Page 28 - CCFA Journal - 8th Issue

风险控制 Risk Management 加中金融
Summary: 总结

The Canadian Implementation of Basel IV with some 加拿大实施的巴塞尔协议 IV 与 BCBS 版本有一些偏差，通
deviations from the BCBS version has greatly enhanced the 过降低低 LTV 的常规用途住宅抵押贷款的标准化风险权重，
risk sensitivity for real estate secured products by lowering 并解决创收财产和过度融资的高风险，大大提高了房地产
the standardized risk weight for regular use residential 担保产品的风险敏感性。上述“风险较高”类型的抵押贷
mortgages with low LTV and addressing the heightened risk in 款的预计资本成本可能会显着增加。
income producing properties and over-levered borrowers
(those do not comply with B-20 guidelines). The projected 在 Covid-19 大流行期间，加拿大房地产市场经历了价格加
capital cost for a mortgage of the above-mentioned “riskier” 速升值，Teranet 房价指数（综合 11）从 2020 年 3 月的
types could increase significantly. 230 跃升至 2022 年 3 月的 302。同期，加拿大银行的一项

During the Covid-19 pandemic, the Canada housing market 研究（2022 年）显示，自 2015 年以来，个人投资者（不
experienced an accelerated price appreciation with Teranet 包括机构投资者和未利用加拿大抵押贷款的外国买家）的
house price index (composite 11) jumped from 230 in March 份额达到 21% 的历史新高（图 1）。尽管在所有投资用途
2020 to 302 in March 2022. During the same period, a Bank of 的房产中创收房产的比例尚不明确，人们有理由相信，向
Canada’s study (2022) shows that individual investors’ share 激进投资者和“过度杠杆”的个人提供抵押贷款的资本成
(excluding institutional investors and foreign buyers without 本增加将收紧房地产市场这一领域的信贷市场。根据 OSFI
leveraging a Canadian mortgage) reached a all time high at 21% B-20 住宅抵押贷款承销指南，银行被容许管理一小部分不
since 2015 (Figure 1). Although the share of income- 符合要求的抵押贷款账簿。这一部分信贷的成本将会随着
producing properties in all investment property purchases is 巴塞尔协议 IV 的实施而显著增加。总体而言，加拿大实
unknown, one has reasons to believe the increased capital 施巴塞尔协议 IV 与 OSFI 在降低金融机构对房地产市场的
costs for mortgages to aggressive investors and “over-levered” 风险方面采取的审慎做法是一致的，我们相信这将为银行
individuals will discourage banks to maintain or expand their 降低其抵押贷款投资组合的风险提供正确的激励措施，同
credit appetite in this segment of the real estate market, 时继续维持或进一步发展自用或其他通用住宅抵押贷款。
include residential mortgages that do not meet OSFI B-20
underwriting guidelines. Overall, the Canadian
implementation of Basel IV is consistent with OSFI’s prudent
approach in de-risking financial institutions’ exposure to the
housing market, we are confident this will provide the right
incentives for banks to de-risk their mortgage portfolio, while
continue to maintain and grow portfolios for self-use or other
general purpose residential mortgages.

sources: Bank of Canada Housing demand in Canada: A novel approach to classifying mortgaged homebuyers - Bank of Canada

Reference Basel Committee on Banking Supervision (2004). Basel II:
International Convergence of Capital Measurement and Capital
Basel Committee on Banking Supervision (2017): Basel III Standards: a Revised Framework
Finalizing Post-Crisis Reforms
Basel Committee on Banking Supervision (2010). Basel III: A
Basel Committee on Banking Supervision (2006). Basel II: global regulatory framework for more resilient banks and
International Convergence of Capital Measurement and Capital banking systems (Bank for International Settlements, Basle).
Standards: A Revised Framework - Comprehensive Version
Basel Committee on Banking Supervision (2009). Principles for
Federal Deposit Insurance Corporation (1997). History of the sound stress testing practices and supervision (Bank for
Eighties - Lessons for the Future. Federal Deposit Insurance International Settlements, Basle).
Corporation.
Basel Committee on Banking Supervision (2022). Basel III
Basel Committee on Banking Supervision (1988). International Monitoring Report February 2022
convergence of capital measurement and capital standards
Bank of Canada (2022). Housing demand in Canada: A novel
ElBannan M., (2017), The Financial Crisis, Basel Accords and approach to classifying mortgaged homebuyers
Bank Regulations: An Overview, International Journal of
Accounting and Financial Reporting, Vol. 7, No. 2.

CCFA JOURNAL OF FINANCE August 2022
Page 28 第28页