Ancora sugli stress test bancari

David Reilly sul Wall Street Journal si aggiunge al coro di quanti raccomandano un po' di prudenza: i risultati degli stress test sono molto meno rassicuranti se invece di guardare al Tier 1 ratio si calcola la leva finanziaria utilizzata dalle banche statunitensi:

Capital ratios at the heart of the tests aren't always as solid as regulators think.

One way to compensate for that is to look at a measure of leverage. This is important because capital ratios rely on risk-weighted measures of assets, while the leverage ratio uses total assets. And risk-weightings are sometimes wildly off base:(...)

When it comes to leverage, the biggest U.S. banks didn't look as robust in the stress tests. Strong banks are required to have a minimum leverage ratio of 3%. Since the crisis, the six biggest financial firms have boosted that ratio to more than 6%. The higher the ratio, the lower the level of assets to equity—and, theoretically, the risk.

But under the Federal Reserve's most stressed scenario, and taking into account capital-return requests, the firms look less robust. Citigroup, whose capital-return request was rejected, was at 2.9%. Even without a capital return, its ratio would have been just 3.2%.

Morgan Stanley, which didn't ask to return capital, was at 3.4%, while Goldman Sachs and J.P. Morgan Chase, both given green lights for capital returns, were at 3.8%. Looked at another way, those measures equate to leverage of 29 times and 26 times capital, respectively. That is eerily reminiscent of levels seen at investment banks before the crisis.

Granted, the tests were theoretical. Even so, the Fed shouldn't forget its leverage lessons.

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.

L'Irlanda e i pregiudizi tedeschi. Il falllimento di Basilea 2

Martin Wolf commenta la crisi irlandese sul Financial Times: secondo Wolf "il disastro irlandese" offre un'opportunità all'Europa per capire come "il punto di vista tedesco sui problemi dell'eurozona sia sbagliato".
I tedeschi credono che le difficoltà principali della zona euro vengano dall'incontinenza fiscale e l'inflessibilità economica di alcuni suoi membri. Da questo punto di vista discende in modo naturale una cura fatta di "disciplina fiscale, riforme strutturali e ristrutturazione del debito".
Qui entra in scena il paradosso irlandese, vittima non di uno stato spendaccione e neppure di un mercato del lavoro troppo rigido, ma di una crisi finanziaria dovuta alla spregiudicatezza delle sue banche. Scrive Wolf:  

Ireland has needed rescue, notwithstanding its astonishingly flexible economy; and an emphasis on restructuring of debt has, predictably, triggered a crisis. These realities should make Germany rethink. Will it? I doubt it.

Ireland is nothing like Greece. Back in 2007, Ireland’s net public debt was just 12 per cent of gross domestic product. This compares with 50 per cent in Germany and 80 per cent in Greece. Spain, too, had net public debt in 2007 at just 27 per cent of GDP. If the fiscal rules had been applied as ruthlessly as German policymakers say they now want (though their predecessors resisted their application to themselves in the early 2000s), they would have affected France and Germany more than twice as often as Ireland or Spain between inception of the eurozone and the current wave of crises.
It was not the public but the private sector that went haywire in Ireland and in Spain. 

Wolf prosegue poi il suo articolo osservando come a dispetto delle scelte dolorose di bilancio già compiute dal governo irlandese, la crisi sia precipitata come conseguenza dell'accordo franco-tedesco del 18 ottobre sull'introduzione di meccanismi per la ristrutturazione del debito dei paesi della zona euro, scatenando le vendite delle obbligazioni governative di Grecia, Irlanda e Portogallo. Secondo Wolf è difficile credere che la zona euro possa superare le difficoltà adottando la politica che la Germania vorrebbe imporre e che continuano a ignorare il problema di stimolare la domanda interna:

At best, reliance on fiscal disciplines and sovereign debt restructuring is sure to generate massively pro-cyclical policy. At worst, it will generate serial depression and default among member countries. Moreover, this is also a global problem: the emphasis on deflationary adjustment in weaker countries risks turning the eurozone as a whole into a gigantic Germany, dependent on importing demand from the rest of the world. 

Wolf è solitamente molto misurato nei suoi commenti ma questa volta mi pare che abbia proprio perso la pazienza: ecco come conclude il suo editoriale
 

the Irish case also shows that the German view of how the eurozone should work is mistaken: fiscal sloppiness is not the main problem and fiscal retrenchment and debt restructuring are not the sole solutions. One cannot learn from history if one does not understand it.

A proposito della crisi irlandese, e del ruolo che le banche hanno in questa, si può osservare come ancora una volta siano ben visibili i limiti della regolamentazione delle banche e in particolare dell'accordo di Basilea. Per non parlare degli stress test compiuti qualche mese fa che dovevano rassicurare i mercati sulla solvibilità delle banche europee e che le banche irlandesi superarono a pieni voti. Secondo Simon Nixon che scrive sul Wall Street Journal

In July, Irish banks passed European stress tests. Four months later, they have brought the country to its knees.
Bank of Ireland claims a core Tier 1 ratio of about 8%, yet the market refuses to lend to it. Greek, Portuguese and some Spanish banks have similarly found themselves shut out of private-sector funding markets. This investor skepticism highlights a major weakness of the Basel capital rules that European banks operate under.
Investors fear banks' reported capital ratios may not fully reflect the risks on their balance sheets. Core Tier 1 capital ratios are calculated as a proportion of risk-weighted assets. But while the Basel Committee on Banking Supervision has made progress improving the quality and quantity of capital, the Basel 2 and 3 rules allow banks and national regulators discretion in calculating risk-weighted assets. Where banks have sufficient historical data, Basel lets them use their own models to calculate risk weightings.
This has some logic. A Norwegian mortgage is likely not as risky as a Spanish one, so it shouldn't require the same capital to back it. But the approach creates wide variations. At Banco Santander, risk-weighted assets amount to 48% of the total balance sheet, compared with 24% at Barclays and 14% at Deutsche Bank. The three have core Tier 1 ratios of 8.5%, 10% and 7.6%, respectively. On average, Santander is holding capital equivalent to 2.99% of each exposure, versus an average 2.2% at its major European peers.

L'accordo di Basilea non sembra in grado di consentire una migliore armonizzazione tra la valutazione dei rischi basata sui modelli storici e sul risk-weighting del capitale e quella che si può cercare di dedurre dalla lettura dei bilanci. La distanza tra questi due approcci può essere considerevole, ma l'analisi dei flussi di cassa
bancari può rivelarsi utile e rivelare debolezze che altrimenti non sarebbe facile individuare. Chi è interessato ad approfondire questa tematica può dare un'occhiata all'articolo di Klumpes, Welch e Reibel che trovate qui.

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 Forex.com 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.

L'effetto placebo degli stress tests. Il cambio yen-dollaro australiano.

A leggere i commenti sugli stress tests viene un po' da sorridere:
sul Sole 24 Ore di ieri Walter Riolfi, nel suo articolo settimanale sull'andamento dei mercati, scrive:  Se proprio qualcosa di buono si vuol trovare in questa settimana è ancora sul fronte dei risultati societari che sono apparsi in gran parte migliori del previsto: a ben vedere, più per gli utili che per i ricavi. In ogni caso s'è avuta conferma che l'America delle aziende, quelle grandi e quotate a Wall Street, è decisamente in miglior forma dell'economia americana. Gli utili del secondo trimestre sono adesso attesi in crescita di oltre il 30%: 3 punti in più delle stime d'inizio mese. Qualcuno ha pure voluto leggere del buono negli stress test europei. Ma in questa grande trovata pubblicitaria, orchestrata dalla Bce e dalle autorità bancarie europee, solo 7 tra le piccole e più scalcinate banche del Vecchio continente non hanno superato la prova: a dimostrazione che è meno facile passare l'esame per la patente che questo test.
Sul Sole 24 Ore di oggi vi segnalo il commento a pagina 7 di Donato Masciandaro che giustamente considera gli stress tests un placebo (che si spera calmare i mercati per un po') e invita a percorrere con decisione la via delle riforme correggendo le distorsioni dello shadow banking system ed eliminando alla radice i presupposti per una nuova (e probabilmente peggiore) crisi finanziaria.

Un affezionato lettore di Alfaobeta (il Sig. Gambino) mi ha poi segnalato come anche Plus abbia ieri dedicato un po' di attenzione all'indice Baltic Dry (a pagina 10): l'autore Luca Davi pare condividere l'opinione dell'Economist  che attribuisce il suo collasso dell'ultimo paio di mesi all'eccesso di domanda. Per anticipare l'andamento dei  i mercati Davi suggerisce come alternativa  l'impiego dell'indice della borsa di Shangai e il  cambio yen/dollaro australiano (JPY/AUD)  (mah! è ben vero che negli ultimi mesi il rapporto JPY/AUD sembra l'immagine speculare dell'indice S&P500, ma questo purtroppo non permette di fare nessuna previsione neppure a breve scadenza! Semmai lo si può utilizzare come hedge andando simultaneamente lunghi sullo SP500 e corti sul cambio JPY/AUD) .

Un fatto abbastanza inedito che preoccupa molti investitori è come la correlazione tra i rendimenti delle singole azioni e quelli dell'indice S&P500 sia aumentata considerevolmente negli ultimi mesi, avvicinandosi a 1 e giungendo a valori medi più alti persino di quelli registrati durante la crisi scatenata dal fallimento di Lehman Brothers. Un altro fatto preoccupante si osserva nella struttura dei futures sull'indice di volatilità VIX  che è in contango da qualche settimana, ovvero le attese degli investitori sono per un aumento considerevole della volatilità in autunno. Visto che non stiamo attraversando acque tranquille neppure ora è bene essere preparati al peggio, con il salvagente indossato e qualche pillola contro il mal di mare a portata di mano...

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.

Ci possono scommettere!

Stress tests....sex bombs....

Suscettibile alle critiche dell'Economist e sentitosi spiato da Alfaobeta, l'indice Baltic Dry ha aperto questa settimana interrompendo l'eccezionale serie consecutiva di ribassi e si avvia oggi a chiudere con il terzo giorno consecutivo di rialzi. Anche se una rondine non fa primavera siamo contenti di vedere che l'affossarsi dell'indice si sta prendendo una piccola pausa, così come le borse, trascinate da trimestrali tutto sommato non disprezzabili.

Anche il dollaro si sta prendendo una piccola rivincita sull'euro che lo aveva strapazzato la scorsa settimana:
The euro had advanced to $1.30 from the four-year low just under $1.19 hit in early June, and analysts said the common currency's recent rally may have outpaced the support the euro is likely to glean from the tests.
"How good can this stress test be?" asked Simon Smollet, senior foreign exchange options strategist at Credit Agricole CIB in London. "It's difficult to imagine how much better" the euro can trade against the dollar, no matter what the results of the stress tests.
After initially viewing the tests in a positive light, investors now are wondering how decisive the tests will be in restoring faith in the European financial system.

Lo stress da stress tests domina le attese di questi giorni:  secondo il Wall Street Journal per un investment banker
 a failed stress-test exercise (...) is one that doesn't lead to any lucrative mandates to raise bank equity.
On that basis, the European exercise, whose results are due Friday, looks doomed. Finance ministers from several countries most under scrutiny, including Greece and Spain, have been quick to declare their banking system sound. Any capital raising seems likely to be limited to smaller savings banks that cannot or would not be able to raise public equity and will have to rely on government capital injections instead. 

Ma questi sono tipi tosti: infatti continua il WSJ
 investment bankers are not the type to take "no" for an answer. Unperturbed, some now hope to persuade banks that passed the test to take advantage of any improvement in confidence to bolster their balance sheets. That may be a hard sell, given the European bank sector currently trades on 0.6 times 2010 tangible book value, according to Nomura. No bank would raise capital at a discount to book value if they can avoid it, given the dilution that implies, particularly if they can boost their capital via retained earnings.

e poi: 
With European banks needing to refinance an estimated $3.3 trillion of wholesale funding in the coming years, it is to Libor and the iTraxx senior financials index that investors must look for the true definition of stress-test success. 

Dopodomani conosceremo tutta la verità, per meglio dire conosceremo quella parte della verità che si riterrà utile rendere pubblicamente nota per permettere alle banche europee di tirare un respiro di sollievo dopo mesi di apnea e di voci che si rincorrono.

In questo luglio torrido ho cercato invano un po' di sollievo sull'Econotwist music channel: speravo di trovare un remake di Sexbomb  dedicato agli stresstests....purtroppo non l'ho trovato e vi dovete accontentare di immaginarvelo....Mr Bean mi sembra comunque adatto a interpretare il ruolo dell'ispettore BCE...




Speriamo comunque che l'autunno sia un po' meglio di quello che i timori della primavera e dell'estate sembrano suggerire, e che non si presentino altre swap-portunities....