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Università di Napoli Master in Finanza

Università di Napoli Master in Finanza. La finanza e i grandi scandali societari Responsabilità e teoria Lezione di Marco Onado Università Bocconi 3 luglio 2006. Agenda. Perché una lezione sugli scandali finanziari in chiusura di un master in finanza?

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Università di Napoli Master in Finanza

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  1. Università di NapoliMaster in Finanza La finanza e i grandi scandali societari Responsabilità e teoria Lezione di Marco Onado Università Bocconi 3 luglio 2006

  2. Agenda • Perché una lezione sugli scandali finanziari in chiusura di un master in finanza? • Perché la nuova teoria non ignora più gli scandali, ma li pone al centro della costruzione • Jean Tirole e il nuovo manuale di finanza • John Coffee e il nuovo manuale sui comportamenti societari • Tirole e la sua impostazione • Il contributo della finanza agli scandali societari: alcuni esempi • Coffee e le prospettive future: cosa abbiamo imparato dagli scandali societari? onado - napoli 03.07.06

  3. La teoria: il nuovo manuale di Jean Tirole • The premise behind modern corporate finance in general and this book in particular is that corporate insiders need not act in the best interests of the providers of the funds. • As we will see, moral hazard comes in many guises, from low effort to private benefits, from inefficient investments to accounting and market value manipulations, all of which will be reflected in the book’s theoretical construct. onado - napoli 03.07.06

  4. Lo schema logico del manuale di Tirole Corporate governance Forms of financing Agency costs Active vs. passive Monitoring The control right view The demand side view Security design … Property right institutions Implications onado - napoli 03.07.06

  5. Il messaggio di Tirole • La corporate governance come focus della teoria finanziaria • Aspetti patologici rilevanti quanto quelli fisiologici • Le responsabilità di chi esercita il monitoring, attivo o passivo • The Economist: This is far more than the mere textbook it purports to be; it has a positive claim to be the first truly comprehensive overview of corporate finance by an economist. Perhaps this only goes to show how slow economists have been onado - napoli 03.07.06

  6. Tirole: Moral hazard comes in many guises • Insufficient effort (poor internal controls); • Extravagant investments (Jensen’s free cash flow); • Entrenchment strategies (actions, such as anti-takeover poison pills that are costly to shareholders and make it harder to remove managers; but also creative accounting techniques to mask their company’s deteriorating condition); • Self-dealing (from legally consuming perks to promoting friends or even outright theft, to insider trading etc.) onado - napoli 03.07.06

  7. Tirole e gli scandali finanziari • Recent corporate scandals have focused more on self-dealing, which is somewhat easier to discover and especially demonstrate than insufficient effort, extravagant investments, or entrenchment strategies. • Managerial misbehavior forms the tip of the iceberg. • The submerged part of the iceberg is the institutional response in terms of corporate governance, finance, and managerial incentive contracts. onado - napoli 03.07.06

  8. Il monitoring secondo Tirole • Two forms: active vs speculative • Two types of information: prospective vs retrospective onado - napoli 03.07.06

  9. Active monitoring (intimately linked to the exercise of control rights) • Active monitoring consists in interfering with management in order to increase the value of the investors’ claims. An active monitor collects information that some policy proposed or followed by management (e.g., the refusal to sell the firm to a high bidder or to divest some noncore assets) is value-decreasing and intervenes to prevent or correct this policy. In extreme cases, the intervention may be the removal of current management and its replacement by a new management more abel to handle the firm’s future environment. • Active monitoring is forward looking and analyzes the firm’s past actions only to the extent that they convey information (say about the ability of current management) on which one can act to improve the firm’s prospects. onado - napoli 03.07.06

  10. Speculative monitoring (not linked to the exercise of control rights) • The object of speculative monitoring is to “take a picture” of the firm’s position at a given moment in time, i.e. to take stock of the previous and current management’s accomplishments to date. • This information is used by the speculative monitor in order to adjust his position in the firm (invest further, stay put, or disengage) or else to recommend or discourage investment in the firm to investors. • The typical speculative monitor is the stock market analyst, say working for a passive institutional investor, who studies firms in order to maximize portfolio return without any intent to intervene in the firms’ management. • Is partly backward looking, in that it does not attempt to increase firm value, but rather to measure this value, which reflects not only exogenous prospects but also past managerial investments, onado - napoli 03.07.06

  11. Enron Worldcom (inflated profits by $3.8 bn) Adelphia (6th largest cable television operator) Xerox (SEC filed a civil suit for overstating profits by $3bn) Tyco Global Crossing Bristol-Myers Squibb (inflated revenues by $1.5 bn) Dynegy (round trip trades to artificially boost energy trading volumes and cash flows Vivendi Ahold Cirio Parmalat Banca Popolare Italiana I principali scandali finanziari USA Europa onado - napoli 03.07.06

  12. Enron: da stella di Wall Street a madre di tutti gli scandali • Fondata nel 1985 (deregolamentazione mercato del gas) da due società preesistenti. 37.000 miglia di gasdotto. Attiva anche nel trading • 1987: scandalo messo a tacere nel trading di petrolio • 1991: attività nella vendita di gas, nel trading e nell’offerta di strumenti di risk management • 1994: inizia trading energia elettrica • 1995: attiva anche nel mercato europeo • 1996: Impianti in India (Dabhol) • 1997: attiva nei weather derivatives • 1999: lancio di Enron on-line • 2000: raddoppio del trading. Crisi energetica California • Fine 2000: Fortune: company of the year (6° anno consecutivo) • Inizio 2001: articoli critici su Economist e Fortune • Novembre 2001: Chapter 11 onado - napoli 03.07.06

  13. Il prezzo delle azioni Enron e l’indice Nasdaq: l’anomalia del 2000 onado - napoli 03.07.06

  14. Prezzo delle azioni Enron e il modello di valutazione fondamentale onado - napoli 03.07.06

  15. Sviluppo del modello di Gordon per i dati del grafico precedente onado - napoli 03.07.06

  16. Le cause della caduta di Enron • La trasformazione del modello di business • Il mark-to-market accounting • L’uso di special purpose entities onado - napoli 03.07.06

  17. Enron: la trasformazione del modello di business • Partnoy: Enron may have been just an energy company when it was created in 1985, but by the end it had become a full-blown OTC derivatives trading firm. Its OTC derivatives- related assets and liabilities increased more than five-fold during 2000 alone. onado - napoli 03.07.06

  18. La trasformazione del modello di business: ricavi e profitti operativi degli ultimi tre anni onado - napoli 03.07.06

  19. Enron come hedge fund ma molto peggio di LTCM (Partnoy) • According to Enron’s most recent annual report, the firm made more money trading derivatives in the year 2000 alone than Long-Term Capital Management made in its entire history. • In short, Enron makes Long-Term Capital Management look like a lemonade stand. onado - napoli 03.07.06

  20. Enron: il mark-to-market accounting • Mark-to-market accounting for the trading business meant that once a long-term contract was signed, the present value of the stream of future inflows under the contract was recognized as revenues and the present value of the expected costs of fulfilling the contract were expensed. • Unrealized gains and losses in the market value of long-term contracts that were not hedged were then required to be reported later as part of annual earnings when they occurred. onado - napoli 03.07.06

  21. Enron: il mark-to-market accounting • Enron’s primary challenge in using mark-to-market accounting was estimating the market value of the contracts, which in some cases ran as long as 20 years. Income was estimated as the present value of net future cash flows, even though in some cases there were serious questions about the viability of these contracts and their associated costs. onado - napoli 03.07.06

  22. Enron: il mark-to-market accounting • With mark-to-market accounting, the value loss is reported in the firm’s periodic financial statements, regardless of whether it is sold (Dilanian, Ken 2001). • However, if market values are unavailable, mark-to-market becomes mark-to-model, and the requisite valuations frequently involve subjective estimates. onado - napoli 03.07.06

  23. Il caso Blockbuster • In July 2000 Enron signed a 20 year agreement with Blockbuster Video to introduce entertainment on-demand to multiple U.S. cities by year-end. Enron would store the entertainment, and encode and stream the entertainment over its global broadband network. • Pilot projects in Portland, Seattle and Salt Lake City, were created to stream movies to a few dozen apartments from servers set up in the basement. Based on these pilot projects, Enron went ahead and recognized estimated profits of more than $110 million from the Blockbuster deal, even though there were serious questions about technical viability and market demand. onado - napoli 03.07.06

  24. L’uso di Special Purpose Entities • An SPE is an entity created by a sponsoring firm to carry out a specific purpose or activity, or a series of transactions directly related to a specific purpose and can take many different forms: a limited partnership, limited liability company, trust, or corporation • Partnoy: Such SPEs might seem odd to someone who has not seen them used before, but they actually are very common in modern financial markets. • Structured finance is a significant part of the U.S. economy, and SPEs are involved in most investors’ lives, even if they do not realize it. For example, most credit card and mortgage payments flow through special purpose entities, and financial services firms typically use such entities as well. • Special purpose entities are a lot like fire: they can be used for good or ill. SPEs, like derivatives, are unregulated onado - napoli 03.07.06

  25. Come SPE sono presentati al Board • Possibilità di continuare a fare investimenti nel settore dell’energia massimizzando i flussi di cassa. • In altre parole, investendo molto e mettendo pochi soldi onado - napoli 03.07.06

  26. I tre problemi delle SPE di Enron • Gran parte erano in partnership con dirigenti di Enron (in particolare Fastow) Ergo operazioni con parti correlate • Contenevano contingent liabilities che non venivano riconosciute in bilancio. Ergo le passività effettive di Enron erano superiori a quelle dichiarate • Molte SPE non soddisfacevano i requisiti per considerarle fuori dal perimetro di consolidamento • NB: Powers Report p.5 “Enron’s records show that Andersen billed Enron $5.7 million for advice in connection with the LJM and Chewco transactions alone, above and beyond its regular audit fees” • NB: la prima nasce nel 1997 per liqudare Calpers che nel 1993 aveva partecipato a una joint venture e non viene consolidata (Powers Report non sa perché) onado - napoli 03.07.06

  27. Le condizioni per non consolidare (Powers Report p.5) • A company that does business with an SPE may treat that SPE as if it were an independent, outside entity for accounting purposes if two conditions are met: • (1) an owner independent of the company must make a substantive equity investment of at least 3% of the SPE's assets, and that 3% must remain at risk throughout the transaction; and • (2) the independent owner must exercise control of the SPE. • In those circumstances, the company may record gains and losses on transactions with the SPE, and the assets and liabilities of the SPE are not included in the company's balance sheet, even though the company and the SPE are closely related. onado - napoli 03.07.06

  28. Come i derivati sono stati utilizzati per manipolare i bilanci (Partnoy) • First, it hid speculator losses it suffered on technology stocks. • Second, it hid huge debts incurred to finance unprofitable new businesses, including retail energy services for new customers. • Third, it inflated the value of other troubled businesses, including its new ventures in fiber-optic bandwidth onado - napoli 03.07.06

  29. Derivati per nascondere perdite su technology stocks • First, Enron hid hundreds of millions of dollars of losses on its speculative investments in various technology-oriented firms, such as Rhythms Net Connections, Inc., a start-up telecommunications company. • A subsidiary of Enron (along with other investors such as Microsoft and Stanford University) invested a relatively small amount of venture capital, on the order of $10 million, in Rhythms Net Connections. • Next, Enron entered into a series of transactions with a special purpose entity –called Raptor (actually there were several Raptor entities of which the Rhythms New Connections Raptor was just one), which was owned by a another Enron special purpose entity, called LJM1. • Enron essentially exchanged its shares in these technology companies for a loan, ultimately, from Raptor. • Raptor then issued its own securities to investors and held the cash proceeds from those nvestors. onado - napoli 03.07.06

  30. L’operazione LJM • Fastow propone a Lay l’uso di SPE nel 1999 • Obiettivo: proteggere Enron da caduta valore delle partecipazioni • Powers Report p.68: Fastow presented his participation as something he did not desire personally, but was necessary to attract investors to permit Enron to hedge its substantial investment in Rhythms NetConnections, Inc. ("Rhythms"), and possibly to purchase other assets in Enron's merchant portfolio. onado - napoli 03.07.06

  31. La struttura societaria (Powers Report) onado - napoli 03.07.06

  32. Ritmo, ritmo • LJM serve per “hedging” della partecipazione di Enron in Rhythms • Enron investe $10 million in Rhythms NetConnections, Inc. ("Rhythms"), a privately-held internet service provider for businesses using digital subscriber line technology, by purchasing 5.4 million shares of stock at $1.85 per share. • On April 7, 1999, Rhythms went public at $21 per share. By the close of the trading day, the stock price reached $69. • By May 1999, Enron's investment in Rhythms was worth approximately $300 million, but Enron was prohibited (by a lock-up agreement) from selling its shares before the end of 1999. Because Enron accounted for the investment as part of its merchant portfolio, it marked the Rhythms position to market, meaning that increases and decreases in the value of Rhythms stock were reflected on Enron's income statement. onado - napoli 03.07.06

  33. La magia dei derivati • Enron aveva contratti call su azioni proprie (per evitare diluzione derivante da piani di stock option) • Le opzioni erano deep in the money, ma ovviamente non si possono contabilizzare plusvalenze su azioni proprie • Fastow dice di aver trovato il modo per valorizzare con i derivati l’embedded value di questi contratti onado - napoli 03.07.06

  34. Et voilà • Fastow proposed to create a limited partnership SPE, capitalized primarily with the appreciated Enron stock from the forward contracts. • This SPE would then engage in a "hedging” transaction with Enron involving the Rhythms stock, allowing Enron to offset losses on Rhythms if the price of Rhythms declined. • Fastow would form the partnership and serve as the general partner. onado - napoli 03.07.06

  35. Sempre più difficile onado - napoli 03.07.06

  36. Elementi essenziali • Enron cede 3,4 milioni di azioni (valore mercato circa 276 mn, margine di 108) per 168 milioni • LJM dà a Enron un’obbligazione da 64 e una put per vendere azioni Rhythms a $ 56 a giugno 04 • Valore della put fissato a 104 (=168-64) • Price Watherhouse emette fairness opinion onado - napoli 03.07.06

  37. Dov’è il trucco? • If Enron stock performed well, Swap Sub could perform on the put even if Rhythms stock declined--although the losses would be absorbed by the value in the Enron stock. • But if Enron stock and Rhythms stock both declined, Swap Sub would be unable to perform on the put and Enron's hedge on Rhythms would have failed. • In either case, this structure is in sharp contrast to a typical economic hedge, which is obtained by paying a market price to a creditworthy counterpartywho will take on the economic risk of a loss. onado - napoli 03.07.06

  38. I derivati successivi sono ancora peggio (Raptor, nomen omen) • In this price swap, Enron committed to give stock to Raptor if Raptor’s assets declined in value. • The more Raptor’s assets declined, the more of its own stock Enron was required to post. Because Enron had committed to maintain Raptor’s value at $1.2 billion, if Enron’s stock declined in value, Enron would need to give Raptor even more stock. onado - napoli 03.07.06

  39. Ci sono cascati tutti, a cominciare dagli investitori istituzionali • At the height of Enron’s popularity in late 2000 and early 2001, large institutional investors owned 60 percent of its stock. • These included prestigious money management firms such as Janus Capital Corp., Barclay’s Global Investors, Fidelity Management & Research, Putnam Investment Management, American Express Financial Advisors, Smith Barney Asset Management, Vanguard Group, California Public Employees Retirement Fund, Van Kampen Asset Management, TIAA-CREF Investment Management, DreyfusCorp, Merrill Lynch Asset Management, Goldman Sachs Asset Management, and Morgan Stanley Investment Management. • However, institutional ownership of Enron continued to exceed 60 percent as late as October 2001, before collapsing to around 10 percent in December 2001 after the company announced its accounting problems. onado - napoli 03.07.06

  40. Per non parlare degli analisti • On October 31, 2001, just two months before thecompany filed for bankruptcy, the mean analyst recommendation listed on First Call (which compiles and distributes analyst recommendations) for Enron was 1.9 out of 5, where 1 is a “strong buy” and 5 is a “sell.” • Even after the accounting problems had been announced in October 2001, reputable institutions such as Lehman Brothers, UBS Warburg, and Merrill Lynch issued “strong buy” or “buy” recommendations for Enron. • Il problema dei conflitti di interesse onado - napoli 03.07.06

  41. Le prime voci dissenzienti • The Economist (“The energetic messiah,” 2000) questioned Enron’s performance • JamesChanos, a hedge fund manager, identified problems from disclosures on related party transactions involving the firm’s senior officers and insider trading in late 2000. • In November 2000, Chanos shorted the stock, and in February 2001 he tipped off a reporter at Fortune, Bethany McLean, who subsequently wrote the March article “Is Enron Overpriced?” onado - napoli 03.07.06

  42. La morale • I controlli interni ed esterni non hanno funzionato • I passive monitor (nel senso di Tirole) hanno creduto a tutto • Gli active monitor erano gli autori degli inganni (vedi la creazione dii SPE) per di più, auditor in conflito di interessi: Powers Report: Andersen billed Enron $ 5.7 mn for advice in conncection with SPEs) onado - napoli 03.07.06

  43. Perché Enron • La bolla azionaria ha amplificato la crescita della società e il tentativo di occultare le perdite iniziale • Ma non è stata la causa causarum • La prova sta in altri scandali come Parmalat e Cirio che non hanno nulla a che vedere con la bolla onado - napoli 03.07.06

  44. Parmalat: la straordinaria crescita onado - napoli 03.07.06

  45. Le cause della crisi in una semplice analisi dei flussi di fondi 1990-2003: impieghi onado - napoli 03.07.06

  46. Le cause della crisi in una semplice analisi dei flussi di fondi 1990-2003: fonti onado - napoli 03.07.06

  47. Cosa ci dicono le slide precedenti • Grande crescita, soprattutto esterna (acquisizioni) • Poca redditività • Tutto basato sul debito (l’azionista di maggioranza non mette una lira neanche al momento IPO) onado - napoli 03.07.06

  48. Parmalat: l’operazione “Buconero” • Citigroup, per il tramite di due veicoli societari ad essa riconducibili, la Vialattea e la Buconero, stipula con PARMALAT un contratto di associazione in partecipazione nella Geslat (società del GRUPPO); • Citigroup riveste la qualifica di associato e alla stessa spetta contrattualmente un reddito minimo garantito; • L’operazione, che apparentemente viene strutturata come un’operazione di equity, si traduce di fatto in un finanziamento di Citigroup al GRUPPO PARMALAT, tanto è vero che la stessa Citigroup comunica dal 2000 alla Centrale Rischi la propria posizione creditoria verso il GRUPPO che al 30/11/2003 ammonta a €/000 125.091 (cfr. all. 209). onado - napoli 03.07.06

  49. Parmalat: le operazioni in derivati del 2003 • Su IRS, principalmente con Credit Suisse, Deutsche Bank, UBS, Merril Lynch e Morgan Stanley, incassando premi per €/000 69.356; • Su valuta, con Banca Akros, Citibank, Morgan Stanley, UBS, Capitalia e JP Morgan, incassando premi per €/000 51.438. onado - napoli 03.07.06

  50. Déjà vu onado - napoli 03.07.06

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