主權債與信用違約交換投組於實施FRTB標準法前後之資本計提比較

Abstract

本文簡介巴賽爾協定市場風險資本計提之發展背景、以及FRTB上路後新標準法之認列架構，並以主權債與信用違約交換所組成之投組為實例計算新舊標準法下資本計提異同。本文發現實施FRTB後信用評等為BBB之印尼投組的資本總額成長約1.6倍，主要來自外匯風險與信用價差風險的增加；此外，FRTB於避險效果的認列上更為仔細，印尼投組之信用相關風險於新標準法下可節省資本達72.8%、高於舊規之50%；而若比較相同策略、跨信用評等投組之資本計提，則信評為BB-之巴西投組於實施FRTB後成長幅度最大達1.83倍，為高收益級風險權數與信用價差敏感性較高等原因所致。

In this research, we introduce the development of the Basel Accord, especially for the market risk, and the standardized approach in the upcoming framework, Fundamental Review of the Trading Book (FRTB). After reviewing the structure of new capital requirements, we take a portfolio composed of the sovereign bond and CDS as an example. We find out that the capital of an Indonesia portfolio with BBB ratings increases by around 65.8% after the implementation of FRTB, mainly because of the rising capital in FX risk and credit spread risk. Besides, the offset regulation becomes more detailed, with 72.8% capital offset under FRTB, bigger than 50% under the current approach. Last but not least, comparing different ratings in the same trading strategy, we notice that a Brazil portfolio with BB- ratings has the highest 83.3% capital requirements’ growth, which may be due to the high risk weights for HY ratings and sensitivity of credit spread risk.