|
appetite for risk-taking
can be indirectly monitored by focusing on the rate of growth of
the balance sheet and of certain asset classes in the detailed sectoral balance sheets produced by
Eurostat and the European Central Bank. Any rapid acceleration in the growth of the aggregate
balance sheet or in certain class is likely to be associated with a loosening of credit standards as an
institution or institutions are likely to chase quantity over quality. This sectoral monitoring can be
complemented by a monitoring of the balance sheet and on/off balance sheet positions and
assets. Obviously such monitoring is only feasible in the case of institutions which release
periodically balance sheet and income statement information. Private companies, such as hedge
funds, typically do not make such information publicly available.
Second, the same balance sheet information can be used to monitor
leverage
at the sectoral and
sub-sectoral level where leverage is defined as the ratio of total debt to equity and shareholders’
funds.
Third, an indication of the
liquidity risk
can be obtained by computing the ratio of short-term debt
to total assets or to total debt.
Fourth, to complement the set of indicators, it would be useful to construct an indicator of
maturity mismatch
to gain a better understanding of the sector’s or sub-sectors’ exposure to
interest rate movement risk.
14
│
Knowledge gaps and how to monitor OFIs
129
Missing from the set of indicators listed above are indicators related to credit and market risk. The
sectoral and sub-sectoral data which are currently available are too aggregated to be able to
construct credit and market risk indicators. While the annual statements and reports published by
public financial institutions provide often information of the credit and/or market risk of a range of
assets on their books, such information is typically available with a considerable lag so as to make
it largely useless in a rapidly evolving financial environment.
Missing is also an indicator of interconnectedness as, at the present time, the publicly available
information can only be analysed at a very aggregate level (as was shown in section 2.1.3) and
provides only a picture, from the MFIs’ perspective, of the connectedness of MFIs with NBFIs but
not, from the NBFIs’ perspective, of connectedness of NBFIs with themselves or with MFIs.
This is unfortunate as the lack of such data does not allow one to establish whether the rapid
expansion of the balance sheet of a particular NBFI sub-sector or the rapid growth in certain asset
class or financial activity results in increased risk for the sub-sector or the originator of the product
itself, for other financial sub-sectors of the NBFIs, the MFIs and/or real economy. Without good
information on the distribution of risk it is not possible to ascertain whether systemic risk has
increased or not.
It is not possible to examine how these proposed indicators did behave in the run-up to the crisis
and during the crisis as the historical data required for such an analysis does not exist. However,
going forward, such data will be regularly available.
The broad sectoral monitoring should be accompanied by a monitoring of the evolution of various
asset classes or activities such as:
derivatives (using data from the BIS)
securitised assets (using data from AFEME)
repos (using data from ICMA)
securities lending (using data from Data Explorer)
CCP exposures (suing data from the CCPs)
The latter set of data is useful for deriving an overall perspective on how the market is developing
- fast growth in a particular activity/asset class should be viewed as a red flag requiring further,
more detailed examination and potentially discussions with industry expert.
It would be useful to explore with Eurostat and the ECB whether it would be possible to expand
the sub-sectoral balance sheets so as to list separately for each type of asset and liability the
amount originating from the sub-sector itself, other OFI sub-sectors (ideally by sub-sector), from
MFIs and the real economy. The balance sheet of the MFIS would have to be similarly broken
down in order to provide a comprehensive picture of all the linkages between MFIs and OFIs and
within OFIs. Moreover, it would also be useful to encourage the ECB to produce the sub-sectoral
OFI information for the EU as a whole and not just the euro-zone.
Do'stlaringiz bilan baham: |
