Page 23 - CCFA Journal - 8th Issue

加中金融 风险控制 Risk Management

The Phase-In Standardized Capital floor and the Global 逐步引入的标准化资本底线已经其对银行业整体的影响
Impact
资本底线的概念最早是在巴塞尔协议 II (BCBS, 2004) 中引
The concept of capital floor was first introduced in Basel II 入的。要求使用 IRB（基于内部评级）方法衡量信用风险
(BCBS, 2004). It was required that banks who use IRB 或使用高级计量方法衡量操作风险的银行必须遵守资本
(Internal Rating Based) approach for credit risk or advanced （RWA）下限，该下限是根据巴塞尔协议的标准化风险
measurement approach for operational risk be subject to a 权重计算的总 RWA 的百分比（BCBS，1988 年）。也就是
capital (RWA) floor that is a percentage of the total RWA 说，为了计算资本充足率，银行需要使用建模方法 RWA
calculated based on the standardized risk weight from Basel I 和标准化 RWA 的百分比中的较大者。其目的是通过使用
(BCBS, 1988). That is, to calculate capital adequacy ratio, that
banks are required to use the greater of modelled approach 模型方法对标准化方法的资本 (RWA) 减少进行水平设定，
RWA and a percentage of standardized RWA. The intention 并在银行的风险加权资本头寸之间建立可比性。然而，
was to level set the capital (RWA) reduction from using 在巴塞尔协议 I 中，没有针对市场风险和交易对手信用风
modelled approach over the standardized approach and 险的标准化方法，银行并未受到“资本下限”的广泛约束。
create comparability across the banks’ risk weighted capital 巴塞尔协议 IV 的主要变化之一是它要求所有风险类型的
positions. However, in Basel I, there was no standardized 下限计算都基于巴塞尔协议 III 标准化方法。预计这将影
approach for market risk and counterparty credit risk, banks 响部分使用建模方法节省大量风险加权资产的银行。根
were not widely constrained by the “capital floor”.
据 BIS 定量影响研究 (BCBS,2022 年），受资本底限限制的
One of the major changes in Basel IV is the requirement for 第一类银行的数量从现行规则下的 12.2% 增加到巴塞尔
the floor calculation to be based on Basel III standardized 协议 III 下的 21.1%。这意味着大约五分之一的银行将受
approach for all risk types. This is expected to impact a 到标准化风险权重的限制，无法实现建模方法的全部好
portion of banks who have large RWA savings using 处。
modelled approaches. According to BIS quantitative impact
study (BCBS, 2022), the number of group 1 banks who are 在加拿大，由于正在实施积极的分阶段下限百分比，预
3
constrained by capital floor increases to 21.1% under Basel 计下限约束将对国内银行产生更大的影响。表 1 显示了
III from 12.2% under current rules. This means roughly 1 in 5 BCBS 与加拿大的最低百分比分阶段时间表。这意味着与
banks will be constrained by the standardized risk weights 世界其他地区相比，在加拿大标准化方法风险权重对按
and not be able to realize the full benefit of modelled 产品划分的监管资本回报率的影响更大。
approach.
在全球范围内，巴塞尔协议 IV 预计只会温和地增加大型
In Canada, the floor constraint is expected to have a greater 银行（第 1 组）的总资本要求，但对其他银行则相当显
impact for domestic banks, due to the aggressive floor 着。在巴塞尔协议 III 监测报告（2022 年）中，据报道，
phase-in percentage being implemented. Table 1 shows the 第 1 组银行的最低要求资本增加了 3.3%，而第 2 组银行
floor percentage phase-in schedule for BCBS vs Canada. This 报告称，到 2028 年将增加 8.8%（下限完全逐步实施）。
means that in Canada, return on regulatory capital by 考虑到大型银行的多元化相对较好，风险偏好有限，其
product will be much more influenced by standardized
approach risk weights than that in the rest of the world. 影响与巴塞尔协议 IV 的目标一致，即提高资本要求的风
险敏感性，而不仅仅是提高总体要求。
Globally, Basel IV is expected to increase the total capital
requirements only mildly for large banks (group 1) but quite
significantly for other banks. In the Basel III monitoring
report (2022), group 1 banks are reported to have a 3.3%
5
increase in minimum requirement capital while group 2
4
banks reported 8.8% increase by 2028 (floor fully phased-in).
Considering large banks are relatively better diversified with
limited risk appetite, the impact aligns with the goal of Basel
IV which is to increase the risk sensitivity of the capital
requirements rather than merely increase overall
requirements.

2023 2024 2025 2026 2027 2028
BCBS 50% 55% 60% 65% 70% 72.5%
Canada 65% 67.5% 70% 72.5% 72.5% 72.5%
Table 1 Floor Phase-In Percentage

3 106 large internationally active banks with €3 Billion in Tier 1
capital, among them all 29 G-SIB
4 Based on banks’ target requirement level (e.g. CET1 ratio)
5 Banks that are not group 1 banks.
CCFA JOURNAL OF FINANCE August 2022 Page 23 第23页