In the crisis, markets took a more alarmist view. The possibility that investors might not be able to post more collateral in deteriorating conditions became pressing. So while the value of Deutsche’s insurance policy was rising, so generating mark to market gains, the risk of its counterparties walking away from transactions was increasing. There was thus a need for marking down as well as up. The whistleblowers are suggesting that the accounting approaches adopted by Deutsche to address this risk were inadequate.
在本次危机期间,市场情绪以“草木皆兵来形容更为恰当。随着形势不断恶化,投资者或许无力提供更多的抵押品,这种可能性变得越来越大。所以,尽管德银手中保单的价值在不断上升、从而产生以市价记值的收益,但其交易对手退出交易的风险也在加大。因此,德银既有必要在账目中计入浮盈,也有必要计入潜在亏损。上述检举者是在暗示,德银针对这一风险而采取的会计方法存在缺陷。
It is too early to make judgments on the rights and wrongs of the case. Yet a number of points about the nature of the risks run in a modern financial system are worth making. First, $12bn was a huge sum in relation to Deutsche’s capital, amounting to a quarter of its net equity in 2007. Note, too, that the balance sheet leverage at that time was vast, with net equity amounting to just under 2 per cent of total assets. Put bluntly, a mere 2 per cent fall in the value of the assets would have wiped out the bank. Yet its tier one core capital under the Basel weighted capital adequacy regime was 8.6 per cent, putting a gloss on a parlous situation. These two different measures diverged at the end of 2008 after the Lehman collapse, with the leverage ratio falling to 1.4 per cent, while the tier one capital rose to 10.1 per cent.
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