美联储-2023年银行业动荡与银行定期融资计划（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)The 2023 Banking Turmoil and the Bank Term Funding ProgramDavid Glancy, Felicia Ionescu, Elizabeth Klee, Antonis Kotidis, MichaelSiemer, Andrei Zlate2024-045Please cite this paper as:Glancy, David, Felicia Ionescu, Elizabeth Klee, Antonis Kotidis, Michael Siemer, and AndreiZlate (2024). “The 2023 Banking Turmoil and the Bank Term Funding Program,” Financeand Economics Discussion Series 2024-045. Washington: Board of Governors of the FederalReserve System, https://doi.org/10.17016/FEDS.2024.045.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.The 2023 Banking Turmoil and the Bank Term Funding Program∗David GlancyFelicia IonescuElizabeth KleeAntonis KotidisMichael SiemerAndrei ZlateJune 12, 2024AbstractWe use high-frequency data to examine the effectiveness of the Bank Term Funding Program(BTFP) in supporting the liquidity positions of vulnerable banks during the March 2023 bankingturmoil. We uncover three key findings. First, our high-frequency data confirm that banks withhigh reliance on uninsured deposits and large unrealized losses on securities holdings sufferedlarger deposit outflows at the onset of the episode. Second, the BTFP played an outsized rolein meeting these outflows at banks with larger securities losses, reflecting the at-par valuationof securities collateral at the BTFP (banks at the 90th percentile in securities losses replaced 26cents of every dollar of outflows with BTFP borrowing, compared to only 7 cents on average).Third, in addition to funding loan growth and deposit outflows, banks used the BTFP tobuild cash holdings, indicating that the program enabled banks to position themselves againstpotential future funding needs. Overall, we demonstrate that the BTFP enabled banks to meetfunding needs and preserve liquidity during the period of stress.Keywords: 2023 banking turmoil, deposit outflows, uninsured deposits, securities losses,Bank Term Funding Program (BTFP), emergency liquidity facilitiesJEL Classifications: E52, E58, G01, G21∗All authors are at the Federal Reserve Board.We thank Mark Carlson, Virginia Lewis, David Lowe, MattMalloy, Francis Martinez and Alexandros Vardoulakis, as well as seminar participants at the Federal Reserve Boardfor helpful comments. Bohan Wang provided outstanding research assistance. The views expressed in this paper arethose of the authors and do not necessarily represent those of the Federal Reserve Board of Governors or anyone