Kako spraviti “Liikanenovo bančno reformo” v življenje

Lani oktobra je bilo predstavljeno t.i. Liikanenovo poročilo – poročilo ekspertne skupine za reformo bančnega sistema v EU, ki jo je vodil guverner finske centralne banke Erkki Liikanen. Poročilo je predlagalo pravno ločitev med visokorizičnimi finančnimi naložbami bank (investicijske banke) od običajnih komercialnih poslov bank. Natančneje, predlog skupine je bil, da bi “trgovalni del” bančnih aktivnosti nad pragom 15-25% celotne bančne aktive prestavili v posebno, dobro kapitalizirano podružnico banke. To bi ohranilo prednosti univerzalne banke ter holdinške strukture, hkrati pa se depoziti iz komercialnega bančništva ne bi mogli uporabiti za subvencioniranje “trgovalnega dela”. Liikanenova skupina predlaga tudi uvedbo t.i. avtomatskega “separation triggerja” v višini 100 mlr. evrov, nad katerim bi bila nujna funkcionalna ločitev bančnih aktivnosti.

Vendar pa ima predlagana reforme številne pomanjkljivosti. Prva je nedvomno ta avomatski separation trigger, ki bi dejansko zajel samo velike banke. Denimo banka s 400 mlr. evrov bančne aktive (kar je 8-kratnik celotnega slovenskega bančnega sistema), ki bi ji uspelo trgovalni del bančnih aktivnosti držati izpod 24.99% bančne aktive, ne bi bila prisiljena v avtomatsko funkcionalno delitev. Druga pa je, da čeprav daje predlog o boljšem upravljanju tveganj v okviru Basla III, pa ohranja zelo kompleksno in nepregledno ocenjevanje rizikov, saj minimalne kapitalske zahteve veže na t.i. “risk-weighted assets (RWA)” namesto na dejansko aktivo bank.

V OECD se v nedavnem sporočilu s predlogi Liikanenove skupine ne strinjajo v dveh pomembnih aspektih:

The first major problem is that, while idea of a threshold for separation is good, the Liikanen group has not chosen the right variable on which to base the threshold. Recent OECD work has sought empirically to explore the factors that make a bank more or less risky: i.e. that  take it towards or away from the default point. This research was necessary, because policy after the crisis had to be made ‘on the run’ without enough detailed empirical evidence on which to base reform. Most of the research referred to in the Liikanen report pre-dates the crisis, or is related to recent policy developments, but none of it contains research relating business model features to banks’ distance to default. Yet it is crucial to know which mechanisms are and are not supported by the data.

With respect to the business model features of bank risk, the OECD study shows that liquid trading assets, properly separated from the gross market value of (mainly over the counter illiquid) derivatives, helps to increase the bank’s distance from default and make it less (not more) risky. On the other hand derivatives are overwhelmingly the business model feature that gives rise to interconnectedness risk and default paths arising from illiquidity in crisis conditions (for example the massive margin calls in 2008-2009).

This is a fairly major problem for the Liikanen report—they are not looking at the right threshold variable. The idea of a threshold makes sense, but it must be based on the key variable if banks are to be safer. In the OECD view this is derivatives: any bank with a gross market value of derivatives above 10%-15% should be considered for separation.

The second main issue after separation, minimum capital requirements, is dealt with extensively in the Liikanen Report, with calls for “…more robust risk weights…more consistent treatment of risk in internal models [and that] the treatment of real estate lending…should be reconsidered,…”

The Expert Group should have had the courage of its convictions. The core problem is the risk weighting system as proposed in the so-called Basel III international regulatory framework for banks. This introduces an illusory “risk sensitivity” that relates minimum capital requirements to “risk-weighted assets (RWA)”, instead of to actual balance sheets. This has evolved into a system of extreme complexity that invites institutions to look for regulatory ways to reduce RWA relative to total assets (including negotiating with supervisory authorities) rather than ensuring they really have enough capital, defeating the entire purpose of capital adequacy rules.

So long as capital requirements are based on RWA, whose relationship to the actual balance sheet is effectively a management tool, many banks (and the system as a whole) are likely to be under-capitalized. The best solution would be to scrap the risk-weight system at both global and European levels in favor of something vastly simpler and more effective. Failing that, the equivalent can be achieved by strengthening the role of the (non-risk-weighted) leverage ratio to the point where it overrides the risk-weight system.

One response

  1. Po mojem mnenju bi bilo še najlažje potegniti jasno črto: banka enostavno ne bi mogla hkrati izvajati investicijskih in komercialnih poslov – lahko bi bila registrirana samo kot komercialna ali pa samo kot investicijska banka. Derivate pa je treba spraviti v vidno polje, te posle napraviti transpatentne in javne, določene instrumente pa prepovedati.

    Bančna praksa bi morala zadoščati preprostemu stavku: “Ali deluje v javno dobro ali ne?” Če ne, je ne potrebujemo.

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