2009年04月15日 00:00 AM

Geithner and Summers need to address the banking problems square-on

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The Obama administration program to address the fragility of the banking system is based on a two major initiatives. First, it has proposed the Geithner- Summers Plan to buy subprime securitized assets from the banks. The toxic assets plan deals with less that 40 percent of the balance sheet of the banks that is in marketable securities. It does not deal with the 60 percent of the balance sheets of US banks that are loans and are not marked to market. Further, it will take six months to get the program in motion. The plan elicited deserved criticism from reputable analysts, including Paul Krugman in his NYT column. As Krugman points out in his column this plan is the third variant of an old plan to lift the value of toxic assets. The plan meets Einstein's definition of madness: continuing to do the same thing, hoping for a different outcome. Jeff Sachs (FT, March 23), Joseph Stiglitz (NYT, April 1) and Peyton Young (FT, April 1) added their concerns that the plan nationalizes losses and privatizes profits.

奥巴马(Obama)政府治理银行体系脆弱性的计划是以两项重要举措为基础的。首先,它提出了从银行收购次贷证券化资产的“盖特纳-萨默斯计划”(Geithner- Summers Plan)。这项不良资产计划所涉及的是占银行资产负债表的不到40%的有价证券;它并不涉及占美国银行资产负债表60%的不按市值计价的贷款。此外,它需要6个月的时间才可启动。该计划理所当然的招来了保罗•克鲁格曼(Paul Krugman)等知名分析人士的批评。正如克鲁格曼在其《纽约时报》(NYT)专栏文章中所指出的,该计划是一项提升不良资产价值的旧有计划的第三种变体。该计划符合爱因斯坦(Einstein)对“疯狂”的定义:持续做同样的事情,并期望出现不同的结果。对这项把损失国有化、把利润私有化的计划,杰夫•萨克斯(Jeff Sachs)(见英国《金融时报》3月23日文章)、约瑟夫•斯蒂格利茨(Joseph Stiglitz)(见《纽约时报》4月1日文章)和佩顿•杨(Peyton Young)(见英国《金融时报》4月1日文章)也表示了关切。

The second part of the administration program is the now famous stress test of the nation's largest banks. The other dimensions of the Geithner plan are the loan-purchase program run by the FDIC, the Treasury securities-purchase component of the PPIP is supplemented by the expanded Fed TALF program, and the various programs aimed at lowering rates in the conforming mortgage market.


This article argues that The Obama administration is in denial regarding the problems in the financial system. The losses in the banking system are not an “unknown unknown”. As shown below, the stress test calculations can be conducted by any informed analyst, and the losses are known with a reasonable degree with approximation. The stress test is simply a “smoke screen” designed to postpone the inevitable moment when the administration has to deal with the well known and severe problems in the banking system.


As with the subprime crisis, there is a collective reluctance to review and analyze the information available and timidity in addressing the obvious problems. The FDIC Quarterly Banking Profile is a quarterly publication that provides the earliest comprehensive summary of financial results for all FDIC-insured institutions. An informed review of the balance sheet of the banking system as of December 31, 2008 shows that Tier 1 capital is $1,296 billion, of which only $1 trillion tangible equity, while the rest of Tier 1 is goodwill, and other intangibles. The loans outstanding are $7,873 billion. The report also informs that the Reserve Coverage Ratio (noncurrent loans to loan losses reserves) has declined from over 220% in 2005 to slightly under 80% in 2008. Further, at this stage the loan losses reserves for the average outstanding loan are slightly over 2 cents on the dollar. Economists at Goldman Sachs estimated recently that banks were valuing their mortgages at about 91 cents on the dollar (Showdown Seen Between Banks and Regulators, NYT, April 10, 2009).

与次贷危机时一样,如今人们都不愿对现有信息进行评估和分析,也害怕去解决那些显而易见的问题。联邦存款保险公司每季发布的《季度银行业概况》(Quarterly Banking Profile)第一时间提供所有FDIC会员机构财务业绩的全面总结。对截至2008年12月31日的银行体系资产负债表的详实评估显示,一级资本为1.296万亿美元,其中只有1万亿美元有形资产,其余的则为商誉和其它无形资产。未偿贷款为7.873万亿美元。该报告还显示,准备金覆盖率(贷款损失准备金相对非流动贷款的比率)已从2005年的逾220%降至2008年的略低于80%。此外,目前贷款损失准备金相对平均未偿贷款的比率略超过2%。高盛(Goldman Sachs)经济学家最近估计,美国各银行对自身抵押贷款的估价约为面值的91%(见《纽约时报》2009年4月10日文章《银行与监管机构面临摊牌》(Showdown Seen Between Banks and Regulators))。

A charitable stress test of the balance sheet uses the following conservative assumptions: Increasing the level of nonperforming loans to 8%, which was the level of non-performing loans during the 1991-2 recession; and establishing a modest coverage ratio of 100%. Without going into the gory details of my calculations, the Tier 1 capital shortfall is $753 billion under those very liberal assumptions. $630 billion (8%) in non performing loans is a very benign estimate. McKinsey-as well as others, such as Goldman Sachs-estimates that US banks may currently hold as much as $2 trillion of impaired assets (A better way to fix the banks (The McKinsey Quarterly February 2009 Lowell Bryan and Toos Daruvala). In the new Global Financial Stability Report the IMF is expected to estimate the potential losses of U.S.-originated credit assets held by banks and others at $2.8 trillion. With more conservative assumptions, including non performing loans comparable to the 1982 recession, and a coverage ratio of 200%, the shortfall of capital is north of $1.5 trillion.

以下面的保守假设来对银行的资产负债表做一次仁慈的压力测试:将其不良贷款比率提高到8%,达到1991年至1992年衰退时期的水平;将准备金覆盖率定在100%这一适度的水平。不谈我计算中那些令人毛骨悚然的细节,只谈结果:在这些非常宽松的假设下,一级资本亏空就已达7530亿美元。6300亿美元(8%)的不良贷款是一个非常良性的估计。麦肯锡(McKinsey)以及高盛等其它机构估计,美国各银行目前可能拥有多达2万亿美元不良资产(见2009年2月《麦肯锡季刊》(The McKinsey Quarterly)由洛威尔•布莱恩(Lowell Bryan)和托什•达鲁瓦拉(Toos Daruvala)撰写的《治理银行问题的上策》(A better way to fix the banks))。国际货币基金组织(IMF)预计将在新一期《全球金融稳定报告》(Global Financial Stability Report)中做出估计:全球各银行和其它机构持有的源自美国的信贷资产的潜在损失为2.8万亿美元。以更加保守的假设——例如不良贷款比率相当于1982年经济衰退时的水平,以及准备金覆盖率为200%——计算,资本亏空将超过1.5万亿美元。

The banking system is severely undercapitalized, with numerous insolvent banks. Clearly a more robust banking system requires far more capital and a robust loan loss reserve adding to the capital cushion. Until the trillion plus of impaired assets are removed and the banking system is recapitalized, credit flows will be restricted. In this context, it is puzzling why the administration is tinkering at the fringes with programs designed to enrich Wall Street. Geithner and Summers need to address the banking problems square-on.




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