2023-11-21-国际清算银行-监管银行大额风险敞口面临的挑战_40页_599kb

Challenges in Supervising Banks’ Large Exposures (Based on FSI Insights)

Introduction and Purpose

The Large Exposures (LEX) standard, issued by the Basel Committee on Banking Supervision (BCBS), aims to limit risks from concentrated exposures to single counterparties or groups of connected counterparties. It complements risk-based capital standards and is designed to prevent banks from suffering disproportionate losses if a counterparty fails, contributing to financial stability. Lessons from events like the Archegos Capital Management failure underscore the need for effective oversight. The standard applies to all bank assets and off-balance sheet items except sovereign claims, with a 10% Tier 1 capital threshold for large exposures.

Main Features and Challenges

• Key Components: Aggregation of exposures to connected counterparties, a 25% Tier 1 capital limit for large exposures (reduced to 15% for exposures between G-SIBs), and coverage across all tiers of a banking group.
• Supervisory Challenges:
  • Identification and assessment of connected counterparties, requiring case-by-case analysis based on control relationships and economic interdependence.
  • Jurisdictional differences in implementation due to varied interpretations, leading to inconsistent practices.
  • Difficulty in verifying bank-reported data and ensuring compliance, as oversight relies heavily on bank self-declaration.

Connected Counterparties

• Definition: Counterparties with relationships that, if one fails, others would likely fail due to interconnectedness. Criteria include control (e.g., ownership) and economic dependence (e.g., shared funding sources).
• Assessment Challenges: Counterparty interconnections are complex and ambiguous, with flexibility allowing banks and supervisors to reach varying conclusions. Supervisors use guidelines and case-by-case reviews, often involving extensive dialogue and documentation.

Specific Approaches to Exposures

• Intragroup Exposures: Not covered by the LEX standard but often subject to specific rules; some jurisdictions treat them as exceptions.
• Related-Party Lending (RPL): A grey area not explicitly addressed by LEX; many authorities impose stricter limits due to higher risk.
• Interbank Exposures: Previously exempted blanket; now subject to LEX limits to prevent contagion, with some exemptions for intraday transactions.
• Sovereign-Connected Exposures: Fully exempt from LEX limits but still require reporting; interpretation varies by jurisdiction.

Credit Risk Mitigation (CRM) Techniques

• Challenges: Verifying eligibility and effectiveness of CRM (e.g., guarantees, financial collateral) is resource-intensive. Supervisors often cannot systematically verify all submissions due to complexity and resource constraints.
• Practices: Banks must meet specific legal and operational requirements for CRM eligibility, with national variations limiting the scope in emerging markets.

Reporting and Monitoring

• Requirements: Banks report large exposures quarterly, including the 20 largest, but reporting formats vary. Supervisors collect diverse data and face difficulties in validating accuracy.
• Automation and Technology: Potential for automated tools to improve efficiency, such as cross-checks across banks and supervisory databases.
• Breach Handling: Breaches must be communicated immediately; corrective measures include remediation plans, fines, or capital deductions. Supervisors grant varying time frames for compliance based on breach severity.

Conclusions

The LEX standard is conceptually simple but technically complex, posing challenges for resource-intensive verification and harmonized implementation. Supervisory authorities depend on bank goodwill and face limitations in proactive oversight. International cooperation, automated tools, and detailed guidelines could enhance consistency and effectiveness in supervision to better manage risk concentrations and financial stability.