mauro1969
Forumer attivo
questa invece è una opinione molto interessante sui problemi di liquidità Lehman:
Economics of Contempt: Anatomy of Lehman's Failure, and the Importance of Liquidity Requirements
Obviously, there isn't just one reason why Lehman failed, despite what most commentators would have you believe. But there's one issue that stands out to me as the biggest problem at Lehman — in short, they were misrepresenting their liquidity pool. In a huge way.
Earlier in 2008, Lehman's two main clearing banks, JPMorgan and Citi, started requiring Lehman to collateralize its intraday exposures. (Previously, the clearing banks would repay Lehman's tri-party repo lenders at the beginning of the day, and wouldn't require Lehman to pay back this advance until the end of the day.) Lehman reluctantly agreed, but requested that the banks release the collateral at the end of each day. Why did they care if the banks released the collateral every night if it just had to be posted again the next morning? Because Lehman calculated its reportable liquidity at the end of each day, and if the clearing-bank collateral was released at the end of each day, Lehman considered it part of the "liquidity pool." By the end, roughly $19bn of the $32.5bn liquidity pool consisted of clearing-bank collateral.
Unfortunately, I can't do much in the way of legal analysis of the propriety of Lehman's decision to include clearing-bank collateral and junk CLOs/CDOs in its liquidity pool, because as the Examiner rightly points out, "No law, SEC regulation or GAAP-style rule governed the definition of a 'liquid' asset in the context of a CSE’s liquidity pool." The SEC considered an asset to be "liquid" if it could be monetized in less than 24 hours (though the SEC never enforced this definition, or wrote it into an actual rule). The "24 hours" standard is, in my opinion, the consensus in the industry — that is, I think if you asked most market participants, they would agree that at least most of the assets in a reportable "liquidity pool" should be able to be monetized in 24 hours.
Lehman's Global Treasurer, Paolo Tonucci (who really comes off as a Bad Guy in this episode), claimed that "Lehman's internal definition of a 'liquid' asset, appropriate for inclusion in the liquidity pool, was one that could be monetized within five days." (Examiner's Report, pg. 1412) Tellingly, in a footnote, the Examiner notes that "Tonucci could not cite a particular Lehman document that established this five-day definition." Lehman's International Treasurer, Carlos Pellerani, said he had never heard of this alleged "five-day" standard. (Examiner's Report, Appendix 20, pg. 10)
Of course, even by this "five-day" standard, Lehman was still misrepresenting its liquidity pool. Lehman broke down its liquidity pool into "ability to monetize" categories: assets with a "high" ability to monetize could be liquidated in one day, assets assigned a "mid" rating could be liquidated within five days, and assets assigned a "low" rating could be monetized within one to two weeks. (Examiner's Report, Appendix 20, pg. 10) By September 12, $30bn of Lehman's $32.5bn liquidity pool had a "low" ability to monetize:
This is a freaking liquidity pool, and you're telling me that 92% of it can only be monetized in a week or two? Unreal.
cioé su 32 bn $ di liquidità 30 erano low come facilità a liquidarli?!?!??!
e nessuno se n'é accorto???
basta che ti chiedano un pò di garanzie collaterali come é accaduto e salti per forza!!!
ma 'sto draft che hai allegato é pubblico, é nel report di Valukas?? perché a me sembra di sognare, dovevo ancora arrivarci..
altra domanda: al li là di questo draft confidenziale, nei bilanci ciclicamente presentati è indicata la liquidità per tipo di liquidabilità (alta bassa e media)? scusa ma voglio capire.
, fosse pubblica e condivisa dal regolatore americano, oltre che diffusa anche presso i competitor. la finanza "allegra" piaceva a tutti perchè rimediava a tassi di crescita modesti e vi era un'abbondanza di commentatori terzi che la lodava come lungimirante, contrapponendola agli "stitici" europei, in particolare tedeschi.
