sabato 24 luglio 2010

Stress tests troppo poco stressanti?

Sono solo 7 le banche europee che non hanno superato gli stress tests, con una necessità di ricapitalizzazione di circa 3.5 miliardi di euro. Qualche giorno fa uno studio di Goldman Sachs aveva previsto che 10 banche fallissero l'esame con una necessità di capitale pari a 38 miliardi di euro.  Per poter superare i test il capitale Tier 1 non doveva scendere al di sotto del 6% degli asset in uno scenario che prevedeva una nuova recessione (moderata) nel 2010 e nel 2011 e una crisi (ma non un default) del debito sovrano, con i tassi di interesse di medio-lungo periodo dei paesi dell'U.E. che aumentano di 30 punti base (un po' pochini forse...).
Le critiche del Wall Street Journal sono chiare:

The low failure rate is hardly surprising, given the easy terms of the test. Admittedly, it is hard to quibble with the macroeconomic assumptions, with the "adverse" scenario more demanding than the market consensus. It was based on a double-dip recession that would see the euro-zone economy shrink by a mathematically unlikely 0.2% this year and grow by just 0.1% next year. But while the stress tests prescribed big increases in default probabilities and loss assumptions, they didn't challenge the banks' current underlying base-case default assumptions, which the market widely suspects are too optimistic.
More importantly, the sovereign shock exercise—which looked at the impact of further volatility in the sovereign-bond market and was the main focus of investor attention in the run-up to the results—was benign to the point of irrelevance. The test was applied only to assets held on trading books and ignored banking books where the bulk of bank sovereign exposures lie. The haircuts applied to sovereign bonds were also very low. Under the adverse scenario, Greece's five-year bonds were assumed to yield 13.64%, equivalent to a 23% haircut on December 2009 prices. Yet Greek five-year bond yields at the height of the sovereign crisis in July hit 17%.
Meanwhile, the hurdle rate was low. It was based on a 6% Tier 1 ratio– hardly onerous given that European banks currently average 10% Tier 1 capital–rather than focusing on higher-quality core Tier 1, as the market would have preferred. The U.S. stress tests in 2009 required banks to exceed 4% core Tier 1 under stressed conditions.
Still, it would be a mistake to write the stress tests off as a waste of time. The most useful aspect of the exercise is the full disclosure of bank European sovereign-bond exposures on both the banking and trading books, which will now be pored over by analysts who will be able to apply their own haircuts. Investors will also welcome the detailed disclosure by the 27 Spanish banks of their wider real-estate exposures, thereby addressing a key concern. The market may yet apply the pressure on individual undercapitalized banks that the regulators ducked.

Secondo il New York Times

(...) questions about the way the tests were conducted left at least some economists and financial analysts wondering whether the results would be enough to calm investors worried about the stability of the continent’s banking system.
The tests found that seven of the region’s 91 largest banks needed to raise more capital to withstand an unexpected decline in economic growth or a sharp deterioration in the perceived safety of government bonds issued by debtor nations like Greece, Portugal and Spain.
Banks that failed were Hypo Real Estate, a company based in Munich that is already owned by the government after a bailout, ATEBank of Greece and five Spanish savings banks.
Several other banks passed but so narrowly that they may face market pressure to increase reserves. That group included Postbank, one of Germany’s biggest publicly traded banks, which is based in Bonn and is 25 percent owned by Deutsche Bank.
Markets reacted to the test results with muted enthusiasm. European and United States stock indexes generally rose less than 1 percent, though bank shares were down. The euro rose early but finished down less than a hundredth of a percentage point against the dollar.
But, as with similar tests of banks in the United States last year, it may take days or weeks to determine whether the tests will end banks’ mistrust of one another’s creditworthiness and encourage interbank lending, which is crucial to the normal functioning of the financial system and ultimately the overall economy.
Some economists said the tests excluded certain possibilities, like the effect of a debt default by Greece or another European country, calling into question its credibility.
“The overall result seems out of line with the tensions we have been observing in the financial system in the last few months,” said Marco Annunziata, chief economist at UniCredit Group, based in Milan. “The tests are unlikely to reassure the market that transparency has been re-established or that pockets of weakness are being rapidly addressed.”
European policy makers said they refused to consider the potential effect of sovereign defaults because they would never allow them to happen.
In a compromise, banks were scheduled to detail their holdings of Greek, Spanish, Portuguese and other sovereign bonds. But a report released by the European bank supervisors did not contain that information, which would resolve intense speculation about which banks were most exposed.
“Investors cannot reverse-engineer the results and apply their own assumptions,” said Nicolas Véron, a visiting fellow at the Peterson Institute for International Economics in Washington. He called the level of detail in the stress test report “disappointing.”
In a second round due in two weeks, the tests will be expanded to bank subsidiaries, like the East European institutions owned by banks based in Vienna.

Se volete trascorrere il finesettimana approfondendo l'analisi, unendovi a schiere di analisti in tutto il mondo che stanno meticolosamente facendo le pulci al rapporto,  potete scaricare qui l'analisi complessiva dell'esito dei test condotti dal Committee of European Banking Supervisors (CEBS) (su mandato ECOFIN) in coorperazione con la BCE e le autorità di supervisione bancaria dei singoli paesi dell'Unione Europea. Una sintesi nella forma di domande/risposte la trovate qui mentre qui potete scaricare il documento complessivo che include i due precedenti e l'analisi dettagliata delle banche paese per paese (le 5 banche italiane coinvolte - Intesa, Unicredit, MPS, UBI e Banco Popolare - sono trattate alle pagine 108-112). Alla domanda fondamentale sullo stato di salute del sistema bancario europeo i controllori rispondono così

Q15: Is the EU banking sector a sound banking sector?
A: Based on the results of the calculations, the aggregate Tier 1 ratio, used as a common measure of banks’ resilience to shocks, under the adverse scenario would decrease from 10.3% in 2009 to 9.2% by the end of 2011 (compared to the regulatory minimum of 4% and threshold of 6% set up for this exercise).
The aggregate results suggest a rather strong resilience for the EU banking system as a whole and may appear reassuring for the banks in the exercise, but it should be emphasized that this outcome is partly due to the continued reliance on government support for a number of institutions. However, given the uncertainties over the actual path of the macro-economic recovery, the result should not be seen as a reason for complacency.

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