Donnerstag, 26. Februar 2009

Wann ist eine Bank insolvent?

Bronte Capital hat dazu eine interessantes Posting (via Marginal Revolution).
There are several definitions of solvency here – and it is not clear which definition people are using. Here is a list:

Definition 1: Regulatory Solvency. Does the bank have adequate capital to meet the solvency tests imposed by regulators?
Answer: To this definition the answer is not likely. Trading books (or loans originated for sale) are by accounting standard mark-to-market. This is a big problem because the market price is substantially lower than the yield to maturity value. If a bank did a lot of trading (eg Citigroup) or originated a lot of loans for sale but was stuck with them at the end (eg Royal Bank of Scotland on its private equity loan book) then it is likely to be deeply insolvent on a regulatory standard because it needs to mark those loans down to a the very low market price.

Definition 2: Positive net worth under GAAP. Does the bank have positive net worth under GAAP accounting (ie yield to maturity with appropriate provisions when YTM is required or mark to market otherwise)?
Answer: (...) on Test 2 the banks almost certainly collectively pass (...) The situation of trading books under Test 2 however is much more dire. Trading books under GAAP are mark to market – and as noted above the market values of assets are considerably less than the yield to maturity values. If these insitutions are forced to account honestly according to GAAP then they are likely very insolvent indeed. The banks that are in this situation (insolvent under mark to market) include Citigroup, JP Morgan, possibly Bank of America now that it has swallowed Merrill, and possibly Goldman Sachs.

Definition 3: Positive economic value of an operating entity. If the bank is allowed to continue to operate it will be able to pay all its debt and replace its capital?
Answer: Here I am counted as a radical. The system in my view clearly has positive economic value. (...) The usefulness of this test however is problematic. It presumes the system can continue to operate (a test falsified by the facts on the ground). It is however an indication of what would happen if the system were nationalised – the government would make a profit. It is also the test of what would happen if the system had credible government guarantees and were sensibly run. (If you are going to give it government guarantees then – in my view – you might as well nationalise it. However at the very minimum you need to control it to an enormous extent because government guarantees cause nasty moral hazard problems.)

Definition 4: Positive liquidation value. If you liquidated it today at current market prices it would have positive value.
Answer: This one is easy – no way. (...)

Definition 5: Liquidity. Does the bank have adequate liquidity to operate on a day to day basis?
Answer: Well this is hard – and critically dependent on government policy. (...)
Die Antwort zeigt allerdings auch, dass es in den USA einen Unterschied zwischen Investmentbanken (Wertpapierhandel) und Geschäftsbanken (Depositen und Kreditvergabe) auch nach Aufhebung des Glass-Steagall-Acts gibt. Geschäftsbanken sind einfacher abwickelbar, weil die Bewertung einfacher ist - in den USA über die FDIC. Die massiven Probleme im Moment kommen vor allem aus dem Investmentbankensektor, der im Gegensatz zum Geschäftsbankensektor erheblich geringer reguliert wurde (in den USA).

In Österreich und Europa sind die meisten Banken Universalbanken, d.h. Banken die traditionell beide Aktivitäten übernehmen. Wie könnten solche Banken einfach abgewickelt werden? Wann sind diese insolvent? Geschäftsbanken in den USA sind insolvent, wenn die FDIC sie für insolvent erklärt (Bliss und Kaufman haben einen guten und ausführlichen Vergleich zwischen der normalen Insolvenzregulierung und dem FDIC vorgehen in den USA). Eigentlich nur über ein spezielles Insolvenzverfahren, welches den Wertpapierbereich und den Geschäftsbankenbereich trennt. Luigi Zingales fordert in einem Beitrag zur Zukunft der Finanzmarktregulierung "a new Glass-Steagall Act separating mutual fund management from investment and commercial banking".

Wie würde in Österreich eine Bankeninsolvenz abgewickelt? Und wer bestimmt wann ob eine Bank insolvent ist?

Keine Kommentare:

Kommentar veröffentlichen