Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank
回顾美联储对硅谷银行的监管

After completing this reading, you should be able to:
完成此阅读后，您应该能够：

• Describe the events leading up to the failure of Silicon Valley Bank.
  描述导致硅谷银行倒闭的事件。
• Describe shortfalls and deficiencies in the Federal Reserve’s supervisory oversight of Silicon Valley Bank during the period that the bank transitioned from the Fed’s Regional Banking Organization (RBO) portfolio to its Large and Foreign Banking Organization (LFBO) portfolio.
  描述美联储在硅谷银行从美联储地区银行组织 （RBO） 投资组合过渡到大型外国银行组织 （LFBO） 投资组合期间对硅谷银行的监管不足和缺陷。
• Identify Silicon Valley Bank’s specific risk issues which led to and accelerated its failure including deposit concentration, type of deposits, held-to-maturity securities, available-for-sale securities, the bank’s contingent funding plan and capacity, and its capital raising efforts.
  确定硅谷银行导致并加速其倒闭的具体风险问题，包括存款集中度、存款类型、持有至到期证券、可供出售证券、银行的或有融资计划和能力，以及其融资工作。
• Identify and describe the failures and shortfalls of Silicon Valley Bank in the areas of governance and risk management including those related to the CRO position and the bank’s internal audit function.
  识别并描述硅谷银行在治理和风险管理领域的失败和不足，包括与CRO职位和银行内部审计职能相关的失败和不足。
• Identify the scope of Silicon Valley Bank’s liquidity risk management deficiencies and shortfalls, including its modeling and stress testing of its 30-day liquidity buffer, as well as the actions that management and regulators considered to address these specific liquidity issues.
  确定硅谷银行流动性风险管理缺陷和不足的范围，包括其30天流动性缓冲的建模和压力测试，以及管理层和监管机构考虑解决这些特定流动性问题的行动。
• Describe the deficiencies in Silicon Valley Bank’s interest rate risk management process, including its modelling process, and explain how proper use of metrics such as net interest income (NII) at risk and economic value of equity (EVE) could have improved its management of interest rate risk.
  描述硅谷银行利率风险管理流程（包括建模流程）中的缺陷，并解释如何正确使用风险净利息收入 （NII） 和股权经济价值 （EVE） 等指标来改善其利率风险管理。

Events Leading Up to the Failure of Silicon Valley Bank
导致硅谷银行倒闭的事件

Silicon Valley Bank, a significant entity in the banking industry, specialized in providing financial services predominantly to companies in the technology and life sciences sectors. By March 2023, SVB had grown into a large bank holding company, boasting approximately $212 billion in total assets. This growth was primarily fueled by rapid deposit inflows during a boom in the venture capital and technology sectors, particularly in a period marked by exceptionally low interest rates. SVB’s business model and operational approach were pivotal in understanding the events that led to its eventual failure.
硅谷银行是银行业的一个重要实体，主要为技术和生命科学领域的公司提供金融服务。截至 2023 年 3 月，硅谷银行已成长为一家大型银行控股公司，总资产约为 2120 亿美元。这一增长主要是由于风险投资和科技行业繁荣时期的快速存款流入，尤其是在利率极低的时期。硅谷银行的商业模式和运营方法对于理解导致其最终倒闭的事件至关重要。

Overview of Silicon Valley Bank’s Vulnerabilities and Mismanagement
硅谷银行的漏洞和管理不善概述

• Inadequate risk management: SVB’s board and senior management failed to manage their risks adequately. The bank’s vulnerabilities included widespread managerial weaknesses, a highly concentrated business model, and reliance on uninsured deposits. This poor risk management left SVB highly exposed to rising interest rates and a slowing technology sector in 2022 and early 2023​​.
  风险管理不足：硅谷银行董事会和高级管理层未能充分管理风险。该银行的脆弱性包括普遍存在的管理弱点、高度集中的商业模式以及对未投保存款的依赖。这种糟糕的风险管理使硅谷银行在 2022 年和 2023 年初面临利率上升和科技行业放缓的风险敞口很大。
• Rapid Growth Without Enhanced Supervision: Between 2019 and 2021, SVB’s assets grew from $71 billion to over $211 billion. Despite this rapid expansion, the bank did not come under heightened supervisory or regulatory scrutiny. This lack of oversight meant that SVB remained well-rated even as significant risks to its safety and soundness emerged​​.
  在没有加强监管的情况下快速增长：2019 年至 2021 年期间，硅谷银行的资产从 710 亿美元增长到超过 2110 亿美元。尽管扩张迅速，但该银行并未受到更严格的监督或监管审查。这种缺乏监管意味着，即使硅谷银行的安全性和稳健性出现重大风险，硅谷银行的评级仍然很高。
• Governance and risk management issues: SVB was consistently rated satisfactory in governance from 2017 through 2021, despite repeated observations of weaknesses in risk management. The full board of directors did not receive adequate information about risks and did not hold management accountable, leading to ineffective oversight of risks inherent in SVB’s business model​​.
  治理和风险管理问题：2017年至2021年，硅谷银行在治理方面一直被评为令人满意，尽管一再观察到风险管理存在缺陷。整个董事会没有收到有关风险的充分信息，也没有追究管理层的责任，导致对硅谷银行商业模式中固有风险的监督不力。
• Ineffective interest rate risk management: SVB’s interest rate risk management was flawed, as identified in several exams, but not adequately addressed. This deficiency became critical when interest rates rose, and the technology sector slowed down. SVB’s management focused more on short-term profits, ignoring long-term stability, further aggravating the risks​​.
  利率风险管理效率低下：硅谷银行的利率风险管理存在缺陷，这在几项检查中被发现，但没有得到充分解决。当利率上升和科技行业放缓时，这种缺陷变得至关重要。硅谷银行的管理层更关注短期利润，忽视了长期稳定性，进一步加剧了风险。

The Final Days Leading to Failure
导致失败的最后几天

• Balance sheet restructuring and bank run: On March 8, 2023, SVB announced a balance sheet restructuring plan. However, this announcement triggered a massive bank run, with over $40 billion withdrawn on March 9 and an additional $100 billion expected to be withdrawn the next day, leading to the bank’s closure on March 10​​.
  资产负债表重组和银行挤兑：2023年3月8日，硅谷银行公布了资产负债表重组计划。然而，这一宣布引发了大规模的银行挤兑，3月9日提取了超过400亿美元，预计第二天将再提取1000亿美元，导致该银行于3月10日关闭。
• Deposit inflows and outflows: SVB’s rapid growth was driven by deposit inflows from the booming venture capital and technology sectors. However, as interest rates began to rise in 2022, the bank faced significant deposit outflows and unrealized losses on its long-term securities investments​​.
  存款流入和流出：硅谷银行的快速增长是由蓬勃发展的风险投资和科技行业的存款流入推动的。然而，随着 2022 年利率开始上升，该银行面临大量存款外流和长期证券投资的未实现损失。
• Liquidity risk management weaknesses: SVB demonstrated foundational weaknesses in its liquidity risk management. The bank repeatedly failed its internal liquidity stress tests and failed to take rapid and comprehensive actions to increase funding capacity. Misleading stress testing assumptions further masked the liquidity risks​​.
  流动性风险管理薄弱环节：硅谷银行在流动性风险管理方面存在根本性弱点。该银行多次未能通过内部流动性压力测试，未能采取快速和全面的行动来增加融资能力。误导性的压力测试假设进一步掩盖了流动性风险。
• Operational weaknesses in crisis management: During its final days, SVB’s inability to effectively manage a crisis became evident. The bank had not prepared adequately for borrowing under emergency conditions, which could have facilitated a more orderly resolution​​.
  危机管理的运营弱点：在危机管理的最后几天，硅谷银行无法有效管理危机变得显而易见。该银行没有为紧急情况下的借款做好充分准备，而这本来可以促进更有序的解决。

In conclusion, the collapse of Silicon Valley Bank resulted from a combination of poor risk management, inadequate regulatory oversight, and operational failures in a rapidly changing financial environment. This series of events underscores the importance of robust risk management and regulatory vigilance in the banking sector.
总之，硅谷银行的倒闭是由于风险管理不善、监管监督不足以及快速变化的金融环境中的运营失败造成的。这一系列事件凸显了银行业稳健的风险管理和监管警惕的重要性。

Shortfalls and Deficiencies in Federal Reserve’s Supervisory Oversight of Silicon Valley Bank (SVB)
美联储对硅谷银行（SVB）监管的不足和不足

SVB’s rapid asset growth from $71 billion to over $211 billion between 2019 and 2021 necessitated its transition from the Regional Banking Organization (RBO) portfolio to the Large and Foreign Banking Organization (LFBO) portfolio within the Federal Reserve supervisory structure in February 2021. This shift meant SVB was now subject to a higher supervisory and regulatory standards​​.
2019 年至 2021 年期间，硅谷银行的资产从 710 亿美元快速增长到超过 2110 亿美元，因此有必要在 2021 年 2 月从美联储监管结构内的区域银行组织 （RBO） 投资组合过渡到大型外国银行组织 （LFBO） 投资组合。这一转变意味着硅谷银行现在受到更高的监督和监管标准。

Key Shortfalls and Deficiencies in Supervision
监管的主要不足和不足

• Delays in enforcement actions: The Federal Reserve took over seven months to develop an informal enforcement action (Memorandum of Understanding) to address underlying risks at SVB. This delay was critical as SVB failed before the MOU was delivered​​.
  执法行动的延迟：美联储花了七个多月的时间制定一项非正式的执法行动（谅解备忘录），以解决硅谷银行的潜在风险。由于硅谷银行在谅解备忘录交付之前就倒闭了，这一延迟至关重要。
• Inadequate experience and transition planning: Examiners from the RBO portfolio, generally accustomed to community/regional bank supervision, lacked experience with governance and risk management practices of larger, more complex institutions like SVB. The transition to the LFBO portfolio lacked a defined plan and process, leading to a “cliff effect” in supervisory approaches and regulatory standards. This contributed to delays in assessments during a time when SVB’s financial condition was deteriorating​​.
  经验和过渡规划不足：RBO投资组合的审查员通常习惯于社区/地区银行的监管，缺乏对硅谷银行等规模更大、更复杂的机构的治理和风险管理实践的经验。向LFBO投资组合的过渡缺乏明确的计划和流程，导致监管方法和监管标准的“悬崖效应”。在硅谷银行财务状况恶化期间，这导致了评估的延迟。
• Underestimation of risks and slow response: The Federal Reserve did not fully appreciate the seriousness of SVB’s governance, liquidity, and interest rate risk management deficiencies. Supervisors also failed to recognize the vulnerabilities as SVB grew in size and complexity and were slow to act on concerns, missing opportunities for early intervention or timely remediation​​.
  低估风险和反应迟钝：美联储没有充分认识到硅谷银行治理、流动性和利率风险管理缺陷的严重性。随着硅谷银行规模和复杂性的不断扩大，监管机构也未能认识到这些漏洞，并且对问题采取行动缓慢，错过了早期干预或及时补救的机会。
• Liquidity risk oversight: SVB was subject to limited-scope liquidity reviews, which were inadequate given its significant asset growth and unique business model. Despite fundamental weaknesses in risk management and evidence of a deteriorating position, liquidity ratings remained satisfactory, reflecting a failure to appreciate the extent of liquidity risks​​.
  流动性风险监管：硅谷银行受到有限范围的流动性审查，鉴于其显著的资产增长和独特的商业模式，这些审查是不够的。尽管风险管理存在根本性弱点，并且有迹象表明状况恶化，但流动性评级仍然令人满意，反映出未能认识到流动性风险的程度。
• Policy and supervisory approach impacts: The Board’s tailoring approach in response to the Economic Growth Regulatory Relief and Consumer Protection Act (EGRRCPA) led to reduced standards, increased complexity, and a less assertive supervisory approach. These changes in regulatory and supervisory policies contributed to ineffective supervision of SVB​​.
  政策和监管方法的影响：董事会为响应《经济增长监管救济和消费者保护法》（EGRRCPA）而采取的量身定制方法导致标准降低、复杂性增加和监管方法不那么自信。监管和监督政策的这些变化导致对硅谷银行的监管无效。
• Resource allocation and staffing issues: Resources for SVB supervision may have been insufficient, reflecting reallocation to address other demands like cybersecurity or fintech. The staffing for examinations, particularly while SVB was in the RBO portfolio, was not adequately geared towards the bank’s increasing complexity and unique risks​​.
  资源分配和人员配置问题：硅谷银行监管的资源可能不足，反映出重新分配以应对网络安全或金融科技等其他需求。检查人员配置，特别是当硅谷银行在RBO投资组合中时，没有充分适应该银行日益增加的复杂性和独特风险。
• Overlooking foundational problems: During SVB’s rapid growth in the RBO portfolio, Federal Reserve oversight did not resolve foundational problems or implement stronger oversight despite recognizing gradual increases in liquidity and market risks​​.
  忽视基本问题：在硅谷银行RBO投资组合快速增长期间，尽管认识到流动性和市场风险逐渐增加，但美联储的监管并没有解决根本问题或实施更强有力的监管。

Silicon Valley Bank’s Specific Risk Issues Leading to Its Failure
硅谷银行的具体风险问题导致其倒闭

Between 2019 and 2021, the bank experienced rapid growth, tripling in size due to rapid deposit inflows during a period of low interest rates. However, this expansion also came with increasing vulnerabilities, particularly in governance, liquidity, and interest rate risk management​​.
2019 年至 2021 年期间，该银行经历了快速增长，由于低利率时期的存款快速流入，该银行的规模扩大了两倍。然而，这种扩张也伴随着越来越多的脆弱性，特别是在治理、流动性和利率风险管理方面。

Specific Risk Issues 特定风险问题

1. Deposit concentration and type: SVBFG’s customer base was heavily concentrated in venture capital (VC)-backed technology and life sciences companies. More than half of SVBFG’s deposits at year-end 2022 were from these sectors. The concentration in large uninsured deposits in non-maturity accounts from VC-backed and private equity clients linked SVBFG’s funding growth directly to VC deal activity, making it vulnerable to sector-specific downturns​​.
   存款集中度和类型：SVBFG的客户群主要集中在风险投资（VC）支持的技术和生命科学公司。截至 2022 年底，SVBFG 超过一半的存款来自这些行业。来自风险投资支持的私募股权客户在非到期账户中的大量未投保存款的集中，将SVBFG的资金增长与风险投资交易活动直接挂钩，使其容易受到特定行业低迷的影响。
2. Held-to-Maturity (HTM) securities: A significant portion of SVBFG’s assets consisted of unencumbered investment securities, with an increasing proportion designated as HTM by 2021. This allocation to longer-term maturities became problematic as interest rates began to rise, leading to deposit outflows and unrealized losses in the HTM portfolio​​.
   持有至到期 （HTM） 证券：SVBFG 资产的很大一部分由未抵押投资证券组成，到 2021 年，被指定为 HTM 的比例越来越大。随着利率开始上升，这种对长期期限的配置成为问题，导致存款外流和HTM投资组合的未实现损失。
3. Available-for-Sale (AFS) securities: SVBFG also experienced unrealized losses in its AFS portfolios, exacerbating its financial challenges. The bank’s tech-focused business model made it an outlier in terms of the growth and composition of its balance sheet, particularly with its securities portfolio being more than double that of its large banking organization (LBO) peer group​​.
   可供出售 （AFS） 证券：SVBFG 的 AFS 投资组合也出现了未实现的损失，加剧了其财务挑战。该银行以技术为重点的商业模式使其在资产负债表的增长和构成方面成为一个异常值，特别是其证券投资组合是其大型银行组织（LBO）同行的两倍多。
4. Contingent funding plan and capacity: SVBFG’s weaknesses in preparedness for a contingent liquidity event contributed to its inability to access contingent funding sources in a time of need. The bank had already incurred significant net client outflows by 2022, prompting the activation of certain aspects of its contingency funding plan. However, the bank could not monetize its investment securities immediately, revealing shortcomings in its liquidity buffer and contingency planning​​.
   应急供资计划和能力：SVBFG在应对或有流动性事件方面的薄弱环节导致其无法在需要时获得应急供资来源。到 2022 年，该银行已经产生了大量客户净流出，促使其启动了应急融资计划的某些方面。然而，该银行无法立即将其投资证券货币化，暴露了其流动性缓冲和应急计划方面的缺陷。
5. Capital raising efforts: In response to increasing financial stress, SVBFG attempted to restructure its balance sheet, which included the sale of certain securities and plans to raise capital. However, these efforts were insufficient and untimely, as the bank faced rapid deposit outflows and pressure on its liquidity and earnings​​.
   筹集资金：为了应对日益严重的财务压力，SVBFG试图重组其资产负债表，其中包括出售某些证券和筹集资金的计划。然而，这些努力是不够的，也是不合时宜的，因为该银行面临着快速的存款外流以及流动性和收益的压力。

Failures and Shortfalls of Silicon Valley Bank in Governance and Risk Management
硅谷银行在治理和风险管理方面的失败和不足

Governance and Risk Management Framework
治理和风险管理框架

Silicon Valley Bank Financial Group (SVBFG) faced significant challenges in its governance and risk management, primarily due to its inability to keep pace with rapid growth and evolving business model risks. The board of directors and senior management failed to effectively oversee the risks inherent in SVBFG’s business model and balance sheet strategies. This inadequacy was partly attributed to a governance and risk management framework that did not evolve in tandem with the bank’s growth​​.
硅谷银行金融集团 （SVBFG） 在治理和风险管理方面面临重大挑战，主要是由于无法跟上快速增长和不断变化的商业模式风险。董事会和高级管理层未能有效监督SVBFG的商业模式和资产负债表战略的固有风险。这种不足部分归因于治理和风险管理框架没有随着银行的增长而发展。

Board Oversight and Accountability
董事会监督和问责

A critical shortfall in SVBFG’s governance was the board of directors’ insufficient oversight and accountability of management. The board did not receive adequate information about the bank’s risks, particularly regarding liquidity issues, until late in the crisis. This lack of effective communication led to the board’s failure to hold management accountable for these risks. Additionally, the board prioritized short-term profits over effective risk management, often treating supervisory issues as mere compliance exercises rather than critical risk management concerns. This approach was evident in the structure of the compensation packages for senior management, which were tied to short-term earnings and equity returns without incorporating risk metrics, thus incentivizing managers to focus on short-term profit over sound risk management​​.
SVBFG治理的一个严重缺陷是董事会对管理层的监督和问责不足。直到危机后期，董事会才收到有关该银行风险的充分信息，特别是有关流动性问题的信息。由于缺乏有效的沟通，董事会未能让管理层对这些风险负责。此外，董事会将短期利润置于有效的风险管理之上，通常将监管问题视为单纯的合规活动，而不是关键的风险管理问题。这种做法在高级管理人员薪酬方案的结构中很明显，这些薪酬方案与短期收益和股本回报挂钩，而没有纳入风险指标，从而激励管理人员将重点放在短期利润上，而不是健全的风险管理上。

Liquidity Risk Management
流动性风险管理

SVBFG demonstrated foundational weaknesses in its liquidity risk management, including its liquidity position and ability to manage risks through internal liquidity stress tests (ILST), limits, and contingency funding plans (CFP). From July 2022, when SVBFG first became subject to enhanced prudential standards, it repeatedly failed its own ILST. Although management responded by increasing funding capacity, these actions were not rapidly undertaken or fully executed. Moreover, management adopted less conservative stress testing assumptions, which masked some of the liquidity risks. This was particularly problematic given SVBFG’s highly concentrated deposit base, which was assumed to be more stable than it actually was​​.
SVBFG在流动性风险管理方面表现出根本性的弱点，包括其流动性状况以及通过内部流动性压力测试（ILST）、限额和应急融资计划（CFP）管理风险的能力。从 2022 年 7 月SVBFG 首次受到加强审慎标准的约束开始，它自己的 ILST 屡次失败。尽管管理层通过增加筹资能力来应对这些行动，但这些行动并未迅速采取或充分执行。此外，管理层采用了不太保守的压力测试假设，掩盖了一些流动性风险。鉴于SVBFG高度集中的存款基础，这尤其成问题，人们认为该基础比实际情况更稳定。

Interest Rate Risk Management
利率风险管理

SVBFG also failed to adequately assess and manage interest rate risk (IRR) in its rapidly growing securities portfolio. The sharp rise in interest rates and the slowdown in the technology sector in 2022 and 2023 significantly impacted SVBFG. The bank’s net interest income and the value of its long-dated securities declined, leading to pressure on earnings and potential losses. SVBFG management was focused on short-term profit impacts, which led to limited visibility into vulnerabilities due to the board-set internal risk appetite metrics. The bank had breached its long-term IRR limits since 2017 due to a structural mismatch between long-duration securities and short-duration deposits. Instead of addressing this risk, SVBFG made counterintuitive modeling assumptions about the duration of deposits and removed interest rate hedges that could have protected against rising rates. Ultimately, management’s actions prioritized maintaining short-term profits over managing underlying balance sheet risks​​.
SVBFG也未能充分评估和管理其快速增长的证券投资组合中的利率风险（IRR）。2022 年和 2023 年利率的急剧上升和科技行业的放缓对 SVBFG 产生了重大影响。该银行的净利息收入和长期证券价值下降，导致收益和潜在损失承压。SVBFG管理层专注于短期利润影响，由于董事会设定的内部风险偏好指标，导致对漏洞的可见性有限。自 2017 年以来，由于长期证券和短期存款之间的结构性不匹配，该银行违反了其长期内部收益率限制。SVBFG没有解决这种风险，而是对存款期限进行了违反直觉的建模假设，并取消了本可以防止利率上升的利率对冲。归根结底，管理层的行动优先考虑维持短期利润，而不是管理潜在的资产负债表风险。

Liquidity Risk Management Deficiencies
流动性风险管理不足

Silicon Valley Bank (SVB) experienced significant deficiencies in its liquidity risk management, which were central to its eventual failure. These deficiencies spanned various aspects, including internal liquidity stress testing, modeling of its 30-day liquidity buffer, and the actions taken by management and regulators to address these issues.
硅谷银行（SVB）在流动性风险管理方面存在重大缺陷，这是其最终失败的核心。这些缺陷涉及多个方面，包括内部流动性压力测试、30天流动性缓冲的建模，以及管理层和监管机构为解决这些问题而采取的行动。

Internal Liquidity Stress Tests (ILST) Shortfalls
内部流动性压力测试（ILST）短缺

• ILST implementation: SVBFG developed and implemented an updated ILST in response to the 2021 Liquidity Examination Material Risk Identification Actions (MRAs). However, the implementation highlighted weaknesses in the bank’s liquidity risk profile.
  ILST 实施：SVBFG 制定并实施了更新的 ILST，以响应 2021 年流动性检查重大风险识别行动 （MRA）。然而，该实施凸显了该银行流动性风险状况的弱点。
• 30-day liquidity buffer deficiency: As of July 2022, SVBFG was required to maintain a 30-day liquidity buffer based on ILST results, as per Regulation YY EPS. The reports revealed a significant deficit in the balance of highly liquid assets, which management and supervisors termed an “operational shortfall.”
  30 天流动性缓冲不足：截至 2022 年 7 月，SVBFG 被要求根据 ILST 结果维持 30 天流动性缓冲，根据法规 YY 每股收益。报告显示，高流动性资产余额存在重大赤字，管理层和主管称之为“运营短缺”。

Management Responses to Liquidity Challenges
管理层应对流动性挑战

• Addressing liquidity pressures: Management undertook actions in the fourth quarter of 2022 to mitigate liquidity pressures. This included increasing FHLB advances, enhancing repurchase agreement capacity, and incorporating new stress assumptions to lower liquidity requirements.
  应对流动性压力：管理层于2022年第四季度采取行动，以缓解流动性压力。这包括增加FHLB垫款，提高回购协议能力，以及纳入新的压力假设以降低流动性要求。
• Changes to ILST assumptions: Significant changes were made to the ILST assumptions in October 2022, effectively reducing the modeled liquidity shortfall. This was achieved by updating methodologies for unfunded lending commitments and intraday liquidity, specifically at the 30-day horizon​​.
  ILST假设的变化：2022年10月对ILST假设进行了重大更改，有效地减少了模拟的流动性缺口。这是通过更新无资金贷款承诺和日内流动性的方法实现的，特别是在30天的跨度内。

Board’s Involvement and Accountability
董事会的参与和问责制

• Inadequate board oversight: The full board of directors at SVB did not receive sufficient information from management about the bank’s liquidity risks until November 2022. This delay in communication impeded the board’s ability to hold management accountable for effectively managing the bank’s liquidity risks​​.
  董事会监督不力：直到 2022 年 11 月，硅谷银行的全体董事会才从管理层那里收到有关该行流动性风险的充分信息。这种沟通的延迟阻碍了董事会要求管理层对有效管理银行流动性风险负责的能力。

Supervisory Oversight and Regulatory Considerations
监督和监管考虑因素

• Supervisory weaknesses: Limited-scope approaches to liquidity risk management reviews at SVBFG and a lack of broader supervisory assessments contributed to missed opportunities for more critical evaluations. As a result, SVBFG’s size and risk profile significantly outpaced its liquidity risk management practices, rendering it unprepared for EPS requirements​​.
  监管薄弱环节：SVBFG的流动性风险管理审查方法范围有限，缺乏更广泛的监管评估，导致错失了进行更关键评估的机会。因此，SVBFG的规模和风险状况大大超过了其流动性风险管理实践，使其无法满足每股收益要求。
• Regulatory standards and expectations: SVBFG’s liquidity risk management practices were fundamentally flawed across multiple standards, including board and senior management oversight, establishment of liquidity risk tolerances, ILSTs, and contingency funding plans (CFPs), as outlined in SR letter 10-6 and Regulation YY EPS​​.
  监管标准和期望：SVBFG的流动性风险管理实践在多个标准上存在根本性缺陷，包括董事会和高级管理层的监督、流动性风险容忍度的建立、ILST和应急融资计划（CFP），如SR信函10-6和条例YY EPS所述。

Modeling and Stress Testing Shortcomings
建模和压力测试的缺点

• Inadequate sensitivity testing: SVBFG exhibited limited sensitivity testing and lacked an adequate secondary function to review and challenge decisions and model assumptions. This shortfall was evident in their interest rate risk policy and manifested in the lack of specified scenarios, analysis methods, sensitivity analysis, and back-testing requirements​​.
  敏感性测试不足：SVBFG表现出有限的敏感性测试，并且缺乏足够的辅助功能来审查和挑战决策和模型假设。这种不足在他们的利率风险政策中很明显，并表现在缺乏具体的情景、分析方法、敏感性分析和回溯测试要求。
• Unrealistic assumptions: The approach to assessing risk in deposits for ILST did not appropriately consider key risk attributes, impacting the reliability of SVBFG’s liquidity buffer. The static measures used did not reflect correlations or stress outcomes, and the bank faced multiple CFP deficiencies, including a lack of assessing potential funding sources and needs during stress​​.
  不切实际的假设：评估ILST存款风险的方法没有适当考虑关键风险属性，影响了SVBFG流动性缓冲的可靠性。所使用的静态指标没有反映相关性或压力结果，该银行面临多种CFP缺陷，包括缺乏评估潜在的资金来源和压力期间的需求。

Management’s Inadequate Response to ILST Failures
管理层对ILST失败的反应不足

• Delayed and ineffective actions: Management’s response to SVBFG repeatedly failing its own ILST included increasing funding capacity and using less conservative stress testing assumptions. However, these actions were not rapidly undertaken or fully executed, particularly problematic given the bank’s highly concentrated deposit base. The less conservative assumptions masked some liquidity risks, failing to adequately assess and manage the interest rate risk in its growing securities portfolio​​.
  延迟和无效的行动：管理层对SVBFG一再未能通过自己的ILST的回应包括增加融资能力和使用不太保守的压力测试假设。然而，这些行动并未迅速采取或完全执行，鉴于该银行的存款基础高度集中，这尤其成问题。不太保守的假设掩盖了一些流动性风险，未能充分评估和管理其不断增长的证券投资组合中的利率风险。

Overview of Deficiencies in Interest Rate Risk Management
利率风险管理不足概述

Silicon Valley Bank Group (SVBFG) exhibited fundamental weaknesses in its approach to managing interest rate risk (IRR). These deficiencies were primarily due to a focus on short-term metrics, inadequate risk measurement methods, and poor governance and control mechanisms.
硅谷银行集团（SVBFG）在管理利率风险（IRR）的方法上表现出根本性的弱点。这些缺陷主要是由于注重短期指标、风险计量方法不足以及治理和控制机制不善。

Focus on Net Interest Income (NII)
关注净利息收入（NII）

• Short-term view: SVBFG’s management focused on the short-term view of IRR through the NII metric. This approach ignored potential longer-term negative impacts on earnings, which could have been highlighted by the Economic Value of Equity (EVE) metric. Such a focus led to a lack of consideration for idiosyncratic risks and the unique impact of rate increases on SVBFG’s customer base​​​​.
  短期观点：SVBFG的管理层通过NII指标关注IRR的短期观点。这种方法忽略了对收益的潜在长期负面影响，而股权经济价值（EVE）指标本可以突出这一点。这种关注导致缺乏对特殊风险的考虑，以及费率上涨对SVBFG客户群的独特影响。
• Risk Appetite Statement Limitations: The bank’s Risk Appetite Statement (RAS), set by the board, included only the NII metric, not the EVE metric. This narrow focus resulted in a limited perspective on interest rate risk and its potential impact on the bank’s long-term financial health​​.
  风险偏好声明限制：由董事会制定的银行风险偏好声明 （RAS） 仅包括 NII 指标，不包括 EVE 指标。这种狭隘的关注导致对利率风险及其对银行长期财务健康的潜在影响的视角有限。

Weaknesses in Interest Rate Risk Policy
利率风险政策的弱点

• Inadequate policy guidelines: The interest rate risk policy at SVBFG did not specify necessary scenarios for risk management, such as how assumptions should be analyzed or how to conduct sensitivity analysis. There was also no clear guideline on how limits were set and calibrated, nor were there ongoing reporting requirements for threshold breaches. This lack of detail in the policy contributed to insufficient risk management practices​​.
  政策指导不足：SVBFG的利率风险政策没有具体说明风险管理的必要情景，例如如何分析假设或如何进行敏感性分析。也没有关于如何设定和校准限制的明确指南，也没有对违反阈值的持续报告要求。政策缺乏细节导致风险管理做法不足。

Mismanagement of EVE Metric
EVE 指标管理不善

• EVE breaches: Internal reports indicated that SVBFG was in violation of its internal policy limits for EVE at risk, demonstrating a failure to manage the long-term impacts of interest rate changes effectively​​.
  EVE违规：内部报告显示，SVBFG违反了其对EVE风险的内部政策限制，表明未能有效管理利率变化的长期影响。
• Mismatch of durations: A mismatch in the durations of assets and liabilities on the balance sheet caused the EVE metric to worsen and breach SVBFG’s limits. This mismatch was exacerbated by management’s decision to shift from non-interest-bearing to more costly interest-bearing deposits and wholesale borrowings​​.
  久期不匹配：资产负债表上资产和负债久期的不匹配导致 EVE 指标恶化并突破 SVBFG 的限制。管理层决定从不计息存款转向成本更高的计息存款和批发借款，加剧了这种错配。

Modeling and Assumptions Deficiencies
建模和假设缺陷

• Counterintuitive Modeling Assumptions: SVBFG made poorly supported changes in assumptions, particularly regarding the duration of deposits. These changes were unsubstantiated and based on rapid increases in rates and the uniqueness of SVBFG’s client base. Such assumptions reduced the apparent mismatch of durations between assets and liabilities but did not genuinely mitigate the underlying risk​​.
  违反直觉的建模假设：SVBFG对假设进行了支持不足的更改，特别是在存款期限方面。这些变化是未经证实的，并且基于费率的快速增长和SVBFG客户群的独特性。这种假设减少了资产和负债之间久期的明显不匹配，但并没有真正减轻潜在风险。

Impact of Short-Term Profit Focus
短期利润焦点的影响

• Removal of interest rate hedges: In pursuit of short-term profits, SVBFG removed interest rate hedges designed to protect NII in rising rate scenarios. This strategy extended the duration of the securities portfolio, worsening the EVE metric and increasing the bank’s exposure to interest rate risk​​.
  取消利率对冲：为了追求短期利润，SVBFG取消了旨在在利率上升情况下保护NII的利率对冲。这种策略延长了证券投资组合的久期，恶化了EVE指标，并增加了银行对利率风险的敞口。

How Proper Use of Metrics Could Have Improved Management
正确使用指标如何改善管理

Utilizing NII at Risk and EVE Metrics Effectively
有效利用 NII at Risk 和 EVE 指标

• Balanced approach: A more balanced approach incorporating both NII at risk and EVE would have provided a comprehensive view of the bank’s interest rate risk exposure. NII at risk would help in understanding the short-term impacts of interest rate changes on earnings, while EVE would offer insights into the longer-term effects on the bank’s economic value.
  平衡方法：将NII风险和EVE纳入其中的更平衡的方法将提供银行利率风险敞口的全面视图。NII风险将有助于了解利率变化对收益的短期影响，而EVE将提供对银行经济价值的长期影响的见解。
• Scenario analysis and sensitivity testing: Incorporating a range of scenarios and sensitivity tests in both NII and EVE metrics could have allowed SVBFG to better understand and prepare for various interest rate environments. This would have enabled the bank to identify and mitigate potential risks proactively.
  情景分析和敏感性测试：在 NII 和 EVE 指标中纳入一系列情景和敏感性测试，可以使 SVBFG 更好地了解和准备各种利率环境。这将使银行能够主动识别和减轻潜在风险。

Enhanced Governance and Control
加强治理和控制

• Board involvement: Regular and detailed reporting of both NII at risk and EVE metrics to the board would have facilitated better oversight and strategic decision-making. The board’s awareness of these metrics would have been crucial in ensuring a robust interest rate risk management framework.
  董事会参与：定期向董事会详细报告风险 NII 和 EVE 指标将有助于更好地监督和战略决策。董事会对这些指标的认识对于确保稳健的利率风险管理框架至关重要。

Practice Question 练习题

Which factor best illustrates a shortcoming in the Federal Reserve’s supervision of SVB during its transition from the RBO to LFBO portfolio?
哪个因素最能说明美联储在硅谷银行从RBO向LFBO投资组合过渡期间对硅谷银行的监管存在缺陷？

1. The Federal Reserve’s prompt identification and rectification of SVB’s risk management issues during the transition.
   美联储在过渡期间迅速识别和纠正硅谷银行的风险管理问题。
2. Examiners from the RBO portfolio, who were less experienced with large, complex institutions, supervised SVB, leading to underappreciation of its risks.
   RBO投资组合的审查员对大型复杂机构经验不足，他们监督硅谷银行，导致对其风险的低估。
3. The Federal Reserve’s focus on international expansion risks of SVB, which diverted attention from its domestic operational challenges.
   美联储对硅谷银行国际扩张风险的关注转移了人们对其国内运营挑战的注意力。
4. The imposition of overly strict international cybersecurity standards by the Federal Reserve, which were irrelevant to SVB’s business model.
   美联储实施过于严格的国际网络安全标准，这与硅谷银行的商业模式无关。

The correct answer is B.
正确答案是B。

During SVB’s transition from the RBO to the LFBO portfolio, it was overseen by examiners who generally came from the community/regional bank pool and may have lacked experience with the governance and risk-management practices of larger, more complex institutions like SVB. This contributed to the underappreciation of SVB’s risks as it grew in size and complexity​​.
在硅谷银行从RBO过渡到LFBO投资组合期间，它由审查员监督，这些审查员通常来自社区/地区银行池，可能缺乏对硅谷银行等更大、更复杂的机构的治理和风险管理实践的经验。随着硅谷银行规模和复杂性的增长，这导致硅谷银行的风险被低估了。

A is incorrect because there was no prompt identification and rectification of SVB’s risk management issues by the Federal Reserve during the transition. Instead, there were delays in enforcement actions and a lack of adequate supervision tailored to SVB’s growing size and complexity.
A不正确，因为美联储在过渡期间没有及时识别和纠正硅谷银行的风险管理问题。相反，执法行动出现了延误，并且缺乏针对硅谷银行日益增长的规模和复杂性的适当监管。

C is incorrect as there was no specific focus by the Federal Reserve on the international expansion risks of SVB. The main supervisory shortcomings were related to the transition process and the lack of experience of examiners with larger and more complex institutions like SVB.
C不正确，因为美联储没有特别关注硅谷银行的国际扩张风险。主要的监管缺陷与过渡过程以及审查员缺乏对硅谷银行等更大、更复杂的机构的经验有关。

D is incorrect because there is no evidence that the Federal Reserve imposed overly strict international cybersecurity standards on SVB. The issues in supervisory oversight were more related to the transition process and the examiners’ experience, rather than specific standards like cybersecurity.
D不正确，因为没有证据表明美联储对硅谷银行实施了过于严格的国际网络安全标准。监督监督中的问题更多地与过渡过程和审查员的经验有关，而不是网络安全等具体标准。