Page 19 - CCFA Journal - 12th Issue

加中金融 Regulations 金融监管

Anticipated Impact and Concerns

The US Basel III Final Reforms offer a profound change in the regulatory landscape, and their estimated impact is considerable.
Regulators foresee a substantial 16% increase in Common Equity Tier 1 (CET1) capital levels and a 20% rise in Risk-Weighted
Assets (RWA) for large bank holding companies. Notably, U.S. GSIBs and IHCs are expected to bear the brunt of these increases.

However, these higher capital requirements may have far-reaching implications, potentially disadvantaging global banks domiciled
in the U.S. and constraining lending capacity and capital market activities for all banks. Such constraints could inadvertently
benefit Non-Bank Financial Institutions (NBFIs).

美国巴塞尔协议 III 最终改革给监管格局带来了深刻的变化，其影响预计是相当大的。 监管机构预计大型银行控股公司的
普通股一级资本 (CET1) 资本水平将大幅增长 16%，风险加权资产 (RWA) 将增长 20%。 值得注意的是，美国 GSIB 和 IHC 预
计将首当其冲受到这些增长的影响。

更高的资本要求可能会产生深远的影响，可能使在美国注册的全球银行处于不利地位，并限制所有银行的贷款能力和资本
市场活动。 这些限制可能会无意中使非银行金融机构（NBFI）受益。

Navigating the Transition Period

Banks must prepare for a transition period spanning three years, commencing on July 1, 2025, with a fully phased-in date set for
July 1, 2028. The rulemaking process includes an extended 120-day comment period to gather input from the industry.

银行必须为从 2025 年 7 月 1 日开始的三年过渡期做好准备，全面分阶段实施的日期定为 2028 年 7 月 1 日。规则制定过程
包括延长 120 天的意见征询期，以收集业界的意见。

Key Differences Between US NPR and Basel Framework

The below section focuses on US NPR standardized market risk (SA) key differences compared to the Basel framework. To
summarize, the SA capital risk charge under FRTB comprises three key components: the Sensitivities-Based Method (SBM), Default
Risk Charge (DRC), and Residual Risk Add-on (RRAO). SBM involves calculating sensitivities for seven defined risk classes,
considering different correlation scenarios, and selecting the highest risk charge among them. DRC captures jump to default risk
and applies to specific asset classes with varying risk weights and netting considerations. Lastly, RRAO addresses complex
transactions where exposure quantification is challenging. A formula is applied to these complex transactions based on gross
notional amounts and risk weights.

以下部分重点介绍美国 NPR 标准化市场风险 (SA) 与巴塞尔框架相比的主要差异。 总而言之，FRTB 下的 SA 资本风险费用
由三个关键组成部分组成：基于敏感性的方法 Sensitivities-Based Method (SBM)、违约风险资本 Default Risk Charge (DRC) 和
剩余风险附加资本 Residual Risk Add-on (RRAO)。 SBM 涉及计算七个已定义风险类别的敏感性，考虑不同的相关场景，并在
其中选择最高的风险费用。 DRC 捕捉到违约风险，并适用于具有不同风险权重和净额结算考虑因素的特定资产类别。 最
后，RRAO 解决了暴露量化具有挑战性的复杂交易。 根据总名义金额和风险权重，将公式应用于这些复杂的交易。

Overall Market Risk Differences:

- Frequency of Calculation: The US NPR proposes a weekly calculation frequency for the Standardized Approach, whereas
Basel recommends monthly calculations.
- Additional Components: The US NPR introduces three additional components in capital calculation: a fallback capital
requirement, a capital add-on requirement for re-designation, and any additional capital add-on requirement established
by regulators.
- Definition of Correlation Trading Portfolio: There are differences in the definition of the correlation trading portfolio,
particularly regarding securitization positions. For instance, the US NPR excludes instruments that do not reference a
claim on a special purpose entity.

 计算频率：美国 NPR 建议标准化方法每周计算一次，而巴塞尔建议每月计算一次。
 附加组成部分：美国 NPR 在资本计算中引入了三个附加组成部分：备用资本要求、重新指定的资本附加要求以及
监管机构制定的任何附加资本附加要求。
 相关性交易投资组合的定义：相关性交易投资组合的定义存在差异，特别是在证券化头寸方面。 例如，美国 NPR
排除了不以特殊目的实体 （SPE）为参考实体的金融产品。

CCFA JOURNAL OF FINANCE November 2023 Page 19 第19页