作者：Marco Cipriani, Michael Holscher, Patrick McCabe, Antoine Martin, and Richard Berner
The incentives that drive bank runs have been well understood since the seminal work of Nobel laureates Douglas Diamond and Philip Dybvig (1983). When a bank is suspected to be insolvent, early withdrawers can get the full value of their deposits. If and when the bank runs out of funds, however, the bank cannot pay remaining depositors. As a result, all depositors have an incentive to run. The failures of Silicon Valley Bank and Signature Bank remind us that these incentives are still present for uninsured depositors, that is, those whose bank deposits are larger than deposit insurance limits. In this post, we discuss a policy proposal to reduce uninsured depositors’ incentives to run.
自諾貝爾獎獲得者 Douglas Diamond 和 Philip Dybvig（1983 年）的開創性工作以來，推動銀行擠兌的動機已得到充分理解。
當一家銀行被懷疑資不抵債時，提早提款的人可以獲得其存款的全部價值。但是，如果銀行資金用完，銀行將無法向剩餘的儲戶付款。結果，所有儲戶都有參與銀行擠兌的動力。 Silicon Valley Bank 和 Signature Bank 的失敗提醒我們，這些激勵措施對於未投保的儲戶仍然存在，即那些銀行存款高於存款保險限額的儲戶。在這篇文章中，我們討論了一項政策建議，以減少未投保儲戶的擠兌的可能性並且降低他們的行為動機。
What is the Minimum Balance at Risk?
Several of us developed the minimum balance at risk (MBR) in 2012 as a response to the systemic risk represented by money market funds (MMFs). The incentives of MMF investors to redeem when a fund is in trouble are very similar to those of uninsured depositors, especially when MMFs operate with a constant net asset value (that is, the value of their shares is rounded to a fixed amount, like a dollar). Early redeemers from MMFs, like early withdrawers from banks, get the benefit of preserving both the liquidity and the principal of their investments. The goal of the MBR is to create a tradeoff between the liquidity of these investments and their risk: investors who withdraw to preserve liquidity do so at the cost of greater risk to their principal; this tradeoff mitigates the incentives to run.
我們中的一些人在 2012 年制定了最低風險餘額 (MBR)，以應對以貨幣市場基金 (MMF) 為代表的系統性風險。 MMF 投資者在基金出現問題時贖回的動機與未投保的儲戶非常相似，特別是當 MMF 以固定資產淨值（即，其股份價值四捨五入為固定金額，如 美元）。貨幣市場基金的早期贖回者，就像銀行的早期提款者一樣，受益於保留其投資的流動性和本金。 MBR 的目標是在這些投資的流動性和風險之間建立一個權衡：投資者退出以保持流動性的代價是他們的本金面臨更大的風險；這種權衡降低了儲戶參與銀行擠兌的動機。
How Does the MBR Work?
The basic mechanics of the MBR applied to MMFs are described in this Liberty Street Economics post. A similar mechanism could be applied to uninsured depositors: a small fraction of each depositor’s uninsured deposit, which we call the minimum balance at risk, would be available for withdrawal only with a delay. For instance, the MBR could be 5 percent of a depositor’s maximum uninsured deposit balance over the previous thirty days (the size of the MBR parameters in this post is purely illustrative). If a depositor has been holding $1 million of uninsured deposits for the past thirty days, she would be able to withdraw all but $50,000 (5 percent) of her uninsured deposits immediately. The remaining $50,000 would only be available to her with a delay — say, forty-five days.
這篇 Liberty Street Economics 帖子描述了應用於 MMF 的 MBR 的基本機制。類似的機制可以應用於未投保的存款人：每個存款人的一小部分未投保存款，我們稱之為風險最低餘額，只能延遲提取。例如，MBR 可能是存款人過去 30 天最大未投保存款餘額的 5%（本文中 MBR 參數的大小純粹是說明性的）。如果儲戶在過去 30 天內持有 100 萬美元的未投保存款，她將能夠立即提取其未投保存款中除 50,000 美元（5%）以外的所有存款。剩下的 50,000 美元只能延遲到她手上 — — 比如 45 天。
Note that this depositor could, without restriction, withdraw $100,000 every day for nine days in a row. Only if her requested withdrawals exceed 95 percent of her maximum uninsured balance would her access to any funds be delayed. So, if she requested another $100,000 withdrawal on the tenth day, she would only receive $50,000. The remaining $50,000 would be available at the end of the forty-five-day delay period.
請注意，該存款人可以不受限制地連續 9 天每天提取 100,000 美元。只有當她要求的提款超過她最大未保險餘額的 95% 時，她才會延遲獲得任何資金。因此，如果她在第十天要求再提取 100,000 美元，她只會收到 50,000 美元。剩餘的 50,000 美元將在四十五天的延遲期結束時可用。
To reduce the incentives to run, a portion of a withdrawing depositor’s MBR would be subordinated to the deposits of those who did not withdraw. Subordination would only be relevant in the unlikely event of a bank failure. If the bank fails and uninsured depositors suffer losses, subordination assures that withdrawing depositors absorb some of the loss before depositors who did not withdraw. Thus, if the MBR is large enough compared to depositors’ expected losses, subordination creates a disincentive to run and creates a trade-off between preserving liquidity, by withdrawing, and preserving principal by leaving uninsured deposits in the bank. In contrast, under current rules, fast-running uninsured depositors preserve both liquidity and principal at the expense of other uninsured depositors.
為了減少銀行擠兌的動機，撤回存款人的 MBR 的一部分將低於未撤回存款人的存款。僅在不太可能發生銀行倒閉的情況下，此從屬關係才相關。如果銀行倒閉並且未投保的儲戶蒙受損失，從屬關係可確保提款的儲戶在未提款的儲戶之前承擔部分損失。因此，如果 MBR 與儲戶的預期損失相比足夠大，從屬關係會抑制運行，並在通過提取來保持流動性與通過將未投保的存款留在銀行來保全本金之間進行權衡。相比之下，根據現行規則，快速提取銀行存款的未投保存款人以犧牲其他未投保存款人的利益為代價來保全流動性和本金。
Consider our earlier example, but now assume that the bank has only two depositors, each with $1 million in uninsured deposits. Suppose depositor A requests to withdraw all her uninsured deposits, while depositor B leaves all her uninsured deposits in the bank. In this case, depositor A would receive $950,000 immediately but $50,000 would stay in the bank for forty-five days. Since depositor B did not withdraw any funds, depositor A’s $50,000 MBR would be subordinated to B’s uninsured deposits. Hence, if the bank were to fail, depositor A would absorb any loss up to $50,000 before depositor B lost a penny.
考慮我們之前的例子，但現在假設銀行只有兩個儲戶，每個儲戶都有 100 萬美元的未投保存款。假設存款人 A 要求提取她所有未投保的存款，而存款人 B 將她所有未投保的存款留在銀行。在這種情況下，存款人 A 將立即收到 950,000 美元，但 50,000 美元將在銀行中保留 45 天。由於存款人 B 沒有提取任何資金，因此存款人 A 的 50,000 美元 MBR 將次於 B 的無保險存款。因此，如果銀行倒閉，儲戶 A 將在儲戶 B 損失一分錢之前承擔高達 50,000 美元的任何損失。
One important consideration is how junior the MBRs of withdrawing depositors should be compared to other liabilities. Their MBRs should be junior at least to other uninsured deposits, but they could be even more junior. For example, these MBRs might be treated on par with senior-unsecured debt. The more junior the MBR, the greater the disincentive to run.
一個重要的考慮因素是與其他負債相比，提款存款人的 MBR 應該有多低。他們的 MBR 至少應該比其他未投保的存款低級，但它們可能更低級。例如，這些 MBR 可能與高級無擔保債務同等對待。 MBR 越低級，越不鼓勵儲戶去參與銀行擠兌。
Finally, the MBR could be made mandatory or voluntary. In the latter case, favorable regulatory treatment could create an incentive for banks to introduce MBRs. For instance, liquidity rules could give uninsured deposits that are subject to the MBR a lower runoff rate in the Liquidity Coverage Ratio (LCR). However it is designed, adoption of an MBR would likely require a number of changes to applicable laws and regulations.
最後，MBR 可以是強制性的或自願性的。在後一種情況下，有利的監管待遇可能會激勵銀行引入 MBR。例如，流動性規則可以在流動性覆蓋率 (LCR) 中為受 MBR 約束的未保險存款提供較低的徑流率。無論設計如何，採用 MBR 可能需要對適用的法律和法規進行一些修改。
The MBR is Ex Ante and Always On
One important element of the MBR is that it is in place ex ante and “always on,” so it doesn’t need to be introduced during periods of stress when public actions to mitigate withdrawal pressures could be seen as an adverse signal that causes panic. Most of the time, the MBR’s only effect is to make uninsured deposits somewhat less liquid.
MBR 的一個重要因素是它是事前和”始終在線”的，因此不需要在壓力時期引入，因為當減輕退出壓力的公共行動可能被視為導致恐慌的不利信號時 . 大多數時候，MBR 的唯一作用是降低未保險存款的流動性。
The MBR would help protect both banks and uninsured depositors from the deleterious effects of bank runs. This protection would reduce the first-mover advantage that Diamond and Dybvig analyzed. Moreover, the protection would come from depositors themselves, not from other banks or taxpayers.
MBR 將有助於保護銀行和未投保的儲戶免受銀行擠兌的不利影響。這種保護會降低 Diamond 和 Dybvig 分析的先發優勢。此外，保護將來自存款人本身，而不是來自其他銀行或納稅人。
Another Tool in the Kit
The incentives provided by the MBR are in many ways superior to those arising from insuring all deposits, which could promote excessive risk taking. Would the MBR have prevented the runs at Silicon Valley Bank and Signature Bank? The MBR does not address risk management issues that contributed to the problems at those banks. Such issues are the responsibilities of the bank’s owners, management, and supervisors. But it would reduce the incentives of depositors to run, thereby making banks safer.
MBR 提供的激勵在許多方面優於為所有存款提供保險的激勵，後者可能會促進過度冒險。 MBR 會阻止矽谷銀行和 Signature 銀行的擠兌嗎？ MBR 沒有解決導致這些銀行出現問題的風險管理問題。這些問題是銀行所有者、管理層和監管者的責任。但這會降低儲戶擠兌的積極性，從而使銀行更加安全。
To Sum Up
The MBR was introduced a decade ago as a means of mitigating run risks in MMFs. The Financial Stability Oversight Council (FSOC) included the MBR as part of one alternative in its 2012 “Proposed Recommendations for Money Market Mutual Fund Reform,” and eight years later, following the run on MMFs in March 2020, the President’s Working Group on Financial Markets again identified the MBR as an option for MMF reform. Here, we’ve shown that the MBR could be used to mitigate risks in another run-prone segment of the financial markets, uninsured deposits at banks.
MBR 是十年前作為減輕 MMF 運行風險的一種手段引入的。金融穩定監督委員會 (FSOC) 將 MBR 作為其 2012 年”貨幣市場共同基金改革的擬議建議”之一的替代方案的一部分，八年後，繼 2020 年 3 月對 MMF 運行之後，總統的金融工作組 市場再次將 MBR 確定為 MMF 改革的一個選項。在這裡，我們已經表明 MBR 可用於減輕金融市場另一個容易發生擠兌的部分的風險，即銀行未投保的存款。