Musik @ Centrifugen

Det har väl knappast undgått någon att man genomför stresstester på 91 banker i Europa, främst inom Eurozonen där man vill visa att allt är i sin ordning. Jag tänkte bistå med dokumentet (se ”CEBS’S Statement on key features of the extended EU-wide stress test” nedan bland källorna) som beskriver dessa stresstest och vilka banker som ingår i detta test. Jag kan redan här avslöja att alla svenska storbanker är med (Swedbank, SEB, Handelsbanken och Nordea).

Hur dessa stresstest ska gå till har bollats fram och tillbaka. 16 banker i Tyskland uttryckte sitt stöd för Deutsche Bundesbank president, Axel Webber, som tyckte att man inte skulle redovisa allt fuffens. Man lovar transparens men vill samtidigt dölja så mycket som möjligt. Vet inte om den planen lyckas men man kan inte både ha kakan och äta den.

Jag har kallat detta för en fars och det är vad det är. Först åtnjuter bankerna skattebetalarnas medel för att tillskansa sig ”kapital”, sedan får de bestämma villkoren för den kontroll som ska visa marknaden att man kan lita på bankerna. Om möjligt så ska man också se till att dölja det som inte marknaden ”behöver” känna till.

Så här står det i det meddelandet som CEBS (Committee of European Banking Supervisors) gav ut häromdagen:

The objective of the extended stress test exercise is to assess the overall resilience of the EU banking sector and the banks’ ability to absorb further possible shocks on credit and market risks, including sovereign risks, and to assess the current dependence on public support measures.
The exercise is being conducted on a bank-by-bank basis using commonly agreed macro-economic scenarios (baseline and adverse) for 2010 and 2011, developed in close cooperation with the ECB and the European Commission.

The macro-economic scenarios include a set of key macro-economic variables (e.g. the evolution of GDP, of unemployment and of the consumer price index), differentiated for EU Member States, the rest of the EEA countries and the US. The exercise also envisages adverse conditions in financial markets and a shock on interest rates to capture an increase in risk premia linked to a deterioration in the EU government bond markets.

On aggregate, the adverse scenario assumes a 3 percentage point deviation of GDP for the EU compared to the European Commission’s forecasts over the two-year time horizon. The sovereign risk shock in the EU represents a deterioration of market conditions as compared to the situation observed in early May 2010.

The scope of the stress testing exercise has been extended to include not only the major EU cross-border banking groups but also key domestic credit institutions in Europe. The banks that have been included in the exercise are listed in the Annex. In each EU Member State, the sample has been built by including banks, in descending order of size, so as to cover at least 50% of the national banking sector, as expressed in terms of total assets. For the EU banking sector as a whole, the 91 banks represent 65% of the EU banking sector. Banking groups have been tested on a consolidated level. This means that subsidiaries and branches of an EU cross-border banking group have been included in the exercise as a part of the test of the group as a whole.

The results of the stress test will be disclosed, both on an aggregated and on a bank-by-bank basis, on 23 July 2010.
It should be noted that a stress testing exercise does not provide forecasts of expected outcomes, but rather a what-if analysis aimed at supporting the supervisory assessment of the adequacy of capital of European banks.

Källor:

http://mfc.elmberg.net/2010/07/05/ekonomikommissionaren-olli-rehn-lovar-full-transparens-for-stresstesten-men-de-ska-sjalva-valja-vad-som-ska-redovisas-farsen-fortsatter/
CEBS’S Statement on key features of the extended EU-wide stress test