Page 36 - CCFA Journal - 11th Issue

金融监管 Regulation 加中金融

Externally, two major regulatory requirements related to stress testing and interest rate risk management for the banking book
may have contributed to SVB default, which are

• In 2018, EGRRCPA amended the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) by raising
the $50 billion minimum asset threshold for general application of EPS to bank holding companies with $250 billion in total assets.

• Interest rate risk in the banking book (IRRBB) is the risk posed by adverse movements in interest rates that cause a
mismatch between the rates banks set on customer loans and on deposits. In April 2016, the Basel committee finalized a new
regulatory framework for IRRBB. The committee created a set of standardised public disclosures whereby banks have to report
outcomes of interest rate shock scenarios calculated based on both net interest income (NII) and Economic Value of Equity (EVE)
methodologies. However, the US has not implemented these rules for banks with less than 700Bn in assets.

According to Fed review report, “Increased capital and liquidity would have bolstered the resilience of SVBFG. The requirements
may also have encouraged closer scrutiny of the firm’s financial position. Had SVBFG been subject to the capital and liquidity
requirements that existed before EGRRCPA and related rulemakings, SVBFG may have more proactively managed its liquidity and
capital positions or maintained a different balance sheet composition.” [3]

What is worse, “It should be noted that had these heightened requirements come into effect based on the pre-EGRRCPA criteria
(e.g., at least $250 billion in total consolidated assets or at least $10 billion of total consolidated on-balance sheet foreign
exposure), SVBFG may have proactively managed its asset size and on-balance sheet foreign exposure to avoid becoming subject
to these additional requirements.” [3]
The default of SVB has shone a spotlight on the US’s loose implementation of interest rate and liquidity monitoring standards
compared with other jurisdictions such as Canada [4]. According to Risk.Net, most US regional banks continue to no disclose their
EVE in Q1 2023, even though some of them started to compute them.

The latest progress is that, as Fed Chair Powell claimed in the senate testimony on June 22, 2023, Fed may increase the capital
requirements for large regional banks but likely leave the capital requirements of small regional banks (less than 100Bn in assets)
unchanged to support community lending.

2023 年 4 月 28 日，美联储发布了《美联储对硅谷银行监管的审查报告》，其中将调查结果总结为四个关键要点[3]：

1.“硅谷银行的董事会和管理层未能管理风险。

2. 随着硅谷银行规模和复杂性的增长，监管机构并未充分认识到漏洞的严重程度。

3. 当监管机构确实发现漏洞时， SVB 没有采取足够的措施来确保银行足够快地解决这些问题。

4. 委员会针对《经济增长、监管救济和消费者保护法案》（EGRRCPA）而采取的定制方法以及监管政策立场的转变，通过
降低标准、增加复杂性和推行不那么自信的监管方法，阻碍了有效监管。 “

这些调查结果证实，当银行的资产和复杂性大幅增长时，银行管理不善。 比如 SVB 2022 年有好几个月没有 CRO ； 压力测
试不是为了发出预警，而是为了支持其激进的商业模式而擅改相关模型的方法和参数。 他们通过购买长期机构 MBS 来维
持激进的投资策略，导致较大的集中风险。
从外部来看，与银行账户压力测试和利率风险管理相关的两项主要监管要求可能导致了 SVB 违约：

• 2018 年，EGRRCPA 修订了多德-弗兰克华尔街改革和消费者保护法案（多德-弗兰克法案），提高了普遍适用 EPS 的 500
亿美元最低资产门槛 总资产达 2500 亿美元的银行控股公司。

• 银行账簿利率风险(IRRBB) 是指因利率不利变动而导致银行设定的客户贷款利率与存款利率不匹配所带来的风险。 2016
年 4 月，巴塞尔委员会最终确定了 IRRBB 的新监管框架。 该委员会制定了一套标准化的公开披露制度，银行必须报告根
据净利息收入（NII）和股本经济价值（EVE）方法计算的利率冲击情景的结果。 然而，美国尚未对资产低于 7000 亿的银
行实施这些规则。

根据美联储审查报告，“增加资本和流动性将增强 SVBFG 的弹性。 这些要求也可能鼓励对公司的财务状况进行更严格的
审查。 如果 SVBFG 遵守 EGRRCPA 和相关规则制定之前存在的资本和流动性要求，SVBFG 可能会更主动地管理其流动性和
资本头寸，或者维持不同的资产负债表构成。” [3]

更糟糕的是，“应该指出的是，如果这些更高的要求是根据 EGRRCPA 之前的标准生效的（例如，合并资产总额至少 2500
亿美元，或合并表内外汇风险总额至少 100 亿美元） SVBFG 可能已主动管理其资产规模和资产负债表内的外汇敞口，以
避免受到这些额外监管要求的约束。” [3]

与加拿大等其他司法管辖区相比，硅谷银行的违约凸显了美国在利率和流动性监管标准方面执行的漏洞[4]。 据 Risk.Net
称，大多数美国区域银行仍然没有披露 2023 年第一季度的 EVE，尽管其中一些银行已经开始计算 EVE。

最新进展是，美联储主席鲍威尔 2023 年 6 月 22 日在参议院作证时声称，美联储可能会提高大型地区性银行的资本要求，
但可能会保持小型地区性银行（资产低于 1000 亿）的资本要求不变，以支持 社区借贷。

CCFA JOURNAL OF FINANCE July 2023
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