Page 24 - CCFA Journal - 8th Issue

风险控制 Risk Management 加中金融

Basel IV Changes for Real Estate Exposures

Under Basel IV, the risk sensitivity for real estate secured most by this change and are likely to pass on the increased
exposures has been greatly enhanced under the standardized capital costs to borrowers for commercial mortgages.
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approach, directly impacting the standardized banks . Although
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AIRB Banks are still allowed to use internal model approach to
calculate RWA, as mentioned previously, they are more likely to 巴塞尔协议 IV 对房地产风险敞口的变化
be subject to a RWA floor which is calculated based on
standardized risk weightings. The increased risk sensitivity 在巴塞尔协议 IV 下，标准化方法下房地产担保敞口的风险
under standardized approach mainly manifests in more granular 敏感性大大提高，直接影响标准化银行。尽管 AIRB 银行
risk weightings and the differentiated treatment for income 仍被允许使用内部模型方法来计算 RWA，但如前所述，它
producing vs non-income producing properties. 们更有可能受到基于标准化风险权重计算的 RWA 下限的
Correspondingly, under IRB approach, the correlation 约束。标准化方法下风险敏感性的提高主要体现在更细化
parameter has also been recalibrated to reflect the risk of 的风险权重以及对创收与非创收财产的区别对待。相应地，
mortgages associated with income producing properties and 在 IRB 方法下，相关参数也已重新校准，以反映与创收财
those that do not meet OSFI’s expectation related to OSFI B-20 产相关的抵押贷款风险以及不符合 OSFI 与 OSFI B-20 指南
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guidelines . 相关的预期的抵押贷款风险。
1. Increased Standardized Risk Weight for Income
Producing Properties
1. 增加创收资产的标准化风险权重
Basel IV standardized risk weights for real estate exposures are
differentiated by property type (commercial vs residential), the 巴塞尔协议 IV 房地产风险敞口的标准化风险权重按房地产
purpose of the real estate property (income producing vs 类型（商业与住宅）、房地产的用途（创收与一般）和贷
general) and the loan to value ratio (Table 2 below). Income 款与价值比率（下表 2）进行区分。与巴塞尔协议 II 相比，
producing property, given heavier risk weight compared to both 用于创收物业风险权重更大，被定义为“当偿还贷款的前
those under Base II and for general purpose property, is defined 景在很大程度上取决于为贷款提供担保的财产产生的现金
as “When the prospects for servicing the loan materially 流量，而不是潜在的借款人从其他来源偿还债务的能
depend on the cash flows generated by the property securing 力……”。更具体地说，“……如果在机构评估其偿还贷款能
the loan rather than on the underlying capacity of the borrower 力时所使用的借款人收入的 50% 以上来自住宅物业产生的
to service the debt from other sources…”. More specifically, 现金流，则该贷款应被视为具有重大依赖性。机构也可以
“…A loan should be considered materially dependent if more
than 50% of the income from the borrower used in the 将使用其内部物业用途指标确定的所有投资或出租物业归
institution's assessment of its ability to service the loan is from 类为创收并受制于表 11 中的风险权重，前提是可以应
cash flows generated by the residential property. Institutions OSFI 的要求显示其投资和出租物业的内部政策，要求该机
may alternatively categorize all investment or rental properties, 构将不到 50% 的财产总收入用于评估借款人偿还贷款的能
as identified using their internal property purpose indicators, as 力。”总之，创收物业是投资或出租物业的一个子集。鉴
income producing and subject to the risk-weights in Table 11, 于上述情况，我们预计银行将收紧对创收物业的贷款政策，
provided that their internal policies for investment and rental 不仅是因为资本成本上升，而且是为了维持这一“创收”产
properties can be shown, at OSFI's request, to require that less 品部门的运营成本。
than 50% of the gross income from the property be used in the
institution's assessment of the borrower's ability to service the 另一方面，商业房地产抵押贷款（商业抵押贷款）过去根
loan.” In summary, income producing properties make a subset 据借款人是个人、小企业还是公司而获得 75% 或 100% 的
of investment or rental properties. From the above, we expect 风险权重，将受到一系列风险权重的影响贷款价值比。受
banks to tighten their lending policies for income producing 影响最大的部分是个人或小型企业借款人，其风险权重将
properties, not only for the elevated capital cost but also the 从 75% 增加到 90% 或 110%，除非 LTV（贷款价值比）小
operational costs to maintain this “income producing” product 于或等于 50%。标准化银行（未经 OSFI 批准使用 AIRB 方
segment. 法计算信用风险 RWA 的银行）受此变化影响最大，并可
能将增加的资本成本转嫁给借款人进行商业抵押贷款。
On the other hand, commercial real estate secured loans
(commercial mortgages) which used to receive either 75% or
100% risk weight depending on whether the borrower is an
individual, small business or corporation, will be subject to an
array of risk weights based on loan to value ratio. The most
impacted segment is individual or small business borrowers for
whom the risk weight will increase from 75% to 90% or 110%
unless the LTV (Loan to Value ratio) is less or equal to 50%.
Standardized banks (banks who are not approved by OSFI to use
AIRB approach to calculate credit risk RWA) are impacted the

6 Banks who use the standardized approach to calculate RWA for
credit risk.
7 Banks who received OSFI approval to use Advanced Internal Rating
Based Approach to calculate RWA for credit risk
8 Final Revised Guideline B-20: Residential Mortgage Underwriting
Practices and Procedures
CCFA JOURNAL OF FINANCE August 2022
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