugovaranja koji se odnosi na situaciju kada u ugovoru o transferu kreditnog rizika nisu definisana prava i obaveze ugovornih strana u svim okolnostima koje mogu da nastupe, i koji je vezan za oportunističko ponašanje ugovornih strana - na primer ukoliko kupac zaštite može da zahteva isplate na osnovu ugovora koje premašuju zaista ostvarene kreditne gubitke ili ako prodavac zaštite može da izbegne izvršenje plaćanja nakon nastupanja kreditnog događaja; (3) Asimetričnoj distribuciji informacija koja se odnosi na informativnu prednost koju ima kreditor (vezano za kreditni bonitet korisnika kredita) u odnosu na prodavca zaštite.
Zatim, odnos između kreditora/kupca zaštite i korisnika kredita (spona B). Transfer kreditnog rizika sa kreditora na treću stranu može da utiče na korisnika kredita. I u slučaju da odnos kreditora i korisnika kredita zvanično ostane neizmenjen - na primer ukoliko je kreditor koristio kreditne derivate ili osiguranje umesto potpune prodaje potraživanja - ipak na odnos kreditora prema korisniku kredita može da utiče činjenica da je to dovelo do smanjenja izloženosti riziku i po preciznim uslovima po kojima je došlo do transfera kreditnog rizika. S obzirom na to da je kreditor transferisao celokupan ili delimičan kreditni rizik, može se očekivati da će to prouzrokovati smanjenje njegovih mera nadzora kreditnog rizika. Pored toga, sa jedne strane, instrumenti za transfer kreditnog rizika bi trebalo da oslobode dodatne kreditne linije i na taj način da donesu prednosti korisnicima kredita. Sa druge strane, neki korporativni korisnici kredita su nerado pristajali na transfer svojih kredita i to je sprečilo
razvoj sekundarnog tržišta kredita. Jedan od razloga za to može biti činjenica da učesnici na tržištu transfer rizika tumače kao negativan signal o kreditnom bonitetu korisnika kredita. Potencijalni efekat signaliziranja zavisi od vidljivosti transakcija prema trećim stranama, koja nije jednaka za sve instrumente transfera kreditnog rizika. Na primer, ta vidljivost je mala na tržištu CDS. Na kraju, postojanje zaštite od kreditnog rizika može uticati na ponašanje kreditora u pogledu korisnika kredita koji nisu u mogućnosti da u potpunosti isplate dug zbog finansijskih poteškoća jer zaštita od gubitka menja profile rizika i prinosa različitih alternativnih mehanizama. Sa jedne strane, postojanje zaštite od kreditnog rizika može da podstakne odustajanje jer više nema podsticaja za pokušaj smanjenja gubitaka primenom blagovremenih mera. Sa druge strane, kreditori koji su transferisali kreditni rizik primenom kreditnih derivata - uključujući restukturiranje kao kreditni događaj - mogu biti podstaknuti da pristanu na restrukturiranje duga, ukoliko je obuhvaćen specifičnom definicijom koja se primenjuje, dok ukoliko su primenjivali instrumente koji ne podrazumevaju restrukturiranje mogu preferirati zauzimanje čvrstog stava sa idejom da će korisnik kredita ući u postupak nesolventnosti ili neizvršenja.
Na kraju, odnos između kupca zaštite, prodavca zaštite i njihovih kreditora/akcionara (spone C i D). S obzirom na to da instrumenti za transfer kreditnog rizika mogu da izmene profile rizika institucija, za njihove kreditore i akcionare je važno da takve promene budu pravilno prikazane u obelodanjenim izveštajima/zahtevima u pogledu otkrivanja podataka. Transfer kreditnog rizika može podrazumevati značajan rizik da druga strana neće ispuniti obavezu, zakonski rizik, operativni rizik i rizik likvidnosti za kupce zaštite, pa samim tim adekvatno obelodanjivanje relevantnih informacija nije od značaja samo za prodavca zaštite.
U sledećoj tabeli je dat kratak pregled potencijalnih problema vezanih za asimetričnost informacija koje prouzrokuju transakcije vezane za transfer kreditnog rizika i odnosa na koje transfer kreditnog rizika može da utiče.
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It may be seen on the graph that the introduction of the credit risk transfer transactions is changing the relationship between credit beneficiaries and creditors in several ways. Firstly, the relationship between protection buyer and protection seller (link A) is exposed to the following problems: (1) The Principal-agent problem, which arises because of the option for the creditor to maintain his relationship with the credit beneficiary and become the agent of the party taking over the risk after the credit risk transfer. In view of the fact that the protection seller can not have, without accompanying costs, an in view into measures of supervision applied by the protection buyer, this is increasing the motivation of the protection buyer for reducing the level of supervision; (2) Problem of incomplete contracting which pertains to the situation when the credit risk transfer contract does not define rights and obligations of the contracting parties in all the circumstances that may arise, and which are connected with an opportunistic behaviour of the contracting parties - for example, if the protection buyer should request payments to be effected on the basis of the contract which are in excess of the really and actually incurred losses, or if the protection seller should attempt to avoid making payments after the credit event has occurred; (3) Asymmetric information distribution which pertains to the information advantage gained by creditor (in connection
with the credit rating of the credit beneficiary) in respect to the protection seller.
In addition, there is the relationship between the creditor/protection buyer and the credit beneficiary (link B). Credit risk transfer from the creditor on to a third party may impact the credit beneficiary. Even in case that the creditor/credit beneficiary relationship officially remains unchanged, for example if the creditor has used credit derivatives or insurance instead of full sale of his claim, nevertheless the relationship between creditor and credit beneficiary may be impacted by
the fact that this has caused a fall in the risk exposure and according to the precise terms under which the credit risk was transferred. In view of the fact that the creditor had transferred the entire or a part of the credit risk, it may be expected that this shall cause lowering of his credit risk supervision measures. In addition, on the one hand, credit risk transfer instruments should liberate additional credit lines and in that way yield advantages to the credit beneficiaries. On the other hand, however, some corporate credit beneficiaries are reluctant to agree to a transfer of their credits, and this has prevented the development of the secondary credit market. One of the reasons for this may be the fact that the participants in the risk transfer market are interpreting as negative the signal on credit rating of the credit beneficiaries. Potential effect of signalisation depends on transparency of transactions towards third parties, which is not equal for all credit risk transfer instruments. For example, this transparency is rather small on the CDS market. Finally, the presence of the credit risk protection may impact the behaviour of creditors regarding the credit beneficiaries, who are not in the position to repay in full their debt because of financial constraints, because protection from loss is changing the risk profiles and yields of various alternative mechanisms. On the one hand, the presence of the credit risk protection may boost renouncement, because there is no longer motivation for an attempt
Graph 2: Brief review of relationships impacted by the credit risk transfer transactions
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Različite činjenice su doprinele značaju kreditnih derivata na širenje tekuće finansijske krize. Kao prvo, pogrešni podsticaji su prouzrokovali da rejting agencije dodele izuzetno visoke rejtinge nelikvidnim, netransparentnim, strukturisanim finansijskim instrumentima kao što su hartije od vrednosti obezbeđene hipotekom - MBS, i kolateralizovane dužničke obaveze - CDO, i samim tim doprinesu povećanju rizika.
Prema propisima Bazel I sporazuma, bilo je neophodno da banke održavaju koeficijent adekvatnosti kapitala na nivou od minimalno 8%. Pošto su rejting agencije procenjivale rizičnost aktive, imale su veliki uticaj na zahteve u pogledu visine kapitala potrebnog za poslovanje. Prema propisima Bazel II sporazuma bankama je bio potreban samo umeren nivo kapitala da bi podržao hartije od vrednosti sa AAA rejtingom. Prema tome, visoki rejtinzi su podrazumevali niže zahteve u pogledu visine kapitala potrebnog za poslovanje, viši leveridž, veći profit, i više bonuse.
Dužnost rejting agencija, poput Moody’s Investors Service, Standard & Poor’s i Fitch Ratings, jeste da na osnovu stručne analize utvrde korelaciju između finansijske
aktive sadržane u hartijama od vrednosti i njihove rizičnosti, i da pruže odgovarajući rejting. Na osnovu njihove ocene i visine potencijalnog prinosa, finansijske institucije odlučuju gde će uložiti svoja sredstva. Visokim v r e d n o v a n j e m rizičnih hartija od vrednosti ocenama od B do AAA, stvoreni su uslovi za značajna ulaganja u loše hartije od vrednosti od strane velikih finansijskih institucija, koje su bile obavezne da ulažu u
visokolikvidne i kvalitetne hartije od vrednosti.Rejting agencije su plaćene od strane
investicionih banaka čijim instrumentima dodeljuju rejting, tako da njihovi profiti zavise od toga da li su banke zadovoljne. Tokom 2005. godine, više od 40% prihoda agencije Moody’s je ostvareno od dodeljivanja rejtinga sekjuritizovanim hatijama od vrednosti, kao što su MBS i CDO. Investicione banke su nudile svoje hartije od vrednosti raznim agencijama u potrazi za onom koja bi im dodelila najveći rejting, a rejting agencije su zauzvrat dodeljivale preterano visoke rejtinge.
Agencije nisu na početku dodeljivale adekvatan rejting hipotekarnim hartijama od vrednosti niti su na im na vreme snizile rejtinge, što je kasnije prouzrokovalo ogromne gubitke. Najviše su bile pogođene banke i finansijske institucije koje su osiguravale hartije od vrednosti, jer nisu bile svesne rizika koje su preuzimale.
Kao drugo, finansijske inovacije su prouzrokovale kreiranje kompleksnih strukturisanih finansijskih instrumenata, čija cena nije mogla tačno da se odredi, koji nisu mogli da se prodaju na tržištima, i koji su postali nelikvidni kada se bum završio.
Tabela 1: Potencijalni uticaj transakcija vezanih za transfer kreditnog rizika na odnos korisnika kredita i kreditora
Potencijalni problem Odnos na koji utiče
Negativna selekcija
Smanjeni podsticaj za kreditora da vrši pregled aktive niskog kvaliteta
Korisnik kredita - kreditorKreditor - prodavac zaštite
Akerlofov „problem limuna“: kreditor kupuje zaštitu za aktivu niskog kvaliteta, povećava troškove zaštite za aktivu visokog kvaliteta
Kreditor - prodavac zaštite
Podsticaji za kreditora da selektuje aktivu niskog kvaliteta (upravljana sekjuritizacija)
Kreditor - prodavac zaštite
Moralni hazard
Smanjeni podsticaj za kreditora da vrši nadzor korisnika kredita
Korisnik kredita - kreditorKreditor - prodavac zaštite
Kupovina kreditne zaštite od strane kreditora nasuprot želja korisnika kredita
Korisnik kredita - kreditor
Uvećani podsticaji za kreditora da prevremeno prouzrokuje neizvršenja
Kreditor - prodavac zaštiteKorisnik kredita - kreditor
Prodavac zaštite ne vrši (u potpunosti ili delimično) uslovljene isplate
Kreditor - prodavac zaštite
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to lower losses by applying timely measures. On the other hand, creditors who had transferred credit risk through the application of credit derivatives - including restructuring as a credit event - may be motivated to accept debt restructuring, if covered by a specific definition which is being applied. In case they applied instruments which did not prescribe restructuring, they may prefer taking a firm stance with the idea that the credit beneficiary will enter the procedure of filing for insolvency or declaring default.
Finally, there is the relationship between protection buyer, protection seller, and their respective creditors/shareholders (lines C and D). In view of the fact that instruments for the credit risk transfer may change the institutions risk profile, for their creditors and shareholders it is important for such changes to be correctly presented in the disclosed reports/requests regarding data disclosure. Credit risk transfer may imply substantial risk that the counterparty shall not comply with its obligations, also the legal risk, operational risk, and liquidity risk for protection buyers, and thus an adequate disclosure of relevant information is not important only for the protection sellers.
The following table presents a brief review of potential problems connected with asymmetric information access, caused by transactions of credit risk transfer, and relationships that may be impacted by the credit risk transfer.
Various facts have boosted the significance of the credit derivatives on dissemination of the current financial crisis. Firstly, wrong motivations have caused rating agencies to give extremely high ratings to illiquid, non-transparent, structured financial instruments, such as the mortgage backed securities - MBS, and collateralised debt obligations - CDO, thus supporting risk growth.
Under the Basel 1 Accord provisions, it was necessary for the banks to uphold capital adequacy ratio at a minimum level of 8%. As the rating agencies were assessing asset risk, they had a great influence on requirement regarding the amount of operating capital. Under the Basel 2 Accord provisions, banks were required to have only a moderate capital level in order to support the AAA rated securities. Hence, high ratings assumed lower capital requirements for operating purposes, a higher leverage, higher profits, and more bonuses.
The task of rating agencies, like Moody’s Investor Service, Standard & Poor’s, and Fitch Ratings, is to establish, on the basis of an expert analysis, a correlation between financial assets held in securities and their risk exposure, and thereupon to determine an adequate rating. On the basis of their rating and the amount of potential returns, financial institutions decide where to invest their funds. High valuation of risky securities with ratings from B to AAA created conditions for substantial investments
in poor securities by large-scale financial institutions, which were obliged to invest in highly liquid and prime quality securities.
Rating agencies, having been paid by investment banks with whose instruments they were allocating ratings, had their profits dependent on whether such respective banks were satisfied with their ratings, or not.
Table 1: Potential impact of credit risk transfer transactions on the relationship between credit beneficiary and creditor
Potential problem Impacting the following relationship
Negative selection
Lower motivation for the creditor to examine low quality assets
Credit beneficiary - CreditorCreditor - Protection seller
Akerlof “Lemons Problem”:Creditor buys protection for low quality assets, increases costs for high quality assets protection
Creditor - Protection seller
Motivation for creditor to select low quality assets (managed securitisation)
Creditor - Protection seller
Moral hazard
Lower motivation for creditor to supervise credit beneficiary
Credit beneficiary - CreditorCreditor - Protection seller
Credit protection purchase by creditor against the will of credit beneficiary
Credit beneficiary - Creditor
Higher motivation for creditor to prematurely cause default
Creditor - Protection sellerCredit beneficiary- Creditor
Protection seller not effecting (in full or in part) contracted payments
Creditor - Protection seller
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Prema proceni SIFMA, iznos neizmirenih MBS u prvom kvartalu 2008. godine je bio 7,4 biliona $, što je više nego duplo u odnosu na 2001. godinu. CDO u iznosu od preko 500 milijardi $ su emitovane i u 2006. i u 2007. godini, što je neverovatan porast u odnosu na iznos od 157 milijardi $ u 2004. godini. Rast ovih hartija od vrednosti je omogućio da najveće finansijske institucije ostvare velike profite, ali je takođe narušio transparentnost koja je neophodna za održavanje tržišne efikasnosti.
Jedna MBS može da sadrži nekoliko hiljada hipoteka, a jedna CDO može da obuhvati do 150 MBS. CDO2 i CDO3 su posebno komplikovane za određivanje cena jer veliki broj hipoteka se nalazi u većem broju CDO u osnovi.
Odnos između vrednosti CDO i vrednosti njenih hipoteka je kompleksan i nelinearan. Značajne promene u vrednosti hipoteka koje su u osnovi podstiču velika i nepredvidiva kretanja u vrednostima CDO. Da bi odredile njihovu cenu, rejting agencije i investicione banke koje kreiraju te hartije od vrednosti primenjuju izuzetno kompleksne modele, koji su nepouzdani i kojima može lako da se manipuliše.
Tokom buma je postojala velika tražnja za CDO zato što su kupci mogli da pozajme novac jeftino, prihodi su bili visoki, a instrumenti su imali visoke rejtinge. Ali kada se hipotekarni bum završio a neizvršenja uvećala, činjenica da niko nije znao njihovu tačnu vrednost je prouzrokovala nestanak tražnje i likvidnosti, kao i drastičan pad cena. Kada je nastala kriza, CDO su mogle da se prodaju isključivo uz ostvarivanje ogromnih gubitaka. U periodu do februara 2009. godine je došlo do neizvršenja skoro polovine ukupnih CDO koje su ikada emitovane.
Kao treće, regulatorni organi su dozvoljavali bankama da drže rizične hartije od vrednosti van bilansa stanja, u strukturisanim investicionim entitetima, bez ikakvih zahteva u pogledu visine kapitala potrebnog za poslovanje. Na taj način su regulatorni organi podstakli banke da pomere svu moguću aktivu van bilansa stanja. Kada se polovinom 2007. godine tražnja za rizičnim finansijskim instrumentima smanjila, vanbilansni SIV koji su kreirani od strane banaka su postali kupci poslednje instance za ogromnu količinu novih MBS i CDO koji
su poticali od investicionih banaka. Na kraju 2007. godine, J. P. Morgan i Citigroup su imali skoro po 1 bilion $ u aktivi koja se nalazila van njihovih bilansa stanja, odnosno u SIV.
SIV su izdavali komercijalni papir i koristili prihode za kupovinu sekjuritizovanih aktiva poput CDO. Da bi omogućili komercijalnom papiru da dobije AAA rejting pa samim tim i niske kamatne stope, banke su morale da obezbede da SIV ima zagarantovane kreditne linije. To je uticalo na to da banke postanu neotporne na probleme sa kojima se susreću navodno nezavisni SIV. Iako se pretpostavljalo da su finansijska tržišta transparentna, veliki broj učesnika nije ni znao da SIV postoje sve do početka njihovog kolapsa.
Kada su problemi na hipotekarnom tržištu prouzrokovali neizvršenja subprimarnih kredita, vrednost MBS i CDO je opala, što je uticalo na odlazak sa tržišta komercijalnih papira obezbeđenih aktivom. Sa nestankom njihovog glavnog izvora finansiranja, banke su bile primorane da aktivu SIV, kojoj je umanjena vrednost, vrate na svoje bilanse stanja, što je dalje imalo negativan uticaj na bankarski kapital. To je prinudilo banke da pokušaju da smanje svoj rizik povećanjem kamatnih stopa i smanjenjem iznosa odobrenih kredita domaćinstvima i nefinansijskim institucijama.
Kao četvrto, nadzorni organi su dozvoljavali najvećim bankama da mere sopstveni rizik i odrede visinu kapitala potrebnog za poslovanje. U skladu sa postojećim pogrešnim podsticajima, to je prouzrokovalo prekomerno preuzimanje rizika. Deregulacija je omogućila finansijskim konglomeratima da postanu toliko veliki, da niko nije mogao tačno da proceni njihov rizik. Banka za međunarodna poravnanja je ubedila državne regulatorne organe da dozvole bankama da procene sopstveni rizik, i samim tim odrede visinu kapitala potrebnog za poslovanje. U te svrhe primenjivali su VAR model, koji se odnosi na postupak određivanja verovatnoće gubitka za portfolio, koji je zasnovan na statističkim analizama i ranijim trendovima. Međutim, primena VAR modela je svojim nedostacima doprinela nastanku tekuće finansijske krize, i uticala na to da su u trenutku pojave krize banke imale neadekvatne kapitale rezerve.
Kao peto, komercijalne banke nisu prenosile
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During 2005, more than 40% of the revenues made by Moody’s agency were acquired from allocating ratings to securitized securities, such as the MBS and CDO. Investment banks were offering their securities to various agencies, in pursuit of the one that would give them the highest rating, while the rating agencies, in return, were giving them excessively high ratings.
In the beginning, the agencies were not allocating adequate ratings to mortgage backed securities, and neither have they lowered their rating in good time, which has caused later on enormous losses. The worst to be hit were the banks and financial institutions that were insuring securities, because they were not aware of the risks that they were taking.
In addition, financial innovations have caused the creation of complex structured financial instruments, where it was not possible to determine their price accurately, and neither could they be traded on the markets, and they became illiquid as soon as the boom period ended.
According to the SIFMA estimate, the amount of MBS in arrears in the first quarter of 2008 was 7.4 billion USD, which is more than double in respect to 2001. CODs in the amount of over 500 billion USD were issued in 2006 and 2007, which is an incredible growth in respect to the amount of 157 billion USD in 2004. Growth of these securities allowed the major financial institutions to make large profits, but it also disturbed transparency which is necessary for maintaining market efficacy.
One MBS may contain several thousand mortgages, and one CDO may encompass up to 150 MBSs. CDO2 and CDO3 are especially complicated for pricing purposes because a large number of mortgages is to be found in a large number of CDO in its basis.
The ratio between CDO value and the value of its mortgages is complex and non-linear. Significant changes in the value of mortgages that are in its basis are instigating large-scale and unpredictable movements in the CDOs values. In order to determine their price, rating agencies and investment banks that are creating these securities, are applying extremely complex models, which are unreliable and which can be easily manipulated.
During the time of economic boom, there was a high demand for the CDOs because customers could borrow money cheaply, earnings were high, and instruments had high ratings. But when the mortgage boom ended and defaults grew, the fact that no one knew their precise value caused the drop in demand and liquidity, and a drastic fall in prices. When the crisis erupted, CDOs could be sold exclusively with suffering enormous losses. In the period up to February 2009, defaulting occurred in almost one half or the total CDOs that were ever issued.
Thirdly, regulatory authorities allowed the banks to hold risky securities as their off-balance sheet positions in structured investment entities, without any requirements regarding the necessary operational capital. In this way, regulatory authorities instigated the banks to shift all their possible assets to the off balance sheet positions. When in mid-2007, demand for risky financial instruments subdued, off-balance sheet structured investment vehicles -SIVs that were created by banks, became buyers of last resort for enormous quantities of the new MBS and CDO that were coming from the investment banks. By the end of 2007, J.P. Morgan and the Citigroup had almost 1 billion USD each in assets that were placed as the off-balance sheet positions, i.e. in the SIVs.
SIVs were issuing commercial paper and were using revenues for purchase of securitized assets like the CDO. In order to allow for a commercial paper to obtain an AAA rating and thus have low interest rate, banks had to secure for SIV guaranteed credit lines. This impacted the banks in a way that they became susceptible to problems encountered, allegedly, by independent SIV. Although it was assumed that financial markets are transparent, a large number of participants did not know anything about the existence of SIV until the beginning of their collapse.
When the problems of the mortgage loans market caused defaults of Subprime loans, value of MBS and CDO fell, which had an impact on the departure from the market of the assets secured commercial papers. With the absence of their main source of financing, banks were forced to return the SIV assets, with decreased value, into their balance sheets, which had again
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rizičnu aktivu na tržišta kapitala i hedžovale preostali rizik. Opšta pretpostavka je bila da banke nisu rizične, zato što su, nasuprot prethodnom periodu kada su držale kredite u bilansima stanja, sada prodavale svoje kredite tržištima kapitala primenom sekjuritizacije. Takođe, smatralo se da banke hedžuju preostali rizik primenom CDS. Međutim, ispostavilo se da su ta oba tvrđenja netačna.
Postojalo je pet razloga zbog kojih su banke zadržavale rizične instrumente kao što su MBS i CDO. Prvo, da bi umanjile moralni hazard i ubedile potencijalne investitore da su te hartije od vrednosti bezbedne, banke su često morale da zadrže najrizičniji deo - tzv. „toksičnu aktivu”. Drugo, CDO su bile posebno atraktivne za banke zato što su mogle da ih drže van bilansa stanja bez zahtevanih kapitalnih rezervi.
Treći razlog se odnosio na činjenicu da je stopa protoka tih hartija od vrednosti u bankama bila toliko visoka, a vremenski period od bankarskog prijema hipoteke do prodaje MBS ili CDO čiji je bila sastavni deo bio dovoljno dugačak, da su banke u svakom vremenskom trenutku držale značajne količine tih hartija od vrednosti. Kada je došlo do kolapsa tražnje za MBS i CDO, u posedstvu banaka su ostale ogromne količine nekretnina i hartija od vrednosti obezbeđenih nekretninama koje nisu mogle da prodaju. Globalna emisija CDO je opala sa 177 milijardi $ u prvom kvartalu 2007. godine na manje od 20 milijardi $ u 2008. godini, što predstavlja pad od 84%. Pad cena tih instrumenata predstavlja glavni izvor ogromnih bankarskih gubitaka koji su bili pokretačka sila krize.
Nagomilavanje rizične aktive na bankarskim bilansima stanja je delimično bilo podstaknuto lošom regulativom. Prema propisima Bazel I sporazuma, minimalna stopa adekvatnosti kapitala bila je mnogo viša za kredite nego za aktivu, koju su banke tvrdile da drže radi obavljanja transakcija i da se po svoj prilici neće dugo zadržati u njihovim poslovnim knjigama. To je podstaklo banke da nagomilaju CDO tranše sa rejtingom AAA na svojim trgovinskim kontima. Međutim, ispostavilo se da je ta aktiva
dugoročnija, nelikvidna i rizična, i da njena cena može drastično da opadne tokom krize.
Četvrti razlog se odnosio na činjenicu da kada su banke uvidele da ne mogu da prodaju najmanje rizične (starije) tranše hartija od vrednosti koje su obezbeđene hipotekom, zato što su njihovi prinosi bili relativno niski, zadržale su ih za sebe kako bi mogle da održe visok stepen prodaje CDO, koji je dalje uticao na povećanje bonusa. Na kraju, s obzirom na podsticaje banaka da ostvare pozamašne profite i bonuse preuzimanjem velikih rizika, one su namerno zadržavale neke od najrizičnijih instrumenata.
Vrednost CDS u decembru 2007. godine dostigla je iznos od 62 biliona $, dok je maksimalna vrednost duga koji je mogao da bude osiguran primenom tih derivata iznosila 5 biliona $, tako da je bilo očigledno da je u pitanju ogromna špekulacija od strane banaka i drugih institucija. Na osnovu toga se može pretpostaviti da je zapravo špekulacija bila glavni motiv za poslovanje najvećeg broja banaka na derivatnom tržištu, a ne hedžing, odnosno upravljanje kreditnim rizikom primenom CDS. Tokom 2007. godine špekulativne aktivnosti su dominirale na CDS tržištu, što je na kraju doprinelo propadanju AIG-a, Bear Stearns-a i Lehman Brothers-a. Procenjeno je da je od februara 2009. godine AIG ostvario gubitke u iznosu od preko 60 milijardi $ po osnovu CDS ugovora. Država je investirala 180 milijardi $ da bi spasila AIG, u cilju pružanja zaštite od gubitaka, koje bi u suprotnom ostvarile institucije po osnovu ugovora koje su sklopile sa AIG-om u slučaju njegovog stečaja. I druga preduzeća su primila kapitalne inekcije kao vid državne intervencije. Sve to ukazuje na moralni hazard najvećeg stepena.
Na kraju, povećana upotreba kompleksnih finansijskih proizvoda u integrisanom globalnom finansijskom sistemu, kao i sekjuritizacija i finansiranje preko usko povezanih globalnih tržišta kapitala, su omogućili formiranje kanala putem kojih se prenosila kriza, i koji su prouzrokovali povećanje sistemskog rizika.
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a negative impact on the banking capital. This forced the banks to try and lower their risk by raising interest rates and lowering the amount of credits disbursed to households and non-financial institutions.
Fourthly, supervisory authorities were allowing the largest banks to measure their own risk and set the level of capital required for business operations. In accordance with the already present erroneous impulses, this caused an excessive risk exposure. Deregulation allowed financial conglomerates to become so big, that no one could estimate precisely their risk exposure. The Bank for International Settlements convinced national regulatory authorities to allow the banks to assess their own risks exposure and thus set their capital adequacy for business operations. To that end, they were applying the VaR model, which deals with the procedure for determining the probability of portfolio losses, and which is based on statistical analysis and history trends. Application of the VaR model, with its shortcomings, however, contributed towards the creation of the current financial crisis, and caused the banks, at the moment of eruption of the crisis, to have inadequate capital reserves.
Fifthly, commercial banks did not transfer their risk exposed assets to the capital market or hedged the remaining risk. General assumption was that the banks were not risk exposed because, unlike the previous period when they had kept credits in their balance sheets, now they were selling their credits to the capital markets through the applied securitisation. In addition, the opinion was that the banks were hedging the remaining risk by applying the CDS. However, it turned out that both of these assumptions were erroneous.
There were five reasons why the banks were keeping risk exposed instruments, such as the MBSs and the CDOs. Firstly, in order to lower the moral hazard and convince potential investors that such securities were safe, banks often had to retain and keep that part of assets that were containing the highest risk - and were the so called “toxic assets”. Secondly, CDOs were especially attractive to banks because they could be kept in the off-balance sheet status without required capital reserves.
The third reason pertained to the fact that
the cash flow rate of these securities in banks was so high, while the time period from the receipt as mortgage by the bank and up to the sale of MBS or CDO that were their component part, was so long, that the banks at any given moment in time, held substantial quantities of these securities. When the collapse occurred in demand for the MBSs and the CDOs, banks were holding in their possession enormous quantities of real estate and mortgage backed securities that they were now not able to sell. Global CDO issue fell from 177 billion USD in the first quarter of the year 2007 to less than 20 billion USD in 2008, which is a fall of 84%. The fall in prices of these instruments was the main source of enormous banking losses which were the power forces of the crisis.
Pilling up of risk exposed assets in the banking balance sheets was in part instigated by poor regulation. According to the Basel 1 Accord, the minimum capital adequacy ratio was much higher for credits than for the assets, which the banks claimed they were keeping for performing transactions, and that they probably will not remain long in their business books. This motivated the banks to pile up CDO tranches with the AAA rating in their trading accounts. However, it turned out that such assets were longer-term ones, illiquid and risk exposed, and that their prices may drastically fall during the crisis.
The fourth reason pertained to the fact that when the banks saw that they could not sell the least risk exposed (older) mortgage backed security tranches, because their yield was relatively low, they kept them for themselves in order to keep up a high degree of the CDO sales, which in turn, impacted the raise of bonuses. Finally, in view of the instigations that motivated the banks to make substantial profits and bonuses by venturing into high risk exposure, they retained on purpose some of the highest risk instruments.
The value of CDSs in December 2007 reached the amount of 62 billion USD, while the maximum value of debt that could be secured through application of these derivatives amounted to 5 billion USD, so it was obvious that it was the question of an enormous speculation by banks and other institutions. In this light it may be assumed
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Navedeni grafikon prikazuje ulogu kreditnih derivata u tekućoj finansijskoj krizi, odnosno kako subprimarne hipoteke mogu da prerastu u ABS, CDO i CDS.
U dnu grafikona je nalogodavac, koji izdaje suprimarne hipoteke. Zatim slede sekjuritizovane subprimarne hipoteke koje su postale sastavni deo mnogo većeg pula koji nosi naziv hartije od vrednosti obezbeđene rezidencijalnom hipotekom - RMBS. To uključuje malo manje rizične Alt-A hipoteke i hipoteke više klase u koje spadaju: konvencionalne, džambo i FHA/VA.
RMBS, kojima su rejting agencije dodeljivale AAA rejting do juna 2007. godine, su zajedno sa komercijalnim hartijama od vrednosti obezbeđenim hipotekom - CMBS, kreditima
za kola, kreditnim karticama i studentskim kreditima, postale sastavni deo mnogo većeg pula pod nazivom hartije od vrednosti obezbeđene aktivom - ABS.
Na sledećem nivou se vidi kako su ABS podeljene u stariju, srednju i akcijsku tranšu, i onda spojene u CDO. CDO mogu da budu obezbeđene bilo kojom vrstom aktive, od jednostavnih korporativnih obveznica - kod gotovinskog CDO, do drugih CDO - kod SCDO. Instrumenti su postali još kompleksniji pojavom CDO2 i CDO3. Pre nego što se hartije od vrednosti transformišu u CDO, obično prvo dođe do nekih posredničkih međukoraka. CDO menadžeri pozajmljuju od banaka, koje finansiraju akviziciju ABS. Banke ih skladište i rekonstituišu.
U međuvremenu, menadžeri dobijaju prodajne naloge za te CDO, koje obično uzimaju vanbilansni entiteti ili SIV. Oni se obično finansiraju komercijalnim papirom koji je obezbeđen aktivom - ABCP, kratkoročnim kreditima, koji se zauzvrat prodaju bankama.
Glavni problem vezan za ovu celokupnu strukturu je
povećanje leveridža na svakom nivou. Da bi ublažili rizik od stečaja, kreditori i vlasnici ovih hartija od vrednosti su kupovali CDS.
Prema tome, većina CDO investitora je hedžovala rizik kupovinom CDS na osnovni dug. Oni su verovali da će im CDS omogućiti da hedžuju izloženost riziku subprimarnih CDO. Samim tim, jedna od pretpostavki je da neke finansijske institucije ne bi kupile velike količine CDO da nisu bile u mogućnosti da kupe CDS sa idejom da ih primene u svrhe hedžinga od rizika. U skladu sa tim, logičan zaključak je da su CDS doprineli širenju subprimarnih hipotekarnih kredita, njihove kasnije sekjuritizacije, i na kraju tekuće finansijske krize. Nekoliko finansijskih analitičara je CDS prozvalo “monstrumom koji je uništio Wall Street”.
Grafikon 3: Uloga kreditnih derivata u tekućoj finansijskoj krizi
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that speculation was actually the main motive for operations of the majority of banks on the derivatives market, and not the hedging, i.e. credit risk management through the application of the CDS. During 2007, speculative activities were predominant on the CDS market, which ultimately led to the collapse of the AIG, Bear Stearns, and Lehman Brothers. It is estimated that from February 2009, AIG made losses in the amount of over 60 billion USD on the basis of the CDS contracts. The government invested 180 billion USD in order to save AIG and give protection from losses, because in the case of contrary, many institutions would have incurred enormous losses on the grounds of contracts concluded with the AIG in case of its bankruptcy. There were also other companies that were receiving capital injections in the form of state intervention. All this illustrates the moral hazard of the highest degree.
Finally, a growing use of complex financial products in an integrated global financial system, as well as securitisation and financing through closely connected global capital markets, allowed for the formation of channels through which the crisis was spilling over and causing growth of systemic risk.
This graph presents the role of credit derivatives in the current financial crisis, i.e. the way in which Subprime mortgages may grow into ABS, CDO, and CDS.
In the lower part of the graph the ordering party is presented: the one who issues Subprime mortgages. What follows are securitised Subprime mortgages which have become a component part of a much larger pool, bearing the name of the real estate mortgage backed security - RMBS. This includes a slightly less risky Alt-A mortgages and mortgages of a higher class like the following: conventional, jumbo, and FHA/VA.
RMBS that were given an AAA rating by the rating
agencies until June 2007, together with the commercial mortgage backed securities - CMBR, car purchase loans, and students’ credits, become a component part of a much larger pool called the assets backed securities - ABS.
The next level presents the way in which the ABS were divided into an older, medium and equity tranche, and then put together into the CDO. CDOs can be secured by either one type of assets, from simple corporate bonds - in case of cash CDOs, and up to other CDOs - the SCDO. Instruments have become even more complex with the emergence of the CDO2 and the CDO3. Before the securities were to transform in to the CDOs, usually what initially occurs are some intermediation interim steps. CDO managers are borrowing from banks which are financing ABS acquisition. Banks are storing them and are reconstituting them.
Graph 3: The role of credit derivatives in the current financial crisis
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CDS su uticali na tekuću finansijsku krizu na nekoliko značajnih načina. Kao prvo, stvarali su neizvesnost oko toga ko na kraju snosi kreditni rizik. Mogućnost transferisanja kreditnog rizika putem CDS otežava procenu rizičnosti određenih posrednika. Problem je u tome što iznos CDS koje banka kupuje ili prodaje nije prikazan na njenom bilansu stanja. Taj nedostatak prikazanih podataka utiče na to da je drugoj ugovornoj strani (bankarskim depozitarima ili investitorima koji kupuju bankarske obveznice ili komercijalne papire) komplikovano da proceni njihovu rizičnost. Prema tome, CDS utiče na to da pravi stepen rizičnosti finansijske institucije bude nevidljiv.
Taj manjak transaparentnosti je uticao na to da celokupni finansijski sistem postane neotporniji na eventualni gubitak poverenja u drugu ugovornu stranu. Na primer, kada su eskalirala neizvršenja po osnovu subprimarnih hipotekarnih kredita u 2008. godini, povećala se neizvesnost vezana za pouzdanost velikog broja posrednika, zato što nije bilo jasno ko će na kraju da snosi gubitke. To je prouzrokovalo gubitak poverenja u drugu ugovornu stranu, i dovelo do kolapsa na glavnim tržištima.
Kao drugo, uticali su na to da glavni prodavci CDS postanu osetljivi na neuspehe drugih, što dalje podstiče sistemski rizik. CDS dileri - posrednici koji su prodavali osiguranje - su postali osetljivi na neuspehe drugih dilera. Većinom CDS ugovora se trgovalo vanberzanski. Na vanberzanskom tržištu, diler nije upoznat sa transakcijama koje klijent obavlja sa drugim dilerima. U kontekstu CDS, poznavanje rizičnosti bilo kog klijenta (druge ugovorne strane) zahteva uvid u ugovore koje su oni prethodno sklopili sa drugima. Kada nemaju uvid u te druge ugovore, posrednici nisu u mogućnosti da traže adekvatnu kompenzaciju za rizik.
Kao treće, omogućili su prodavcima osiguranja da lakše preuzmu rizik. Nedostatak transparentnosti na OTC tržištu je omogućio da AIG preuzme rizik. Kolateral koji su AIG-ove druge ugovorne strane zahtevale je bio nizak u povoljnom periodu zbog visokog kreditnog rejtinga preduzeća, i zato što nijedan partner u trgovini nije mogao da vidi rizike koje je AIG preuzeo u transakcijama sa drugim stranama. Kada se tokom krize uvećao rizik neizvršenja,
AIG je pretpeo ogromne gubitke, potencijalno sniženje sopstvenih kreditnih rejtinga i više stope zahtevanog kolaterala. Takođe, pogrešno određene cene CDS transakcija su direktno dovele do toga da država kupi kontrolu nad AIG-om, što je prouzrokovalo velike gubitke i doprinelo daljoj destabilizaciji svetskog finansijskog sistema.
Pored toga, CDS sadrže moralni hazard. Događaji tokom proteklih nekoliko godina ukazuju na to da CDS ugovori mogu da kreiraju podsticaje za ostvarenje gubitaka na taj način što omogućavaju da se ostvari profit po osnovu gubitka. U tom slučaju moralni hazard predstavlja aktivnost koja smanjuje podsticaje za zaštitu od rizika ili minimizira troškove gubitka.
Finansijski proizvodi koji transferišu sredstva u slučaju gubitka daju kupcu podsticaj da prouzrokuje taj gubitak. CDS potencijalno stvara takav podsticaj ili moralni hazard jer donosi nagrade u slučaju kada dođe do bankrotstva ili zaplene i prodaje dužnikove nekretnine. Takođe, kupac CDS koji ne poseduje osnovnu aktivu će imati koristi ukoliko dođe do neizvršenja i samim tim ima podsticaj da preduzme mere koje utiču na nastanak neizvršenja.
Moralni hazard je vidljiv na primeru General Motors-a, gde određeni vlasnici obveznica GM, barem u početku, nisu bili spremni da zamene dug za kapital kako bi preduzeće nastavilo da funkcioniše i omoguće preduzeću da se izdigne iz stečaja, jer su držali CDS i bili u finansijski boljoj poziciji u slučaju nastupanja neizvršenja.
Drugi primer moralnog hazarda se odnosi na slučaj kada je Amherst Holdings, mala brokerska firma iz Teksasa, prodala CDS (zaštitu od neizvršenja) na hipotekarne obveznice, a zatim kupila kredite na imovinu koji su se nalazili u osnovi tih obveznica, po cenama višim od tržišnih da bi izbegla nastupanje neizvršenja koje bi dovelo do isplata kupcima ugovora. Hipotekarne obveznice koje je Amherst izabrala su spadale u obveznice sa klauzulom o opozivu - mogu biti opozvane u slučaju kada se iznos kredita koji podržavaju dug smanji do određenog nivoa putem refinansiranja, otplate kredita ili neizvršenja. Prema
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In the meantime, managers receive selling orders for the said CDOs, which are usually taken over by the off-balance sheet entities, or by the structured investment vehicles - SIVs. They are usually financed by an assets backed commercial paper - ABCP, or by short-term credits, which in turn are sold to the banks.
The main problem regarding this entire structure is an increased leverage on every level. In order to mitigate a bankruptcy risk exposure, both the creditors and holders of these securities were buying the CDSs.
Therefore, the majority of the CDO investors were hedging the risk by buying the CDS on the main debt. They believed that the CDS will allow them to hedge against the risk exposure to the Subprime CDOs. In doing this, one of the assumptions was that some of the financial institutions would not have bought large quantities of the CDOs if they were not in the position to buy also the CDS, with the idea of applying them for hedging against risk exposures. Hence, the logical conclusion is that the CDSs have contributed to the spreading of the Subprime mortgage loans, their later securitisation, and finally, the eruption of the current financial crisis. Some of the financial analysts called the CDS “a monster that destroyed the Wall Street”.
CDSs had influenced the current financial crisis in several significant ways. Firstly, they created uncertainty regarding the question as to who bears the ultimate credit risk. The possibilities of credit risk transfer through the CDS makes it harder to assess the risk exposure of certain intermediaries. The problem is that the CDS amount that the bank buys or sells in not presented in its balance sheet. This absence of presented data complicates matters for the other counterparty (banking depositors or investors who are buying bank bonds or commercial papers) in estimating their risk exposure. Hence, CDS renders the first degree of risk exposure of a financial institution invisible.
This lack of transparency also had an effect on the entire financial system, making it less resistant to eventual loss of confidence into the other counterparty. For example, when defaults escalated in the field of Subprime mortgage loans in the year 2008, there was a growing uncertainty in respect to the reliability
of a large number of intermediaries, because it was not clear who will be bearing the losses at the final outcome. This has caused the loss of confidence in the counterparty, and brought about the collapse of the main markets.
Secondly, CDSs affected the situation in such a way that the main CDS sellers became susceptible to failures of others, which further instigated the systemic risk. CDS dealers - intermediaries who were selling insurance - became sensitive to failures of other dealers. Most of the CDS contracts were traded over the counter. On the over the counter market, dealer has no knowledge of transactions that the client is making with other dealers. In the CDS context, knowledge of risk exposure of every client (the other contracting party) demands an insight into contracts that he has previously concluded with any other parties. When such an insight into such contracts is absent, intermediaries are not able to ask for adequate risk compensation.
Thirdly, CDSs have made it easier for the insurance sellers to take the risk. The lack of transparency on the OTC market allowed the AIG to take risks. Collateral that the AIG counterparties demanded was low during the boom period because of high credit rating of that company, and because none of its trading partners could see the risks that AIG was taking in transactions with other counterparties. When during the crisis the non-performance risk grew, AIG suffered enormous losses, potential lowering of its own credit rating and higher rates of required collateral. In addition, erroneously fixed prices of CDS transactions have directly led to the situation where the government bought control over the AIG, which caused great losses and enhanced further destabilisation of the world financial system.
In addition, CDS contains a moral hazard. Events during the last several years show that the CDS contracts can create instigation for making losses in the way that they allow for profit to be made based on loss. In that case, moral hazard is an activity that reduces motivation for risk protection or minimises cost of loss.
Financial products which transfer funds in case of loss offer the buyer a boost to cause such a loss. CDS potentially is creating such a motivation or a moral hazard, since it brings
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tome, mehanizam putem kog se Amherst postarala da će dovoljna količina novca biti dostupna emitentu hipotekarnih kredita da plati dospele obaveze po osnovu tih obveznica, je ujedno prouzrokovao opoziv tih obveznica. Obveznice su otplaćene u celosti, i CDS koje je Amherst prodala na te hipotekarne obveznice su postali bezvredni. Banke, uključujući JP Morgan, RBS i Bank of America, koje su kupile CDS su se samim tim našle na pogrešnoj strani ove transakcije. U izveštajima je saopšteno da je Amherst prodala CDS u iznosu od više od 100 miliona $ na 29 miliona $ nedospelih hipotekarnih obveznica - to podrazumeva ostvaren profit u iznosu većem od 70 miliona $.
Sledeći grafikon takođe dobro ilustruje ulogu kreditnih derivata u tekućoj finansijskoj krizi, odnosno međupovezanost kompleksnih instrumenata (MBS, ABS, CDO, CDS).
Zaključak
I pored toga što su kreditni derivati doprineli širenju tekuće finansijske krize, smatra se da njihova pravilna upotreba može da doprinese ponovnom uspostavljanju finansijske stabilnosti. Uvođenju i razvijanju finansijskih derivata u Srbiji bi trebalo oprezno da se pristupi, kako bi se izbegli ili bar minimizirali potencijalni odjeci tekuće finansijske krize. Iako finansijsko tržište Srbije nije direktno pogođeno tekućom krizom, ono ipak preko volatilnosti valutnih kurseva, kamatnih stopa, kao i potencijalnih kreditnih rizika, oseća posledice ove krize.
Od nedavno, nekoliko vodećih svetskih investicionih banaka počelo je sa kreiranjem CDS i za zemlje Jugoistočne i Istočne Evrope. Najpopularniji su CDS za Tursku, Rumuniju i Kazahstan, kao i za Bugarsku i Rumuniju. Neke od banaka kao što su Barclays i JP Morgan su u toku 2007. godine počele da kotiraju klijentima i cenu osiguranja investicija u Srbiji. Međutim, posle izbijanja svetske krize, i poklapanjem lokalnih kriza sa svetskom, tržište CDS za Srbiju je praktično zamrlo. Samim tim, bez likvidnosti, stope rizika za Srbiju su među najvećima u Evropi i više su od većine zemalja u regionu, odražavajući nizak investicioni rejting Srbije, nepoverenje investitora u održivost stabilnosti dinara kao i još uvek prisutnu regionalnu političku nestabilnost.
Grafikon 4: Kreditni derivati u tekućoj finansijskoj krizi
Literatura / References
1. Akerlof, George. “The Market for Lemons: Quality Uncertainty and the Market Mechanism”, The Quarterly Journal of Economics 84 (3), (1970), 488-500.
2. Committee on the Global Financial System, “Credit Risk Transfer”, www.bis.org., (2003), 1-57.
3. Crotty, James. “Structural Causes of the Global Financial Crisis: A Critical Assessment of the New Financial Architecture”, Cambridge Journal of Economics 33 (4), (2009), 563-580.
4. Dickinson, Eric. “Default Swaps: So Dear to Us, So Dangerous”, Fordham University - School of Law, (2008), 1-28.
5. International Swaps and Derivatives Association. “ISDA Provides Concentration Statistics on OTC Derivatives Activity and Publishes Mid-Year 2010 Market Survey Results”, www.isda.org., (2010), 1-2.
6. Kothari, Vinod. “Introduction to Credit Derivatives”, www.credit-deriv.com., (2003), 1-23.
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reward in case of bankruptcy or seizure and sale of obligor’s real estate. In addition, CDS buyer who is not the owner of the underlying assets will benefit in case of default, and thus has a motivation to take measures that would impact the event of non-performance.
Moral hazard is visible in the case of General Motors, where certain holders of the GM bonds, at least in the beginning, were not ready to swap dept for capital in order to allow the company to continue to function and avoid bankruptcy, because they were holding CDSs and were in a financially better position in the event of default.
Another example of moral hazard is the case where Amherst Holdings, a small brokerage firm from Texas, sold the CDS (default protection) on mortgage bonds, and then bought real estate loans that were in the basis of these bonds, at prices higher than the market ones, in order to avoid the event of default which would require payments to be made to the contract buyers. Mortgage bonds which the Amherst Holdings selected were ranking among bonds with the call clause - and could be called in case when the amount of loans supporting the debt would be reduced to a certain level through refinancing, credit repayment or default. Therefore, the mechanism through which Amherst strived to make a sufficient quantity of money accessible to the issuer of mortgage loans to pay matured liabilities on these bonds simultaneously caused the call of these bonds. Bonds were paid in full, and the CDSs that Amherst had sold on those mortgage bonds became worthless. Banks, including JP Morgan, RBS, and the Bank of America, which had bought the CDSs, thus found themselves on the wrong side of this transaction. In the reports it was stated that Amherst sold CDSs in the amount of over 100 million USD on the grounds of 29 million USD of immature mortgage bonds - which means a profit made in the amount higher than 70 million USD.
The following graph also illustrates well the role of credit derivatives in the current financial crisis, i.e. mutual connection between complex instruments (MBS, ABS, CDO, CDS).
Conclusion
Regardless of the fact that the credit derivatives have contributed to the spreading over of the current financial crisis, the opinion prevails that their proper use can boost a re-establishment of financial stability. Introduction and development of financial derivatives in Serbia should be approached with prudence, in order to avoid, or at least minimise, the potential echoes of the current financial crisis. Although the financial market of Serbia has not been directly targeted by the current crisis, nevertheless through the volatility of the foreign exchange rates, interest rates, and potential credit risks, it is still feeling the effects of this crisis.
Recently, some of the leading world investment banks have started with the creation of the CDSs also for the countries of the South Eastern and Eastern Europe. The most popular amongst these are the CDS created for Turkey, Romania, and Kazakhstan, and also those aimed at Bulgaria and Romania. Some of the banks, such as Barclays and the JP Morgan, during 2007, started to quote for clients the price insurance for investments into Serbia. However, after the eruption of the world crisis, the local crisis overlapping with the global one, the market for the CDS for Serbia had practically died away. Hence, without liquidity, the risk exposure rates for Serbia are among the highest ones in Europe and higher than for majority of other countries in the region, reflecting the low investment rating of Serbia, lack of confidence of investors into a sustainable stability of the dinar currency, and still prevailing regional political instability.
Graph 4: Credit derivatives in the current financial crisis
Structured loanCredit derivatives
