Eurostress quick take

Richard covering for Yves here, in case that maritime internet connection, which seems OK for terse emails, is not so great for navigating 100 eurowebsites, to whizz through as much detail as possible.

Just seven failures, making Chris Whalen’s EU stress tests: who knows, who cares? the main takeaway, I suppose. Not enough blood to be convincing.

I am sure the market will be constructing its own stress tests based on the foreign sovereign exposure info, which was of some interest.

First, it appears that a few banks availed themselves of the late-breaking option not to publish their sovereign debt exposures as part of the test results. These were mostly German banks:

Landesbank Berlin, Landesbank Hessen-Thueringen, WGZ Bank (tiddlers)

DZ Bank, HRE, PostBank (medium-sized)

Deutsche Bank (whopper)

Perhaps the tiddler and medium-sized omissions are only there in an attempt to make the whopper omission less obvious. For instance, HRE’s coyness about its sovereign exposures is rather sudden: it blithely confessed its Greek and other exposures to Reuters on May 7th.

The other major non-discloser seems to be ABN-Amro (this is the part-nationalized piece that our dear RBS couldn’t swallow back in 2007, and now merged with Fortis). That omission sticks out like a sore thumb (I did have a rummage round their web site to try to make sure it wasn’t just my navigation). ING has a fair amount of Greek stuff (~EUR 2,5Bn) on its books; a possible hint as to why ABN is being shy?

Update 26-07-10 the ABN exposures are here, h/t Rikkert

The French, on the other hand, are letting it all hang out, with very chunky Greek exposures evident at BNP and SocGen, and merely largish ones at BPCE, Credit Agricole. A big (and expected) clue about who wants Greece to go right, and why there was only a 23% haircut in the Greek default scenario.

Nothing very striking to my inexpert eye about the Spanish banks (caution, slow downloads) . I can’t see why a caja would pile into dubious foreign debt, and they haven’t. If there are any obvious risks connected with Spanish banks it is their RE assets, and the private debt they have issued. They do have larger exposure to Portugal than other Eurobanks would have, but that’s not a massive surprise.

The largest exposures to Italy were at that French quartet, again.

With due apologies to Malta and Cyprus I took a flyer that their banks did not present any kind of systemic risk.

The Slovenians (who did have one reputedly rickety bank, Nova Ljubljanska Banka, which scraped through) seem to have mucked up their link to the results detail. Oops.

A couple of other things caught my eye:

an extra Irish connection: RBS’s GBP4Bn exposure to Irish sovereign debt. That’s apparently on top of our two nationalized sickies’ (RBS and HBOS) existing RE exposure to the Irish mess.

A Hungarian connection – to the Austrians, of course: RAIFFEISEN ZENTRALBANK, ERSTE GROUP BANK AG, UNICREDIT. There’s a hint that the Hungarian IMF row may point to a problem that’s bigger than first thought, so if it blew up, these banks would get some of the fallout.

So that’s it – a tentative and probably spotty map of the sovereign interconnections that might matter.

If only we had the same sort of info about what’s in the Eurobanks’ real estate books, and any legacy toxic debt holdings from the US, and for that matter, from Iceland, where the Landesbanken went quite potty.