Morceaux choisis du rapport d'investigation sur la crise financière par la FCIC.
rapport de 662 pages disponible ici http://fcic.gov/report Plan de l'article 1) Plus vous ferez correctement certains boulots (dans le contrôle notamment), moins vous réussirez 2) Et parmi les bons élèves (ironique bien sûr), la Société Générale ! 3) suivi d'article du 18 janvier 2010 Revue du livre La face cachée des banques. supervision consolidée des firmes financières. 4) Consultant et trader, même combat. Pile tu gagnes, face tu disparais et les autres passent à la caisse. AIG 5) Suivi d'articles sur AIG et la Société Générale. Quelle perte aurait pu faire la Société Générale si AIG n'avait pas été aidée ? 6) Précision sur un terme technique utilisé par la Société Générale : les commutations 7) Suivi d'articles sur les revenus records en fixed income dans les BFI au premier trimestre 2009 8) Suivi d'article du 16 décembre 2010 Aide de la Fed. Quid des 3,3 trillions relayés par les médias français et étrangers ? Les maximums d'aide. Des divergences. 9) Les provisions pour litiges dans les banques américaines n'ont qu'à bien se tenir. 1) Plus vous ferez correctement certains boulots (dans le contrôle notamment), moins vous réussirez page 40 Ed Parker, the former head of Ameriquests Mortgage Fraud Investigations Department, told the Commission that he detected fraud at the company within one month of starting his job there in January 2003, but senior management did nothing with the reports he sent. He heard that other departments were complaining he "looked too much" into the loans. In November 2005, he was downgraded from "manager" "supervisor", and was laid off in May 2006. 2) Et parmi les bons élèves (ironique bien sûr), la Société Générale ! page 122 From 2000 to the end of Greenspan's tenure in 2006, the Fed referred to the Justice Department only three institutions for fair lending violations related to mortgages: First American Bank, in Carpentersville, Illinois; Desert Community Bank, in Victorville, California; and the New York branch of Societe Generale, a large French bank. page 167 Besides Citigroup, only a few large financial institutions, such as AIG Financial Products, BNP, WestLB of Germany, and Societe Generale of France, wrote significant amounts of liquidity puts on commercial paper issued by CDOs. ... When asked why other market participants were not writing liquidity puts, Dominguez stated that Societe Generale and BNP were big players in that market. "You needed to be a bank with a strong balance sheet, access to collateral, and existing relationships with collateral managers," he said. 3) suivi d'article du 18 janvier 2010 Revue du livre La face cachée des banques. supervision consolidée des firmes financières. http://investigationfin.canalblog.com/archives/2010/02/04/16787191.html Le rapport FCIC critique beaucoup la situation américaine, ce que Pierre Laurent faisait dans son livre. page 178 In 2002, the European Union told U.S. financial firms that to continue to do business in Europe, they would need a "consolidated" supervisor by 2004 - that is, one regulator that had responsibility for the holding company. The U.S. commercial banks already met that criterion - their consolidated supervisor was the Federal Reserve - and the Office of Thrift Supervision's oversight of AIG would later also satisfy the Europeans. The five investment banks, however, did not meet the standard: the SEC was supervising their securities arms, but no one supervisor kept track of these companies on a consolidated basis. Thus all five faced an important decision: what agency would they prefer as their regulator? p 179 In November 2003, almost a year after the Europeans made their announcement, the SEC suggested the creation of the Consolidated Supervised Entity (CSE) program to oversee the holding companies of investment banks and all their subsidiaries. The CSE program was open only to investment banks that had large U.S. broker-dealer subsidiaries already subject to SEC regulation. However, this was the SEC's first foray into supervising firms for safety and soundness. The SEC did not have express legislative authority to require the investment banks to submit to consolidated regulation, so it proposed that the CSE program be voluntary; the SEC crafted the new program out of its authority to make rules for the broker-dealer subsidiaries of investment banks. p 180 In an April 2004 meeting, SEC commissioners voted to adopt the CSE program and the new net capital calculations that went along with it. Over the following year and a half, the five largest investment banks volunteered for this supervision, although Merrill's and Lehman's thrifts continued to be supervised by the OTS. Several firms delayed entry to the program in order to develop systems that could measure their exposures to market price movements. p 181 Ironically, in the second week of March 2008, when the firm went into its four-day death spiral, the SEC was on-site conducting its first CSE exam since Bear's entrance exam more than two years earlier. 4) Consultant et trader, même combat. Pile tu gagnes, face tu disparais et les autres passent à la caisse. Le cas d'un professeur d'Université et ses trouvailles pour AIG. page 294 Therefore, AIG Financial Products relied on an actuarial model that did not provide a tool for monitoring the CDOs' market value. The model was developed by Gary Gorton, then a finance professor at the University of Pennsylvania's Wharton School, who began working as a consultant to AIG Financial Products in 1996 and was close to its CEO, Joe Cassano. The Gorton model had determined with 99.85 % confidence that the owners of the super-senior tranches of the CDOs insured by AIG Financial Products would never suffer real economic losses, even in an economy as troubled as the worst post - World War II recession. Et en plus, avec la bénédiction des commissaires aux comptes, PriceWaterhouseCoopers (PWC), en même page : The company's auditors, PricewaterhouseCoopers (PwC), who were apparently also not aware of the collateral requirements, concluded that "the risk of default on [AIG's] portfolio has been effectively removed and as a result from a risk management perspective, there are no substantive economic risks in the portfolio and as a result the fair value of the liability stream on these positions from a risk management perspective could reasonably be considered to be zero." PWC qui est également critiqué en page 301 : p 301 On February 6,2008, PwC auditors met with Robert Willumstad, the chairman of AIG's board of directors. They informed him that the "negative basis adjustment" used to reach the $1.5 billion estimate disclosed on the December 5 investor call had been improper and unsupported, and was a sign that "controls over the AIG Financial Products super senior credit default swap portfolio valuation process and oversight thereof were not effective." PwC concluded that "this deficiency was a material weakness as of December 31,2007" 127 In other words, PwC would have to announce that the numbers AIG had already publicly reported were wrong. Why the auditors waited so long to make this pronouncement is unclear, particularly given that PwC had known about the adjustment in November. 5) Suivi d'articles sur AIG et la Société Générale. Quelle perte aurait pu faire la Société Générale si AIG n'avait pas été aidée ? 08 juillet 2010 Rapport de juin 2010 du Congrès sur AIG. Que se serait-il passé si AIG avait fait faillite ? Cas Société Générale. Partie I. http://investigationfin.canalblog.com/archives/2010/07/08/18534045.html 12 juillet 2010 Rapport de juin 2010 du Congrès sur AIG. Que se serait-il passé si AIG avait fait faillite ? Cas Société Générale. Partie II http://investigationfin.canalblog.com/archives/2010/07/12/18561702.html Echanges sur la valorisation des instruments financiers : page 295, juillet 2008 Goldman valued the CDOs between 80 and 97 cents on the dollar, while Merrill Lynch, for example, valued the same securities between 95 and 100 cents. page 296, 11 septembre 2008 The SocGen demand was based on an 82.5 bid price provided by Goldman, which AIG disputed. page 298, novembre 2008 Four days later, Cassano circulated a memo from Forster listing the pertinent marks for the securities from Goldman Sachs, Merrill Lynch, Calyon, Bank of Montreal, and SocGen. The marks varied widely, from as little as 55 % of the bonds' original value to virtually full value. Goldman's estimated values were much lower than those of other dealers. For example, Goldman valued one CDO, the Dunhill CDO, at 75% of par, whereas Merrill valued it at 95% of par; the Orient Point CDO was valued at 60% of par by Goldman but at 95% of par by Merrill. J'ai relevé en page 299 l'épisode savoureux d'AIG qui croit pouvoir protester auprès de Goldman Sachs pour récupérer une partie du collatéral posté et qui se voit demander davantage illico : One week later, Cassano called Sherwood in Goldman's London office and demanded reimbursement of $1.4 billion. He told both AIG and Goldman executives that independent third-party pricing for 70% of the 3,500 securities underlying the CDOs on which AIG FP had written CDS and AIG's own valuation for the other 30% indicated that Goldman's demand was unsupported - therefore Goldman should return the money. Goldman refused, and instead demanded more. Malheureusement, le rapport FCIC ne fournissant pas de chiffres détaillés sur les pertes réelles liées au sauvetage d'AIG, il est difficile de savoir de combien la SocGen a été sauvée, page 404 : That AIG's counterparties did not incur any losses on their investments - because AIG, once it was backed by the government, paid claims to CDS counterparties at 100 % face value - been widely criticized. In November 2009, SIGTARP faulted the New York Fed for failing to obtain concessions. The inspector general said that seven of the top eight counterparties had insisted on 100 % coverage and that the New York Fed had agreed because efforts to obtain concessions from all counterparties had little hope of success. Le cas Goldman Sachs. GS avait affirmé que les sommes versées par AIG ne concernaient pas ses opérations pour compte propre. Il semble que cela n'ait pas été le cas, pour 2,9 milliards de dollars, en page 404 : Goldman also produced documents to the FCIC that showed it received $3.4 billion from AIG related to credit default swaps on CDOs that were not part of Maiden Lane III. Of that $3.4 billion, $1.9 billion was received after, and thus made possible by, the federal bailout of AIG. And most - $2.9 billion - of the total was for proprietary trades (that is, trades made solely for Goldman's benefit rather than on behalf of a client) largely relating to Goldman's Abacus CDOs. Thus, unlike the $14 billion received from AIG on trades in which Goldman owed the money to its own counterparties, this $2.9 billion was retained by Goldman. Néanmoins, peut-être que les clients ont insisté pour sortir du deal et que les sommes n'avaient alors plus à être versées par Goldman Sachs. 6) Précision sur un terme technique utilisé par la Société Générale : les commutations Dans le principe, les comptes trimestriels t font apparaître une exposition brute de titres, ceux de t+1 les font disparaître, par la commutation. Je pense en avoir trouvé une description dans le rapport FCIC, sous le terme novation (différent de l'assignment), page 315 : Derivatives counterparties who worried about Bear
Assignments allow counterparties to assign their positions to someone else: if firm X has a derivatives contract with firm Y, then firm X can assign its position to firm Z, so that Z now is the one that has a derivatives contract with Y.“bid-ask spread”—the difference between the price at which dealers were willing to buy contracts (the bid price) and the price at which they were willing to sell them (the ask price). As markets became less liquid during the crisis, dealers worried that they might be saddled with unwanted exposure. As a result, they began charging more to sell contracts (raising their ask price), and the spread rose. In addition, they offered less to buy contracts (lowered their bid price), because they feared involvement with uncreditworthy counterparties.
Novations also allow counterparties to get out of their exposure to each other, but by bringing in a third party: instead of X facing Y, X faces Z and Z faces Y. Both assignments and novations are routine transactions on Wall Street.
7) Suivi d'articles sur les revenus records en fixed income dans les BFI au premier trimestre 2009
En conférence de présentation aux analystes certains s'en souviennent encore, et pour cause !
Toutes les banques de financement et d'investissement, qu'elles soient américaines ou européennes avaient publié des revenus records dans le trading de taux et de change au premier trimestre 2009.
L'élargissement des spread (bid-offer entre la demande et l'offre) est l'explication la plus avancée pour expliquer ce qui s'est passé.
En page 392, un passage sur le sujet pour les dérivés de crédit :
The lack of liquidity in derivatives markets was also signaled by the higher prices charged by OTC derivatives dealers to enter into contracts. Dealers bear additional risks when markets are illiquid, and they pass the cost of those risks on to market participants. The cost is evident in the increased
The increase in the spread in these contracts meant that the cost to a firm of hedging its exposure to the potential default of a loan or of another firm also increased. The cost of risk management rose just when the risks themselves had risen.
En page 387, un graphique a attiré mon attention, car il montre une chute astronomique (de 6 à 2 % environ), juste au début de 2009, du coût de l'emprunt à court terme pour les entreprises non financières mal notées :
Si ce graphique (pour ce qu'il concerne) semble bien montrer une tendance au retour à la normale, et ce dès le début de 2009, cela me conforte (comme une illustration) dans l'idée que les départements Fixed income des BFI se sont bien servies sur le dos de leurs clients qui leur demandaient de se positionner sur du moins risqué.
8) Suivi d'article du 16 décembre 2010 Aide de la Fed. Quid des 3,3 trillions relayés par les médias français et étrangers ? Les maximums d'aide. Des divergences.
http://investigationfin.canalblog.com/archives/2010/12/16/19888796.html
Le rapport FCIC (page 403) fournit des chiffres qui diffèrent des miens et de ceux obtenus par courriel le 17 décembre 2010 auprès d'un journaliste de Bloomberg :
programme AMLF :
investigationfin et Bloomberg 152,1 FCIC 350.
programme PDCF :
investigationfin et FCIC 156 Bloomberg 147
programme CPFF :
investigationfin et Bloomberg 348 FCIC 365
programme TSLF :
investigationfin (280,6) Bloomberg (235,5 incluant TOP, 50 en plus selon moi) FCIC (483)
Les chiffres FCIC pour les programmes AMLF et TSLF me semblent erronés !
9) Les provisions pour litiges dans les banques américaines n'ont qu'à bien se tenir
Feu de paille ou bien bûcher en perspective, en page 436 :
On November 16, 2010, a bankruptcy court ruled that the Bank of New York could not foreclose on a loan it had purchased from Countrywide, because MERS had failed to endorse or deliver the note to the Bank of New York as required by the pooling and servicing agreement. This ruling could have further implications, because it was customary for Countrywide to maintain possession of the note and related loan documents when loans were securitized.
...
Adam Levitin, a Georgetown University associate professor of law, has estimated that the claims could be in the trillions of dollars, rendering major U.S. banks insolvent.
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