Diversificación imposible

Las bolsas, caen: el bono italiano supera el 7% de interés; Los mercados siguen interpretando la fallida emisión alemana como un signo de que se acaban los refugios seguros. Esto reduce progresivamente el grado de diversificación, lo que agudiza el problema financiero.
El petróleo baja, el oro idem. El bono americano se aprecia, y se pone por debajo del alemán en rendimiento. El euro cae frente al $.
En europes-banks-must-now-be-forced-to-recapitalise-now, Mohamed- El Erian

None of this helps liquidity management. Not surprisingly, a growing number of European banks are now either materially or wholly dependent on the European Central Bank and related facilities (such as the national emergency liquidity assistance programmes). The situation is particularly acute for those that previously relied on wholesale funding, which has essentially disappeared, and those suffering deposit outflows, which are accelerating in very troubled countries such as Greece.

All this makes it very hard for the banking system to get back on side quickly, especially at a time when three other issues are making it difficult to manage balance sheet risk. First, traditional asset diversification no longer affords the same degree of risk mitigation given the scope and scale of the European crisis. Second, with historically low interest rates on government bonds issued by the strongest economies, such holdings offer only limited protection in today’s environment. Third, confidence in market-based hedging instruments, including credit default swaps, is eroding due to uncertainty about what will happen to them during major market dislocation. 

Si el mercado interbancario está enrarecido, y van desapareciendo refugios seguros, es imposible tener una cartera diversificada: al final, solo el dinero será demandado, pero el BCE no ofrecerá contrapartida, como siempre y hasta ahora. El desplome de la banca europea (y mundial) será inevitable. Será algo curioso: todos los bancos estarán hasta las trancas de activos que no valen un euro, mientras todos buscaremos los euros que podamos...y los venderemos por dólares, quién sabe. Es curioso que la demanda infinita de euros pueda llevar a su desvalorización absoluta. Pero es que, a diferencia de la crisis de liquidez de los 30, el BCE podría perder la confianza en sus euros, y no sabemos exactamente cómo jugará ese factor en esta crisis de liquidez. Sí, falta liquidez, de euros, pero el BCE no la suelta. Mientras, se va dinamitando el sistema; pero al final, ¿porqué suponer que el BCE se mantendrá en su sitio, si será inevitable que su moneda se rompa? Eso depende de quién se sale, si es Alemania, "Adieu mon cher, tu ne vaut rien". Tenebroso panorama el que se va perfilando cada vez más deprisa.
 Mientras, Krugman ve directamente un signo de colapso del euro en la subida de la prima de riesgo alemana:

The Apocalypse Trade

I really wasn’t planning on blogging on Thanksgiving Day. But what’s going on in Europe deserves a mention.

So, the big story: German bonds are now being priced as a risky asset — what the FT calls the “apocalypse trade“. The interest rate on bunds, at 2.21% as I write this, is still very low by historical standards. But it’s above the rate on UK bonds (2.17%) and way above the rate on US bonds (1.88%).

The way to see this is that the market is in effect pricing in a real possibility of eurozone collapse.

In particular, market expectations seem to assume that the ECB will remain utterly indifferent to its responsibilities. The German breakeven rate, an implicit forecast of inflation over the next 5 years, is just 1 percent. That’s a disaster level, implying severe deflation in the debtor nations — or, more likely, a euro breakup.

Awesome all around. 

En  http://krugman.blogs.nytimes.com/2011/11/24/the-apocalypse-trade/