Comité de Basilea relaja exigencias de liquidez para bancos
Genevieve Signoret & Patrick Signoret
El Comité de Basilea relajó las exigencias de liquidez (Liquidity Coverage Ratio) para la banca alrededor del mundo (comunicado de prensa, documento formal). Las reglas tienen como objetivo “mantener suficientes activos líquidos (el dinero, o los que se puedan vender con facilidad en los mercados) para capear situaciones críticas” (El País). La banca se había quejado que las duras exigencias no les permitirían recuperarse de la última crisis. El Comité respondió ampliando la definición de liquidez de calidad y aplazando cuatro años (a 2019) la entrada en vigor completa de las reglas. FT Alphaville resume en el título de su excelente artículo: “Bancos, aquí está su nuevo régimen de liquidez. Ya dejen de culparnos. Love, Basel”. Más contexto y reacciones en Counterparties. John Carney en CNBC argumenta que ni las nuevas ni las anteriores reglas de liquidez crearán bancos más seguros.
El Comité de Supervisión Bancaria de Basilea es una organización mundial que reúne a gobernadores de bancos centrales y responsables de supervisión financiera. Se reúne en el Banco de Pagos Internacionales en Basilea, Suiza, y está estrechamente ligado al G-20. Más detalles en Wikipedia.
El comunicado de prensa del BIS contiene contexto sobre las reglas modificadas:
The LCR is one of the Basel Committee’s key reforms to strengthen global capital and liquidity regulations with the goal of promoting a more resilient banking sector. The LCR promotes the short-term resilience of a bank’s liquidity risk profile. It does this by ensuring that a bank has an adequate stock of unencumbered high-quality liquid assets (HQLA) that can be converted into cash easily and immediately in private markets to meet its liquidity needs for a 30 calendar day liquidity stress scenario. It will improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy.
The LCR was first published in December 2010. At that time, the Basel Committee put in place a rigorous process to review the standard and its implications for financial markets, credit extension and economic growth. It committed to address unintended consequences as necessary.
Barclays (Global Macro Daily, London Open, 8 January 2013):
Over the weekend, the Basel Committee on Banking Supervision (BCBS) loosened the rules governing the liquidity coverage ratio. Recall that this is meant to protect banks from a sudden and prolonged loss of their access to liquidity. Banks are meant to have sufficient high quality liquid assets (HQLA) that they can sell to meet their own financing requirements, as well as the corresponding increase in liquidity outflows such as deposit redemptions and draw-downs on unused lines of credit. HQLAs are the numerator of the liquidity coverage ratio.
Specifically, the BCBS postponed full implementation by four years, to 2019 (although banks will still have to meet 60% of their requirement by 2015 and a 10% step increase annually until 2019). In addition, it broadened the definition of HQLA to include corporate debt (rated A+ to BBB-), equities, and high quality mortgage securities. A haircut or discounting factor is applied to these holdings, and they are limited to a portion of the overall LCR (depending on the asset type). Previously, the definition had been constrained to government securities and cash balances at the central bank. In addition, the BCBS loosened its stress scenario assumptions (the denominator of the LCR), for instance, lowering retail deposit outflows and assuming a reduced draw-down rate of unused liquidity lines provided by banks to non-financial borrowers. Thus, for banks domestically and globally, the LCR has been made less onerous: the size of the buffer is lower and the ability to meet it has been eased by expanding the eligible asset mix and delaying the full deadline.
In the short run, the changes to the LCR are unlikely to have much effect on US banks or their demand for US Treasuries. Thanks to accommodative monetary policy, bank balances at the Federal Reserve have swelled from $50bn in 2008 to nearly $1.6trn. Even assuming a hawkish read of the December FOMC Minutes, bank balances at the Fed are likely to climb another $900bn by December 2013, so US banks should have little difficulty meeting any LCR requirement. Indeed, at the end of September, US institutions held (in aggregate) $730bn in reserve balances at the Fed and an additional $230bn in Treasury securities.
In the long run, now that the list of eligible assets has been expanded, it will become even easier for the US banks to meet their LCR. Keep in mind, however, that while the BCBS has expanded its definition of HQLAs, we do not expect bank demand for equities and corporate bonds to increase sharply, as risk-weighted capital requirements on these holdings still apply.
John Carney argumenta que el sistema regulatorio no evitará crisis financieras en el futuro:
This brings us to the fat-tail problem with the liquidity coverage ratio. Banks and bank regulators have now agreed on what constitutes a high-quality liquid asset. The entire financial sector will quickly become more exposed to these assets than it would have been otherwise. We will generate more of these assets globally than we would otherwise. If the banks and the regulators are right that these assets are stable enough and liquid enough, then the system should be safer.
But there is good reason to think that the banks and regulators are wrong. For one thing, as Nassim Taleb is constantly warning, the world is less predictable than their models assume, and unexpected changes have significant impacts. How can regulators possibly model the effects on asset quality of increased demand for their favored assets? Can they predict the deterioration of ratings quality? Have they modeled the fact that regulatory-driving pricing creates misinformation about risk?
Which brings us to the overarching problem of financial monoculture. The entire financial system is rendered riskier when all of the largest institutions are cajoled by regulators into adopting a similar view of asset risk—which is exactly what led to our recent financial crisis. The cost of error is greatly increased. Instead of disparate failures, we invite system-wide failure from errors in risk assessment.