2009年-FSB全球金融稳定委员会_FSB_Report_on_Enhancing_Market_and_Institutional_Resilience_18页_139kb

Summary of the Financial Stability Forum Report on Enhancing Market and Institutional Resilience

Introduction

This report provides an update on the implementation of the Financial Stability Forum (FSF) recommendations outlined in its April 2008 Report on Enhancing Market and Institutional Resilience. The recommendations were designed to address fundamental weaknesses in the financial system and enhance resilience by focusing on five key areas: capital, liquidity, and risk management; transparency and valuation; changes in the role of credit ratings; strengthening authorities' responsiveness to risks; and robust arrangements for managing financial system stress. The FSF has emphasized the importance of monitoring and coordinating implementation to maintain integrated global financial markets and a level playing field across countries.

Core Content and Key Recommendations

I. Strengthened Prudential Oversight of Capital, Liquidity and Risk Management

1. Capital Requirements

   • The Basel Committee on Banking Supervision (BCBS) proposed changes to capital requirements for trading book exposures, particularly credit-related products.
   • An incremental risk capital charge was introduced to cover default and migration risks for unsecuritised credit products.
   • Capital charges for securitised products would apply to the banking book, reducing regulatory arbitrage.
   • Stressed VaR calculations were proposed to account for significant losses over a one-year period.
   • The proposed changes are expected to be implemented by 31 December 2010.
   • Higher capital charges for collateralized debt obligations (CDOs) involving re-securitisations were also proposed, with an implementation date of end-2009.

2. Liquidity Management

   • The BCBS's Working Group on Liquidity is monitoring the implementation of liquidity risk management standards from September 2008.
   • Banks are required to maintain high-quality liquid assets, manage intraday liquidity, identify and measure liquidity risks, and conduct regular stress tests.
   • The Working Group will present proposals for metrics and benchmarks in July 2009 to improve cross-border liquidity regulation.

3. Supervisory Oversight of Risk Management

   • The BCBS proposed enhanced Pillar 2 guidance to improve firm-wide risk oversight, including risk concentrations, off-balance-sheet exposures, and stress testing.
   • The IAIS is reviewing its risk management standards, particularly asset-liability management and investment risk, to incorporate lessons from the financial crisis.
   • The SSG is assessing major financial institutions against risk management recommendations from various sectoral fora, with findings expected in spring 2009.

4. Operational Infrastructure for Over-the-Counter Derivatives

   • Central counterparties (CCPs) for OTC credit derivatives were launched in the US and Europe.
   • The BCBS is reviewing counterparty credit risk under Basel II, focusing on capital adequacy, risk management, and transparency.
   • The IASB and FASB are working on converging standards for off-balance-sheet entities and financial instrument accounting.
   • A joint effort is underway to develop a secondary market reporting system for structured products, with a report expected in June 2009.

II. Enhancing Transparency and Valuation

1. Risk Disclosures by Market Participants

   • The IASB finalised amendments to IFRS 7 in March 2009, enhancing risk and valuation disclosures for complex financial instruments.
   • The BCBS proposed improvements to securitisation and off-balance-sheet disclosure practices under Pillar 3 of Basel II.

2. Accounting and Disclosure Standards for Off-Balance Sheet Vehicles

   • The IASB proposed revised consolidation and disclosure standards for off-balance-sheet entities, which were open for public comment until 20 March 2009.
   • The IASB and FASB are working together to develop common standards for off-balance-sheet activity and financial instrument accounting.

3. Valuation

   • The IASB issued guidance in October 2008 on fair value measurement in inactive markets, which was aligned with similar guidance from the SEC and FASB.
   • In March 2009, the FASB proposed staff positions on fair value and distressed sales, and on impairment of available-for-sale and held-to-maturity assets.
   • The IASB also finalised amendments to IFRS 7 in March 2009, introducing a three-level fair value hierarchy and enhanced disclosure requirements.

III. Changes in the Role and Uses of Credit Ratings

1. Quality of the Rating Process

   • The IOSCO Code of Conduct for Credit Rating Agencies was substantially implemented by several agencies, including the three largest.
   • A model examination module was developed to help regulators assess CRAs based on the Code of Conduct.

2. Differentiated Ratings and Expanded Information on Structured Products

   • There is a focus on improving the quality and transparency of credit ratings, particularly for structured products.
   • CRAs are expected to provide more detailed information on structured products, including expanded disclosures.

3. Use of Ratings by Investors and Regulators

   • The FSF and IOSCO are working to ensure that credit ratings are used responsibly and transparently by both investors and regulators.
   • National initiatives, such as the SEC's measures in December 2008 and the European Commission's CRA regulation proposal, are enhancing CRA oversight.

Conclusion

The FSF and its member bodies have made significant progress in implementing the recommendations from the April 2008 report, with a focus on strengthening prudential oversight, enhancing transparency, and improving the role of credit ratings. These efforts are complemented by international and national initiatives, and are aligned with the broader goals of the G20 and other global regulatory bodies. The report outlines the ongoing work and future steps to ensure a more resilient and transparent financial system.