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德意志银行问题的系统性影响

2016-11-02 09:23 彼得森国际经济研究所

摘要:德意志银行近期出现的问题(包括美国司法部就其在出售按揭证券时误导投资者而开出140亿美元罚单)导致其股价下跌。不过,该银行并非资不抵债,即使上缴140亿美元罚款后也不会。尽管如此,该银行的问题应促使决策者关注金融危机后银行业改革是否走上正轨。

Systemic Implications of Problems at a Major European Bank

原文标题:Systemic Implications of Problems at a Major European Bank

中文摘要:彼得森国际经济研究所专家William R. Cline在《德意志银行问题的系统性影响》一文中表示,德意志银行近期出现的问题(包括美国司法部就其在出售按揭证券时误导投资者而开出140亿美元罚单)导致其股价下跌。不过,该银行并非资不抵债,即使上缴140亿美元罚款后也不会。尽管如此,该银行的问题应促使决策者关注金融危机后银行业改革是否走上正轨。来自大额法律罚款的新冲击增加了有关资本充足性的担忧。股市价格低可能进一步反映对资产估值的怀疑。作者结论认为,较低的市场估值意味着银行可能需要通过净收益而不是增加发行量来提高额外股本。同时,银行也需要改变基本的商业模式,逐渐缩小资产负债表,直到股价回升到账面价值。(编译:刘小云)

原文:

Deutsche Bank's recent troubles, including a fine by the US Department of Justice for allegedly misleading investors in the sale of mortgage-backed securities, have led to a decline in the bank's share price. The bank, however, is not insolvent and would not be even if the full $14 billion fine were levied. Its problems, nonetheless, should prompt policymakers to focus on whether banking sector reform after the financial crisis is on track. The new shocks from large legal fines add to concerns about capital adequacy. Low stock market prices may further reflect doubts about asset valuations, especially for derivatives, and about risk weightings using internal models. Cline notes that the decline in the bank's share price in both January–February and September was prompted by the specter of losses to additional tier 1 (AT1) bonds that count toward the bank's total loss-absorbing capacity (TLAC) imposed by the Basel III regulatory reforms. He concludes that the bank's difficulties provide further support for additional bank capital beyond Basel III targets. Higher equity capital provides a larger cushion against insolvency in the face of shocks. With equity a larger share of the TLAC target of 18 percent of risk-weighted assets under Basel III, an additional benefit would be the resulting reduction in the need for contingent (AT1) capital, which has proven to be a source of market instability when investors fear writedowns on (or conversions of) such obligations. Low market valuations mean that banks would need to raise additional equity over time through retained earnings rather than immediately through new issuance when share prices are depressed. This problem is currently more severe for large banks in Europe than for those in the United States. Banks may also need to change their basic business models and downsize their balance sheets gradually until share prices rise toward book values.

Systemic Implications of Problems at a Major European Bank.pdf

责任编辑:刘小云

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