На прошлой неделе с комментарием ситуации в еврозоне выступил известный экономист, лауреат Нобелевской премии Нуриэль Рубини.
По его мнению реструктуризация госдолга Италии неизбежна.
В сложившейся ситуации у Италии может не быть выбора кроме выхода из зоны евро с возвращением национальной валюты — лиры, даже если это развалит валютный союз, пишет в своей колонке в Financial Times известный экономист, экономический советник президента США Нуриель Рубини. Зашкаливающая доходность по гособлигациям, угрожающая потерей возможности рыночных заимствований, уже в близкой перспективе может повлечь вынужденную реструктуризацию госдолга ($1,9 трлн) страны, экономика которой «слишком велика, чтобы дать ей рухнуть — или спасти». Но это не единственная и не критическая проблема Италии, считает экономист, излагая наиболее вероятный, по его мнению, сценарий краха ее экономики.
Реструктуризация долга, пишет Рубини, поможет снять со страны долговую нагрузку, но не решит проблемы экономической динамики Италии — большой дефицит счета текущих операций, неконкурентоспособность экономики, замедление роста ВВП и экономической активности. Рубини заостряет внимание на различии понятий «дефицит ликвидности» и «кредитоспособность». В отличие от Греции Италия — при дефиците ликвидности — кредитоспособна. Проблема в том, что когда страна, потерявшая ликвидность, теряет и доверие инвесторов, на его восстановление — даже если новое правительство сразу примет самые решительные меры — уходит не меньше года. За это время инвесторы «загонят» спрэды по облигациям так высоко, что страна все равно потеряет либо доступ к рынку капитала, либо возможность обслуживания долга.
У властей еврозоны нет большой пушки.
Для того чтобы обойти эту ловушку, еврозоне необходима «большая пушка», последний довод — резерв ликвидности, который мог бы не допустить сползания Италии к некредитоспособности. У Европы такого резерва нет и не предвидится, считает Рубини.
Выпуск евробондов исключен: Германия против, к тому же процедура требует изменения евродоговора и займет годы. С наращиванием Европейского фонда финансовой стабильности (EFSF) с 440 млрд евро до 2 трлн евро не согласны и Германия, и «ядро» еврозоны. ЕЦБ мог бы поддержать Италию и Испанию, но не пойдет на это из-за запредельного риска и незаконности. Сейчас в EFSF реально не более 200 млн евро, доступных Италии, и Европа могла бы «попробовать сделать из них 2 трлн евро с помощью финансовой алхимии», но это было бы повторением известной катастрофы со сложными производными ипотечными облигациями. Почему это предложение и не поддержал Бундесбанк. У МВФ просто не хватит денег.
Про попытки спасения еврозоны с помощью EFSF и ESM
«Итак,- пишет Рубини,- когда рынки увидят, что попытка сшить лоскутное одеяло из различных фондов, чтобы прикрыть долг Италии, провалилась, исходом будет только жесткая, но упорядоченная реструктуризация долга». Даже если правительство Италии возглавит уважаемый и жесткий технократ, страну это не спасет: только для неувеличения долга в 120% ВВП необходим дополнительный ежегодный прирост ВВП в 5 п. п. Экономика уйдет в свободное падение, в рецессионную дефляцию.
Реструктуризация долга не решает кардинально проблем.
Но реструктуризацией долга всех проблем не решить: огромные потери инвесторов не восстановят конкурентоспособность и рост экономики. Этого можно добиться за счет резкого обесценения евро, но ни Германия, ни ЕЦБ на это не пойдут, предсказывает Рубини. Этого нельзя добиться ни в условиях дефляции, ни за счет структурных реформ, которые не снизят цену трудовых ресурсов в обозримой перспективе. Таким образом, единственный стратегический выход Италии, Греции и других периферийных стран — отказ от евро с конверсией долга в национальные валюты. Еврозона вряд ли это переживет, констатирует Рубини.
Рубини не предлагает новых способов решения проблем
Впрочем, способ сохранить евро есть, считает экономист. ЕЦБ нужно разрешить выдавать неограниченные экстренные займы и опустить ставку до нуля. Евро нужно обесценить до паритета с долларом, а еврозону разделить на две зоны: в «ядре» во главе с Германией применять меры стимулирования экономики, а на периферии — жесткие меры экономии.
Нуриэль Рубини заявил в интервью CNBC, что вероятность QE3 до конца года станет гораздо выше, если слабость экономики сохранится и рынки акций скорректируются более, чем на 10%.
There is a chance the U.S. Federal Reserve could unleash another round of quantitative easing by the end of the year, according to renowned economist Nouriel Roubini.
In an interview with CNBC on Saturday, the head of Roubini Global Economics said the probability of QE3 will become “significantly higher” if U.S. economic weakness persists and the stock markets correct 10 percent or more.
“Especially because we cannot do another round of fiscal stimulus, the pressure is going to be on the only policy that is available, [that] is another round of quantitative easing,” he said.
Рубини обеспокоен бесчисленными проблемами, стоящими перед американской экономикой.
Roubini, who correctly predicted the financial crisis that began in 2008, is especially concerned about the myriad problems the U.S. economy currently faces.
“You have the problems of rising oil prices, of [a] weak labor market, of housing double dipping, the fiscal problem in the state and local government, the facts of the federal deficit problem,” he said. “All these things imply that economic weakness could persist in the second half of the year.”
Все эти факторы подразумевают, что экономическая слабость сохранится во втором полугодии.
Roubini believes the current slowdown in global growth is not “just a soft patch,” and the biggest risk to the financial markets comes from the troubled euro zone economies.
“They're still in risk and they've not been resolved and [will] eventually require debt restructuring.”
With regards to Greece, he says it’s not a matter of if there's going to be restructuring, but rather “whether it's going to occur sooner or later, and whether it's going to be orderly or disorderly.”
Наибольший риск для финансовых рынков исходит из проблемных экономик еврозоны. Эти проблемы потребуют реструктуризации долга.
Относительно Греции Рубини по-философски заметил:
Не имеет особого значения, будет реструктуризация или нет. Скорее значение имеет, случится ли она скоро или поздно, и будет ли проведена «аккуратно» или «неаккуратно».
Развивающиеся рынки и Китай
Emerging Markets & China
Even as QE2 winds down at the end of the month, Roubini is not expecting an outflow of capital away from emerging markets, as many investors have feared.
“First of all, the fed is not going to raise interest rates for a long time; two, they're not going to reduce base money,” he said. “And if they're not going to increase it further, and therefore the fundamentals of relative growth differentials, or relative interest differentials and still a wall of liquidity chasing assets are going to imply that money could flow and continue to flow into emerging markets.”
If, however, money does flow out of emerging markets at the end of QE2, it would be because of risk aversion in the event the global growth scare worsens and drives investors back towards the safety of the U.S. dollar and Treasurys, Roubini said.
On China’s battle against inflation, Roubini said two factors will determine whether inflation has turned the corner, or will continue to scale higher.
“One is whether the increase in oil, energy and commodity prices is going to continue,” he said. “Two, it depends on how much China is able to slow down their economy through monitoring their credit and other types of controls and they've done somehow but they've not done enough.”
China will release the closely-watched May inflation data on Tuesday, which is expected to show inflation rate exceeding 5 percent for the month.
Рубини не ожидает оттока капитала из развивающихся рынков. Только в случае внезапного возникновения отвращения к рискам увследствии паники.
Сейчас много информации проходит по Греции: как будет проходить возможная реструктуризация, какие последствия будет иметь для еврозоны, банковской системы и т.д. Возможно кому-то это окажется полезным, поскольку на следующей неделе эта тема будет в центре внимания (уже в понедельник состоится встреча министров финансов ЕС).
Здесь подборка информации на эту тему на английском языке, кое-где с комментариями на русском.
Руководство Рубини по реструктуризации греческого долга
The path of Greek public debt is manifestly unsustainable. Fiscal austerity and structural reforms are necessary but will not suffice. In the best-case scenario—incorporating a 10% of GDP fiscal adjustment and structural reforms—Greek public debt to GDP peaks around 160% before “stabilizing.” It is more likely that the debt ratio will exceed 160% and, left untended, will render market access both before and even after 2013 severely limited (or effectively non-existent).
There are multiple approaches to an orderly debt restructuring, with varying degrees of debt relief for the sovereign, additional official financing and systemic risk for the eurozone (EZ). We assume only domestic public debt—95% of the public debt stock—would be restructured.
In our view, the best approach for all stakeholders is akin to a Brady par bond option, an exchange offer in 2011 with potentially significant maturity extension, no face-value reduction and moderately reduced coupons. The public debt would remain very high but would be more sustainable as refinancing risk and the interest bill would be cut. We also suggest variations on this theme that would affect the balance of interests of Greece and private and official creditors.
Credit enhancements—as in the Brady bonds—may or may not be added to act as sweeteners for rating- or capital-constrained creditors like banks, subject to a key caveat: Principal collateral would be expensive, given the large nominal stock of debt and prevailing low interest rates on “risk-free” public debt. It is not yet clear what the source of funding for any substantial principal collateral would be, short of a transfer from other EZ member-states, or more official lending.
Greece’s debt problem is a globally systemic pivot: All stakeholders—Greece, the EZ and indeed all global financial markets—are better served by a pre-emptive and orderly, market-oriented debt exchange rather than sticking with a misbegotten and clearly failing Plan A ... The current approach, Plan A, in effect bails out private creditors who exit early or have short maturities, but exposes continuing creditors, by extension the reputation of the debtor and EZ and global financial stability to three rising risks: Subordination as the debt is transferred to increasingly senior creditors like the IMF, EFSM/EFSF/ESM and ECB; the rising threat of a disorderly outcome as an unsustainable fiscal adjustment, far from enhancing debt payment or carrying capacity, actually undermines it; and the risk of a vicious circle among the PIIGS, the EZ and indeed the whole world, which remains under the gun of renewed contagion when market consensus flips from bailout to get-out mode. Indeed, repeated market experience bears this view out in other cases and in Greece/EZ PIIGS to date.
На рисунке показаны варианты реструктуризации
Базовая идея при выборе между пунктами меню – найти такое «решение», при котором можно было уменьшить долговую нагрузку на Греции без чрезмерного замутнения финансовой системы
The basic idea in choosing between that table menu of options is to find a ‘solution’ to the Greek problem by significantly cutting the Hellenic Republic’s debt burden without excessively roiling the financial system. Remember Greek banks hold plenty of Greek debt, and may be on the hook for CDS payouts, while private investors are notoriously skittish when it comes to burdensharing or subordination.
Roubini’s preferred option — a Brady-esque exchange, or ‘Option 3′ in the above table — would involve exchanging old debt for new bonds with the same face value as the old ones, but with a longer maturity and lower interest rates (no haircuts here, folks). This, he says, could be done through Greece introducing new domestic laws to change the terms of its existing (domestically-issued) debt — something Roubini figures could trigger CDS and would be a very “market-unfriendly” approach. Alternatively, Greece could aim for a voluntary Greek debt restructuring that wouldn’t trigger CDS. There’s a third option involving Greece borrowing collateral from the likes of the IMF or various eurozone bailout programmes to offer credit enhancement to sweeten the exchange deals too.
So Option 3 subdivided into Option 3(a) 3(b) and 3(c).
Intriguingly, there’s also the prospect of a combination of those options 3(a) plus 2, or whatever:
Also, note that Options 3a and 3b—a par bond—are not incompatible with Option 2—a discount bond. As in the Brady plan, there are some investors who mark-to-market (hold the debt in their “trading book”)—usually hedge funds and other alternative asset managers—and there are some investors—banks, pension funds, insurance companies—who don’t mark-to-market as they—at least in principle—hold the debt to maturity and/or in the “banking book”. Thus, as in the Brady plan, offering a menu of options—a discount bond for “mark-to-market” investors and a par bond for “hold-to-maturity” investors—makes sense. One group would prefer a discount bond and the other a par bond. And as is well known, on a [net present value] basis, a properly designed par bond is equivalent to a discount bond.
The ECB bought a large amount of Greek government bonds through its Securities Market Program. Our colleagues in Euro rates research estimate that the ECB bought around €40bn of Greek government bonds with €50bn of notional value, assuming an average purchase price of 80% to par. But the ECB has an even bigger exposure to Greece through its lending to Greek banks.
Greek banks had borrowed €91bn from the ECB as of the end of February with collateral of €144bn. What does this collateral consist of? $48bn is Greek government bonds held by Greek banks on their balance sheet. €55bn consists of government-guaranteed bonds issued by Greek banks, €25bn of which was only issued at the end of last year for the Greek banks to meet new more punitive collateral requirements by the ECB. €8bn is zero-coupon bonds which the Greek government had lent to Greek banks in 2008. The remaining €33bn is likely to be Greek ABS/covered bond collateral. The Greek government agreed earlier this year to extend state-guarantees to Greek banks by another €30bn, but it appears that this new aid package has not been used by Greek banks. All this analysis suggests that 77% of the collateral that Greek banks posted with the ECB is government or government-guaranteed, which would be directly affected in the hypothetical scenario of a Greek debt restructuring. In addition, the remaining 23% of ABS/covered bank bond collateral would almost certainly be affected in the case of a Greek debt restructuring as the solvency of Greek banks would become an issue.
In total, the notional ECB exposure to Greece amounts to around €50bn + €144bn = €194bn. Against this notional exposure, the ECB has lent/invested €40bn + €91bn = €131bn or 68% of its notional exposure. These calculations imply that in a hypothetical case of a Greek debt restructuring, the ECB is protected for a haircut of up to 32%. Beyond that cushion, the ECB is exposed to losses. A hypothetical haircut of 50% would create losses of around €35bn for the ECB.
The Eurosystem has experienced losses on refinancing operations in the past during the Lehman crisis as 5 banks defaulted on their repo operations. The losses incurred by the Eurosystem are to be shared by all national central banks in proportion to their shares in the ECB’s capital. The Eurosystem has €81bn of capital and reserves currently, enough to withstand even a 50% Greek debt haircut. But it would be a lot more problematic for the ECB if other countries such as Ireland had to restructure. The exposure of the ECB to Ireland is similarly big but likely with a smaller cushion. The total exposure of the ECB to Ireland consists of around €20bn of bond purchases and €83bn of repos with domestic Irish banks. This excludes around €67bn of ELA lending which represents an exposure for the national central bank rather than the Eurosystem as a whole. But if domestic Irish banks had to replace their ELA borrowing with ECB borrowing over the coming months, the total exposure of the ECB to Ireland would rise to €170bn, well above of that of Greece.
Greek banks own €49bn of Greek bonds. Their equity amounts to €29bn. The market value of their equity is €12bn, suggesting that the market is already pricing in a loss of €17bn or 35%. A hypothetical haircut of 50% on Greek government debt would create losses of around €25bn, leaving only €4bn of equity (or 1% of assets) for the Greek banking system. But the losses for Greek banks would be much smaller if a Greek debt restructuring were to take place in mid 2013. The average maturity of their Greek government bond holdings is 5 years and roughly €10bn matures every year. By mid 2013, their Greek government bond holdings will drop to €25bn, i.e. half of their current holdings.
The central Bank of Greece held directly €7bn of Greek government bonds as of the end of February. A hypothetical haircut of 50% on these bond holdings would wipe out its entire capital and reserves of €3bn.
Greek social security and other public entities hold around €30bn notional of Greek government bonds. They have already applied a loss of 30% in these holdings. A hypothetical haircut of 50% would create additional €6bn of losses vs. current financial assets of €31bn.
European banks hold €50bn of Greek government bonds according to Q3 2010 BIS data. Even a 50% hypothetical haircut would be manageable. But it becomes more problematic when ones looks at the total exposure of European banks to Greece, including private sector loans, repos, guarantees and credit commitments. These private sector claims are also likely to suffer in the case of a Greek debt restructuring. According to BIS, European banks’ total exposure to Greece was €165bn at the end of Q3 2010, driven by French banks (€68bn) and German banks (€50bn). The potential losses for European banks would be more threatening if other countries such as Ireland were to restructure. According to BIS, European banks’ total exposure to Ireland (both public and private sector exposure) was €450bn at the end of Q3 2010, driven by British banks (€165bn), German banks (€150bn) and French banks (€57bn).
Неудивительно, что банки так сопротивляются идее списания по бондам.
Притом больше их волнует даже не сам Греция ( с ней и так все ясно), сколько перспектива запуска подобных реструктуризаций в других странах.
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