mercoledì 28 luglio 2010

Stress tests: piccola rassegna stampa.

Ecco una piccola rassegna di articoli sugli stress test:
  • Qui e qui trovate i due commenti "a caldo" usciti sul sito dell'Economist poche ore dopo la diffusione dei risultati degli stress tests. Il numero che uscirà domani (giovedì) sera conterrà sicuramente un'analisi più ponderata e approfondita. Ecco nel frattempo un commento sulla durezza dei test:
    How stressful were the tests?
    Turmoil in recent months in interbank lending markets and, especially, European government bond markets were the ostensible reasons to conduct the stress test and make the results public. Markets were especially keen on detailed information on banks' sovereign debt holdings, as well as the assumptions for losses on this debt due to a "sovereign risk shock", in the words of CEBS in the weeks leading up to the test's results.
    An initial examination of the results suggests that analysts will have much of the fodder they had urged authorities to disclose. Details on bank-by-bank holdings of sovereign debt were not disclosed, but estimates of the size of a loss in the value of their holdings under stress were. Taking the test's assumptions for sovereign debt stress and performing some reverse financial engineering, it may be possible to derive reasonable estimates for sovereign debt exposure at certain banks.
    The "sovereign shock" scenario employed by the test assumed an average fall of 8.5% in the value of EU debt from the end of 2009 to the end of 2011. The highest individual loss estimates included 23.1% for Greek debt, 14.1% for Portuguese debt and 12.8% for Irish debt.
    Some critics maintain that a truly stressful test would feature a scenario in which a sovereign borrower defaults instead of a "postulated aggravation of the sovereign debt crisis", as CEBS explains it. For its part, the Economist Intelligence Unit expects Greece to restructure its debt in 2012, with the government and creditors agreeing to a 30% haircut on bond holdings. This would dent the value of assets held in both trading and bank books, a much more severe scenario than even the test's worst-case state of affairs. The drop in the value of sovereign debt envisioned by the stress test only impacts lenders' trading books, where a minority share of banks' government debt holdings are placed.  
    At first glance, the testers should be applauded for the level of detail provided in their disclosures, especially in relation to what was expected from the exercise only a few weeks ago. The number of banks that failed the test, and the aggregate shortfall in capital, is lower than expected, and this could be perceived initially as an overly rosy assessment of the health of Europe's banking sector.
    With more time to pore over the detailed disclosures and, especially, the methodology and assumptions underlying the test, a clearer picture of the industry's prospects will emerge. Of course, financial markets will provide their own snap judgement of the test, as US exchanges are open for four-and-a-half hours following the release of the test results.      
  • Qui  invece potete leggere il commento apparso sul WSJ, dal quale ho tratto la figura che riproduco qui accanto. La tesi è che i test siano stati all'acqua di rose. Per esempio le ipotesi sul mercato immobiliare sembrano particolarmente gentili: When it comes to property values, estimates for each country were devised by that country's bank regulator. In Austria, the tests assume that in a recession, property prices will rise 2% this year and 2.7% next year—exactly the same outcome as under the benchmark scenario. Poland's stress tests assumed real-estate prices would remain flat.Other countries baked in relatively modest real-estate declines. Italy tested for a 1.6% drop in property prices this year and a 2% drop in 2011, while Greece's worst-case scenario was a 5% fall this year followed by a 2% drop the next year.
    It's unclear to what degree the seemingly optimistic test assumptions affected various banks' performances in the stress tests. In Italy and Greece, a number of banks passed the tests by very narrow margins, meaning even a slight shift in the economic assumptions could have changed the outcomes.
    Sempre il Wall Street Journal in questo commento rincara la dose sulla gentilezza del test, senza trascurare di segnalare la debolezza delle banche italiane e le responsabilità esplicite e implicite della Germania: The fact that only seven banks failed to pass is less relevant than the fact that the five Italian banks tested only squeaked by, as did Postbank, one of Germany's largest, and that Germany's eight landesbanken received a passing grade only because they "have yet to record a substantial part of total estimated write-downs," according to the International Monetary Fund. That relieves the pressure on a sector that German finance minister Wolfgang Schäuble says needs "an urgent reform." These regional banks are an important source of funding for Germany's small businesses. If they fail, the locomotive of the European economy might have a lot less fuel.(...)
    And by the way, no need to worry about a double dip recession. The so-called "adverse case" defines a "double dip" as no growth in 2010 and a 0.4% decline in GDP next year in the 27-nation European Union. Not very "adverse" by historical standards, given the fact that GDP in the EU declined by 4.2% in 2009.
    There's more, but you get the idea. Markets "don't think the scenarios were stressful enough," Brian Dolan, chief strategist at told Bloomberg News. How they will react in the long run will depend on two things.
    The first is Europe's ability to sustain the recent uptick in its economic growth. The CEBS "benchmark", or most likely case, assumes euro area growth of 0.7% this year, and 1.5% in 2011. Not likely to produce many jobs, or tax revenues to help bring down fiscal deficits.
    The second is Germany's continued willingness to be paymaster of last resort. Europe's banks passed the tests because those who devised them assume that Germany will continue to bankroll the various institutions set up to pump capital into the banks, and to provide an implicit guarantee against default by Club Med countries. German Chancellor Angela Merkel's plummeting popularity, in part a result of her reluctant agreement to have German taxpayers foot the bill for the excesses of its euro-zone partners, suggests limits to Germans' eagerness to work harder so that banks holding Spanish, Greek and other sovereign debt will face a mere trim around the edges rather than a crew cut.
    The tests might be over, but stress is not. Don't discard the Valium just yet.
  • Il blog Econotwist di Hespen Haug e Magne Lero è una delle letture più stimolanti e originali che ho trovato sul web. Vi raccomando dunque il post dedicato agli stress test e tratto dall'articolo di Wolfgang Münchau sull'edizione tedesca del Financial Times. Come assaggio vi propongo l'incipit: If you tried to test the safety of cars or children’s toys using the same method the European Union applied in its stress tests on banks, you would end up in jail, columnist Wolfgang Münchau at Financial Times Deutschland writes. “The purpose of the exercise was to ensure that the only banks that failed it were those that would have to be restructured anyway.” Sullo stesso blog trovate una sintesi di una analisi di Fitch. L'agenzia di rating ha condotto una survey tra investitori in obbligazioni che si è conclusa nei giorni immediatamente precedenti la pubblicazione dell'esito degli stress test venerdì scorso. “More than one third of investors ranked investment grade financials as facing the greatest refinancing challenge over the next 12 months,” says Monica Insoll, Managing Director in Fitch’s Credit Market Research group.
    The proportion of respondents expecting banks to face the greatest refinancing challenge rose to 36% from 8% recorded in Fitch’s Q210 survey conducted in April.
    Banks ranked second behind developed market (DM) sovereigns in terms of investor refinancing concerns.
    “The publication of the results of the EU bank stress tests on 23 July was potentially a critical event in terms of trying to restore investor confidence in many European banks,” says James Longsdon, Managing Director in Fitch’s Financial Institutions team.
    “The major European banks that ‘passed’ the tests with ease should now be better placed to continue with their re-financing programmes following the dramatic contraction in public debt issuance in May,” Longsdon says.
    Click to enlarge

    More Capital Needed

    “Fitch’s concern remains the impaired access to the debt markets of various banks located in countries where the market’s sovereign concerns have been most acute. It seems likely that such banks might need to raise more than the EUR3.5bn capital shortfall identified in the tests in order to regain debt market confidence,” Longsdon adds.

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