FRTB於利率衍生性商品之研究

Abstract

國際間自2023年1月1日起將實施交易簿基礎原則審視（Fundamental Review of the Trading Book, FRTB），此新資本計提規範相較於過去適用的Basel II.5市場風險框架有著重大的改變，將對金融機構帶來更高的資本監管標準與資本壓力，惟若知其然而不知其所以然，將無助於金融機構自身的風險與資本控管，因此，本文致力於比較過去Basel II.5市場風險規範與FRTB新舊兩框架下的標準法資本計提方法差異，以利率衍生性商品為研究對象，試算利率交換（Interest rate swap, IRS）、利率交換選擇權（Swaption）的資本計提，並剖析FRTB將影響資本計提增加的風險來源，以提升銀行業交易前台與風險控管單位對新法的認識。另外，FRTB的上路適逢LIBOR退場尾聲，本文亦探討由LIBOR轉變為SOFR報價對於資本計提的影響，以利接軌新法的上路與新利率指標的轉型。

Fundamental Review of the Trading Book (FRTB) will be implemented internationally on January 1st, 2023. Compared with previous Basel II.5 market risk framework, this new market capital charge framework introduces substantial reform. To gain a deeper insight into its influence, this paper compares the difference between Basel II.5 market risk framework and FRTB, demonstrates capital charge calculation on interest rate derivatives, such as interest rate swap (IRS) and swaption, and finally analyzes the sources of risk which increases capital charge under FRTB. Furthermore, since FRTB implementation timeline overlaps nearly the end of LIBOR transition, this paper also studies on the impact of LIBOR transition on capital charge requirements. Overall, this paper aims to enhance financial institutions’ understanding in FRTB and help them smoothly integrate FRTB with more robust internal risk management.