Page 34 - CCFA Journal - Ninth Issue

风险管理 Risk Management 加中金融

The Credit Provisioning Framework 信贷供应框架

Under the IFRS 9 accounting standard which was effective on 根据 2017 年 11 月 1 日生效的会计准则 IFRS 9，加拿大银
November 1, 2017 for Canadian banks, allowance for credit 行信用损失准备(ACL)采用银行账户中金融资产的预期信
losses (ACL) represents expected credit losses (ECLs) on 用损失(ECLs)衡量[5,6]。信用损失准备主要受风险拨备、
financial assets in the banking book [5,6]. The allowance is 资产核销、清收、处置和汇率波动等方面的影响。银行
increased by the provision for credit losses (PCL), decreased
by write-offs net of recoveries and disposals, and impacted by 从营业收入中扣除合理的金额作为信用风险损失准备，
foreign exchange. (PCL) is the amount charged to income 其中包括风险拨备。
necessary to bring the allowance for credit losses to a level 信用损失准备根据三阶段预期信用损失减值模型计算:
determined appropriate by management. This includes
provisions on performing and impaired financial assets. 非减值金融资产

ACL is computed according to a three-stage expected credit •第一阶段-从金融资产的初始确认到资产的信用风险相
loss impairment model: 对于初始确认显著增加的日期，确认的损失准备等于报
告日期后 12 个月内发生的违约预计将导致的信用损失。
Performing financial assets
•第二阶段-在信用风险相对于金融资产的初始确认显著
• Stage 1 – From initial recognition of a financial asset to the
date on which the asset has experienced a significant increase 增加后，确认与资产剩余生命周期内预期的信用损失相
in credit risk relative to its initial recognition, a loss allowance 等的损失准备
is recognized equal to the credit losses expected to result 减值金融资产
from defaults occurring over the 12 months following the
reporting date. •第三阶段-当金融资产被认为是信用减值时，确认损失
准备等于资产剩余生命周期内预期的信用损失。利息收
• Stage 2 – Following a significant increase in credit risk 入的计算依据是资产的账面价值减去损失准备金，而不
relative to the initial recognition of the financial asset, a loss 是资产的账面价值总额。
allowance is recognized equal to the credit losses expected
over the remaining lifetime of the asset. 第一阶段采用 PD、LGD 和 EAD 风险参数进行评估预期

Impaired financial assets 损失，第二阶段则基于宏观经济和金融指标建立信用损
失准备的模型，一般采用 3-5 个不同的场景，以捕获广泛
• Stage 3 – When a financial asset is considered to be credit- 的可能结果(乐观、中性、悲观)，然后根据场景的相对可
impaired, a loss allowance is recognized equal to credit losses 能性进行加权。与压力测试类似，这些情景是基于前瞻
expected over the remaining lifetime of the asset. Interest 性的宏观经济和金融变量。
income is calculated based on the carrying amount of the
asset, net of the loss allowance, rather than on its gross RBC 对加拿大失业率的预测如图 3 所示。在中性预测中，
carrying amount. 加拿大失业率预计将在 2022 年第四季度升至 5.6%，到
2023 年第四季度达到 6.8%的峰值，并在预测区间的后端
The PD, LGD and EAD inputs used to estimate Stage 1 and
Stage 2 credit loss allowances are modelled based on the 恢复长期均衡。
macroeconomic and financial variables. Several (usually 3 or
5) distinct scenarios are designed to capture a wide range of Figure 3.
possible outcomes (base, downside, and upside) and are then
weighted according to the relative likelihood of the scenarios.
Similar to stress testing, the scenarios are based on forward
looking macroeconomic and financial variables.

The Canada unemployment rate projection by RBC is shown
in Figure 3. In the base forecast, Canada unemployment rate
is expected to rise to 5.6% in Q4, 2022, peaking by Q4 2023 at
6.8%, and reverting to the long run equilibrium towards the
latter end of the forecast horizon.

Source: RBC 2022 annual report

CCFA JOURNAL OF FINANCE December 2022
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