Hasil (
Bahasa Indonesia) 1:
[Salinan]Disalin!
Studi kasus Northern Rock1KRISIS NORTHERN ROCK: MASALAH MULTI-DIMENSI MENUNGGU UNTUKTERJADIDavid T Llewellyn1LATAR BELAKANGSelama tiga hari pada bulan Agustus 2007, Inggris mengalami menjalankan pertama di bank sejak Overenddan Gurney, bank diskon Grosir London pada tahun 1866. Di sekitar £3 miliar depositoyang ditarik (sekitar 11 persen dari total ritel deposito) dari mediaukuran bank-Northern Rock (NR). Tontonan unedifying luas-dipublikasikan lamaantrian di luar cabang bank menyaksikan bank masalah serius. NRkrisis adalah pertama kalinya Bank of England (BOE), bank sentral Inggris, telah dioperasikanpasar uang rezim yang baru dalam kondisi stres akut di pasar keuangan, dankali pertama itu telah bertindak sebagai pemberi pinjaman-dari-terakhir-resor selama bertahun-tahun.Northern Rock (sebelumnya UK saling membangun masyarakat) dikonversi ke status bank di1997. tanpa kendala sebelumnya pada izin operasi yang, memperoleh hukumkewenangan untuk melakukan berbagai macam bisnis perbankan. Namun, itu tetap terfokusdominan di pasar perumahan hipotek. Dari awal, mengadopsisekuritisasi dan pendanaan strategi yang semakin berdasarkan dijamin Grosiruang (dengan mengeluarkan mortgage-backed securities) dan dana pasar modal lain.Sebelum mempertimbangkan sifat krisis NR, beberapa poin dari perspektif dicatat diawal: bank tetap hukum pelarut (dengan nilai nominal aset melebihiliabilities), only months earlier the bank had reported record profits, the quality of itsassets was never in question, its loan-loss record was good by industry standards, andfor many years the bank was regarded as a star-performer in the financial markets.Two problems emerged during the summer months of 2007: there was a generalisedlack of confidence in a particular asset class (mortgage bank securities) associated inlarge part with developments in the sub-prime mortgage market in the United States;and doubts emerged about the viability of the NR business model in particular.In September 2007, NR was forced to seek substantial assistance from the BOE evenafter the regulatory authorities, the UK’s Financial Services Authority (FSA) and theTreasury (the UK government’s finance office), had given assurances that the bank wassolvent, and all deposits at the bank would be guaranteed.THE CONTEXT OF FINANCIAL MARKET TURMOILThe NR episode needs to be set in the context of the global financial market turbulenceexperienced during the summer of 2007. Recent years have experienced anunprecedented wave of complex financial innovation with the creation of new financialinstruments and vehicles. In the words of the BOE, this financial innovation had theeffect of “creating often opaque and complex financial instruments with high embeddedleverage” (BOE, 2007a). Two major instruments at the centre of the financial marketturmoil were Securitisation and Collateralised Debt Obligations (CDOs – instrumentscreated from a portfolio of asset-backed securities and then broken into tranches ofvarying default risk with resulting varied prices): in both cases issue volumes rosesharply in the years prior to the crisis. Figure 1 shows the sharp rise in Europeansecuritisations, and figure 2 indicates the volume of global CDO issues and particularlythe sharp increase in 2006 and the first half of 2007, followed by an almost total collapsein the summer months of that year.Securitisation involves a bank bringing together a large number of its loans (e.g.mortgages) into a single package and selling the portfolio into the capital market. Theportfolio might be bought by other financial institutions or by specially created SpecialPurpose Vehicles, Structured Investment Vehicles (SIVs), or Conduits established by thesecuritising bank itself. The buyer issues securities (e.g. FRNs, asset-backed commercial1 Copyright David T LlewellwnNorthern Rock Case Study2paper, longer-term paper) which are rated by a rating agency according to the quality ofthe underlying assets in the portfolio. In effect, the bank passes the loans to others, andthe strategy is often referred to as originate-and-distribute even though the purchasermight be a specially-created bankruptcy-remote subsidiary of the bank itself. The bankmay offer a line of credit to the purchaser to be activated in the event that the buyerencounters difficulty in renewing its short-term securities.Figure 1European securitisation (1998 -2005; € billions)Figure 2Global collateralised debt obligation issuanceCagr = 35%+78%3200501001502002503003501998 1999 2000 2001 2002 2003 2004 2005Northern Rock Case Study3The global market financial turmoil during the summer of 2007 was triggered bydevelopments in the rapidly growing sub-prime mortgage (SPM) market in the US. Ahigh proportion of such mortgage loans were securitised and also combined intoinstruments such as CDOs. These in turn were rated by rating agencies although, inhindsight, in a misleading way in that a CDO would be given a high rating based on onlythe small proportion of loans within it that was low risk.The mortgage-backed securities (MBS) and CDOs were purchased by banks around theworld, hedge funds, and conduits established by banks either for themselves or clients.Such purchases were funded in the main by the issue of short term securities (e.g.asset-backed commercial paper) and in some cases received lines of credit from banksincluding banks initiating securitisation programmes.Problems emerged at various times during 2007 as a result of a combination of factors:a decline in house prices in the US, the impact of the earlier rise in US interest rates,large-scale defaults on SPMs (during 2007 repossession in the US reached a thirty-sevenyear high), and a sharp decline in the prices of mortgage-backed securities.Above all, both the primary and secondary markets in SPM securities effectively closedand concern developed over the exposure of some banks in the market. There wasuncertainty, for instance, about which banks were holding MBSs and CDOs. In particular,some banks who were dependent on securitisation programmes encountered seriousfunding problems because of all these uncertainties. Issuing banks and their conduitsfaced both a liquidity constraint and a rise in the cost of funding as it becameincreasingly difficult to roll-over short-term debt issues. Liquidity in the inter-bankmarkets also weakened and a tiering of interest rates emerged during the summer.Banks encountered funding difficulties because of their uncertain exposure to theweakening MBS market, or because of their commitment to provide lines of credit toMBS holders. There was also concern that some banks would be required to hold on theirbalance sheets mortgage assets they had originally intended to securitise and sell.Overall, there was a sharp movement away from the MBS market.All of this created considerable market uncertainty in the summer months of 2007 whichlead to a sharp fall in many asset classes, considerable uncertainty as to the riskexposure of banks, credit markets dried up and most especially those focussed on assetbacked securities, and liquidity dried up in the markets for MBSs and CDOs. Overall,there was considerable uncertainty regarding the true value of credit instruments (partlybecause the market had virtually ceased to function effectively) and the risk exposure of
banks. As a result, a loss of confidence developed in the value of all asset-backed
securities on a global basis. This was the general context of some banks (and notably
NR) facing funding problems.
The liquidity problem became serious because securitisation vehicles such as conduits
and SIVs were funding the acquisition of long-term mortgages (and other loans) by
issuing short-term debt instruments such as asset-backed commercial paper. As liquidity
dried up, banks could not finance their off-balance-sheet vehicles and were forced to
take assets back on to the balance sheet or hold on to assets they were planning to
securitise. This effectively amounts to a process of re-intermediation.
Although NR was not exposed to the US SPM market, it became caught up in all this
because of its business model: securitisation as a central strategy, and reliance on shortterm
money market funding. It faced several related problems: it could not securitise
and sell new mortgage assets and hence needed to keep assets on the balance sheet
that it had intended to sell, and it faced a sharp rise in interest rates in the money
market with the result that borrowing costs (even in the event that it could borrow at all)
rose above the yield on its mortgage assets.
The most serious dimension from a systemic point of view was the run on deposits at
NR. Clearly, statements to the effect that the bank was solvent did not convince
Northern Rock Case Study
4
depositors. In any case, a bank run can be rational if all depositors believe the bank is
solvent but also believe that all other depositors believe it is not.
THE RESCUE OPERATION
A traditional role of a central bank is to act as a lender-of-last-resort (LLR) to illiquid
solvent banks. In order to limit the moral hazard, this is done against good quality
collateral and at a penalty rate of interest. In order not to aggravate a temporary
liquidity problem of a bank by panicking depositors to withdraw funds, in the past in the
UK this has been done on a covert basis and without publicity at the time. The BOE now
judges (though this has been challenged by the European Commission) that current
requirements of transparency mean that any such support must be public.
In the UK, the ultimate responsibility for authorisation of support operations by the BOE
in a financial crisis rests with the Chancellor of the Exchequer (UK equivalent to the
minister of finance). There are two reasons for this. Firstly, it is a political
Sedang diterjemahkan, harap tunggu..