墨滴

张春成

V2

2023/03/20阅读：23主题：默认主题

硅谷银行暴了一颗“低风险”的雷

硅谷银行暴了一颗“低风险”的雷

最近美国 Silicon Valley Bank 爆雷，我从 FDIC 上下载了近 30 年美国银行的暴雷统计，总觉得这次和往年的有点不太一样，因为这次的存款比重太大了。

如果对暴雷过程感兴趣的话，请阅读附录：SVB 的死亡倒计时。

FDIC: Bank Failures in Brief[1]

  • 硅谷银行暴了一颗“低风险”的雷[2]
    • 整体情况[3]
    • 时间轴上的纵向比较[4]
    • 附录：Asset 和 Deposit[5]
    • 附录：SVB 的死亡倒计时[6]
    • 附录：The negative convexity of MBS[7]

整体情况

美国银行暴雷不是什么稀奇的事情，因为它经常发生，近 30 来这种事件发生的频次如下图所示。经常发生此类事件的州为 GA、FL、IL 和 CA。

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暴雷的银行多不一定就代表危险性大，因此我们再从暴雷银行的资产（Asset）角度来看，烈度从强到弱分别为 CA、NV、IL 和 FL。资产损失最大的银行为 CA 和 NV，达到了 300,000 Million，也就是 3 千亿美元。

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另外，再从这些暴雷银行的存款（Deposit）数量来看，CA的烈度为最高，达到了 1,830,004 Million，也就是 1 万 8 千亿美元。它比亚军 NV 的 195,703 Million 整整高出了一个数量级。

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时间轴上的纵向比较

接下来，我们从时间轴上来分析历次暴雷对资产和存款损失的“贡献”。首先，从资产损失来看，本次暴雷与 2008 年以来的前车之鉴们进行比较，它的体量着实是不小的，仅小于 2008 年的 Henderson 。但与之前不同的是，之前是银行们集体暴雷，但这次似乎只有硅谷银行一家。（此图绘制之后，似乎又冒出来若干家类似的银行暴雷）。

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更有意思的是，从存款的角度来看，此次硅谷银行的烈度是前所未有的，基于超过了之前历次存款的总合，这就是它与众不同的地方。这就是挤兑的力量。

当然，这里并不是说恶意挤兑导致银行破产，而是不断上升的国债利率导致银行的长期债券出现浮亏，而较大量储户取款的行为倒逼银行低价出售长期债券，最终导致银行账面亏损直到破产。

从这个角度上说，美元国债并不是特别安全的避险资产。

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附录：Asset 和 Deposit

上面提出了两个概念，它们分别是 Asset 和 Deposit，其中 Asset 代表资产，而 Deposit 代表存款。简单来说，资产是银行的各种金融合同的虚的收益总合，而存款是储户真金白银存在银行里的。

Asset: Key Takeaways

  • Financial assets are liquid assets that derive their value from a contract or agreement.
  • Financial assets are different from real assets because of their non-physical nature.
  • The most common personal financial assets are checking accounts and retirement investments, as well as stocks and bonds for the average investor.

Deposit: Key Takeaways

  • A deposit generally refers to money held in a bank account.
  • A deposit can also be the funds used as security or collateral for the delivery of goods or services.
  • A demand deposit account is essentially a checking account in which you can withdraw funds at any time.
  • A time deposit account usually requires that you hold your funds in the account a certain amount of time or face a fee for withdrawal.

What Is a Deposit? Definition, Meaning, Types, and Example[8]

What Are Financial Assets?[9]

附录：SVB 的死亡倒计时

  • 从 2020 年开始，受到疫情影响美国政府开始印美元救市，这导致 SVB 的存款量开始暴涨；
  • SVB 的应对策略是大量买入长期固定收益类债券，而以美元国债为主的长期债券的风险，导致了这场教科书式的亏损，
    • 国债是一定期限后国家偿付给给债权人一定量货币的约定，因此国债利率越高，则它当前的价格就越低；
    • 具体来说，如果我持有一定量的国债，那么国债利率越高，我手上的国债在当下就越不值钱，满足以下方程式；
  • 从上述分析可知，国债利率越高，则当下持有的国债就越不值钱，这导致持有它的收益率就越低，（收益率满足如下方程式），最终表现为国债收益率和它的利率呈现反比例关系。
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  • SVB 的大量债权是购买了 MBS（Mortgage backed security，住房抵押贷款证券），由于它具有负凸性（negative convexity），导致它的风险也随着利率的增加而增加。而美联储不断地加息又进一步地促进了他们的亏损；
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  • 这部分亏损是被计到“持有到期证券”条目中，而不会直接反映到财务报表里，因此在挤兑发生之前，这部分亏损属于浮亏，因为它只是由于国债利率上升而导致的账面收益下降，并不影响最终的美元国债偿付。也许是由于这个原因，它也没有被市场注意到；
  • 硅谷创业融资环境变差，储户开始不约而同地选择取回自己的存款，无意中点燃了挤兑的小火苗；
  • 硅谷银行不得不出售国债资产，这导致“持有到期证券”的浮亏变成实亏；
  • 硅谷银行资不抵债的形势开始明朗，于是硅谷银行卒。

附录：The negative convexity of MBS

MBS stands for Mortgage-Backed Securities, which are investment products that are created by pooling together a large number of individual mortgage loans and then selling them to investors. These securities can be backed by different types of mortgages, such as residential or commercial mortgages.

The negative convexity of MBS refers to the fact that the duration of these securities changes as interest rates change. Duration is a measure of a bond's sensitivity to changes in interest rates. As interest rates rise, the duration of MBS decreases, meaning that the price of the security may not increase as much as other bonds in a rising interest rate environment. This can result in lower returns for investors.

Additionally, MBS may experience prepayment risk, which is the risk that borrowers will refinance their mortgages and pay off the underlying loans earlier than expected. When this happens, investors receive their principal back sooner than anticipated, which can reduce the total return on the MBS. Prepayment risk is more prevalent in a falling interest rate environment, as borrowers are more likely to refinance at lower rates.

In summary, the negative convexity of MBS refers to the fact that these securities have a unique duration characteristic that can result in lower returns in a rising interest rate environment, and they are also subject to prepayment risk, which can reduce returns in a falling interest rate environment.

bfb-data.csv[10]

参考资料

[1]

FDIC: Bank Failures in Brief: https://www.fdic.gov/bank/historical/bank/bfb2023.html

 [2]

硅谷银行暴了一颗“低风险”的雷: #硅谷银行暴了一颗低风险的雷

 [3]

整体情况: #整体情况

 [4]

时间轴上的纵向比较: #时间轴上的纵向比较

 [5]

附录：Asset 和 Deposit: #附录asset-和-deposit

 [6]

附录：SVB 的死亡倒计时: #附录svb-的死亡倒计时

 [7]

附录：The negative convexity of MBS: #附录the-negative-convexity-of-mbs

 [8]

What Is a Deposit? Definition, Meaning, Types, and Example: https://www.investopedia.com/terms/d/deposit.asp

 [9]

What Are Financial Assets?: https://www.thebalancemoney.com/what-is-a-financial-asset-5198812

 [10]

bfb-data.csv: %E7%A1%85%E8%B0%B7%E9%93%B6%E8%A1%8C%E6%9A%B4%E4%BA%86%E4%B8%80%E9%A2%97%E2%80%9C%E4%BD%8E%E9%A3%8E%E9%99%A9%E2%80%9D%E7%9A%84%E9%9B%B7%20e93ca834b5fe4209a496836b6c9bd0ed/bfb-data.csv

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张春成
V2