国际清算银行-利率上升及其对银行监管的影响（英）-2023.5-13页_376kb

Highlights

• Rising interest rates pose significant vulnerabilities to banks with long-term fixed-rate assets supported by short-term funding, leading to asset value declines and liquidity risks.
• Regulatory requirements in Pillar 1 of the Basel Framework have limitations in addressing all risks, while Pillar 2's supervisory review process provides tools for comprehensive risk assessment.
• Accounting classification choices, such as amortised cost or fair value, impact financial statements and regulatory capital, potentially masking risks.
• Supervisory actions through Pillar 2 are crucial for early intervention, improving confidence and addressing vulnerabilities before crises escalate.
• Further guidance is needed to enhance consistency and prudential oversight in the face of interest rate hikes.

Introduction

Recent interest rate increases challenge banks' solvency and liquidity, amplifying risks in models dependent on short-term funding and fixed-rate assets. This brief examines how accounting frameworks and regulatory requirements address these issues, emphasizing the need for proactive supervision.

Accounting Frameworks

Banks use accounting classifications (e.g., amortised cost, fair value through profit and loss, or fair value through other comprehensive income) to handle financial instruments, which affect their financial statements. Reclassifications can artificially boost equity, complicating regulatory capital calculations, especially under rising rates.

Prudential Framework

Pillar 1 of the Basel Framework sets minimum capital and liquidity requirements, but it cannot fully capture bank-specific risks. Pillar 2, with tools like interest rate risk stress tests, provides flexibility for supervisors to assess and mitigate combined risks from interest rates, liquidity, and business models.

Supervisory Role

Supervisors must focus on Pillar 2 to address vulnerabilities, such as ensuring banks hold adequate liquidity and capital. Business model analysis helps identify risks early, potentially preventing confidence crises. However, divergent implementation across jurisdictions could fragment supervision.

Conclusion

The rapid rise in interest rates highlights the importance of harmonized regulatory approaches, with Pillar 2 being key for proactive risk management. Supervisors should seek guidance to strengthen oversight and ensure banks withstand rate hikes through sound judgment and tools.