How to design the European Deposit Insurance Scheme

欧元区需要一个存款保险计划!

2019/06/14 17:42
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对照中文英文原文
许多金融监管机构一直致力于为贷款机构的风险承担定价。拟议中的欧洲存款保险计划具有重要优势,但也可能在成员国之间造成冲突,因为各国可能会提供不同的存款保险补贴。

Much of financial regulation has been focusing on adequately pricing risk taking by lenders. This column argues that a multinational deposit insurance system such as the proposed European Deposit Insurance Scheme has important advantages, but can also create conflicts among its member nations due to potential deposit insurance subsidies that differ across nations. The authors suggest alternative design features that could minimise these subsidies and make a multinational deposit insurance system more mutually agreeable.

许多金融监管机构一直致力于为贷款机构的风险承担定价。本文认为,拟议中的欧洲存款保险计划等跨国存款保险制度具有重要优势,但也可能在成员国之间造成冲突,因为各国可能会提供不同的存款保险补贴。作者建议,其它设计特征可以将这些补贴降至最低,并使跨国存款保险体系更容易相互接受。

There are two main benefits to a credible deposit insurance system, whether the system is national or multinational. One is that deposit insurance protects the savings of financially unsophisticated individuals and small businesses. The other major benefit relates to the short-term, demandable nature of deposits that makes them convenient for settling transactions but can also lead to a ‘bank run’. By removing the incentive for bank runs, deposit insurance can reduce the severity of financial crises and enhance financial and monetary stability.

可信的存款保险体系有两个主要好处,无论是全国性的还是跨国的。一是存款保险保护了金融上不成熟的个人和小企业的储蓄。另一个主要好处与存款的短期、可需求性有关,这使得存款方便于结算交易,但也可能导致“银行挤兑”。通过消除银行挤兑的动机,存款保险可以降低金融危机的严重程度,增强金融和货币稳定。

Relative to a national system, a multinational deposit insurance system can have the added benefit of improving the credibility of deposit insurance.1 Especially in a monetary union, a purely national deposit insurance scheme could be exposed to the ‘sovereign-bank doom loop’ whereby a decline in the creditworthiness of a nation’s banking system that increases the cost of resolving bank failures impairs the government’s creditworthiness. In turn, this decline in government creditworthiness causes a loss of confidence in deposit insurance that leads to bank runs and further bank losses.2 A multinational deposit insurance system can help break this loop by sharing the losses from insuring deposits among nations.

相对于国家存款保险计划,跨国存款保险制度还可以提高存款保险的可信度。特别是在一个货币联盟中,一个纯粹的国家存款保险计划可能会暴露在“主权银行末日循环”的风险之下。在这个循环中,一国银行体系的信誉下降会增加解决银行倒闭的成本,从而削弱政府的信誉。反过来,政府信誉的下降导致人们对存款保险失去信心,进而导致银行挤兑和进一步的银行损失。一个跨国存款保险系统可以通过在各国之间分担存款保险的损失来帮助打破这种循环。

In our work, we focus on understanding the importance of fair market value-based pricing of a multinational deposit insurance system such as the European Deposit Insurance Scheme (EDIS). We argue that if banks are not charged a premium equal to the fair cost of the deposit insurance, then various moral hazard-related distortions arise. Moreover, subsidised rates may be a source of member nation conflicts that can lower the likelihood of acceptance of the common scheme (Jokivuolle and Pennacchi 2019).

本文的重点是了解跨国存款保险制度,如欧洲存款保险计划(EDIS),基于公平市场价值定价的重要性。如果银行收取的保费不等于存款保险的公平成本,那么就会出现各种与道德风险相关的扭曲。此外,补贴率可能是成员国冲突的一个来源,这可能降低接受共同计划的可能性。

The cost of deposit insurance

存款保险的费用

Deposit insurance differs from many other types of insurance in that the risks of insuring banks’ deposits cannot be easily diversified. The risk of a deposit insurance claim from a bank failure is highly systematic. The deposit insurer’s losses tend to be low during macroeconomic expansions and high during macroeconomic contractions. As an example, Figure 1 shows the number of bank failures in the US each year since federal deposit insurance was implemented in 1934. Clearly, in most years the number of bank failures was very low, but a large proportion of failures clustered in three well-known crisis periods (the Great Depression of the 1930s, the Savings and Loan Crisis of the 1980s and early 1990s, and the Great Recession of 2008-2012).

存款保险与其他许多险种的不同之处在于,为银行存款保险的风险不容易分散。银行破产导致存款保险索赔的风险是高度系统性的。存款保险公司的损失往往在经济扩张期较低,而在收缩期较高。例如,图1显示了自1934年实施联邦存款保险以来,美国每年银行倒闭的数量。显然,在大多数年份,银行倒闭的数量都非常低,但很大一部分倒闭集中在三个著名的危机时期(上世纪30年代的大萧条、上世纪80年代和90年代初的储蓄和贷款危机,以及2008年至2012年的大衰退)。

Figure 1 Annual number of US bank failures, 1934 to 2018

图1 1934年至2018年,美国每年银行倒闭数量

Source: US Federal Deposit Insurance Corporation

资料来源:美国联邦存款保险公司

Consequently, the fair market cost of deposit insurance will exceed the ‘actuarially fair’ expected loss due to the addition of a systematic risk premium needed to compensate the insurer for bearing undiversifiable risk.3

因此,存款保险的公平市场成本将超过“精算公平”的预期损失,因为保险公司需要额外支付系统性风险保费,以补偿其承担的不可分散风险。

Specifically, define EDF to be a bank’s annual expected default frequency and LGD as the deposit insurer’s loss given default. Then EDF×LGD is the insurer’s annual expected losses from insuring a bank, which also equals the actuarially fair insurance premium. But the ‘fair market’ cost of providing deposit insurance, equal to the insurance premium that a bank would pay for covering this cost, is:

具体来说,定义EDF为银行的年度预期违约频率,LGD为存款保险公司的违约损失。那么EDF×LGD就是保险人每年为一家银行承保的预期损失,也等于保险精算上的公平保费。但提供存款保险的“公平市场”成本,与银行支付的保费相等:

Fair-Market Deposit Insurance Premium = EDF×LGD + SRP

公平市场存款保险费= EDF×LGD + SRP

where SRP is the insurance’s systematic risk premium.

其中SRP为保险的系统风险保费。

While deposit insurance differs from many other types of insurance, it is closely related to some common financial contracts. A prime example is uninsured debt that is subject to default risk, such as a corporate loan, bond, or even an uninsured bank deposit or bond. Since insurance against a debt’s default would make it default-free, this logic implies the valuation equation:

存款保险不同于许多其他类型的保险,它与一些常见的金融合同密切相关。一个主要的例子是受违约风险影响的未保险债务,比如公司贷款、债券,甚至是未保险的银行存款或债券。由于债务违约保险将使其无违约,这一逻辑意味着估值方程:

Value of Default-Risky Debt = Value of Default-Free Debt – Value of Default Insurance

违约风险债务的价值=无违约债务的价值-违约保险的价值

Since the value of default-risky debt is less than the value of default-free debt that promises the same future payments, its lower price is reflected in a higher promised yield to maturity compared to the yield on equivalent default-free debt. The difference in these yields is referred to as the default-risky debt’s ‘credit spread’. Importantly, the value of this credit spread is analogous to a fair-market annual deposit insurance premium – both represent compensation for default risk. Consequently, theory implies that a default risky debt’s credit spread should also equal EDF×LGD + SRP (e.g. Duffie and Singleton 1999).

由于违约风险债务的价值低于承诺未来相同还款的无违约债券的价值,其较低的价格反映在承诺的到期收益率高于同等无违约债券的收益率。这些收益率之差被称为违约风险债券的“信贷息差”。重要的是,这种信贷息差的价值类似于公平市场的年度存款保险费——两者都代表对违约风险的补偿。因此,理论上意味着,违约风险债券的信贷息差也应等于EDF×LGD + SRP。

Even more closely related to deposit insurance is another financial contract that directly insures against default losses, namely, a credit default swap (CDS) contract.  The CDS spread on a firm’s debt equals the annual insurance premium that the insured (protection buyer) pays to the insurer (protection seller) to cover losses if the debt defaults. Thus, as with the debt’s credit spread, theory predicts that the fair CDS spread equals the debt’s expected default losses plus a systematic risk premium, EDF×LGD + SRP.

与存款保险关系更密切的是另一种直接为违约损失提供保险的金融合同,即信用违约互换(CDS)合同。公司债务的CDS价差等于被保险人(保护买方)向保险人(保护卖方)支付的年度保费,以弥补债务违约造成的损失。因此,与债务的信贷息差一样,理论预测,公平的CDS价差等于债务的预期违约损失加上系统性风险溢价,即EDF×LGD + SRP。

Empirical evidence strongly supports this theoretical prediction. Moreover, the size of the systematic risk premium, SRP, is substantial and typically exceeds expected losses, EDF×LGD. Figure 2 shows a decomposition for CDS spreads taken from Table III in Berndt et al. (2018). They proxy firms’ expected default losses from estimates of EDF by Moody’s Analytics and estimates of LGD from Markit, where the systematic risk premium equals the CDS residual after expected losses (their sample covers more than 500 firms over the period 2002 to 2015). The figure shows that for each credit rating, the average systematic risk premium always exceeds the average expected default loss, and the overall ratio of the systematic risk premium to expected losses is 2.92. Empirical studies that estimate the fair cost of deposit insurance premiums from bank stock market and financial statement data find similar ratios of systematic risk to expected losses on the order of 1 to 3.4

实证证据有力地支持这一理论预测。此外,系统性风险溢价(SRP)的规模相当大,通常超过预期损失(EDF×LGD)。图2显示了Berndt等人(2018)的CDS价差分解。他们使用穆迪对EDF的估计和Markit对LGD的预期违约损失的估计作为企业预期违约损失的代理指标,其中系统性风险溢价等于预期损失后的CDS残差,样本涵盖了2002年至2015年期间的逾500家公司。从图中可以看出,对于每一个信用评级,系统平均风险溢价始终大于平均预期违约损失,系统风险溢价与预期损失的总体比例为2.92。对计银行股票市场和财务报表数据的存款保险费的公平成本的实证研究表明,系统性风险与预期损失的比率大致在1至3.4之间。

Figure 2 Expected loss rates and systematic risk premiums from credit default swap spreads

图2预期损失率和信用违约互换息差的系统性风险溢价

Source: Berndt et al. (2018), Table III.

资料来源:Berndt等人(2018),表3。

In summary, fair insurance premiums incorporate a sizeable systematic risk premium that tends to increase with a bank’s expected default losses. Unfortunately, few, if any, national deposit guarantee schemes set premiums in this manner. The consequence is several moral hazard incentives. First, banks will have an incentive to prefer insured deposits. Second, banks will have an incentive to invest in securities (especially structured financial securities) and loans with excessive systematic risk because they are not charged for taking this type of risk (Pennacchi 2006, Coval et al. 2009). Empirical evidence supports this incentive for systematic risk-taking (Iannotta et al. 2019, Efing 2015). The danger is that banks will herd into systematically-risky investments that are highly likely to suffer losses during economic downturns, increasing the likelihood of systemic failures.

总而言之,公平保费包含了相当大的系统性风险溢价,而这一风险溢价往往会随着银行预期的违约损失而增加。不幸的是,几乎没有国家存款保险计划以这种方式设定保费。其结果是一些道德风险激励。首先,银行将有动机偏好有保险的存款。其次,银行将有动机投资于有过度系统风险的证券(尤其是结构性金融证券)和贷款,因为它们不会因为承担这类风险而收费。实证证据支持这种系统性冒险的动机。风险在于,银行将蜂拥进入系统性高风险投资领域,这些投资在经济衰退期间极有可能遭受损失,增加了系统性失败的可能性。

The European Deposit Insurance Scheme

欧洲存款保险计划

We now consider the implications of these arguments for the proposed EDIS.5 Along with the Single Supervisory Mechanism (SSM) and the Single Resolution Mechanism (SRM), the EDIS is envisioned as the third pillar of the banking union in the EU. Transitioning from member nations’ deposit guarantee schemes (DGS) to the EDIS is planned to take seven years, during which time banks and national deposit insurance funds would contribute to the EDIS deposit insurance fund (DIF).6 After the transition, the EDIS would provide full insurance on the covered deposits of the banks of member nations, with insurance claims being paid out of the DIF and banks’ insurance premiums (contributions) being paid into the DIF. A fiscal backstop for the DIF might be provided in the form of a revolving credit line, say, from the European Stability Mechanism (ESM). While banks’ premiums will be risk-based, they will also be set to maintain the DIF’s funds at a target level equal to 0.8% of aggregate covered deposits.

我们现在考虑这些论点对拟议中的欧洲存款保险计划(EDIS)的影响。与单一监管机制(SSM)和单一清算机制(SRM)一样,EDIS被设想为欧盟银行业联盟的第三大支柱。从成员国的存款担保计划(DGS)过渡到EDIS需要7年时间,在此期间,银行和国家存款保险基金将向EDIS存款保险基金(DIF)捐款。转型后,EDIS将为成员国银行的存款提供全面保险,保险索赔由DIF支付,银行保险费(缴款)向DIF支付。DIF的财政支持可以以循环信贷额度的形式提供,比如来自欧洲稳定机制(ESM)。虽然银行的保费将以风险为基础,但它们也将把DIF的基金维持在一个目标水平,相当于存款总额的0.8%。

Setting premiums to target a ratio of DIF funds to covered deposits is a common practice amongst deposit insurance systems, including the US Federal Deposit Insurance Corporation (FDIC), which now has a long run target for its DIF of 2% of insured deposits. Unfortunately, this practice conflicts with setting premiums that are truly risk-based (Feldman 1998, Pennacchi 2000). Rather, it makes premiums countercyclical. The reason for this is that during economic downturns when bank failures rise and the DIF is depleted, the average level of premiums must be raised to bring the DIF back to its target. Conversely, during economic expansions the DIF grows and tends to rise above its target, which leads to a cut in the average level of premiums. It is easy to see that another form of moral hazard can result because banks’ cost of insured deposits is more (less) heavily subsidised during expansions (contractions), creating an incentive to grow faster (slower) and exacerbating the credit cycle.

在存款保险体系中,包括美国联邦存款保险公司(FDIC)在内,为保费设定为DIF与保险覆盖存款的目标是一种常见做法。FDIC目前设定了DIF占保险覆盖存款2%的长期目标。不幸的是,这种做法与设定真正基于风险的保费相冲突。相反,它使保费逆周期上涨。其原因在于,在经济低迷时期,当银行倒闭增加、DIF耗尽时,必须提高保费的平均水平,才能使DIF回到其目标水平。相反,在经济扩张期间,DIF会增长,并趋于高于其目标,这将导致平均保费水平的下降。很容易看出,另一种形式的道德风险也会产生,因为银行的存款保险成本在扩张(收缩)期间得到的补贴更多(更少),从而刺激经济更快(更慢)增长,并加剧信贷周期。

The proposed EDIS plans to set risk-based premiums where banks that are estimated to be riskier will pay relatively higher premiums compared to banks deemed to be safer. But during any point in the financial cycle premiums are unlikely to be risk-based in an absolute sense of fairly reflecting the cost of insurance because the need to target DIF funds forces the average premium to be countercyclical.7 Now it may be that, through the financial cycle, average premiums will approximately equal average losses to the DIF. But as argued earlier, this implies that the average insurance premium will be subsidised because it fails to include a systematic risk premium. Indeed, if banks’ insurance premiums were set fairly in a market value sense, the ratio of DIF funds to covered deposits should be expected to grow without bound due to the presence of the systematic risk premium that makes the average premium exceed the DIF’s average loss.8

拟议中的EDIS计划设定基于风险的保费,即与被认为更安全的银行相比,风险更高的银行将支付相对较高的保费。但在金融周期的任何时刻,保费不太可能是基于绝对意义上的风险、公平反映保险成本,因为以DIF基金为目标的需要,迫使平均保费是反周期的。可能在整个金融周期中,平均保费将与DIF的平均损失大致相等。但正如早些时候所指出的,这意味着平均保费将得到补贴,因为它没有包括系统性风险保费。事实上,如果从市场价值的角度公平地设定银行的保费,由于系统性风险溢价的存在,使得平均保费超过了DIF的平均损失。

One might argue that risk-based premiums based on banks’ expected losses can, at the least, prevent cross-subsidisation whereby riskier banks will not be subsidised by safer ones (Carmassi et al. 2018). However, such risk-based premiums would still represent cross-subsidisation because on a market value basis, the difference between riskier banks’ premiums versus safer banks’ premiums should be substantially greater than the difference in their expected losses (Figure 2).

有人可能会说,基于银行预期损失的风险溢价至少可以防止交叉补贴,即风险较高的银行不会得到更安全银行的补贴。然而,这种基于风险的保费仍将代表交叉补贴,因为以市场价值为基础,风险较高的银行保费与更安全的银行保费之间的差异应该远远大于预期损失的差异(图2)。

This market value cross-subsidisation at the bank level may be a source of conflict in establishing the EDIS. Participation in the EDIS may result in relatively safer national banking systems providing net market value subsidies to relatively riskier national banking systems. Consequently, there has been some resistance to the EDIS or proposals that would retain national DGSs with the EDIS mainly providing a backstop to national DGSs (e.g. Bénassy-Quéré et al. 2018).

银行层面的这种市场价值交叉补贴,可能是建立EDIS的一个冲突来源。参与EDIS可能导致相对安全的国家银行系统向相对危险的国家银行系统提供净市值补贴。因此,有些人反对EDIS或提议保留国家DGSs, EDIS主要为国家DGSs提供支持。

Measures to reducing distortions and conflicts

减少扭曲和冲突的措施

Several design features could reduce the distortions that arise from cross-bank subsidies.

一些设计特性可以减少跨银行补贴造成的扭曲。

  • Require substantial ‘bail-inable’ equity and debt. If banks are required to have a substantial amount of liabilities that are junior (subordinated) to deposits, then deposits can be made essentially risk-free and deposit insurance becomes largely irrelevant. The credit spreads on these bail-inable junior liabilities of banks will function as fair-market insurance premiums. As a result, moral hazard distortions and deposit insurance subsidies will be mitigated. Of course, such requirements will only be effective in preventing EDIS losses if bank supervisors take prompt action to close an insolvent bank prior to losses exceeding its bail-in liabilities. 
  • 需要大量“可纾困”的股票和债务。如果银行被要求持有大量低于存款(从属于存款)的负债,那么存款基本上就可以实现无风险,存款保险在很大程度上就变得无关紧要了。这些银行可纾困的次级债务的信贷息差将起到公平市场保费的作用。因此,道德风险扭曲和存款保险补贴将得到缓解。当然,只有当银行监管机构在破产银行的损失超过其内部纾困责任之前,迅速采取行动关闭破产银行,这些要求才会有效防止EDIS的损失。
  • Charge banks for the ESM’s credit line. If the ESM were to provide a backstop in the form of a credit line to the DIF, the ESM would absorb much of this systematic risk. Consequently, there is economic justification for compensating the ESM directly in the form of systematic risk premiums paid by banks. Requiring that banks pay this charge would reduce EDIS moral hazard incentives and cross-subsidies among banks. There could even be an increased agreement for the ESM to serve as a backstop.
  • 向银行的ESM信贷额度收费。如果ESM以信贷额度的形式向DIF提供支持,ESM将吸收大部分这种系统性风险。因此,以银行支付的系统性风险溢价的形式直接补偿ESM是有经济合理性的。要求银行支付这一费用将减少EDIS的道德风险激励和银行间的交叉补贴。欧洲稳定机制甚至可能会达成一项更广泛的协议,作为后盾。
  • Allow nonbanks to share the risk of DIF targeting. There are several ways that nonbank investors can absorb the risks of managing the DIF’s level near a target (see the proposals of Kane 2003 and Pennacchi 2010). Since private investors would require compensation from the DIF that covers not only their expected losses but also a systematic risk premium, the EDIS would have economically observable justification for setting banks’ insurance premiums that cover both expected losses and these losses’ systematic risk premiums.
  • 允许非银行机构分担DIF目标的风险。非银行投资者有几种方法可以吸收管理接近目标的DIF水平所带来的风险。由于私人投资者将要求从DIF中获得补偿,不仅涵盖他们的预期损失,还包括系统性风险溢价,因此EDIS将有经济上可以观察到的理由,设定既涵盖预期损失又涵盖这些损失的“系统性风险溢价”的银行保费。

Conclusion

结论

Enhancing the credibility of deposit insurance to avoid a ‘sovereign-bank doom loop’ is a clear benefit of a multinational deposit insurance system, such as the proposed EDIS. Yet some member nations may object if they fear their national banking systems will subsidise those of others. Due to the common practice of setting banks’ insurance premiums to target deposit insurance funds, these fears may be justified. Yet, we have argued that the EDIS can be designed to significantly reduce subsidies, and an added benefit is that moral hazard distortions are mitigated. These design features include a requirement for substantial bail-inable equity and debt, establishing a systematic risk charge paid by banks to the ESM for its line of credit, and managing the risk of DIF funds by involving non-banks in risk sharing.

提高存款保险的可信度,以避免“主权银行末日循环”,这显然是跨国存款保险体系的一个好处,比如拟议中的EDIS。然而,如果一些成员国担心本国的银行体系会为其它国家的银行体系提供补贴,它们可能会反对。由于将银行保费设定为存款保险基金目标的惯例,这些担忧或许是有道理的。然而,我们认为,EDIS可以被设计成大幅削减补贴,而且一个额外的好处是,道德风险扭曲得到了缓解。这些设计特征包括要求大量可纾困的股权和债务,建立银行为ESM的信贷额度向其支付的系统性风险费用,以及通过让非银行参与风险分担来管理DIF基金的风险。

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