giovedì 15 marzo 2012

I risultati degli stress test bancari negli USA

Ieri sono stati resi noti i risultati degli stress test che la Fed ha imposto alle banche statunitensi: lo scenario avverso disegnato per testare l'adeguatezza del capitale delle 19 maggiori banche USA prevedeva un calo del 50% del mercato azionario, una contrazione del GDP dell'8%, un declino dei prezzi delle abitazioni del 21% e un aumento del tasso di disoccupazione fino al 13%: al picco della recessione 2008-2009 la disoccupazione USA si è attestata al 10.2%. Ecco i risultati, che vedono 15 delle 19 banche mantere il Tier 1 ratio sopra la soglia del 5%. Come osserva il NYTimes Regulators concluded that the level of losses — even among similar loans — would vary sharply among banks under a severe stress case. The differences are based on the quality of each bank’s portfolio and on how much each one has already written down its loans. Here are the worst performing banks in five categories. The figures reflect expected losses, under the stress case and as a share of each bank’s total portfolio, and exclude banks that would lose less than $250 million in a category.

*From period just before the stress tests in May 2009. †The stress case is that the unemployment rate rises to 13 percent, that stock prices fall 50 percent, and that housing prices decline 21 percent. What happens then depends on whether the companies take no actions that might affect their capital ratios, such as paying dividends, buying back shares or issuing new stock, or go ahead with current capital plans.

I risultati sono incoraggianti, ma sono stati soprattutto interpretati come il via libera per l'aumento dei dividendi:  “The scenarios were incredibly severe, and the banks fared extremely well,” said Michael Scanlon, a senior equity analyst with Manulife Asset Management in Boston.
First out of the gate, JPMorgan Chase announced Tuesday that it would buy back roughly $12 billion in stock this year and increase its quarterly dividend payment by a nickel, to 30 cents.
Others quickly followed suit, bolstered by passing the Fed’s test. Wells Fargo increased its dividend by 10 cents, to 22 cents. John Stumpf, the bank’s chairman and chief executive said, “We are extremely pleased to reward our shareholders.”
American Express, the credit card issuer, also announced it would increase its quarterly dividend by 2 cents, to 20 cents a share. Meanwhile, U.S. Bancorp raised its quarterly dividend, too, by 7 cents, to 19.5 cents.
The latest tests were the third that banks have been subjected to in the wake of the financial crisis. 
Ma non tutti sono d'accordo: non è detto che le condizioni del 2008 siano così estreme che non si possano ripetere con ancora maggior forza, l'implementazione degli scenari potrebbe aver sottostimato le perdite nei bilanci, ecc. ecc. Insomma, forse sarebbe meglio essere prudenti e aumentare ulteriormente il capitale anzichè aumentare la distribuzione dei profitti agli azionisti.
... some economists, including Professor Admati, have raised an alarm, saying the tests were not hard enough.
“Why are we letting banks hand out dividend payments and encouraging risky behavior after they passed flimsy tests?” he said. “It’s frankly dangerous, and the Fed should not allow it.”
Rebel A. Cole, a former Fed economist and a professor of finance at DePaul University, said that the stress tests created too rosy a picture, drastically understating how a financial crisis would impact banks’ balance sheets.
Even though the tests assumed a grim economic situation, with unemployment surging to 13 percent and housing prices plummeting by 21 percent, they failed to register how deeply banks’ holdings, like mortgages and credit cards, would suffer.
For instance, the tests assumed that banks could lose up to $56 billion on home equity lines of credit and second-lien mortgages, or roughly 13 percent of their portfolio. That’s too low, Mr. Cole said. “Those loss rates don’t even pass the smell test,” he said. In an economic downturn, more underwater homeowners would default on their loans, he said.
Another problem with the tests, critics said, was that they underestimated the legal liabilities that might still be lurking for banks as they work through a backlog of soured mortgages.
In its analysis of Bank of America, the Fed predicted the firm could withstand up to $60 billion in losses over the next two years, without increasing its current dividend of 1 cent a quarter. But Professor Cole said that Bank of America’s liabilities on those mortgages — especially if the bank has to pay more money to investors who are demanding that the bank reimburse them for losses on mortgage bonds — could far exceed that $60 billion mark.
In addition, the Fed too heavily relies on 2008 and 2009 to create its nightmare economic situations, he said. For example, the Fed situation expected that interest rates on 10-year Treasuries would plunge to 1.64 percent, without factoring in a different circumstance where interest rates could surge and undercut loan demand.
In addition, the tests did not take into account difficulties that the banks might face in borrowing money. Without that, the tests could potentially be incomplete, Mr. Barofsky said.
Instead of allowing banks to return money to shareholders, the Fed should force them to retain it, he said. “In this case, the Fed is acting as enabler,” he said.

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