Page 27 - CCFA Journal - 8th Issue

加中金融 风险控制 Risk Management

Below we go through an example of a residential mortgage 下面我们将通过一个住宅抵押贷款的例子以及巴塞尔协议
and the expected capital impact under Basel IV. IV 下的预期资本影响。
Assume a borrower has residential mortgage with Bank A for 假设借款人在 A 银行有住宅抵押贷款，用于创收财产，抵
an income producing property, with $500,000 mortgage 押贷款余额为 500,000 美元。我们使用加拿大的平均抵押
balance and property value of $800,000. We use the average 贷款拖欠率 0.17% 来近似违约概率，并使用 10% 的违约损
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Canadian mortgage arrear rate, 0.17% , to approximate the 失率（基于较低的贷款房屋价值比率）。在模型化方法下，
probability of default, and 10% for Loss (percentage) given 该抵押贷款的 RWA 为 17,771 美元，遵循以下等式。
default (due to low loan to value ratio). Under the modelled
approach, the RWA for this mortgage would be $17,771, ( )
following the equation below. = [LGD ∗ N + (0.999) − ∗
√1 − 1 −

( )
= [LGD ∗ N + (0.999) − ∗ = ∗ 12.5 ∗
√1 − 1 −

= ∗ 12.5 ∗
其中 N(x) 是标准化正态分布 CDF； G(z) 是 N(x) 的反函数；
where N(x) is the standardized normal distribution CDF; G(z) PD、LGD、EAD 标准分别代表违约概率、违约损失和违约
is the inverse function of N(); PD, LGD, EAD standard for 风险敞口。 R 是相关因子，目前在当前资本要求下设定为
Probability of Default, Loss given Default and Exposure at 15%（OSFI 2019）
Default respectively. R is the correlation factor, currently set
at 15% under the current capital requirement (OSFI 2019). 如果我们假设一家银行的目标是维持 10% 的资本比率（可
用资本/总 RWA），那么该抵押贷款所需的资本将为每年
If we assume a bank targets to maintain a 10% capital ratio 1,777 美元。再次假设这家银行的平均资本回报率为 10%，
(available capital/Total RWA) and the required capital for this 在银行资产负债表上进行抵押的资本成本将是每年 177 美
mortgage would be $1,777 per year. Assuming again the
average return on capital for this bank is 10%, the capital 元。在加拿大实施巴塞尔协议 IV 时，相关因子已增加到
costs for carrying the mortgage on its balance sheet would be 0.22。该抵押贷款的 RWA 将增加到 28,272 或相当于每年
$177 per year. In the Canadian implementation of Basel IV, 283 美元的资本成本，即增长 59%。考虑如果银行受限于
the correlation factor has been increased to 0.22. The RWA 标准化资本下限，假设该抵押贷款的 LTV 为 65%，则该抵
for this mortgage will increase to 28,272 or equivalent to a 押贷款的有效 RWA 将为余额的 45%。在 2023 年（2023 年
capital cost of $283 per year, which is a 59% increase. 的最低百分比为 65%），资本成本将为每年 1,463 美元，
Consider if the bank is constrained to the standardized capital 增幅高达 800%。
floor, assuming the LTV of this mortgage is 65%, the effective
RWA for this mortgage would be 45% of the balance. In the 但是，银行可能会为用于创收目的的抵押贷款或不符合
year of 2023 (floor percentage of 65% in 2023), the capital OSFI 对 B-20 指南的预期的抵押贷款的系统、模型和贷款
cost would be $1,463 per year, a whopping 800% increase. 政策实施产生更多费用。一些银行可能会出于购买创收物
业的目的而完全停止放贷，或者如果借款人在住宅空间中
However, banks may incur more expenses for system, model 不符合 OSFI B-20 准则。
and lending policy implementation for mortgages for income
producing purpose or those that do not meet OSFI
expectation with regards to B-20 guidelines. Some banks may
stop lending altogether for the purpose of purchasing income
producing properties, or if the borrower does not meet OSFI
B-20 guidelines in the residential space.

11 Canadian Bankers Association February 2022
CCFA JOURNAL OF FINANCE August 2022 Page 27 第27页