RCAP讨论稿英文版.docx
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RCAP讨论稿英文版.docx
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RCAP讨论稿英文版
RegulatoryConsistencyAssessmentProgram(RCAP):
Proposedguidanceforassessingmaterialityofgapsandassigninggradings
Purpose
ToreviewandapproveguidanceontheassignmentofgradeswithinLevel2assessmentreports
Background
InDecember2012theBaselCommitteeaskedtheSecretariattodevelopguidancethattheRCAPteamscoulduse,includingsomequantitativebenchmarks,toassessthematerialityofgapsbetweenlocalrulesandBaselstandardsandtoassigngradeswithregardtokeycomponentofthecapitalstandardsandoverallimplementation.
Theattachedproposedguidancestartswiththeprinciplethatwhereverrelevantquantitativedataisavailable,theRCAPteamsshouldmakeuseofit.TheguidanceleavesittoeachRCAPteamtomakeitscalculationsandprovidesbenchmarksfortranslatingsuchcalculationsintomaterialityassessmentsandgradeassignments.Wheredataisnotavailable,theguidanceproposesthattheRCAPteamsshouldkeepthesamebenchmarksinmindastheyframetheirjudgementsonspecificgapsandgrades.
TheproposedguidancerecognisesthatallRCAPassessmentsareultimatelybasedonthecollectivejudgementoftheassessmentteam.Whileitfocusesonbenchmarks,itisnotmeanttoforceRCAPassessmentstobecomemechanicalexercises.Indeed,RCAPteamsareexpectedtouse“regulatoryandsupervisorycommonsense”astheyapplyit.Theyshouldfeelfreetoadaptitasneeded,providedtheydescribeandexplaintheiradjustmentsintheRCAPreport.
ThisguidancehasbenefittedfrominputsfromtheSIG.Somememberscautionedagainstexcessivequantificationwheretheprospectivematerialityofgapsoruncertainqualityofthedatawouldnotjustifytheburdenonbankstoestimatethenecessarydatapoints.Otherssupportedtheconsistencyandobjectivitythatspecificbenchmarksandaggregationprocessescouldbringtofutureassessments.
Beyondthisguidance,theRCAPassessmentprocesshasbuiltinchecksandbalancestoensurethatmaterialitydeterminationandgradingassignmentarefairandconsistent.TheseincludetheRCAPscopingnote,the“foureyes”reviewwithineachRCAPAssessmentTeam.ReviewbytheRCAPReviewTeam,thesign-offbythePeerReviewBoard,andthefinaldiscussionintheBaselCommittee.
TheSecretariatproposestoapplytheguidanceinon-goingandupcomingassessments,whilekeepingitundercontinuingreview.
Q:
DoestheCommitteeagreewiththeuseoftheproposedguidanceintheupcomingRCAPassessments
RegulatoryConsistencyAssessmentProgramme(RCAP)
GuidancenoteforRCAPteamsonassessingmaterialityofgapsandassigninggradings
Purpose
ThisnoteprovidesgeneralguidanceforRCAPteamstodeterminethematerialityofgapsbetweenlocalrulesandBaselIIIstandardsandtoassigngradeswithregardtokeycomponentsofthestandardsandtheoverallimplementationframework.
Approach
Gradeassignmentshouldbebasedlargelyonthematerialityofidentifiedgaps;thatis,theimpactoftheidentifieddeviationsbetweentheformalpublishedtextsoflocalrulesandregulations,andtheBaselstandards.Quantitativethresholdsarerecommendedinthisnotethatdefinematerialityanddistinguishbetweengrades.RCAPteamsshouldusethesewheretheidentifiedgapscanbequantifiedforcoveredbanks.
Whilethisguidanceisspecific,itisnotmeanttoimplythatRCAPassessmentteamsshoulduseitmechanisticallyandforegoexercisingtheirjudgement(“regulatoryandsupervisorycommonsense”).Inareaswherequantitativeevidenceislackingoritisofdoubtfulrelevanceorquality,wheretheassessmentteambelievesitisappropriatetotakelocalcircumstancesintoaccount,orwhengapsarepotentiallymaterialevenwhentheyarenotcurrentlymaterial,judgementwillbecrucial.Inthesecases,theRCAPassessmentteamwouldbeexpectedtoadoptaconservativeview.
Equally,inaggregatingresultsfordifferentgapswithinandacrosskeycomponents,judgementwillbecriticalinassessingtheirpotentialinteractionsandrelativeimportance.
Theassessmentteamsareexpectedtousetherelevantpartsofthisguidanceasabenchmarkandtoexplainasfullyastheycantheirassumptionsandreasoningwhentheydeviatefromit.TheonuswouldremainonthejurisdictiontodemonstratecompliancetotheRCAPassessmentteam.
Framework
Identifyingandclassifyinggaps
ThestartingpointfortheRCAPteamistoidentifythegapsforeachofthekeycomponentsoftherick-basedcapitalframework(Annex1).Oncethegapshavebeendetermined,theyshouldbeclassifiedasquantifiableornon-quantifiable.
Materialityofgaps
Naturalmeasurestousetoassessthematerialityofquantifiablegapsarerisk-basedcapitalratiosandrisk-weightedassets(RWA).Annex2providesthresholdlevelsfordeterminingwhetheraquantifiablegapismaterialornot.Iftheimpactisabovethethreshold,thegapisconsidered“material”.Ifthecurrentimpactisbelowthethreshold,butinareasonablerangeoffuturescenariosmayexceedthethreshold,thegapisclassifiedas“potentiallymaterial”.Iftheimpactisexpectedtoremainbelowthethresholdthegapisclassifiedas“unlikelytobecomematerial”
Insomecases,datalimitationscanhampermaterialityassessmentofquantifiablegaps.Whereadirectestimateoftheimpactisnotpossible,theRCAPteamshouldmakeeveryattempttoassessmaterialitybasedonproxiessuchasthelevelofexposuretotheaffectedassetclass,thenumberofbanksengagedinspecificbusinessactivities,datafrompublicsources,orimpactstudies,orothersimilartypesofinformationmadeavailablebytheassessedjurisdiction.TeamsareencouragedtousetheircollectiveexpertisetoformabesteffortestimateoftheimpactonthecapitalratiosandRWAofbanks.ThiswouldallowtheRCAPtoputtogetheraviewonquantifiablegapsthatisasconsistentaspossible.
Box:
Illustrativeexamplesofassessingpotentialmateriality
(a)Agapisfoundtobematerialforasinglesmallbank,butnotsoforotherbanks.However,theaffectedbusinesscouldreasonablybeexpectedtobecomemoreimportantinthejurisdiction.Theimpactforthesmallbankandobservedtrendingrowthoftherelevantbusinesscouldbeusedtoassessthepotentialimpactatotherbanks.
(b)Agapiscurrentlynotmaterial,butcouldchangeifbanksmovetoamoreadvancedregulatoryapproach.Basedonexposuredataandtheexperienceoftheassessorswithsimilarapproachesinotherjurisdictions,anestimatecouldbemadetodeterminepotentialmateriality.
(c)Agapiscurrentlynotmaterial,butwouldbemorematerialataworsestateofthebusinesscycle.Theteamcouldestimatetheimpactoncapitalratiosinadownturn.
SomeaspectsoftheBaselframeworkarenotquantifiablebynature.Forinstance,gapsinPillar1involvingareasrelatingtogovernancearoundtheuseofinternalmodels,orgapsinPillar2orPillar3wouldfallinthiscategory.Thematerialityofsuchgapsshouldbeassessedbasedonthedegreeofuncertaintythesegapsarelikelytocause,atpresentorinthefuture,regardingtheaccuracyofthecapitalmeasurementprocessand/orthequalityofriskmanagementwhenthatisrelevant.Forinstance,inthecaseofPillar2,thematerialityofrisksnotcapturedundertheICAAPshouldbejudgedwithinthecontextoftheirimportanceforfinancialstabilityandthelevelplayingfield.Thefollowingboxsetsoutaclassificationfornon-quantifiablegaps:
Box:
Classificationofnon-quantifiablegaps
(a)“Notmaterial”or“unlikelytobecomematerial”:
gapslikelytohaveanegligibleorminorimpactonfinancialstabilityortheinternationallevelplayingfieldnoworinthefuture.Examplesareasmalltechnicalgap;nopossibilityforabanktoexploitthegap;gapsthatareunlikelytoaffecttheabilityofsupervisorstoenforceimplementationofBaselstandards.
(b)“Material:
or“potentiallymaterial”:
gapslikelytohaveamaterialimpactonfinancialstabilityorlevelplayingfieldnoworinthefuture.Forexample,aBaselprovisionthatisimplementedinawaythatissubstantiallydifferentfromthestandardsothatthequalityofimplementationortheabilityofsupervisorstoenforceimplementationcannotbeassured.
Grading
OncethematerialityoftheindividualgapsisdeterminedtheRCAPteamshouldproceedtodeterminetheassessmentgradesforeachcomponentusingoneofthefourgradings.Thefollowingthreestepapproachshouldguidethisprocess:
Step1:
ForeachcomponentthecumulativeimpactofthequantifiablegapsiscalculatedandcomparedtothethresholdsprovidedinAnnex3,bothintermsofcapitalratiosandRWAs(whereapplicable.)(6)Thisproducesapreliminarycomponentlevelgrade.
Step2:
Foreachcomponentthecumulativeimpactofnon-quantifiablegapsisalsoevaluated.Asthefocusisonthecumulativematerialityofthegaps,theRCAPteamshouldnotaverageoutbetweenthequantifiableandnon-quantifiablegapssoastoensurethatthegradederivedinstep1iskeptthesameorlowered,butnotimproved.
Step3:
Afinaljudgementalcheckisappliedtoensurethattheresultingcomponentgradeisconsistentwiththedescriptionofthegrade.Anynewconsiderationaffectingthisjudgementshouldbedocumentedandexplainedintheassessmentreport.
Asafinalstep,theRCAPteamshoulddeterminetheoverallgradefollowingthefourstepsbelow:
Step1:
Thecumulativeimpactofallquantifiablegapsiscalculated.TheresultsarecomparedwiththethresholdsprovidedinAnnex4.Thisproducesapreliminarygrade.
Step2:
Thecumulativematerialityofallnon-quantifiablegapsisassessed.Again,thegradederivedunderstep1canonlybekeptthesameorlowered,butnotimproved.
Step3:
Theconstrai
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