La semana pasada publiqué una columna sobre los problemas de las agencias de calificación de riesgos como Moody’s. La respuesta de más de uno fue negar que los problemas de incentivos que yo señalaba fueran claves en el quehacer de estas compañías. Hoy en El País viene un artículo sobre el tema profundizando más y una entrada en Economismo.
Yo, más que nada por insistir sobre el tema y poner más leña en el fuego, voy a colgar un link a las declaraciones de Eric Kolchinsky, un antiguo directivo, en el Senado de EE.UU. en abril del año pasado. Destaco algunas partes de la misma, sin traducir, para que no se me acuse de distorsionar sus palabras:
“My name is Eric Kolchinsky, and during the majority of 2007, I was the Managing Director in charge of the business line which rated sub-prime backed CDOs at Moody’s Investors Service. More recently, I was suspended by Moody’s after warning the compliance group regarding what I believed to be a violation of securities laws within the rating agency.”
“It is my firm belief that the vast majority of the analysts at Moody’s are honest individuals who try hard to do their jobs. However, the incentives in the market for rating agency services favored, and still favor, short term profits over credit quality and quantity vs. quality.”
“Senior management would periodically distribute emails detailing their departments’ market share. These emails were limited to Managing Directors only. Even if the market share dropped by a few percentage points, managers would be expected to justify “missing” the deals which were not rated. Colleagues have described enormous pressure from their superiors when their market share dipped.
While, to my knowledge, senior management never explicitly forced the lowering of credit standards, it was one easy way for a managing director to regain market share. I do not believe that this was done in a deliberate manner. Instead, during the bubble years, it was quite easy to rationalize changes in methodology since the nominal performance of the collateral was often quite exceptional. Easier still was avoiding the questioning whether the collateral provided by the bankers was really of the same quality assumed by the model, whether the collateral standards declined or whether some of the parties had ulterior motives in closing the transaction.”
Y, de bonus extra, una cita de Michael Lewis, en The Big Short (por cierto otro libro divertidísimo de leer):
“"The big Wall Street firms – Bear Stearns, Lehman Brothers, Goldman Sachs, Citigroup, and others – had the same goal as any manufacturing business: to pay as little as possible for raw material (home loans) and charge as much as possible for their end product (mortgage bonds). The price of the end product was driven by the ratings assigned to it by the models used by Moody's and S&P. The inner workings of the models were, officially, a secret: Moody's and S&P claimed they were impossible to game. But everyone on Wall Street knew that the people who ran the models were ripe for exploitation. 'Guys who can't get a job on Wall Street get a job at Moody's,' as one Goldman Sachs trader-turned-hedge fund manager put it. Inside the rating agency there was another hierarchy, even less flattering to the subprime mortgage bond raters. 'At the rating agencies the corporate credit people are the least bad,' says a quant who engineered mortgage bonds for Morgan Stanley. 'Next are the prime mortgage people. Then you have the asset-backed people, who are basically like brain-dead.' Wall Street bond trading desks, staffed by people making seven figures a year, set out to coax from the brain-dead guys making high five figures the highest possible ratings for the worst possible loans. They performed the task with Ivy League thoroughness and efficiency. They quickly figured out, for instance, that the people at Moody's and S&P didn't actually evaluate the individual home loans, or so much as look at them. All they and their models saw, and evaluated, were the general characteristics of loan pools."
Bueno, pues me parece que mi visión del tema no era tan simplista….