*Texas ratio = (Non-performing and past due loans + losses on sovereign debt)/ (Tangible equity + Provision for loan losses)
We started this project from scratch with no pre-conceived notions and came up with the usual suspect nations in regards to claims exposure to the PIIGS. Wait! There are conditions to that finding though. Conditions that I haven't seen in the myriad array of sell side reports that we have perused. Subscribers are urged to view Irish Bank Strategy Note before we move on to understand the limits of using simple foreign claims as a guage of potential risk events. Our proprietary sovereign contagion models ( Sovereign Contagion Model - Retail (961.43 kB 2010-05-04 12:32:46) and Sovereign Contagion Model - Pro & Institutional) address the shortcomings of this perspective in complete detail, and I will expand on those shortcomings in a future post, hopefully later on today.
Below is a screen shot of the summary of 29 page professional version of the PIIGS exposed bank analysis.
Subscribers can download this document here: Euro Bank Soveregn Debt Exposure Final -Retail and Euro Bank Soveregn Debt Exposure Final - Pro & Institutional
The complete Pan-European Sovereign Debt Crisis analyiss (and its origins), to date are available free to the public: The Pan-European Sovereign Debt Crisis!