04/05/2010

SERVIÇO PÚBLICO: se um A- não vale porque teria valido um A+?

Voltando à vaca fria da falta de credibilidade das agências de rating resultante das trapalhadas descobertas e aqui já referidas, recomenda-se a leitura da press release do senador Carl Levin, presidente da comissão que investiga o papel das agências de rating na crise financeira, sobre a terceira audição da comissão. É um documento objectivo de síntese cujo estudo deveria fazer parte dos trabalhos para casa dos empregados dos partidos fazendo as vezes de deputados da assembleia da República.

A comissão do senado identificou as seguintes causas na origem do enviesamento das agências:
  1. Inaccurate Rating Models. From 2004 to 2007, Moody’s and Standard&Poor’s used credit rating models with data that was inadequate to predict how high risk residential mortgages, such as subprime, interest only, and option adjustable rate mortgages, would perform.
  2. Competitive Pressures. Competitive pressures, including the drive for market share and need to accommodate investment bankers bringing in business, affected the credit ratings issued by Moody’s and Standard&Poor’s.
  3. Failure to Re-evaluate. By 2006, Moody’s and Standard&Poor’s knew their ratings of residential mortgage backed securities (RMBS) and collateralized debt obligations (CDOs) were inaccurate, revised their rating models to produce more accurate ratings, but then failed to use the revised model to re- evaluate existing RMBS and CDO securities, delaying thousands of rating downgrades and allowing those securities to carry inflated ratings that could mislead investors.
  4. Failure to Factor In Fraud, Laxity, or Housing Bubble. From 2004 to 2007, Moody’s and Standard&Poor’s knew of increased credit risks due to mortgage fraud, lax underwriting standards, and unsustainable housing price appreciation, but failed adequately to incorporate those factors into their credit rating models.
  5. Inadequate Resources. Despite record profits from 2004 to 2007, Moody’s and Standard&Poor’s failed to assign sufficient resources to adequately rate new products and test the accuracy of existing ratings.
  6. Mass Downgrades Shocked Market. Mass downgrades by Moody’s and Standard&Poor’s, including downgrades of hundreds of subprime RMBS over a few days in July 2007, downgrades by Moody’s of CDOs in October 2007, and downgrades by Standard&Poor’s of over 6,300 RMBS and 1,900 CDOs on one day in January 2008, shocked the financial markets, helped cause the collapse of the subprime secondary market, triggered sales of assets that had lost investment grade status, and damaged holdings of financial firms worldwide, contributing to the financial crisis.
  7. Failed Ratings. Moody’s and Standard&Poor’s each rated more than 10,000 RMBS securities from 2006 to 2007, downgraded a substantial number within a year, and, by 2010, had downgraded many AAA ratings to junk status.
  8. Statutory Bar. The U.S. Securities and Exchange Commission is barred by statute from conducting needed oversight into the substance, procedures, and methodologies of the credit rating models.
  9. Legal Pressure for AAA Ratings. Legal requirements that some regulated entities, such as banks, broker- dealers, insurance companies, pension funds, and others, hold assets with AAA or investment grade credit ratings, created pressure on credit rating agencies to issue inflated ratings making assets eligible for purchase by those entities.
Certamente a comissão concluirá o seu trabalho apresentando recomendações práticas para remediar esta situação por meio de legislação e regulação apropriadas. Poderão provavelmente os construtores de teorias da conspiração entre nós e em vários outros países europeus meter a viola no saco, enquanto explicam porque razão só iniciaram o coro de protestos depois das notações da dívida pública dos PIGS começarem a degradar-se. Levados pela sua lógica deviam agora pôr em dúvida os double A e os A+ do passado recente. Poderiam também seguir o exemplo do Paquistão e criar uma agência doméstica.

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