E la nano moneta colpì duro
di Emilio Barucci

Articolo

Feb 19 2018

La notizia non è una sorpresa nel mondo delle criptovalute: un furto di ben 17 milioni di Nano monete, del valore di circa 160 milioni di euro. Il furto (via rete) sarebbe avvenuto presso la società di exchange BitGrail. Gli investitori coinvolti dovrebbero essere circa centomila.

Nano moneta è una criptovaluta, una valuta virtuale sorta sulla scia del successo di bitcoin. BitGrail è un cambia valute moderno che fornisce un servizio di cambio tra le valute correnti (dollari o euro) e le criptovalute. L’unica differenza con quelli che troviamo per strada è che questi exchange svolgono il loro servizio su internet e che le criptovalute possono essere lasciate su un loro conto.

Le criptovalute possono essere utilizzate come mezzo di pagamento con trasferimenti effettuati su una piattaforma digitale. Nel caso più famoso, bitcoin, la piattaforma è blockchain. Per avere accesso a questo circuito occorre cambiare gli euro in criptovalute. Le transazioni di criptovaluta vengono confermate (validate) dai nodi della piattaforma che, risolvendo un complicato problema matematico, certificano la loro validità registrando il trasferimento sulla blockchain. Così facendo il trasferimento di criptovaluta ‘‘entra nella storia’’ e non può essere modificato se non riscrivendo, con l’accordo di una larga fetta di nodi della rete, il registro delle transazioni a partire da quella che si vuole modificare. Tutto avviene sotto condizione di anonimato dei soggetti coinvolti che vengono identificati con un codice.

I furti di moneta, così come la scoperta di bugs nei protocolli utilizzati, rappresentano il punto debole delle criptovalute in quanto la loro credibilità, e il loro successo, dipendono dall’integrità della piattaforma e dalla sicurezza che le transazioni effettuate non possano essere colpite da parte di un hacker. Il problema è che porre rimedio ad un furto è molto difficile (occorre riscrivere il libro mastro della piattaforma) e rintracciare l’autore del furto rischia di essere impresa ancora più ardua. L’unica raccomandazione che può essere fatta a chi vuole avventurarsi in questo mondo è di non lasciare le criptovalute su un exchange ma di trasferirle su un wallet protetto crittograficamente.

E’ un po’ curioso che mentre si discute delle ‘‘sole’’ rifilate dalle banche ai risparmiatori, la vicenda delle criptovalute venga vista con indulgenza. Il fenomeno in realtà è serio. Basta pensare che i possessori di obbligazioni delle banche popolari erano solo 10.000 e che le obbligazioni valevano 330 milioni. L’amministratore di BitGrail ha detto ‘‘Un exchange non è una banca, non è un luogo sicuro. Non c’è lo Stato o l’Europa che rimborsa o risarcisce chi opera nelle criptovalute…” ha ragione mi auguro soltanto che gli investitori fossero stati adeguatamente informati di ciò. Il problema è che siamo in mondo grigio e che il livello di protezione dei risparmiatori è purtroppo molto basso.

 

(pubblicato su Repubblica edizione di Firenze, 15.2.2018)

Institutional investors’ shareholdings in large European non-financial listed companies
di Francesco Fancello e Nadia Linciano

Articolo

Feb 19 2018
Institutional investors’ shareholdings in large European non-financial listed companies di Francesco Fancello e Nadia Linciano

Institutional investors play a key role in financial markets’ development. They represent the world’s largest source of equity capital and contribute to both efficiency and modernization of the allocative mechanisms of a financial system. Moreover, active institutional investors may foster an improvement in corporate governance practices by monitoring firm management.

The policy debate has recently highlighted increasing concerns about the role of institutional passive investors. Among the others, the IMF has warned about the potentially destabilizing effects of their asset allocation strategies, given that herding behavior may contribute to assets bubbles.

According to the OECD, at the end of 2015 investment funds’ assets under management represented about 104% of GDP in the US, up from nearly 72% at the end of 2008. Over the same period, they reached 56% from 34% in Germany, around 71% from 68% in France, while lagging behind in Italy, where they accounted for slightly more than 17% of GDP (from 13%).

Given the size and the role of institutional investors, understanding the drivers of asset managers’ allocation decisions, and in particular of equity allocation in listed firms, is fundamental on policy grounds, in order for regulators to provide the proper incentives towards virtuous behavior and to address the potential risks posed by the aggregate dynamics of these players in financial markets.

Consob Working paper n. 86 contributes to the literature on the determinants of institutional investors’ equity holdings with respect to 500 large non-financial listed companies in five major European countries (France, Germany, Italy, Spain and the United Kingdom) over the period 2010-2015 (http://www.consob.it/web/area-pubblica/quaderni-di-finanza).

Applying a fixed effect panel and a fractional regression model to actively managed funds referable to three categories of institutional investors, i.e., mutual funds, sovereign funds and hedge funds, the study finds evidence that both country-specific and firm-level characteristics play a relevant role in active institutional investors’ decisions.

 

The data

Our data set includes the end-of-year aggregate shareholdings of active institutional investors (i.e., mutual funds, sovereign funds and hedge funds) in each sample firm, as drawn from Thomson Reuters. For each country, the major 100 listed non-financial companies are considered. Direct shareholdings of financial institutions such as banks and insurance companies were excluded, since their asset allocation choices might be driven by different factors from those influencing ‘pure’ asset managers’ investment strategies. Moreover, passive institutional investors were excluded, given that they replicate some index or benchmark return and therefore assign less relevance than active investors do to macro or company-level characteristics.

Over 2010-2015, institutional investors’ holdings represent on average about 26% of shareholders’ equity. Mutual funds are the largest category among all active institutional investors (with an average of nearly 20.5% equity holdings), while sovereign and hedge funds are marginal. The presence of institutional investors, however, vary a lot across countries, ranging from an average of 13.5% in Italy to nearly 50% in the UK. This evidence mirrors the well-known differences across European financial systems in terms of role of institutional investors and stock market development. Over time, institutional ownership has remained fairly stable in Italy and France, while rising in Spain, in the UK and to a lesser extent in Germany (Fig. 1).

 

Fig. 1: Institutional investors’ shareholdings across the main European countries (2010-2015; data refer to mutual funds, sovereign funds and hedge funds; percentage values)

 Source: elaboration on Thomson Reuters data

 

In order to analyse the determinants of institutional equity holdings, both country-level variables and firm-level variables were included. Country-level variables comprise GDP growth, as an indicator of economic development, and debt to GDP ratio, as a proxy of country risk. Stock market development is captured by total exchange capitalization to GDP, whose values range over the sample period from a minimum of 20.2% in Italy to a maximum of 112.6% in the UK. Finally, the efficiency of the legal and judiciary system is taken into account by including among the explicative country-level variables the insolvency recovery rate and the number of days required to enforce a contract. These indicators also show a striking variability across jurisdictions, as the recovery rate is equal to about 57% in France, followed by Italy at 62%, and to about 89% in the UK, whereas the judiciary enforcement of a contract records Italy as the worst, with 1,183 days, and France as the best, with about 393 days.

As for company-level variables, both market and profitability and financial indicators are included, i.e., market capitalization, free float, share of the first shareholder (as a proxy of corporate control contestability), price-to-book value, dividend yield, return on equity (Roe), sales growth, leverage. Also several indicators accounting for the quality of corporate governance are incorporated, such as CEO duality (i.e., the CEO acting also as a chairman), board size, board members’ attendance rate, percentage of independent directors on board, presence of the compensation and nomination committees, percentage of independent directors sitting in board committees, and a synthetic corporate governance score provided by Bloomberg.

 

Results

In order to analyze the determinants of institutional shareholdings, first a standard panel fixed effect model is estimated. As a robustness check, a fractional regression model was run too, after normalizing institutional holdings within the [0,1] interval, in order to account for possible censoring of the dependent variable.

For each model, several specifications are tested, including either a subset of regressors, or a mix of country-level and company-level indicators. Some specifications include also time dummies in order to control for aggregate fluctuations of institutional ownership over time, due to market turmoil, changes in European regulation, technological progress, etc.. Each specification is reiterated for each class of institutional investors (i.e., mutual, hedge and sovereign funds), in order to control for differences in their business model.

The results of the fixed effect regression for the institutional investors as a whole are in line with previous empirical evidence, as investors are found to prefer listed companies in countries with higher GDP growth, lower debt-to-GDP ratio and more efficient legal systems.

As for firm-level variables, common indicators such as liquidity (proxied by free float), profitability and financial leverage are statistically significant, at least in some specifications.

The evidence for corporate governance variables is less conclusive (possibly due to missing data), except for board size, recording a negative impact, and the percentage of independent directors, which is estimated to have a positive impact. Overall, less cumbersome and more independent boards seem to be appreciated by institutional investors.  Further corporate governance variables (e.g., CEO duality, a synthetic governance quality score) turn out to be statistically significant when the fractional regression is run. With respect to the impact of corporate governance, however, further investigation might be needed in order to test whether good governance is endogenous to institutional holdings, i.e., whether it is the presence of active asset managers in a listed company to raise governance quality rather than the other way round.

Finally, some specifications concerning sovereign and hedge funds equity holdings seem to defy conventional wisdom (e.g., the GDP growth is estimated to have   a negative impact). However, this evidence might be consistent with the contrarian investment policy followed by many hedge funds, whose raison d’etre often consists in betting (and hence, taking positions) against mainstream market views.

Le principali caratteristiche degli stress test 2018
di Carlo Milani

Articolo

Feb 12 2018
Le principali caratteristiche degli stress test 2018 di Carlo Milani

Lo scorso 31 gennaio l’EBA ha reso noto le caratteristiche dello stress test che verrà condotto nel 2018.

Non molte sono le novità rispetto all’esercizio condotto nel 2016. Anche nell’anno in corso infatti non verranno definite delle soglie sulla base delle quali individuare, in modo oggettivo, le banche che hanno superato o meno il test, come invece era avvenuto nel 2014 in occasione del lancio del primo pilastro della Banking Union. Nell’ambito del Supervisory Review and Evaluation Process (SREP) si valuterà l’opportunità e l’esigenza di richiedere ai singoli istituti interventi alla luce delle evidenze degli esami. Ci sarà comunque ampia trasparenza sui risultati dei test, che verranno diffusi il 2 novembre prossimo.

Anche da un punto di vista tecnico non si ravvisano grandi cambiamenti. L’ipotesi sottostante sarà infatti quella della valutazione statica dei bilanci. In altri termini, si prenderà a riferimento gli ultimi dati di bilancio disponibili, relativi al 2017, e ipotizzando che il management non intervenga variando il business mix della banca si valuteranno gli effetti fino al 2020 di uno scenario macroeconomico e finanziario avverso.

Anche il perimetro di banche considerato sarà tendenzialmente lo stesso del 2016. Saranno infatti 48 (51 nella precedente tornata di stress test) le banche esaminate, di cui 33 operanti nell’ambito della Banking Union, che complessivamente rappresentano circa il 70% degli asset complessivi dell’industria bancaria europea. Per l’Italia saranno esaminate Unicredit, Intesa-SanPaolo, Banco BPM e UBI.

Unico cambiamento di rilievo, che potrà impattare in modo significativo sugli esiti dei test, sarà l’incorporazione degli effetti derivanti dall’introduzione dell’IFRS 9. Le banche che, a partire dall’anno in corso, sono tenute a rispettare il nuovo standard contabile dovranno quindi stimare gli accantonamenti richiesti a seguito del deterioramento dei crediti, per effetto dello scenario avverso, non solo in una prospettiva di 12 mesi ma per tutta la vita residua del finanziamento.

Le caratteristiche dello scenario avverso

Come di consueto l’European Systemic Risk Board (ESRB) e la BCE hanno definito le specifiche dello scenario avverso, che si affianca alla previsione dello scenario di base stabilito dalla BCE.

Sono quattro le fondamentali ipotesi sottostanti lo scenario avverso:

  • brusca e intensa revisione del premio per il rischio sui mercati finanziari globali, legata fondamentalmente a shock sulle politiche condotte al di fuori dell’Unione Europea, che restringeranno in modo consistente le condizioni finanziarie. La reazione sui mercati azionari e obbligazionari sarebbe quella di una forte repricing rispetto alle alte quotazioni osservate negli ultimi mesi;
  • aumento dell’incertezza circa la sostenibilità dei debiti pubblici e privati, a fronte dell’aumento del premio per il rischio, con conseguente impatto anche sulla stabilità politica di alcuni paesi;
  • incremento del rischio di liquidità nel settore finanziario extra-bancario, con potenziale contagio all’intero mercato finanziario;
  • circolo vizioso tra bassa crescita nominale e redditività bancaria in un contesto in cui diversi sistemi bancari europei sono ancora caratterizzati da punti deboli (ad esempio l’eccessiva incidenza degli NPL, la concorrenza degli operatori extra-bancari, gli alti costi operativi) che necessitano cambiamenti strutturali.

A fronte di questo quadro particolarmente negativo si osserverebbe, per l’intera Unione Europea:

  • una deviazione (cumulata) del Pil, rispetto al baseline scenario, dell’8,3% nel 2020;
  • un aumento della disoccupazione di 3,3 punti percentuali nel 2020;
  • una caduta cumulata dei prezzi al consumo di 3,5 punti percentuali;
  • una riduzione dei prezzi degli immobili residenziali (commerciali) del 27,7% (19%) al di sotto dello scenario di base nel 2020.

Rispetto al passato lo scenario avverso risulta essere caratterizzato da una maggiore severità, sia se paragonato agli stress test condotti nel 2014 che nel 2016 (grafico 1).

 

Grafico 1. Scarti rispetto alla baseline del tasso di crescita del Pil dell’Unione Europea


                                                                                                  Fonte: EBA.

 

Osservando i dettagli relativi ai principali paesi dell’Unione Europea, si nota che la Svezia sarebbe quella più colpita dallo scenario avverso secondo le valutazioni di ESRB e BCE (grafico 2). Nello specifico il Pil svedese perderebbe circa 16 punti, rispetto allo scenario di base, nel 2020. Rilevante sarebbe anche l’impatto per Irlanda e Lussemburgo. Per la Germania l’effetto dello scenario avverso sarebbe quello di una perdita di Pil pari a 8,6 punti, superiore a quella della media dell’Area euro (-7,8). Meno colpite sarebbero invece Spagna (-7), Italia (-6,5) e Francia (-6,4).

Il differente impatto tra i paesi europei sarebbe essenzialmente legato al diverso grado di apertura al commercio con l’estero e alle vulnerabilità presenti nel mercato immobiliare, in particolare per effetto di sopravalutazioni nelle quotazioni delle abitazioni/uffici.

 

Grafico 2. Impatto cumulato sul Pil dello scenario avverso rispetto alla baseline nel 2020


Fonte: elaborazioni BEM Research su dati EBA.

 

Conclusioni

La nuova tornata degli stress test che l’EBA si accinge ad avviare non ha introdotto forti innovazioni metodologiche, probabilmente auspicabili visti i risultati non sempre soddisfacenti dei passati esami (si veda Barucci, Baviera e Milani, 2018). Sebbene i level 2/3 asset, titoli il cui valore può essere desunto solo attraverso stime definite da modelli sviluppati internamente dalla banca, saranno sottoposti allo stress test per valutare dunque la robustezza dei modelli di pricing interni, il focus sembra essere ancora fortemente rivolto al rischio di credito. La maggiore severità dello scenario avverso, unita all’applicazione dell’IFRS 9, determinerà presumibilmente una forte penalizzazione per le banche tradizionali, ovvero quelle prevalentemente concentrate nell’erogazione del credito come le banche italiane.

 

Bibliografia

Barucci E., R. Baviera, C. Milani, The Comprehensive Assessment: What lessons can be learned?,  The European Journal of Finance, 2018.

European Commission launches the EU Blockchain Observatory and Forum

News

Feb 11 2018

The European Commission had launched on February 1st launched the EU Blockchain Observatory and Forum with the manifested of providing visibility to this new technology. The Observatory is a European Parliament pilot project proposed by MEP von Weizsacker that will promote discussions and support initiatives aimed at facing the challenges that current business processes are facing, and enabling the creation of new businesses in this direction.

Fintech is retained to be “..a policy priority of the European Commission since it can and will play a major role in achieving the objectives related to the development of the single market, Banking Union, the Capital Markets Union and retail financial services.”

The Commission already constituted a Task Force on financial technology currently working on a FinTech Action Plan, which is going to be presented in the spring. Since entrepreneurs are already offering blockchain solutions to their customers, the EC has the duty to ensure that such businesses are able to develop concurrently across EU countries borders.

Furthermore, the Observatory will invest in training professional profiles to monitor and analyze trends and exploring blockchain potential, and engage with stakeholders and experts in the EU and worldwide.

 

 

EC Blockchain Observer press release

EU Task Force on Financial Technology

BIS: Structural changes in banking after the crisis

News

Feb 11 2018

The Committee on the Global Financial System (CGFS) of the BIS published a report which examines current trends in business models of banks following  the recent financial crisis. The post-crisis scenarios and a brand new set of regulatory amendments might as well have influenced the business strategies of bankers all over the world. The studies encompasses a panel 0f 21 banks all over the world. The main findings of the study are reported here from the BIS website.

“The experience of the global financial crisis, the post-crisis market environment and changes to regulatory frameworks have had a marked impact on the banking sector globally. The CGFS Working Group examined trends in bank business models, performance and market structure over the past decade, and assessed their implications for the stability and efficiency of banking markets.

The report contains several key observations on structural changes in the banking sector after the crisis. First, while many large advanced economy banks have moved away from trading and cross-border activities, there does not appear to be clear evidence of a systemic retrenchment from core credit provision. Second, bank return on equity has declined across countries, and individual banks have experienced persistently weak earnings and poor investor sentiment, suggesting a need for further cost cutting and structural adjustments. Third, in line with the intended direction of the regulatory reforms, banks have significantly enhanced their balance sheet and funding resilience and curbed their involvement in certain complex activities.”

 

 

BIS CGFS Papers No 60

BIS CGFS Papers No 60: Excel dataset

EIOPA reports on systemic risk in the insurance market

News

Feb 11 2018

EIOPA published a report highlighting the major sources of systemic risk in insurance. Sources of risk are distinguished among direct sources (exposure to common macroeconomic and financial shocks) and indirect sources, encompassing activity-based risks (such as network-type involvement in dangerous products) and behaviour-based risks (such as excessive concentrations and inappropriate cross-exposures).

EIOPA’s stated objective is to discourage risky behaviors and excessive levels of exposure, particularly in systemic-risk bearing products. The guidelines distinguishes microprudential policy (bottom-up approach) from macroprudencial policy (top-down approach).

Correlations among institutions is irrelevant for micro-prudential policies, and EIOPA guidances are developed at a single-company level, focusing on a stacked level of reserves that might help to absorb risks at a micro-level.

In order to measure spillover effects across all companies, a mixed approach, i.e. based both on fundamentals and market indicators, is proposed. Tackling the issue of systemic risk is currently of primary interest, as macro-prudential policies in the insurance market appears to be still in their early stage.

 

EIOPA: Systemic risk and macroprudential policy in insurance

 

EBA: avviato lo stress test 2018

News

Feb 11 2018

Lanciato lo stress test 2018 della European Banking Authority (EBA), con lo scopo di analizzare la resilienza delle banche EU a shock macroeconomici. Lo scenario base si allinea ai forecasts del Dicembre scorso, mentre lo scenario avverso prevede una riduzione del GDP dell 8.3% nel 2020 rispetto al forecast.

Lo scenario avverso è costruito considerando i quattro rischi sistemici attualmente ritenuti i più pericolosi per la stabilità del settore bancario Europeo:

  • Improvvisi apprezzamenti dei  risk premia nei mercati globali
  • Effetto feedback recessione/bassa redditività del settore bancario
  • Sostenibilità del debito pubblico e privato
  • Rischio di liquidità nel settore finanziario non-bancario

I risultati dello studio sono annunciati per il Novembre 2018.

EBA stress test 2018 methodology

EBA 2018 EU-wide stress test exercise

Le principali caratteristiche degli stress test 2018 (Carlo Milani)

ESMA publishes the results of the second EU-wide CCP stress test

News

Feb 05 2018
ESMA publishes the results of the second EU-wide CCP stress test

The European Securities and Markets Authority (ESMA) has published today the results of its second EU-wide stress test exercise regarding Central Counterparties (CCPs) established in the European Union (EU).

The CCP stress test assesses the resilience and safety of the EU CCP industry and helps to identify possible vulnerabilities. The results of the second EU-wide stress test show that overall the system of EU CCPs is resilient to multiple clearing member (CM) defaults and extreme market shocks. In addition, the report also highlights individual CCP-specific results.

The stress test builds on the first CCP stress test conducted in 2016, which focused on counterparty credit risk only, with the second exercise including liquidity risks – examining whether CCPs would meet their liquidity needs under different stress scenarios. ESMA tested the resilience of 16 European CCPs with approximately 900 CMs EU-wide. The aggregate amount of collateral held by CCPs on the test date in the form of margin requirements and default fund contributions was approximately €270bn.

 

 

 

ESMA EU CCP Stress Test Report

ESMA Press Release CCP Stress Test

ESMA Q&A CCP Stress Test

 

 

IMF: Fintech is a Central Banker’s friend

News

Feb 05 2018

Recently appointed chairman of the International Monetary Fund Committee (IMFC) and South Africa’s Central Bank Governor Lesetja Kganyago breaks the traditionalist mold of central bankers. The central bank governor joined a panel discussion on what fintech means for central banking during the  IMF/World Bank Annual Meeting in Washington.

“Banks” he says “.. need to embrace fintech or they will disappear”. The opportunities  that financial technology offers increase responsibility of central authorities to ensure the integrity of the financial system. Kganyago says that if people have trust in the physical bank notes, there is no reason why a central bank couldn’t start thinking about issuing a digital currency. Further, technology is having a positive impact in fighting corruption.

IMF: Fintech is a Central Banker’s friend

IMF: World Bank Annual Meeting – Washington D.C. (podcast)

IMF: Corruption disruption and economic stability

The limits of central bank financing in resolution

News

Feb 05 2018

On January 30th Yves Mersch, member of the Executive Board of the European Central Bank, discussed the key topic of central banks liquidity provisions to entities which are close to resolution.

Specifically, the question is the extent to which this liquidity should be provided by central banks, and it frames in the broader context of the completion of the banking union in Europe. A single European Deposit Insurance Scheme (EDIS) is retained to be a helpful tool that can provide support to resolution schemes.

The ECB’s position on the matter has been constant: resolution measures should be financed by contributions from shareholders and creditors of the bank, or by the State or at Union level, but not by central banks.

A key point here is that a standalone guarantee has never been recognised as adequate collateral under our framework. Guarantees can only play a limited role, and in no circumstances would a guarantee “cure” the lack of financial soundness of a given counterparty or the lack of collateral (or a combination of the two), which is often the case in a resolution scenario.

Emergency liquidity assistance can be provided by national central banks on the basis of their national competences and to pursue national objectives, namely, to preserve financial stability. Hence, the provision of central bank liquidity should not be ruled out in advance, yet neither should be taken for granted. Resolution planning should not be designed assuming a priori that central bank liquidity will fill the gaps.

 

 

The limits of central bank financing in resolution