Supervisory framework for measuring and controlling large exposures

測(cè)量和控制大額風(fēng)險(xiǎn)暴露監(jiān)管框架

I. Introduction

I.介紹

A. Rationale and objectives of a large exposures framework

1. One of the key lessons from the financial crisis was that banks did not always consistently measure, aggregate and control exposures to single counterparties or to groups of connected counterparties across their books and operations. Throughout history there have been instances of banks failing due to concentrated exposures to individual counterparties (eg Johnson Matthey Bankers in the United Kingdom in 1984, the Korean banking crisis in the late 1990s). Large exposures regulation has been developed as a tool for limiting the maximum loss a bank could face in the event of a sudden counterparty failure to a level that does not endanger the bank’s solvency.

2. The need for banks to measure and limit the size of large exposures in relation to their capital has long been recognised by the Basel Committee on Banking Supervision (the Committee). In particular, in 1991, the Committee reviewed supervisory practices and issued supervisory guidance on large exposures. In a similar vein, the Core Principles for Effective Banking Supervision (Core Principle 19) require that local laws and bank regulations set prudent limits on large exposures to a single borrower or a closely related group of borrowers. But neither the 1991 guidance nor the Core Principles set out how banks should measure and aggregate their exposures to a single counterparty, nor do they explain which factors should be taken into account when considering whether separate legal entities form a group of connected counterparties. This has resulted in a considerable variation of practice across the globe. A stocktake of Committee member countries’ regulations of large exposures showed considerable homogeneity in general (consistent with Core Principle 19) but revealed material differences in important aspects such as: scope of application; the value of large exposure limits; the definition of capital on which limits were based; methods for calculating exposure values; treatment of credit risk mitigation techniques; and whether certain types of exposures were subject to more lenient treatments.

3. A large exposures framework complements the Committee’s risk-based capital standard because the latter is not designed specifically to protect banks from large losses resulting from the sudden default of a single counterparty. In particular, the minimum capital requirements (Pillar 1) of the Basel risk-based capital framework implicitly assume that a bank holds infinitely granular portfolios, ie no form of concentration risk is considered in calculating capital requirements. Contrary to this assumption, idiosyncratic risk due to large exposures to individual counterparties may be present in banks’ portfolios. Although a supervisory review process (Pillar 2) concentration risk adjustment could be made to mitigate this risk, these adjustments are neither harmonised across jurisdictions, nor designed to protect a bank against very large losses from a single counterparty default. For this reason, the Committee has concluded that the existing risk-based capital framework is not sufficient to fully mitigate the microprudential risk from exposures that are large compared to a bank’s capital resources. That framework needs to be supplemented with a simple large exposures framework that protects banks from traumatic losses caused by the sudden default of an individual counterparty or group of connected counterparties. To serve as a backstop to risk-based capital requirements, the large exposures framework should be designed so that the maximum possible loss a bank could incur if a single counterparty or group of connected counterparties were to suddenly fail would not endanger the bank’s survival as a going concern.

4. The treatment of large exposures could also contribute to the stability of the financial system in a number of other ways, a consideration that the Committee believes should be reflected in the design of the large exposures framework.

5. A separate key lesson from the crisis is that material losses in one systemically important financial institution (SIFI) can trigger concerns about the solvency of other SIFIs, with potentially catastrophic consequences for global financial stability. There are at least two important channels for this contagion. First, investors may be concerned that other SIFIs might have exposures similar to those of the failing institution. For example, in 2008, in response to the announcement of material losses on exposures to some asset-backed securities (ABS) and collateralised debt obligations (CDOs) incurred by a number of large banks, investors withdrew funds from other banks believed to have similar exposures, threatening their liquidity and solvency. Second, and more directly, investors may be concerned that other SIFIs have direct large exposures to the failing SIFI, in the form of either loans or credit guarantees. For example, one of the key concerns regarding AIG in September 2008 was that a number of SIFIs were believed to have bought large amounts of credit protection from AIG. The Committee is of the view that the large exposures framework is a useful tool to mitigate the risk of contagion between global systemically important banks, thus supporting global financial stability. Consequently, a relatively tighter limit on exposures between G-SIBs is included in the framework.

6. This framework is also seen as a useful tool to contribute to strengthening the oversight and regulation of the shadow banking system in relation to large exposures.4 In particular, this is the case for the proposals for the treatment of exposures to funds, securitisation structures and collective investment undertakings (CIU). The framework thus includes a requirement for banks to apply a look-through approach (LTA) when appropriate, and to assess possible additional risks that do not relate to the structure’s underlying assets, but rather to the structure’s specific features and to any third parties linked to the structure. Once these risks are identified, a new exposure must be recognised, where appropriate, which is subject to the large exposure limit.

7. As part of the Committee’s broader efforts to avoid adding unnecessary complexity in the Basel standards, the framework follows, where practicable, existing standards in the Basel framework and departs from them only if this is necessary for the purpose of achieving the objectives of the large exposures framework. Accordingly, this document includes a number of references to the Basel riskbased capital framework.

B. Other types of concentration risk

8. The Committee recognises that the risk from large exposures to single counterparties or groups of connected counterparties is not the only type of concentration risk that could undermine a bank’s resilience. Other types include both sectoral and geographical concentrations of asset exposures; reliance on concentrated funding sources; and also a significant net short position in securities, because the bank may incur severe losses if the price of these securities increases. The Committee has decided to focus this framework on losses incurred due to default of a single counterparty or a group of connected counterparties and not to take into account any other type of concentration risk.

9. Similarly, intragroup exposures have not been included in the scope of this framework, although they could be considered as another source of concentration risk that might potentially endanger banks’ survival.

II. Overall design of a prudential framework for large exposures

II.大額風(fēng)險(xiǎn)暴露審慎監(jiān)管框架的整體設(shè)計(jì)

A. Scope and level of application

10. The large exposures framework is constructed to serve as a backstop and complement to the risk-based capital standards. As a consequence, it must apply at the same level as the risk-based capital requirements are required to be applied following paragraphs 21 and 22 of the Basel II text, ie at every tier within a banking group.

11. The large exposures framework is applicable to all internationally active banks. As with all other standards issued by the Committee, member jurisdictions have the option to set more stringent standards. They also have the option to extend the application to a wider range of banks, with the possibility – if they deem it necessary – to develop a different approach for banks that usually fall outside the scope of the Basel framework.

12. The application of the large exposures framework at the consolidated level implies that a bank must consider all exposures to third parties across the relevant regulatory consolidation group and compare the aggregate of those exposures with the group’s eligible capital base.

B. Scope of counterparties and exemptions

13. A bank must consider exposures to any counterparty. The only counterparties that are exempted from the framework are sovereigns as defined in paragraph 61. Section IV sets out the types of counterparties that are exempted from the large exposure limit or for which another specific treatment is necessary.

C. Definition of a large exposure and regulatory reporting

14. The sum of all exposure values of a bank to a counterparty or to a group of connected counterparties, as defined in Section II part E below, must be defined as a large exposure if it is equal to or above 10% of the bank’s eligible capital base. The exposure values must be measured as specified in Sections III and IV.

15. Banks must report to the supervisor the exposure values before and after application of the credit risk mitigation techniques. Banks must report to the supervisor:

• all exposures with values measured as specified in Sections III and IV equal to or above 10% of the bank’s eligible capital (ie meeting the definition of a large exposure);

• all other exposures with values measured as specified in Sections III and IV without the effect of credit risk mitigation being taken into account equal to or above 10% of the bank’s eligible capital;

• all the exempted exposures with values equal to or above 10% of the bank’s eligible capital;

• their largest 20 exposures to counterparties measured as specified in Sections III and IV and included in the scope of application, irrespective of the values of these exposures relative to the bank’s eligible capital base.

D. Minimum requirement – the large exposure limit

16. The sum of all the exposure values of a bank to a single counterparty or to a group of connected counterparties must not be higher than 25% of the bank’s available eligible capital base at all times. However, as explained in Section V, this figure is set at 15% for a G-SIB’s exposures to another G-SIB.

17. The exposures must be measured as specified in Sections III and IV. The eligible capital base is the effective amount of Tier 1 capital fulfilling the criteria defined in Part 1 of the Basel III framework.

18. Breaches of the limit, which must remain the exception, must be communicated immediately to the supervisor and must be rapidly rectified.

E. Definition of connected counterparties

19. In some cases, a bank may have exposures to a group of counterparties with specific relationships or dependencies such that, were one of the counterparties to fail, all of the counterparties would very likely fail. A group of this sort, referred to in this framework as a group of connected counterparties, must be treated as a single counterparty. In this case, the sum of the bank’s exposures to all the individual entities included within a group of connected counterparties is subject to the large exposure limit and to the regulatory reporting requirements as specified above.

20. Two or more natural or legal persons shall be deemed a group of connected counterparties if at least one of the following criteria is satisfied.

(a) Control relationship: one of the counterparties, directly or indirectly, has control over the other(s).

(b) Economic interdependence: if one of the counterparties were to experience financial problems, in particular funding or repayment difficulties, the other(s), as a result, would also be likely to encounter funding or repayment difficulties.

21. Banks must assess the relationship amongst counterparties with reference to (a) and (b) above in order to establish the existence of a group of connected counterparties.

22. In assessing whether there is a control relationship between counterparties, banks must automatically consider that criterion (a) is satisfied if one entity owns more than 50% of the voting rights of the other entity.

23. In addition, banks must assess connectedness between counterparties based on control using the following criteria:

• Voting agreements (eg control of a majority of voting rights pursuant to an agreement with other shareholders);

• Significant influence on the appointment or dismissal of an entity’s administrative, management or supervisory body, such as the right to appoint or remove a majority of members in those bodies, or the fact that a majority of members have been appointed solely as a result of the exercise of an individual entity’s voting rights;

• Significant influence on senior management, eg an entity has the power, pursuant to a contract or otherwise, to exercise a controlling influence over the management or policies of another entity (eg through consent rights over key decisions).

24. Banks are also expected to refer to criteria specified in appropriate internationally recognised accounting standards for further qualitative guidance when determining control.

25. Where control has been established based on any of these criteria, a bank may still demonstrate to its supervisor in exceptional cases, eg due to the existence of specific circumstances and corporate governance safeguards, that such control does not necessarily result in the entities concerned constituting a group of connected counterparties.

26. In establishing connectedness based on economic interdependence, banks must consider, at a minimum, the following qualitative criteria:

• Where 50% or more of one counterparty's gross receipts or gross expenditures (on an annual basis) is derived from transactions with the other counterparty (eg the owner of a residential/commercial property and the tenant who pays a significant part of the rent);

• Where one counterparty has fully or partly guaranteed the exposure of the other counterparty, or is liable by other means, and the exposure is so significant that the guarantor is likely to default if a claim occurs;

• Where a significant part of one counterparty’s production/output is sold to another counterparty, which cannot easily be replaced by other customers;

• When the expected source of funds to repay each loan one counterparty makes to another is the same and the counterparty does not have another source of income from which the loan may be fully repaid;

• Where it is likely that the financial problems of one counterparty would cause difficulties for the other counterparties in terms of full and timely repayment of liabilities;

• Where the insolvency or default of one counterparty is likely to be associated with the insolvency or default of the other(s);

• When two or more counterparties rely on the same source for the majority of their funding and, in the event of the common provider’s default, an alternative provider cannot be found -in this case, the funding problems of one counterparty are likely to spread to another due to a oneway or two-way dependence on the same main funding source.

27. There may, however, be circumstances where some of these criteria do not automatically imply an economic dependence that results in two or more counterparties being connected. Provided that the bank can demonstrate to its supervisor that a counterparty which is economically closely related to another counterparty may overcome financial difficulties, or even the second counterparty’s default, by finding alternative business partners or funding sources within an appropriate time period, the bank does not need to combine these counterparties to form a group of connected counterparties.

28. There are cases where a thorough investigation of economic interdependencies will not be proportionate to the size of the exposures. Therefore, banks are expected to identify possible connected counterparties on the basis of economic interdependence in all cases where the sum of all exposures to one individual counterparty exceeds 5% of the eligible capital base.

一、信用風(fēng)險(xiǎn)的識(shí)別

（一）信用風(fēng)險(xiǎn)的概念

（二）資產(chǎn)五級(jí)分類

（三）貸款五級(jí)分類的監(jiān)測(cè)

（四）不良貸款清收處置

二,、大額風(fēng)險(xiǎn)暴露

（一）統(tǒng)一授信

（二）農(nóng)金12號(hào)文

（三）大額風(fēng)險(xiǎn)暴露

三,、信用風(fēng)險(xiǎn)的計(jì)量

（一）表內(nèi)信用風(fēng)險(xiǎn)加權(quán)資產(chǎn)計(jì)量

（二）表外信用風(fēng)險(xiǎn)加權(quán)資產(chǎn)計(jì)量

（三）交易對(duì)手信用風(fēng)險(xiǎn)暴露計(jì)量

（四）資產(chǎn)證券化信用風(fēng)險(xiǎn)暴露

四、合格資本及其構(gòu)成

（一）三類資本概述

（二）合格資本工具

（三）動(dòng)態(tài)撥備理論及對(duì)資本的影響

一,、風(fēng)險(xiǎn)及全面風(fēng)險(xiǎn)管理概論

（一）風(fēng)險(xiǎn)的定義——一般定義及定量定義

（二）全面風(fēng)險(xiǎn)管理架構(gòu)——COSO ERM架構(gòu),、BASEL架構(gòu)、DXW全面風(fēng)險(xiǎn)管理架構(gòu)

二,、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)的意義

（一）監(jiān)管要求

（二）同業(yè)實(shí)踐

（三）自身需求

三,、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)的挑戰(zhàn)

（一）風(fēng)險(xiǎn)治理與政策挑戰(zhàn)

（二）風(fēng)險(xiǎn)理念與文化挑戰(zhàn)

（三）風(fēng)險(xiǎn)評(píng)估與計(jì)量挑戰(zhàn)

（四）風(fēng)險(xiǎn)數(shù)據(jù)與IT挑戰(zhàn)

（五）應(yīng)對(duì)挑戰(zhàn)之策

四、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)在前,、中,、后臺(tái)的創(chuàng)新性全面應(yīng)用

（一）現(xiàn)代銀行運(yùn)營(yíng)模式的量化模型

（二）內(nèi)部評(píng)級(jí)在客戶選擇、準(zhǔn)入等方面的應(yīng)用

（三）內(nèi)部評(píng)級(jí)在授信在限額管理,、審批,、授權(quán)、授信等方面的應(yīng)用

（四）內(nèi)部評(píng)級(jí)在貸后管理,、風(fēng)險(xiǎn)預(yù)警,、風(fēng)險(xiǎn)偏好等方面的應(yīng)用

（五）內(nèi)部評(píng)級(jí)在新會(huì)計(jì)準(zhǔn)則、經(jīng)濟(jì)資本管理,、組合管理,、績(jī)效考核等方面的應(yīng)用

（六）內(nèi)部評(píng)級(jí)為基礎(chǔ)的現(xiàn)代移動(dòng)快貸技術(shù)

五、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)的一般路徑

（一）同業(yè)實(shí)施實(shí)踐的一般路徑和示例

（二）中小銀行實(shí)施路徑建議和示例

六,、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)之?dāng)?shù)據(jù)基礎(chǔ)建設(shè)

（一）數(shù)據(jù)治理建設(shè)

（二）數(shù)據(jù)集市建設(shè)

（三）數(shù)據(jù)標(biāo)準(zhǔn)數(shù)據(jù)質(zhì)量確保機(jī)制建設(shè)

七,、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)之風(fēng)險(xiǎn)量化模型—非零售敞口

（一）非零售數(shù)據(jù)采集及清洗

（二）非零售模型開發(fā)技術(shù)

（三）非零售定量模型開發(fā)及示例

（四）非零售專家判斷模型開發(fā)及示例

（五）非零售模型的驗(yàn)證

八、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系建設(shè)之風(fēng)險(xiǎn)量化模型—零售敞口

（一）零售數(shù)據(jù)采集及清洗

（二）零售模型開發(fā)技術(shù)

（三）零售定量模型開發(fā)及示例

（四）零售專家判斷模型開發(fā)及示例

（五）零售模型的驗(yàn)證

九,、信用/信貸風(fēng)險(xiǎn)內(nèi)部評(píng)級(jí)體系的治理結(jié)構(gòu)

（一）內(nèi)部評(píng)級(jí)體系治理機(jī)構(gòu)框架

（二）內(nèi)部評(píng)級(jí)體系治理機(jī)構(gòu)示例

一,、中小銀行資本監(jiān)管與管理的關(guān)鍵問題

（一）我國(guó)資本監(jiān)管的發(fā)展道路和特點(diǎn)

（二）我國(guó)商業(yè)銀行實(shí)施資本管理辦法的現(xiàn)狀及存在問題

（三）明確合理安排三大風(fēng)險(xiǎn)之間的資本分配

（四）準(zhǔn)備金制度和資本監(jiān)管制度之間協(xié)調(diào)

（五）運(yùn)用好帳面資本、監(jiān)管資本和經(jīng)濟(jì)資本這三類口徑的資本

（六）使用RAROC來配置信用風(fēng)險(xiǎn)的資本的重要作用

（七）嘗試使用RAROC配置信用風(fēng)險(xiǎn)的資本

（八）建立風(fēng)險(xiǎn)偏好的基本要求

二,、《巴塞爾Ⅲ：后危機(jī)改革的最終方案》背景,、內(nèi)容和實(shí)踐

（一）2017年《最終方案》出臺(tái)的大背景

（二）《最終方案》主要內(nèi)容

（三）實(shí)施巴塞爾III的比配性原則與實(shí)踐

（四）我國(guó)銀行實(shí)施差異性資本監(jiān)管的考慮