2023年银行业动荡的教训——执行摘要

Lessons from the 2023 banking turmoil – Executive Summary The banking turmoil that started in March 2023 was the most significant period of banking stress sincethe Great Financial Crisis that began in 2007. Credit Suisse, a Swiss global systemically important bank,along with three regional banks in the United States,1with total assets exceeding USD 1 trillion, were eithershut down, put into receivership or rescued. These failures triggered a crisis of confidence in banks’ Against this background, the Basel Committee on Banking Supervision (BCBS) published a report assessingthecauses of the banking turmoil,the lessons learned and possible regulatory and supervisory •strengthen supervisory effectiveness by identifying issues that could benefit from additionalglobal guidance and by developing practical tools to support supervisors in their day-to-daywork3 This Executive Summary outlines the main lessons for supervision and regulation as identified in the BCBSreport. It also presents the work under way to strengthen supervisory effectiveness regarding the Lessons for supervision The BCBS report identifies lessons for supervision relating to the supervisory assessment of banks’ businessmodels, governance and risk management; the exercise of supervisory judgment; the need for effective Business model, governance and risk management analysis Despite their diverse business models, the banks that failed in 2023 shared common weaknesses inbusiness strategies, governance and risk management practices and were outliers compared with their assess the short- and medium-term viability and sustainability of a bank’s business model, as wellas the quality and adequacy of its governance and risk management. This requires going beyond 1Silicon Valley Bank, Signature Bank of New York and First Republic Bank. For a description of the main events leading up to theMarch 2023 banking turmoil, see the BCBS’sReport on the 2023 banking turmoil, October 2023. 2See the BCBS’sReport on the 2023 banking turmoil, October 2023. A follow-up report to the Group of Twenty (G20) FinanceMinisters and Central Bank Governors –The 2023 banking turmoil and liquidity risk: a progress report– was published in evaluate how changes in a bank’s environment, such as significant shifts in interest rates or •proactively engage with outlier banks to ensure they understand and can manage their risks. Theintensity of this engagement should align with the significance of the identified issues Effective supervisory judgment and need for effective tools Although supervisors identified issues and engaged with the banks that failed in 2023, their actions werenot timely or forceful enough to prevent failure. This underscores the limitations of rules-based supervisionand the need for early interventions, even when regulatory requirements are met. It also highlights the Supervision of liquidity risk The 2023 turmoil highlighted challenges in the supervision of banks’ liquidity risk, calling for supervisorsto consider whether and to what extent: •the monitoring of bank, sectoral and market information, along with liquidity supervisory reviewprocesses, provides relevant and timely information to identify material liquidity outflows•the frequency and scope of supervisory monitoring should be increased during both periods ofstress and business-as-usual times and whether additional information and high-frequency datashould be used •sufficient tools are in place to ensure that banks take appropriate remedial action regarding their Lessons for regulation Although most of the banks that failed in 2023 were not subject to Basel III, the turmoil raised importantregulatory issues. A key question is whether liquidity standards performed as intended. Other issuesinclude the regulatory treatment of exposures to interest rate risk in the banking book (IRRBB), thetreatment of held-to-maturity (HTM) assets under the liquidity standards and in the definition of Liquidity issues The liquidity runs affecting the banks that failed in 2023 raised several issues, which are summarised below. Scope and calibration of high-quality liquid assets (HQLAs) •Scope of captured risks.A significant portion of Credit Suisse’s HQLAs was consumed byincreased operational and intraday liquidity needs, rendering them unavailable for the outflows specified under the Liquidity Coverage Ratio (LCR). This raises questions about whether the scopeof the LCR should be broadened to account for such scenarios. •Distressed bank outflow rates.The outflows observed during the turmoil far exceeded thelevels assumed under the LCR or the Net Stable Funding Ratio (NSFR). These were largelyinfluenced by the nature of these deposits,4negative media coverage and widespread use of Availability of HQLAs during a liquidity stress •Trapped liquidity.Issues arose when HQLAs held by a legal entity could not be transferred withina banking group to counterbalance the uneven distribution of outflows across