Micro-mechanism:
First, there is a serious maturity mismatch in inter-bank business, which will bring liquidity risk to a single institution. This can be measured by the liquidity coverage ratio Index (LCR) in the Measures for Liquidity Risk Management of Commercial Banks issued by CBRC in March this year. For banks that do more inter-bank business, this indicator will obviously deteriorate.
Second, maturity mismatch has increased the interest rate risk of many individual financial institutions, and even caused directional changes in their sensitivity gaps. For example, in the past, many banks had longer liabilities than assets, so they liked the central bank to raise interest rates; Interbank business matches long-term assets with short-term liabilities, which is contrary to the asset-liability ratio of traditional non-interbank business of banks. Therefore, the increase of inter-bank business will lead banks to like the central bank to raise interest rates, to like the central bank and then to cut interest rates. The crux of the problem is that quite a few financial institutions may not know that their interest rate sensitivity has changed in this direction.
Third, the concentration risk increases. The risk of concentration is mainly manifested in two aspects. First, from the perspective of basic assets, some non-standard assets are finally invested in local government financing platforms, real estate, minerals and other restrictive or speculative fields, which increases the risk concentration of banks in these fields. Second, the risk exposure between banks has greatly increased, which makes the correlation of risks rise sharply.
Fourth, the risk of group contagion within the group has increased. Many banks engage in non-standard creditor's rights business through trust companies and fund companies under the bank, and hold their own statements, which may violate the internal control requirements and regulatory provisions of related party transactions and firewalls, making risk isolation ineffective.
Fifth, the credit risk has increased. On the one hand, the credit risk of the counterparty increases, on the other hand, the credit risk of the borrowing enterprise needs to be considered. Therefore, when banks or financial institutions profit from inter-bank business, they also bear risks that need not be borne at the same time-both inter-bank exposure risk and credit risk of non-standard assets.
Sixth, from a regulatory point of view, a large number of drawer agreements undermine compliance culture and increase compliance risks. This is a kind of destruction to the financial ecology, which will greatly increase the difficulty and cost of supervision.
In addition, there is a risk of high leverage, and some figures support this view to some extent. Some studies have pointed out that the leverage ratio of interbank assets was 8 times at the beginning of 20 12, and rose to 16 times in the middle of 20 13. These studies do not explain the specific calculation methods and data processing. If they are reliable, interbank business will also increase the vulnerability of banks by increasing leverage.