Ott 202018
 

The European Central Bank (ECB) recently issued a working paper which attempts to construct a measure of stress for European sovereign bond markets detaches itself from the use of sovereign bond spreads.

Quantifying stress in sovereign bond markets is a relevant task since such tensions can easily spill over to other important financial market segments, raising the odds of a systemic crisis in the financial system as a whole. The so-called sovereign-bank nexus is a case in point for one possible transmission mechanism via which sovereign market stress may become systemic. In the literature sovereign stress is usually measured in terms of either the yield spread of a particular government bond against a “safe” benchmark bond, or by the spread of a credit default swap written on government debt. Both indicators are usually interpreted as a measure of the (excess) default risk premium embedded in the price of a more risky government bond.

A composite indicator of sovereign market stress which is based on a wider set of stress symptoms that includes, apart from yield spreads, a measure of yield volatility and bid-ask spreads. Country information from both the short and the long end of the yield curve is also included. All these different measures of sovereign stress are aggregated into a composite indicator based on the methodology of the ECB’s Composite Indicator of Systemic Stress, CISS. In order to recognise this affinity, we call our indicator the Composite Indicator of Systemic Sovereign Stress, or just SovCISS.

Accordingly, the SovCISS results as a correlation-weighted average of its components which are homogenised in a particular way before the aggregation step. The basic idea is that the overall level of sovereign stress increases (decreases) with a stronger (weaker) correlation between the different measures of stress symptoms. The SovCISS both for euro area member states individually and for the euro area as a whole. The latter provides a yardstick for quickly gauging the extent to which sovereign stress is a more local or a more widespread phenomenon within the euro area.

Beyond spreads: measuring sovereign market stress in the euro area (PDF)

Ott 202018
 

The Basel Committee on Banking Supervision has issued its Stress testing principles, which replace the Principles for sound stress testing practices and supervision published in May 2009.

The 2009 principles were designed to address key weaknesses in stress testing practices as highlighted by the global financial crisis. Since then, the role of stress testing has rapidly evolved and grown in importance in many jurisdictions. The principles published today have been updated to reflect that stress testing is now both a critical element of risk management for banks and a core tool for banking supervisors and macroprudential authorities. The updated principles are set at a high level so that they can be applied across banks and jurisdictions while remaining relevant as stress testing practices continue to evolve.

The principles are guidelines that focus on the core elements of stress testing frameworks. These include the objectives, governance, policies, processes, methodology, resources and documentation that guide stress testing activities and facilitate the use, implementation and oversight of stress testing frameworks. Each principle is followed by a short description of considerations that are equally relevant for banks and authorities. This description is followed by additional points applicable to either banks or authorities, as follows:

  • Additional points for banks: points with particular relevance to (a) banks’ own internal stress testing activities and (b) their participation in bank-run supervisory stress tests.
  • Additional points for authorities: points with particular relevance to (a) supervisor-run stress tests and (b) the authorities’ role in bank-run supervisory stress tests. They also cover the role of authorities in their oversight of banks’ internal stress testing activities.

BIS – Stress testing principles (PDF)

Ott 202018
 

The European Central Bank (ECB) published a research paper aimed at assessing the effects of forward guidance – the communication of central banks about the likely future course of their monetary policy stance – on the conduct of monetary policy.

This kind of expectations management aims at affecting inflation and aggregate demand by reducing uncertainty about future monetary policy and by steering longer-term interest rates. The workhorse New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model, as widely used by researchers and policy makers, predicts that a communication to keep monetary policy low in future has substantial stimulative effects on current aggregate economic activity and inflation. Empirical experience suggests yet that basic New Keynesian models tend to overstate the effects of forward guidance. One reason for the strong effects in these models is that (announced) changes in the monetary policy rate directly affect those interest rates one-to-one, on which saving and investment decisions of the private sector are based.

The yields on highly liquid government bonds react stronger to forward guidance announcements than yields on assets that are more relevant for the private sector’s intertemporal savings and investment decisions, such as corporate bond rates. The empirical analysis is based on US financial markets data and applies a method that quantifies the surprise component of the forward guidance given in all press release statements of the US Federal Open Market Committee (FOMC) between 1990 and 2016. As the main novel contribution of our empirical analysis, we show that liquidity premia rise after accommodative monetary policy decisions and that not all interest rates react one-to-one to forward guidance.

To assess the macroeconomic implications of this observation, the basic New Keynesian model is augmented by accounting for the fact that central bank money is only supplied to the private sector against eligible assets. This leads to an endogenous time-varying liquidity premium in the model between eligible and non-eligible assets. Our model, which allows to reproduce the empirically documented responses of liquidity spreads to forward guidance, predicts that the reaction of current output and inflation does not increase with the length of the guidance period and that current responses are more than ten times smaller compared to the basic New Keynesian model. Our analysis aligns the effects of forward guidance in widely-used DSGE models with empirical evidence and helps policy makers in obtaining a broader understanding of the effects of forward guidance.

Interest rate spreads and forward guidance (PDF)

Ott 202018
 

The “la Caixa” Chair for Economics and Society conference held in Madrid on October 17 was an occasion for Peter Praet, Member of the Executive Board of the European Central Bank (ECB), to discuss the consequences of population ageing for economic policy making. In particular, the reform of public pension systems and the effectiveness of macroeconomic policies are heavily influenced by population ageing, although demographic developments are to a large extent predictable over the short to medium run.

Population ageing is a challenge for the sustainability of public finances and monetary policy. High levels of public debt combined with significant implicit public pension liabilities risk leaving little room for fiscal policy to tame business cycles. In combination with other secular economic trends, population ageing has been exerting protracted downward pressure on real interest rates. As a consequence, central banks are more likely to hit the effective lower bound on policy rates, constraining the ability of standard monetary policy instruments to carry out macroeconomic stabilization. The euro area, in common with other advanced economies, has entered an era of demographic change: roughly speaking, while today each pensioner is supported by approximately three workers, by 2070 there will be just two workers for each pensioner.

One salient feature of the economic environment in advanced economies has been the steady decline of short and long-term nominal interest rates over several decades to the extremely low levels that currently prevail. While the bulk of this decline is related to central banks successfully re-anchoring inflation expectations, population ageing has contributed to a decline in the labour supply, a slowdown in productivity growth, and higher precautionary savings, thereby exerting downward pressure on potential growth.The generalised impact of ageing is exacerbated at present by the demographic effect of the baby-boomer generation. This large cohort remains in the saving part of its life cycle and is likely to exert downward pressures on real interest rates until the end of the coming decade.

This brings about a number of challenges for three policy area:

  • Fiscal policy

Population ageing will have a deep impact on public finances in the euro area for decades to come. Policy can react to this challenge in several ways. First, reforming social security systems to prevent population ageing from increasing age-related expenditure. Second, fiscal consolidation outside of social security systems to finance the rise in age-related expenditure. Third, doing nothing and letting the increase in age-related expenditure feed fully into higher public debt. The latter – what could be called the procrastination strategy – is very risky for countries that start with high public debt.

There are two reasons calling for policy action sooner rather than later to address age-related costs. First, the bulk of the age-related cost increase is expected to take place during the next two decades, in which the baby boom generation will enter retirement. Incidentally, this is true for many countries that currently have high debt ratios.

Furthermore, the Ageing Report projections are based on somewhat favourable macroeconomic and demographic assumptions. If these assumptions were not to materialise, age-related costs could be substantially higher. To capture some of the uncertainty, the Ageing Report includes several adverse risk and sensitivity scenarios, which indeed suggest higher cost pressures.

The call for early policy action does not mean that action needs to be the same across countries. The appropriate course of action should reflect deep societal preferences. Some countries may favour reforms to entitlements and boosting private-sector provision of pensions beyond what has already been achieved. Other countries may favour linking retirement age to life expectancy, while maintaining the pension benefit ratio of the system. Yet other countries may opt for higher contribution rates, although this may put a strong burden on younger generations. These options are not mutually exclusive and can be implemented in combination. When designing pension reforms it is also important to be mindful of their possible implications for the supply side of the economy, as higher levels of potential growth are essential to improve social welfare.

  • Monetary policy

Demographic factors are expected to continue to exert downward pressure on real rates, hence growth-enhancing structural reforms are essential for a durable rise in equilibrium real rates. Such actions would support monetary policy in its efforts to maintain price stability and strong macroeconomic performance in an environment of low equilibrium interest rates.

Indeed, low equilibrium real interest rates affect the monetary policy stance in two ways: first, any given policy rate is less stimulatory with lower equilibrium rates. Second, the policy rate is likely to hit the lower bound much more frequently than thought possible in the past – a direct consequence of the fact that current estimates of the real equilibrium interest rate are much lower than the 2% estimate customary before the great financial crisis. These effects could have implications for the way the economy and prices evolve through time; recessions may last longer, and recoveries may be slower and shallower, with a higher risk throughout of missing the objective.

Some prominent economists have advocated raising central banks’ inflation targets. A higher steady-state inflation rate would generate higher levels of nominal interest rates and so deliver greater headroom to use conventional interest rate policy in downturns. Indeed, a higher target could reduce the frequency and duration of periods where policy rates are at their effective lower bound. Yet raising the inflation target is not costless. Raising the inflation target forces societies to bear the costs of higher inflation at all times.

An alternative monetary framework is price-level targeting. Under this framework, a central bank tries to keep the level of prices on a steady path, say rising by 2% each year. This strategy implies the central bank aims to make up for past inflation target misses by engineering inflation deviations in the opposite direction.

Bernanke recently proposed a variant of a price-level targeting regime.[7] Under this variant, the central bank would behave in normal times as a flexible inflation targeter, seeking to stabilise inflation – not the price level – over a medium-term horizon. But when interest rates become stuck at their lower bound, the central bank would switch to a commitment to bring back the price level to a certain trend. During those periods, the central bank would promise a lower-for-longer rates policy meant to engineer a period of inflation higher than target in the future in order to compensate for the near-term shortfall in inflation.

When considering the proposals put forward in this debate, lessons should also be drawn from the experience of central banks dealing with the zero-lower bound in recent years. The main lesson is that monetary policy can retain traction even when constrained by the effective lower bound. The non-standard measures introduced by major central banks over the past decade proved to be highly effective in supporting economic activity and a gradual return of inflation to its objective. Such measures have featured quantitative easing through asset purchases, negative interest rates on reserves, forward guidance and a number of credit-easing instruments meant to restore transmission. These measures, especially when combined together, did enhance the scope for central banks to engineer very accommodative financial conditions through their effects on a wide range of maturities and on a wide spectrum of assets that are relevant for the transmission of monetary policy.

  • Structural policies

While unconventional monetary policy can be used to overcome challenges from low equilibrium interest rates, we should be wary about permanently placing a large burden on central banks to deploy tools to counter problems that are ultimately caused by structural economic and financial inefficiencies. The responsibility to address the forces depressing potential growth resides with structural policies, not with monetary policy.

There are three fruitful areas for reform: mitigating the impact of demographics on the labour force and public finances, boosting productivity growth and supporting efficient financial markets.

The demographic trends in Europe are fairly fixed, but structural policies can effectively mitigate their impact on the labour force and public finances. These include reviewing pension eligibility, in particular the retirement age, the income replacement ratio of pensions, and how they are funded.

With the likely fall in working-age population, raising productivity is a fundamental challenge for euro area countries. Higher productivity growth makes the future pension liabilities that currently exist more affordable, provides greater fiscal space and should increase real equilibrium rates, providing more space for monetary policy to use conventional interest rates for macroeconomic stabilisation

Structural policies can help in various ways: strengthening competition amongst firms and improving the business environment can increase incentives to innovate and invest in human and physical capital; institutional reforms increasing the efficient functioning of public administration can support investment.

Future growth will largely depend on our ability to revive productivity diffusion, both within and across countries. A reform agenda entails four main elements. First, support trade and international investment with a view to adapt to and to learn from global firms at the productivity frontier. Second, design policies which can encourage new entrants in the market with a focus on new technologies and business models. Third, foster investment in innovation, including research and development. Finally, support the upskilling and reskilling of the workforce, which can reap the benefits from innovation and accommodate the need for job reallocation. Investment in education and skills is particularly important to ensure that workers have the capacity to make the most of digitisation and to adapt to changing technologies and working conditions. Skills and productivity are the real sources of strong, inclusive and sustainable growth.

The third area where structural reforms can help is supporting efficient financial markets. Completing Banking Union and implementing the proposed plan for a Capital Market Union in Europe would further support a better allocation of funding, achieve a better risk sharing outcome and support long-term growth.

 

Economic policymaking under uncertainty – complete speech (HTML)

Ott 202018
 

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.

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.
Ott 192018
 

La letteratura economica ha posto un focus maggiore sui problemi connessi con il rischio di credito, ponendo dall’altro lato una minore attenzione al rischio di mercato. Al riguardo va anche ricordato che il primo Accordo di Basilea si focalizzava esclusivamente sulla prima tipologia di rischio. Seguendo questa linea di pensiero, la vigilanza bancaria europea si è concentrata maggiormente sull’analisi del rischio di credito e sulle sue determinanti, con particolare interesse ai non-performing loan (NPL).

Esemplificative sono le dichiarazioni di Danièle Nouy, presidente del consiglio di vigilanza della BCE, di fronte al Parlamento Europeo: “Level 2 and Level 3 positions consist, to a large degree, of hedging and client-related transactions providing financial services to the real economy and satisfying a demand from various economic agents”. In altri termini, i rischi sottesi da queste forme di attività finanziaria non sono ritenuti eccessivi. Ma qual è il giudizio dei mercati al riguardo?

Una possibile risposta è stata fornita nel Rapporto Banche CER 1/2018. Per misurare il grado di rischio di una banca è stato considerato un indicatore molto diffuso nella letteratura economica, ovvero lo Z-score. Quest’indice misura quanto una banca è distante dal default. Ciò che si nota, nel periodo compreso tra il 2001 e il 2016, è che le banche che appartengono al cluster a basso rischio hanno, sia nel periodo pre-crisi che post-crisi, una maggior concentrazione delle loro attività nel tradizionale business creditizio, mentre di converso hanno una minore incidenza delle attività finanziarie (tavola 1). Le banche con rischio medio sono invece quelle meno attive sul credito e più propense ad investire in attività finanziarie, anche con finalità di trading. Le banche ad alto rischio si situano a metà degli altri due cluster per quanto riguarda la specializzazione sul mercato del credito e la dotazione del portafoglio finanziario. Rispetto agli altri due gruppi, però, l’incidenza dei non-performing loan è ben più elevata, sia nel periodo pre-crisi sia ancor più nel post-crisi.

 

Tavola 1. Banche europee quotate (distribuzione del rischio in base al modello di business)

Note: cluster analysis basata sui valori mediani.

Fonte: elaborazioni CER su dati Thomson-Reuters.

Da questa prima analisi emerge, quindi, come problemi sulla stabilità finanziaria delle banche possono nascere anche, e soprattutto, dal rischio di mercato e non prevalentemente dal rischio di credito.

Tra le attività finanziarie che possono determinare elevati rischi per le banche europee ci sono le cosiddette attività di 2° e 3° livello (level 2 e 3 asset), tipologie di attività finanziarie caratterizzate da una forte opacità e complessità. I level 2 e 3 asset non possono infatti essere valutati direttamente osservando prezzi di mercato ma il loro valore deve essere desunto analizzando l’andamento di asset similari e/o mediante l’utilizzo di articolati modelli interni di autovalutazione. Guardando ai dati raccolti da Mediobanca relativamente alle banche europee di maggior dimensione, emerge come Deutsche Bank sia la banca con maggiore presenza di level 2 e 3 asset in portafoglio (42% del totale attivo nel 2016). Seguono RBS, e Barclays. Le banche italiane non sono particolarmente propense ad investire in strumenti finanziari complessi. Sia Unicredit che Intesa-SanPaolo ne detengono un percentuale sul totale attivo tra le più basse del campione.

Le banche europee hanno continuato ad investire in titoli finanziari speculativi. Le attività complesse hanno infatti permesso di generare un risultato positivo dal trading, ma non tale da compensare la flessione del margine d’interesse. Il risultato finale è dunque una perdita di redditività per le banche che hanno investito in attività finanziarie speculative.

L’approccio tenuto dalle grandi banche europee, soprattutto francesi e tedesche, non è stato difforme da quello intrapreso nel periodo pre-crisi, con una sola importante differenza. Se nel periodo pre-crisi la speculazione finanziaria, attuata prevalentemente dalle banche americane, aveva lo scopo di accrescere oltremisura le fonti di reddito, e conseguentemente i bonus dei manager bancari, nel periodo più recente gli investimenti in attività finanziarie ad alto rischio hanno lo scopo di limitare la caduta del conto economico. In altri termini, se in passato era una speculazione “aggressiva”, ad oggi invece constatiamo una speculazione “difensiva”, volta cioè a far fronte ai bassi tassi d’interesse e a contrastare la concorrenza del fintech.

A livello sistemico questo approccio sta contribuendo all’instabilità finanziaria globale. Una misura del rischio sistemico è offerta dalla New York University Stern Volatility Lab attraverso l’SRISK, un indicatore che misura l’ammontare di capitale richiesto dalle società quotate per far fronte ad uno scenario di stress che prevede una riduzione del 40%, nell’arco di 6 mesi, dei mercati finanziari globali. Analizzando la relazione tra attività rischiose, connesse alla finanza e al credito, con l’SRISK si riscontra che il maggior contributo all’instabilità finanziaria globale è correlato al rischio di mercato. L’incidenza dei non-performing loan non sembra invece avere effetti di rilievo sul rischio sistemico (grafico 1).

 

Grafico 1. Rischio sistemico, asset finanziari complessi e NPL (dati relativi al periodo 2014-2016)

 

Note: campione delle prime 20 banche significative in Europa. Dati espressi in % del totale campione.

Fonte: elaborazioni CER su dati Mediobanca.

La sottovalutazione del rischio di mercato potrebbe avere effetti rilevanti sul sistema finanziario. Il maggior rischio sistemico non spinge infatti i manager bancari a detenere più capitale, anzi avviene paradossalmente l’esatto contrario: chi ha più rischio sistemico detiene una minore proporzione di capitale di buona qualità rispetto al totale attivo (grafico 2).

 

Grafico 2. Rischio sistemico e dotazione di capitale (dati relativi al periodo 2014-2016)

 

Note: campione delle prime 20 banche significative in Europa. SRISK espresso in % del totale campione.

Fonte: elaborazioni CER su dati Mediobanca.

 

Questo contesto dovrebbe destare ancor più preoccupazione se si considera che i mercati finanziari internazionali stanno segnalando da diverso tempo la presenza di un certo surriscaldamento. Tra le diverse concause possono citarsi l’aggressiva politica commerciale di Trump, l’inversione dell’intonazione delle politiche monetarie, l’eccessivo ricorso al debito da parte dei paesi emergenti (soprattutto attraverso il canale dello shadow banking system) e, da ultimo, i timori legati all’Italexit, ovvero l’uscita dell’Italia dall’Area euro.

Guardando alla volatilità di Borsa negli Stati Uniti e nell’Area euro si nota come questa sia ancora contenuta, attestandosi su livelli osservati nella fase precedente alla crisi del 2007-2008, ma come allo stesso tempo segnali da alcuni mesi una forte tendenza crescente (grafico 3). Anche lo spread tra i corporate bond con rating BBB e i titoli governativi da indicazioni analoghe, con livelli storicamente molto bassi sia negli Usa che in Europa ma con una rapida inversione di tendenza nel periodo recente (grafico 4).

Grafico 3. Volatilità di Borsa

Fonte: elaborazioni CER su dati Thomson-Reuters.

 

Grafico 4. Spread tra i rendimenti dei corporate bond con rating BBB e dei titoli governativi

Fonte: elaborazioni CER su dati Thomson-Reuters.

In definitiva, aver trascurato il rischio di mercato, focalizzandosi prevalentemente su quello di credito, potrebbe nuovamente rivelarsi un problema per la stabilità finanziaria. Data l’insufficiente dotazione di capitale delle banche più esposte con le attività finanziarie, soprattutto se misurata attraverso coefficienti di patrimonializzazione non manipolabili (si veda Barucci e Milani, 2018), in caso di crisi sarebbe inevitabile chiedere nuovamente l’intervento degli Stati nazionali.

 

Bibliografia

– Barucci E., Milani C., Do European banks manipulate risk weights?, International Review of Financial Analysis, Volume 59, pp. 47-57, North-Holland, 2018.

– CER, Rapporto Banche 1/2018.

Ott 132018
 

In December 2010 the Basel Committee on Banking Supervision (BCBS) announced the introduction of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) to be put in place in 2015 and 2018, respectively. In the European Union (EU), the LCR became a binding requirement in October 2015, while for the NSFR there is currently no fixed implementation date. These requirements are important steps to improve banks’ resilience to liquidity shocks. However, they focus on individual banks, without taking into account liquidity risks and mitigation from a macroprudential perspective. Therefore, the Financial Stability Committee of the European Central Bank (ECB) agreed in 2016 that work on systemic liquidity would be carried out by a dedicated group.

The Task Force on Systemic Liquidity (TFSL) was set up to examine systemic liquidity risk and potential policy responses. Its objective was to develop a framework that measures systemic liquidity and helps to identify the need for macroprudential liquidity instruments from both a risk and a legal perspective. The TFSL focused on the macroprudential level to provide a broader view of liquidity developments and to facilitate the monitoring of potential build-ups of liquidity risks at system level. The European Central Bank (ECB) issued a first report providing the necessary foundation for assessing, measuring and monitoring systemic liquidity risk. The report is divided in five parts.

The first part establishes a concept of systemic liquidity and develops a case for considering macroprudential liquidity instruments. It builds upon the definition of systemic liquidity developed by the International Monetary Fund, explaining that systemic liquidity risk occurs when multiple financial institutions experience financial difficulties at the same time. Because of the possibility of public intervention (i.e. bailouts) in the event of a crisis, this concept is also strongly related to a collective moral hazard issue, as banks do not fully internalise the risks of a systemic event by holding more liquidity buffers.

The second part of the report discusses the microprudential liquidity tools available and the potential to use them for macroprudential objectives. Existing micro-prudential measures are not completely suitable for mitigating systemic liquidity risk. In particular, they ignore the importance of the cross-sectional dimension of systemic liquidity risk: interconnectedness and contagion effects.

The third part of this report analyses the legal basis for macroprudential liquidity requirements under current regulation. An examination of the legal basis of macroprudential liquidity tools is a key contribution of the report, which aims to provide clarity on the availability of macroprudential tools from a legal perspective.

The fourth part of this report develops a set of indicators for measuring system-wide liquidity risks. The focus is on the cyclical dimension of systemic liquidity to support policy discussions about potential countercyclical elements of existing liquidity measures or the need for new instruments. A total of 20 indicators were developed. Four criteria were used to analyse the indicators: (1) ability to capture systemic liquidity; (2) scope; (3) crisis signalling; (4) data availability. The dashboard of indicators focus on developments in systemic liquidity risk in the bank and non-bank financial system.

The fifth part of this report illustrates, via several case studies, the usability of the dashboard of indicators, and presents possible extensions to the indicators created. Since the dashboard shown is most useful when compared across time, long time series data showing the change in liquidity risk across different market conditions and different points in the business cycle are essential. Therefore, although the dashboard indicators are deemed useful at this stage, they are generally hampered by the lack of long time series and data granularity.

Taking into account the usability of the dashboard with its current limitations, the TFSL proposes using the dashboard as a reference tool for monitoring liquidity risk conditions and monitoring its effectiveness in the next two years. While a case for new macroprudential liquidity tools cannot yet be made from a risk perspective, primarily due to the lack of data availability and granularity, as well as the current highly accommodative monetary policy stance, the TFSL is of the opinion that the dashboard can be used to provide quantitative evidence of changes in the intensity of systemic liquidity risk conditions while improving the set of indicators.

Systemic liquidity concept, measurement and macroprudential instruments (PDF)

Ott 132018
 

The European Banking Authority (EBA) published today the periodical update to its Risk Dashboard, which summarises the main risks and vulnerabilities in the EU banking sector using quantitative risk indicators. In the second quarter (Q2) of 2018, the updated Dashboard identified ongoing improvements in the repair of the EU banking sector but also residual risks in banks’ profitability.

European Banks’ capital ratios remain high, in line with first quarter of 2018. The CET1 ratio remained at 14.5%, with a slight increase in the value of CET1 capital, accompanied by an increase in total risk exposures. CET1 ratios remained above 12% for all countries in the sample.  Compared to the previous period, the fully loaded CET1 ratio stood stable at 14.3%.

EU banks continue to improve overall quality of their loans’ portfolio. In Q2 2018, the ratio of non-performing loans (NPLs) to total loans kept the downward trend and achieved a level of 3.6%, the lowest since the NPL definition was harmonised across European countries. Compared to the previous period, despite a slight decrease in the total value of the loans granted, the further decrease of NPLs (now 731 billion euros) allowed to keep the NPL downward trend. This trend is observed for all bank-size classes, but dispersion remains across EU countries (ratios between 0.66% and 44.6%). The coverage ratio is 46% in Q2 of 2018, compared to 46.5% in Q1 of 2018.

Profitability remains a concern for the EU banking sector. When compared to Q1 of 2018, the average return on equity (ROE) rose in the second quarter from 6.8% to 7.2%. The heatmap shows an improvement in the share of total assets held by banks with ROE above 6%, now 67.1% compared to 64.1% in Q1 of 2018. The RoE’s dispersion remains stable with the difference between the upper quartile (10.1%) and the lower quartile (4.0%) at 6.1%.

Loan to deposit ratio reaches the lowest value since 2014. In Q2 of 2018, the ratio decreased to 116.2% when compared to 118.2% in the first quarter of 2018, mainly due to an increase in deposits. The leverage ratio (fully phased-in) remained at 5.1% when compared to Q1 2018. The asset encumbrance ratio decreased from 28.4% in Q1 2018 to 28% in Q2 2018. The liquidity coverage ratio (LCR) rose to 148.2% from 147% in the first quarter of 2018, remaining well above the 100% requirement.

EBA Dashboard 2018 – Q2 (PDF)

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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.

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.
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The Financial Stability Board (FSB) today published a report setting out the analysis behind the FSB’s proactive assessment of the potential implications of crypto-assets for financial stability.

This report includes an assessment of the primary risks present in crypto-assets and their markets, such as low liquidity, the use of leverage, market risks from volatility, and operational risks. Based on these features, crypto-assets lack the key attributes of sovereign currencies and do not serve as a common means of payment, a stable store of value, or a mainstream unit of account.

Based on the available information, crypto-assets do not pose a material risk to global financial stability at this time. However, vigilant monitoring is needed in light of the speed of market developments. Should the use of crypto-assets continue to evolve, it could have implications for financial stability in the future. Such implications may include: confidence effects and reputational risks to financial institutions and their regulators; risks arising from direct or indirect exposures of financial institutions; risks arising if crypto-assets became widely used in payments and settlement; and risks from market capitalisation and wealth effects.

Crypto-assets also raise several broader policy issues, such as the need for consumer and investor protection; strong market integrity protocols; anti-money laundering and combating the financing of terrorism (AML/CFT) regulation and supervision, including implementation of international sanctions; regulatory measures to prevent tax evasion; the need to avoid circumvention of capital controls; and concerns relating to the facilitation of illegal securities offerings. These risks are the subject of work at national and international levels and are outside the primary focus of this report.

FSB members have to date taken a wide variety of domestic supervisory, regulatory, and enforcement actions related to crypto-assets. National authorities and standard-setting bodies have issued warnings to investors about the risks from crypto-assets, as well as statements supporting the potential of the underlying distributed ledger technology (DLT) that they rely on to enhance the efficiency of the financial system. These actions are balanced between preserving the benefits of innovation and containing various risks, especially those for consumer and investor protection and market integrity.

 

Crypto-asset markets: Potential channels for future financial stability implications (PDF)