美國貨幣監(jiān)理署對新協(xié)議的基本態(tài)度

美國貨幣監(jiān)理署對新協(xié)議的基本態(tài)度(Englishversionavailable)

2003年8月4日，貨幣監(jiān)理署以《公告》的形式，對美聯(lián)儲、貨幣監(jiān)理署、聯(lián)邦存款保險公司、互濟(jì)儲貸機(jī)構(gòu)監(jiān)理署在《聯(lián)儲登記》上發(fā)布的《條例草案預(yù)告》、《信用風(fēng)險監(jiān)管指引》和《操作險監(jiān)管指引》進(jìn)行了公告。這些文件從各個方面闡述了美國監(jiān)管當(dāng)局對實(shí)施新資本協(xié)議的政策導(dǎo)向。-------------------------------------------------------

美聯(lián)儲、貨幣監(jiān)理署、聯(lián)邦存款保險公司、互濟(jì)儲貸機(jī)構(gòu)監(jiān)理署（以下簡稱監(jiān)管當(dāng)局）共同起草了三個文件，首次對美國如何實(shí)行新資本協(xié)議進(jìn)行了全面的闡述，并要求對上述三個文件進(jìn)行評論?！稐l例草案預(yù)告》提出了一些具體問題，監(jiān)管當(dāng)局鼓勵銀行業(yè)對以上問題提出反饋意見。雖然三個文件一起公布，但側(cè)重點(diǎn)和覆蓋范圍不同。《條例草案預(yù)告》主要側(cè)重于將來美國實(shí)施新資本協(xié)議的監(jiān)管框架?！稐l例草案預(yù)告》明確了

“強(qiáng)制施行”新資本協(xié)議高級法的銀行所須達(dá)到的標(biāo)準(zhǔn)（資產(chǎn)超過2500億美元或國外資產(chǎn)超過100億美元），對這些“強(qiáng)制施行”的銀行提出了監(jiān)管要求和實(shí)施的時間表。此外，《條例草案預(yù)告》對其他兩類銀行，即自主選擇施行新資本協(xié)議的銀行和選擇不施行新資本協(xié)議的銀行也規(guī)定了監(jiān)管要求。自主選擇施行新資本協(xié)議的銀行必須滿足與強(qiáng)制施行銀行相同的監(jiān)管要求，不施行新資本協(xié)議的銀行將繼續(xù)執(zhí)行當(dāng)前的資本監(jiān)管規(guī)定。《條例草案預(yù)告》概括了對所有信貸組合，即批發(fā)、零售、投資、資產(chǎn)證券化和購入應(yīng)收賬款以及操作風(fēng)險的監(jiān)管要求，并對監(jiān)督檢查（第二支柱）和信息披露（第三支柱）的相關(guān)規(guī)定也作了進(jìn)一步的闡述。《條例草案預(yù)告》就監(jiān)管指引未涉及到的其他重要問題，如零售貸款和證券化進(jìn)行了說明，并討論了如何使這些問題適應(yīng)美國的資本監(jiān)管框架。《條例草案預(yù)告》的最后一部分討論了監(jiān)管當(dāng)局在監(jiān)管方面的其他考慮，并就新資本協(xié)議所引起的成本和收益問題征求業(yè)內(nèi)的反饋意見。監(jiān)管當(dāng)局希望業(yè)內(nèi)對《條例草案預(yù)告》所提的問題進(jìn)行評論。由于新資本協(xié)議還未定稿，對新資本協(xié)議未完全解決的一般性問題和技術(shù)問題仍有許多不同意見。例如，在將新資本協(xié)議轉(zhuǎn)化為適用于美國銀行資本監(jiān)管框架的過程中，大家對新資本協(xié)議的涵義、如何以最好的方式實(shí)施新資本協(xié)議，以及如何解決后續(xù)問題等都提出了許多意見。因此，《條例草案預(yù)告》重點(diǎn)提出了監(jiān)管當(dāng)局希望業(yè)內(nèi)進(jìn)一步反饋的問題，如新資本協(xié)議對不同類型銀行競爭性的影響、內(nèi)部評級法將預(yù)期損失和非預(yù)期損失包括在監(jiān)管資本中的合理性、操作風(fēng)險高級計量法計算資本的方法，以及在過渡期內(nèi)調(diào)整監(jiān)管資本底線的影響等。對以上問題的反饋意見以及其他意見，在新資本協(xié)議定稿前，監(jiān)管當(dāng)局將向巴塞爾委員會進(jìn)一步提出修改意見，在出臺正式的《條例草案》時，監(jiān)管當(dāng)局也將考慮上述意見?！稐l例草案預(yù)告》還特別強(qiáng)調(diào)，在美國實(shí)施新資本協(xié)議前，應(yīng)再進(jìn)行一次定量影響測算。除《條例草案預(yù)告》以外，貨幣監(jiān)理署和其他監(jiān)管機(jī)構(gòu)也對公司貸款信用風(fēng)險的內(nèi)部評級高級法和操作風(fēng)險的高級計量法發(fā)布了監(jiān)管指引。這兩個監(jiān)管指引詳細(xì)闡述了銀行采用高級方法所應(yīng)達(dá)到的標(biāo)準(zhǔn)。監(jiān)管當(dāng)局也要求業(yè)內(nèi)對這兩個監(jiān)管指引文件提出意見?！缎庞蔑L(fēng)險監(jiān)管指引》只適用于公司風(fēng)險暴露。指引闡述了公司貸款內(nèi)部評級法的主要部分，并規(guī)定了銀行使用內(nèi)部評級高級法計算資本要求的四部分標(biāo)準(zhǔn)：評級、量化、數(shù)據(jù)維護(hù)和監(jiān)控機(jī)制。指引強(qiáng)調(diào)了內(nèi)部評級法的四個部分的相互關(guān)聯(lián)性。考慮到信用風(fēng)險管理技術(shù)的更新以及銀行管理信用風(fēng)險的不同方法，在設(shè)計和實(shí)施內(nèi)部評級法方面，指引為銀行提供了靈活性。監(jiān)管當(dāng)局正在研究關(guān)于信用風(fēng)險的其他方面，如零售貸款的監(jiān)管指引。對強(qiáng)制施行和自主選擇施行新資本協(xié)議的銀行，《操作風(fēng)險監(jiān)管指引》對操作風(fēng)險的高級計量法進(jìn)行了說明，重點(diǎn)闡述了風(fēng)險管理和風(fēng)險衡量的重要性。操作風(fēng)險的監(jiān)管標(biāo)準(zhǔn)包括了許多方面，如公司治理結(jié)構(gòu)，風(fēng)險量化，測試和審查，以及數(shù)據(jù)維護(hù)等?！恫僮黠L(fēng)險監(jiān)管指引》的大部分內(nèi)容側(cè)重于操作風(fēng)險的關(guān)鍵輸入因素，包括內(nèi)部數(shù)據(jù)、外部數(shù)據(jù)、情景分析、業(yè)務(wù)環(huán)境和控制因素等。這些因素將有助于生成操作風(fēng)險暴露，操作風(fēng)險暴露即為計算操作風(fēng)險資本要求的基礎(chǔ)。操作風(fēng)險監(jiān)管指引的起草者認(rèn)識到，衡量和管理操作風(fēng)險的技術(shù)仍不成熟。因而，假如銀行滿足監(jiān)管標(biāo)準(zhǔn)，在開發(fā)操作風(fēng)險的框架時，監(jiān)管當(dāng)局允許銀行有一定程度的靈活性。

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OCC2003-32OCCBULLETINComptrolleroftheCurrencyAdministratorofNationalBanksSubject:ProposedRevisionstoRisk-BasedCapitalImplementingthenewBaselCapitalAccordDescription:AdvanceNoticeofProposedRulemakingandSupervisoryGuidance

TO:

ChiefExecutiveOfficersofAllNationalBanks,FederalBranchesandAgencies,DepartmentandDivisionHeads,andAllExaminingPersonnel

ThisbulletinbrieflysummarizestheAdvanceNoticeofProposedRulemaking(ANPR)andSupervisoryGuidancedevelopedforcorporatecreditriskandoperationalriskthatwerepublishedtodayinthe

FederalRegister.

Becauseoftheirlength,thedocumentsarenotattachedtothisbulletin,buttheycanbeaccessedat/federal_register/.

ThesedocumentsseekcommentonallaspectsoftheU.S.proposalstoimplementrevisionstotheBaselCapitalAccordthatarecurrentlyunderconsiderationbytheBaselCommitteeonBankingSupervision.

TheBaselCommittee’sproposedrevisionsarecontainedinaconsultativedocument,“TheNewBaselCapitalAccord”(BaselII),issuedonApril29,2003.

Theconsultativepapercanbefoundat.

SUMMARY

TheOfficeoftheComptrolleroftheCurrency(OCC),theBoardofGovernorsoftheFederalReserveSystem,theFederalDepositInsuranceCorporation,andtheOfficeofThriftSupervision(theagencies)havejointlydevelopedthreedocumentsthatprovidethefirstcomprehensivediscussionofhowBaselIImightbeimplementedintheUnitedStates.

Commentsarerequestedonallthreedocuments.

IntheANPR,specificquestionsareposed,andcommentersareurgedtoprovidefeedbackonthoseissues.

Whilethethreedocumentshavebeenissuedtogether,theyareverydifferentintermsoffocusandscopeofcoverage.

TheANPRfocusesprimarilyontheregulatoryframeworkthatwillimplementBaselIIintheUnitedStates.

TheANPRidentifiesthecriteria(assetsgreaterthan$250billionorforeignexposuresgreaterthan$10billion)thatwillbeusedtodeterminewhetherabankwillberequiredtoapplytheadvancedcapitalapproachesunderBaselII.

TheANPRdescribestherequirementsforthese“mandatory”banks,includingtherelevantimplementationtimeframes.

Inaddition,theANPRdiscussesthetwoothercategoriesofbanks—thosebanksthatchoosetoopt-intotheproposednewcapitalframeworkandthosebanksthatarenon-BaselIIbanks.

Opt-inbankswillberequiredtomeetthesamesupervisorystandardsasmandatorybanks,whilenon-BaselIIbanksintheUnitedStateswillcontinuetobesubjecttothecurrentrisk-basedcapitalrules.

TheANPRsummarizestherequirementsforallcreditportfolios—wholesale,retail,equity,securitization,andpurchasedreceivables—andforoperationalrisk.

Itdescribestheexpectationsforsupervisoryreview(Pillar2)anddisclosure(Pillar3).

TheANPRalsoreviewsthestatusofsubstantiveareaswheresupplementarysupervisoryguidanceisnotyetavailable,suchasretailcreditsandsecuritizationanddiscusseshowsuchproposalsmightbefurtherrefinedandincorporatedintotheU.S.regulatorycapitalframework.

ThelastsectionoftheANPRdiscussesadditionalregulatoryconsiderationsandseeksinputoncostsandbenefitsstemmingfromtheproposedframework.

ReviewersshouldfocusparticularlyonthequestionstheagenciesareaskingintheANPR.

SinceBaselIIhasnotyetbeenfinalizedbytheBaselCommittee,therearebothgeneralandtechnicalconcernswiththeproposalthathavenotbeenfullyresolved.

Forexample,inworkingtotranslateBaselIIintoaworkingprogramforU.S.banks,questionshavearisenabouttherangeofimplicationsoftheproposal,howbesttoimplementtheproposals,andhowbesttoaddresscontinuedopenissues.

Asaresult,theANPRhighlightsanumberofareasinwhichtheagenciesareseekingspecificfeedback,includingthecompetitiveeffectsofBaselIIimplementation,theappropriatenessoftheexpectedplusunexpectedlossframeworkunderlyingtheInternalRatings-BasedApproach(IRB)andAdvancedMeasurementApproaches(AMA)regulatorycapitalcalculation,andtheeffectofproposedchangestotransitionalfloorstotheregulatorycapitalcalculation.

Theagenciesplantousethefeedbackonthesequestions,andallcommentsreceived,astheyconsiderfinalizationofBaselIIanddevelopmentofaNoticeofProposedRulemaking.

TheANPRalsohighlightstheneedforanadditionalquantitativeimpactstudybeforetheproposalisfinalizedintheUnitedStates.

InadditiontotheANPR,theOCCandotheragenciesarealsopublishingsupervisoryguidancefortheadvancedapproachesforcorporatecreditriskandoperationalrisk.

Theseguidancepapersdescribeinmoredetailthestandardsthatbankswillberequiredtomeetinordertoqualifyfortheproposedadvancedapproaches.

LiketheANPR,commentsareencouragedonbothofthesupervisoryguidancedocuments.

Thesupervisoryguidanceforcreditriskcoversonlycorporatecreditexposures.

TheguidancediscussesthecriticalcomponentsoftheIRBforcorporatecreditsandidentifiesthestandardsthatbanksmustmeetinordertousetheIRBframeworktocalculateregulatorycapital.

Itisdividedintofourchapters:

ratings;quantification;datamaintenance;andcontrolandoversightmechanisms.

TheguidanceemphasizestheinterdependentrelationshipamongthesefourcomponentsofanIRBsystem.

Recognizingthatcreditriskmanagementisevolvingandthatbankspursuearangeofdifferentapproachesinmanagingcredit,theguidanceaffordsbanksflexibilityindesigningandimplementingtheirIRBsystems.

Guidanceonadditionalareasofcreditrisk,suchasretailcredit,iscurrentlybeingdeveloped.

ThesupervisoryguidanceforoperationalriskdescribestheAMAthat“mandatory”andopt-inU.S.bankswouldbeexpectedtoadopt.

TheguidancehighlightstheimportanceofbothriskmanagementandriskmeasurementinanAMAoperationalriskframework.

Thesupervisorystandardscoveranumberofdifferentareas,includingcorporategovernance,riskquantification,testingandverification,anddatamaintenance.

Muchofthedocumentfocusesonthecriticalinputstotheoperationalriskframework,includinginternaldata,externaldata,scenarioanalysis,andbusinessenvironmentandcontrolfactors.

Theseelementswillhelpgeneratetheoperationalriskexposureresultthatisthefoundationfortheregulatorycapitalcharge.

Theauthorsofthisguidancerecognizethatthemeas