Landläufig versteht man unter Anlageklassen mit AAA-Rating, solche, mit besonders hoher Bonität und Sicherheit. Das dem nicht immer so sein muß, darauf macht Mark Pittman von Bloomberg unter der Überschrift “Moody’s, S&P Defer Cuts on AAA Subprime, Hiding Loss” aufmerksam.

Bislang haben die Ratingagenturen auf die unabdingbare Herabstufung von Anleihen, die mit subprimen Hypotheken hinterlegt und dennoch mit AAA bewertet sind, verzichtet. Sollte dies in den nächsten Wochen nachgeholt werde, könnte es an den internationalen Finanzmärkten noch mal sehr ungemütlich werden. Ich zitiere auszugsweise:

March 11 (Bloomberg) — Even after downgrading almost 10,000 subprime-mortgage bonds, Standard & Poor’s and Moody’s Investors Service haven’t cut the ones that matter most: AAA securities that are the mainstays of bank and insurance company investments.
None of the 80 AAA securities in ABX indexes that track subprime bonds meet the criteria S&P had even before it toughened ratings standards in February, according to data compiled by Bloomberg. Sticking to the rules would strip at least $120 billion in bonds of their AAA status, extending the pain of a mortgage crisis that’s triggered $188 billion in writedowns for the world’s largest financial firms.

AAA debt fell as low as 61 cents on the dollar after record home foreclosures and a decline to AA may push the value of the debt to 26 cents, according to Credit Suisse Group.

The 20 ABX indexes are the only public source of prices on debt tied to home loans that were made to subprime borrowers with poor credit histories. About $650 billion of subprime bonds are still outstanding, according to Deutsche Bank. About 75 percent were rated AAA at issuance.

Regulators require banks to hold more capital against lower- rated securities to protect against losses; a downgrade would force them either to sell the securities or bolster reserves. While most banks haven’t disclosed the ratings of their subprime holdings, S&P estimated in January that losses on the debt may exceed $265 billion.

All but six of the 80 AAA ABX bonds failed an S&P test for investment-grade status, which requires credit support to be twice the percentage of troubled collateral. Investment grade refers to all bonds rated BBB- and above by S&P and Baa3 by Moody’s.

The problem extends past the mortgage bonds. Financial firms own high-grade collateralized debt obligations, which package securities such as mortgage bonds and slice them into pieces with varying risk. As the underlying mortgage bonds are downgraded, those securities will also lose their ratings and tumble in value.

A bank would have to increase its capital against $100 million of bonds to $16 million from $1.6 million if a bond was downgraded to below investment grade from AAA, under global accounting rules. The bank would either have to sell the bonds at a loss or make up the difference in cash.

The prospect of losses may be holding the ratings companies back, said Frank Partnoy, a University of San Diego law professor and former Morgan Stanley banker who has been writing about the impact of credit ratings companies since 1997.

“If the 800-pound gorilla moves, it’s going to crush someone, so it’s not going to want to move,” Partnoy said. “They know they will trigger a price collapse. They are understandably reluctant.”

Quelle: Bloomberg.com “Moody’s, S&P Defer Cuts on AAA Subprime, Hiding Loss”

Helmut Wüllenweber