l Comitato europeo delle autorità di vigilanza sulle banche (Cebs) ha pubblicato i parametri base dei test effettuati su 91 banche.
La metodologia dei test - che distingue fra scenario benchmark, scenario avverso e scenario avverso con aggiunta di shock sul debito sovrano - ipotizza, nel terzo scenario, un 'haircut' del 23,1% sui titoli di stato a 5 anni greci rispetto al valore a fine 2009, un 'haircut' del 4,7% sui bond quinquennali della Germania, un 'haircut' del 14% sui titoli di stato a 5 anni portoghesi e un 'haircut' del 12,3% sui bond spagnoli.
Nel briefing del Cebs non ci sono stati dettagli sull'Italia.
Lo scenario benchmark è la base per comparare gli altri due. E' stilato sulla base delle stime di crescita dell'Ue attuali e sino a fine 2011. Il benchmark prevede che i mercati azionari chiuderanno il 2010 con una perdita del 10% e che fra quest'anno e il 2011 registreranno una flessione del 19%.
Lo scenario avverso immagina una nuova recession. Provides an average decrease of 3% economic growth between 2010 and 2011. The portfolios of equity have been stressed to involve a stock market decline of 20% in both years, with a total setback of 36%. The test assumes that the products are credit ratings cut to four notches. Supervisors have assumed that the short-term interbank rates rise by 125 basis points over the two years. The long-term rates would rise by 75 basis points. CEBS and the ECB considers that this scenario has a probability of occurrence of about once every twenty years, which is a stricter test than that conducted in the U.S., which was based on a scenario that had a chance to occur every seven years.
Last May, we have added a third scenario, the result of concerns about the debt crisis in Greece, Spain and Portugal. The third scenario adds to the adverse situation of turbulence in the market for government debt. The precondition for an increase in long-term rates in the euro area of \u200b\u200b30 basis points. In this scenario, based on the values \u200b\u200bat the end of 2009, have been hypothesized the 'haircut' to the bond Greek, Portuguese, English and German listed above. The same discounts were applied to other deadlines. The scenario does not provide the default of government bonds, rated "highly unlikely". Consequently, the 'haircut' have only been applied to this bond in the trading book, in order to draw a scenario where the government bond market turmoil plaguing the books of banks. Despite this, each bank should make clear the amount of government bonds in the portfolio, posting the gross and net positions, and making financial hedging contracts.
0 comments:
Post a Comment