バーゼル銀行監督委員会による市中協議文書「銀行勘定の金利リスク」に対するコメント 2015 年 9 月 10 日全国信用協同組合連合会全国信用協同組合連合会（以下「全信組連」という。理事長内藤純一）は、バーゼル銀行監督委員会（BCBS）から提示された「銀行勘定の金利リスク」に対してコメントする機会を与えられたことに感謝の意を表したい。また、全信組連は、以下のコメントが BCBS におけるさらなる議論の助けとなることを期待する。コメント：金融機関は、自らの健全性を維持しつつ、事業者および個人へ円滑な資金供給を行うことが求められており、特に協同組織金融機関について言えば、中小企業への金融仲介や地域活性化において、社会的に必須の役割を負っている。そうした金融機関の銀行勘定の金利リスクについて、今回提案された標準的手法を使って、グローバルに一律の規制を設けることは、その資金供給機能を阻害するだけでなく、地域の金融機関への負荷を通じ地域経済にもマイナスの影響を及ぼすこととなる。例えば、金利ショックの算定における一律の上下限の設定やコア預金の標準的手法は、金融環境や顧客預金の粘着性が各国、各金融機関で異なる点を無視しているようにみられ、その結果、金融機関のＡＬＭ評価や財務の健全性に誤解を生じさせる可能性がある。そのような銀行勘定の金利リスクは、リスクの性質や、モニタリング及び管理のプロセスが各国、各金融機関で同質的でないことから、画一的なリスク資本の賦課はなじまず、第２の柱で扱うのが適している。そうした線に沿って、上で述べたように、とりわけ社会的な責務を負っている協同組織金融機関についての銀行勘定の金利リスク規制については、国内事情をよく把握している各国当局の開発した手法や裁量に委ねるべきである。 1 また、今回提案されている、修正版第２の柱（enhanced Pillar 2）については、金融機関は第１の柱に基づいた共通の標準的手法についても計測し、開示することが求められているが、そもそも、第２の柱とは、銀行監督者に責任を持たせる一方で、裁量を働かせ得るようにする枠組みであり、各々の管轄域によって異なる市場環境やリスク管理の違いを配慮できるところに利点があるはずである。提案された修正版はそうした利点を損ないかねないものであり、この手法を採用するのも適当ではない。以 2 上 10th September 2015 Comments on consultative document on Interest rate risk in the banking book Shinkumi Federation Bank (SFB) is the central bank for Japanese credit cooperatives (Shinkumi banks＊). As the central bank for Shinkumi banks, SFB provides members (Shinkumi banks) with liquidity, extensive investment, settlement, funds transfer and payment services (indirecting effect extended their members). In addition, SFB provides consulting and monitoring services, ALM support and analysis of marketable securities portfolio for its members. ＊Outline of Shinkumi banks (As of March 31, 2015) Shinkumi banks are not-for-profit cooperative financial institutions owned and managed by their members, and they offer various financial services (such as commercial banks) for their members. Shinkumi banks were founded for the purpose of mutual financial aid among their own communities. Shinkumi banks are divided into three groups sharing type of common bond in a membership, residents, type of business, and occupation (workplace). At March of 2015, there were 154 Shinkumi banks through Japan, which had a total of 1,709 outlets, 3,898,932 members, total deposits of ¥19,206 billion (US$160 billion), and outstanding loans of ¥10,031 billion (US$83 billion). SFB wishes to express its appreciation for the opportunity to comment on the consultative document on Interest rate risk in the banking book. SFB hopes that its comments below will help to further discuss in the BCBS. 3 Comments: Financial institutions are required to exercise their financial intermediary function toward companies and individuals, while also maintaining their own sound financial conditions. In particular, cooperative-type financial institutions play a socially indispensable role in supporting small companies and individuals and revitalizing economies. If global regulations on the Interest Rate Risk in the Banking Book (IRRBB) using the proposed standardized measure are mechanically applied to those financial institutions in a uniform manner, it could produce the unintended effect of hurting the financial intermediary function, which could have a negative impact on regional economies. For example, a uniform application of caps and floors in the interest rate shock calibration and standardized methods of non-maturity-deposits seem to ignore the differences in financial conditions and stickiness of customer deposits across countries and financial institutions, which could lead to the misunderstanding in evaluating of financial institutions’ asset liability management and financial soundness. In light of such heterogeneity of IRRBB across countries and financial institutions in terms of the nature of the underlying risk and the process for monitoring and managing it, one-size-fits-all regulatory capital charges do not fit IRRBB, but rather it is most appropriate to treat IRRBB under Pillar 2 framework. In line with this framework, the regulations on IRRBB of cooperative-type financial institutions, which, in particular, have the abovementioned social responsibility, should be left to the development approach and the discretionary powers of national authorities which are well-informed of their own domestic circumstances. With regard to the proposed enhanced Pillar 2 approach, financial institutions are required to calculate and disclose a common standardized measure based on Pillar 1 framework. However, Pillar 2 approach is, in definition, imposing responsibility on bank supervisors, who, on the other hand, could use the discretion that this approach provides. An advantage of Pillar 2 approach is that it can better accommodate differing market conditions and risk management practices across jurisdictions. Thus, it is also not rational to adopt the proposed enhanced Pillar 2 approach which could hurt this advantage of Pillar 2 approach. (END) 4