Feb 292020
 

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità rispetto alla rilevazione precedente. Paragrafo Paragrafo

Disclaimer: Le informazioni contenute in questa pagina sono esclusivamente a scopo informativo e per uso personale. Le informazioni possono essere modificate da finriskalert.it in qualsiasi momento e senza preavviso. Finriskalert.it non può fornire alcuna garanzia in merito all’affidabilità, completezza, esattezza ed attualità dei dati riportati e, pertanto, non assume alcuna responsabilità per qualsiasi danno legato all’uso, proprio o improprio delle informazioni contenute in questa pagina. I contenuti presenti in questa pagina non devono in alcun modo essere intesi come consigli finanziari, economici, giuridici, fiscali o di altra natura e nessuna decisione d’investimento o qualsiasi altra decisione deve essere presa unicamente sulla base di questi dati.

Feb 282020
 

EIOPA has recently (29.01.2020) published the risk dashboard (RDB) update at January 2020.

The RDB is published on a quarterly basis, showing the level of risk for 8 (=7+1) risk categories. The latest outcome is reported in the table below, compared to the previous one (October 2019):

Some comments

  1. Macro risks [high, stable]

This is an overarching category affecting the whole economy, which considers economic growth, monetary policies, consumer price indices and fiscal balances.

The economic environment remains fragile because of both the prolonged low interest rates, which challenge the insurance sector, and the continuous decrease of the GDP growth. The 10-year swap rate remains at its minimum level, despite the little increase (from 0.32% to 0.62%) gained thanks to the recent easing of monetary policy by major central banks. The GDP growth has been revised downwards, especially for the BRICS and the European economy (the indicator is a weighted average over Euro Area, UK, Switzerland, US and BRICS). The expectation on inflationary pressures remains stable at 1.5%, because of downward revisions to forecasted inflation in the EU, UK and Switzerland counterbalanced by upward revisions for the BRICS. The unemployment rate remains at historical low levels (5.6%).

  • Credit risks [medium, stable]

This category measures the vulnerability to the credit risk by looking at the relevant credit asset classes exposures combined with the associated metrics (e.g. government securities and credit spread on sovereigns). Since the previous assessment, CDS spreads slightly declined across all bond segments, except for government bonds. The average credit quality step of investments remains the same (1.83; +0.00), still corresponding to an S&P rating between AA and A.

The exposures of the Insurers in different asset classes remain quite stable and around

  • 30.0% in European sovereign bonds, whose CDS spreads has remained broadly stable
  • 13.0% in non-financial corporate bonds, whose spreads have slightly declined
  • 7.5% in unsecured financial corporate bonds, whose spreads have slightly declined
  • 3.0% in secured financial corporate bonds, whose spreads has declined
  • 0.5% in loans and mortgages
  • Market risks [high, decreasing]

This vulnerability of the insurance sector to adverse developments is assessed based on the investment exposures, while the current level of riskiness is evaluated based on the volatility of the yields together with the difference between the investment returns and the guaranteed interest rates. The market risks is still at high level, but shows a decreasing trend due to a lower expected volatility for the market bonds, largest asset class (60% of exposure), opposed to an increased volatility of the equity (6%) and property (3%) market. CDS spreads declined slightly across most bond segments, except sovereign bonds, with credit risks remaining at medium level.

  • Liquidity and funding risk [medium, stable]

The vulnerability to liquidity shocked is monitored measuring the lapse rate, the holding in cash and the issuance of catastrophe bonds (low volumes or high spreads correspond to a reduction in the demand which could forma a risk). The median liquid assets ratio has increased from 65% to 66%, 66%, but the lower tail of the distribution has slightly declined. The average ratio of coupons to maturity has decreased, as well as the issued bond volumes (5.8bln euro, -0.5bln). Lapse rates in life business are broadly stable, showing a median lapse rate around 2.6%.

  • Profitability and solvency [medium, stable]

The solvency level is measured via Solvency Ratio (SR) and quality of Own Funds (OF), while the profitability via return on investments and combined ratio for the life and non-life sectors. SR for both groups and non-life undertakings have declined across the whole distribution, due to the prolonged period of low interest rates together with a lower expected profit in future premiums, showing a further decline for life undertakings (160%, -5%).

  • Interlinkages and imbalances [medium, increasing]

Interlinkages are assessed between primary insurers and reinsurers, insurance and banking sector and among the derivative holdings. The exposure towards domestic sovereign debt is considered as well. The risks shows an increasing trend due to higher SII of interest rate swaps (the largest derivative exposure), potentially driven by ALM strategies put in place as a response to the low interest rates. in the share of

The median share of premiums ceded to reinsurers remains stable at 5.6%, as well as the median exposure to domestic sovereign debt (12.5%). Insurance groups’ investments in banks (12.4%), insurers (1.4%) have remained broadly unchanged, while investments in other financial institutions have declined (20.1%, -0.8%).

  • Insurance (underwriting) risk [medium, stable]

Indicators for insurance risks are gross written premia, claims and losses due to natural catastrophes. Year-on-year premium growth for both life and non-life business is positive and shows an increasing trend. The catastrophe loss ratio has increased (7.9%, +2.9%) because of Typhoon Faxai and Hurricane Dorian, happened in September, and is expected to increase again in the last quarter due to the costliest natural disaster of the year, Typhoon Hagibis, which hit Japan in mid-October. Insurance loss ratios have remained broadly unchanged, with the median value placed at 63% and the distribution slightly moving upward. Median premium growth has increased (from 3% to 6.8%) in life business and is stable (median at 4.3%) in non-life business.

  • Market perception [medium, stable]

The market perception remains constant at medium level. The quantities assessed are relative stock market performances (insurance life / non-life stocks has respectively outperformed / underperformed the Stoxx 600), price to earnings ratio (median increased from 11.3% to 12.5%), CDS spreads (median value stable at 64.3bps) and external rating outlooks (unchanged from the last quarter).

Feb 262020
 

Dal 2009 al 2016 sono stati posti in essere 19 aumenti di capitale iperdiluitivi (il 15% degli aumenti con diritto di opzione conclusi in tale periodo)…

http://www.dirittobancario.it/news/capital-markets/aumenti-di-capitale-iperdiluitivi-la-revisione-del-modello-rolling-3-anni-dalla-sua-entrata-vigore

Feb 232020
 

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità rispetto alla rilevazione precedente. Paragrafo

Disclaimer: Le informazioni contenute in questa pagina sono esclusivamente a scopo informativo e per uso personale. Le informazioni possono essere modificate da finriskalert.it in qualsiasi momento e senza preavviso. Finriskalert.it non può fornire alcuna garanzia in merito all’affidabilità, completezza, esattezza ed attualità dei dati riportati e, pertanto, non assume alcuna responsabilità per qualsiasi danno legato all’uso, proprio o improprio delle informazioni contenute in questa pagina. I contenuti presenti in questa pagina non devono in alcun modo essere intesi come consigli finanziari, economici, giuridici, fiscali o di altra natura e nessuna decisione d’investimento o qualsiasi altra decisione deve essere presa unicamente sulla base di questi dati.

Feb 222020
 

In the last six months I had to professionally deal with (and reject) a couple of cases. Potential customers wanted to build cryptocurrency-like systems disconnected from a least  compliance with the regulatory reality. The belief that Internet can legitimize any alternative operation is rooted in the brainiac creators. Let’s be clear: financial technology is necessary and should not be prohibited on principle, just as cryptocurrencies – most of them, as today shaped, financial products and not just payment tools –  are not the evil: traditional finance showed us worse. But do-it-yourself fintech crafts(wo)men claim to deal with finance without knowing it. Surfing Internet is enough to notice that there is a lot of platforms where you can buy credits or place securities in legal currency but outside the regulatory frameworks: a phenomenon towards which supervisors should better focus their efforts (see below). What is most upsetting is the attitude of smuggling as an inclusive instrument which, in the state of the art and of the monetary daily life, could instead entail a heavy regression of the very modest and very precarious well-being of much of the world.

A recent essay by a keen economist (M. Minenna, Il sistema finanziario del futuro: a chi servono le valute digitali di stato?, Diritto degli Affari, 3/19, 137) offers unexpected perspectives for reflection together with data from unsuspected sources (IMF, Global Findex Database). To counteract the private cryptocurrency practice and prevent its most feared degeneration (wild disintermediation, anonymity and spread of new cash), many central banks are fervent working in order to conceive legal tender state coins (Central Bank Digital Money – Cbdc), unlike the cryptocurrency which, by definition, is the opposite of a fiat currency. Everything then goes down in the mantra of cashless, of the world without cash; mantra on which the ECB itself, through its new president Christine Lagarde, invited more caution. A quick look at the aforesaid paper shows a state of affairs far removed from the utopian horizon on which fintech and its deviant inclusive ambition are running. China, India and Indonesia, i.e. 40% of the world’s population, reveal respectively 12%, 21% and 6% of unbanked people. In the Middle East and North Africa, the percentage rises to 86%. Opening a bank account requires an identity document, which about 1.5 billion Africans and Asians are missing, without taking into account digital connection problems and financial illiteracy. Meanwhile, cash continues to dominate payment systems: in India, between 2006 and 2015, banknotes increased by 14% per year, in Kenya 98% of payments are made in cash. More generally, wages and salaries are still being paid in cash in around 31% of the world. The acclaimed technological disruption that would bring to the cashless world at a glance, as today happens in Sweden, far from implementing financial inclusion, would aggravate the already heavy conditions of impoverishment and socio-economic malaise of a substantial portion of the world population.

The consequences, however, go far beyond the worrying stage highlighted in the quoted paper. A total monetary digitalization would also affect fundamental human freedoms (individuals who lawfully wanted to disappear from their usual life could no longer do so), would cause a heavy mix of payment, digital data processing and more or less (perhaps more than less) forced commercial profiling in spite of any ridiculous consensus rule, would increase the risks of theft of digital identities that could entail the instant plundering of entire financial assets. The ban of cash, seen so far as the strongest weapon in the fight against money laundering, could paradoxically weaken it. There is no absolutely inviolable or unavoidable computer system, so criminal hacking, by refining its methods of break-in and updating them to the sophistication of legal exchange schemes, would make recycling operations even more opaque and elusive.

How can we get out of it? How can we get out of it in a rational, non-regressive or repressive way, but above all not in a way jeopardizing the stability of payment systems and the trade safety?

The fledgling CBDC is not a solution, it’s simply a reaction which risks overlooking the side effects of an equal and opposite disruptive mechanism. A possible solution goes through three directions.
Firstly
, it is mandatory to stem those phenomena of fintech which currently are clearly breaching the rules: we need to overcome the ideological barrier for which the network is a parallel reality where everything is allowed. In this connection, the Consob document of January 2, 2020 with which the Commission takes a position on cryptoassets, assuming a lighter discipline on hybrid cryptoassets which de facto include a financial component, deserves serious rethinking. This applies to certain cryptocurrency schemes as well as to platforms for the exchange of traditional instruments which, at present, seem completely out of control. Being too much benevolent in cases deemed as marginal for now is not a good start, on the contrary it becomes a difficult precedent to defuse.

Secondly, the world authorities should draw up an agenda for the progression of the financial-technological evolution, by measuring the economic and social impacts of sudden alternative forms of exchange and preparing instruments able to curb them, preventing the excitement of the disruption from generating overall outcomes worse than those on which traditional systems lie (in this context, it should be welcomed the recent paper of Italian Ministry of Economics and Finances aimed at collecting opinions of the relevant stakeholders about the experimental project of softly ruling certain fintech phenomena).

Thirdly, the regulatory plan and the surveillance action cannot neglect also the risk of producing, thanks to unreasonable differentiated rulings, negative effects of disparity such as to alter the competition in the market of monetary and financial brokering. Despite all its defeats, the traditional system remains an inalienable bulwark of guarantee for savers, investors and economies worldwide: ratifying a parallel system with a lower control standing would end up pushing operators towards deregulated models that would reopen the passage to bubbles, dull violations of sad and recent memory.

Financial technology must make the current mechanism more efficient, not allowing its uncontrolled libertarianism. Disruption rhymes with, but does not equate to, destruction.