【FRTB】為什麼銀行需要持有資本？

一、什麼是FRTB？

FRTB是金融業監管機構 (BSBC)對銀行關於「市場風險的資本要求」的規則框架的全面改革。

FRTB (Fundamental Review of the Trading Book) is a pretty hot area in regulations in the financial industry. Today, we will not go into too much details of FRTB but will give a high level overview of what is FRTB, the background of FRTB, the main purposes for a bank to hold a certain level of capital, and 3 approaches to increase capital.

The FRTB overhauls the market risk capital requirements to meet the objectives of the BCBS (Basel Committee on Banking Supervision) in its effort to address shortcomings of the current market risk framework.

二、銀行為什麼需要持有資本？

1）銀行資本是一種資金來源。

一家新銀行需要有資金來支付在土地、房屋和設備資本投資等方面的初始成本。原有銀行需要有資本金來支持發展，維持正常經營和使經營手段現代化。另外資本還用來支持重大的結構調整，如收購和兼并。

2）銀行資本承擔銀行經營的非預期損失。

對於銀行來說，使用較少的資本是放大（或槓桿撬動）資產收益和獲得較高資本回報率的一種方式。監管機構則傾向於增加資本，以保證在發生虧損的情況下銀行的安全和穩健。

3）舉個例子: 什麼是 Capitalising trading activities

資本是銀行在不破產的前提下可以吸收損失的資產。資本越多，能夠吸收的損失越多，但也意味著槓桿越小，盈利越小。

To understand capital, think about how a financial firm does business. In a typical transaction, a firm pays for an investment with a combination of debt and equity. The more debt, or leverage, that finances the transaction, the more money the firm can make (or lose).

Say a firm pays for its investment with 80% borrowing and 20% equity. By using debt, the firm can magnify the return it makes on its equity. This is a principle banks use when determining how to finance their operations.

A banks capital is analogous to equity in the above example. More capital (so, less debt) means banks are more able to withstand losses. But it also means that they cant make as much money. This dynamic - more capital leading to lower returns - helps explain why banks tend to argue that holding more capital is "expensive".

But even banks wont deny that capital is essential. Without it, the tiniest loss would put a bank out of business.

Think about capital in this way: it designates the percentage of assets that a bank can stand to lose without becoming insolvent.

Shareholders, who contribute to capital, agree to absorb losses if the bank fails on hard times. So, capital is a measure of banks potential to absorb losses.

三、修改「市場風險資本要求」的背景

從金融危機中我們發現，原來的銀行交易賬戶的資本要求不足以吸收損失。2009年，BCBS 出台了關於市場風險資本要求的修改意見（巴塞爾2.5）。但是由於整個框架仍然存在短板，BCBS決定全面修正交易賬戶的資本要求框架，於是就有了FRTB。

The financial crisis exposed material weaknesses in the overall design of the framework for capitalising trading activities. The level of capital required against trading book exposures proved insufficient to absorb losses.

As an important response to the crisis, the Committee introduced a set of revisions to the market risk framework in July 2009. At the time, the Committee recognised that the Basel 2.5 revision did not fully address the shortcomings of the framework. In response, the Committee initiated a fundamental review of the trading book regime, beginning with an assessment of "what went wrong".

四、修改「市場風險資本要求」的目的

1) 金融市場的穩定性，避免系統性風險

銀行與一般企業的特殊性首先在於銀行是高槓桿率機構和銀行在一國經濟中的重要地位。槓桿率指企業總資產與資本金的比率，一般企業的槓桿率不超過1倍，而銀行的槓桿率則高得多，一般在10倍以上；銀行，特別是大銀行在一國經濟中的地位要比一般企業重要的多。因此為防止銀行倒閉，就要對銀行的資本進行監管。所謂監管銀行的資本就是使銀行保持足夠多的資本，不出現資不抵債的情況。如果銀行體系中有許多家銀行出現了資不抵債的情況，就是出現的系統性風險。系統性風險會直接導致金融危機。

金融危機爆發之後，監管機構改革了對於銀行的監管標準。FRTB規則修改了資本要求的框架，旨在提高市場風險的資本標準。

BCBS reforms regulatory standards for banks in response to the financial crisis. The revision to the capital framework aim to contribute to a more resilient banking sector by strengthening capital standards for market risks.

2）監管規則的統一性

BSBC對於市場資本要求的改革也旨在讓不同管轄區或者國家的金融監管機構擁有統一的監管標準。

The revisions also reflect the Committees increased focus on achieving a regulatory framework that can be implemented consistently by supervisors across jurisdictions.

五、增加資本的三個途徑

1) 減少資產(assets)，以提高資本率，即資本(capital)對資產(assets)的比例

This does not actually increase the nominal level of capital, but it does increase ratio of capital to assets, which is one way that regulators measure the adequacy of a banks capital. If banks sell more of the things they own, that can have the effect of bolstering capital ratio.

2) 保留更多利潤，不分配紅利或者不股票回購

Retain more of their profit, and not pay it out as dividends or spend it on share buybacks.

3) 發行更多的股票

Sell more shares in the market. Thats generally unappealing to banks because the shares would very likely to be sold at a discount, and the new shares could dilute the stakes of other shareholders.

References:

· BCBS FRTB Consultation Document

· What Is Bank Capital, Anyway? (by WILLIAMALDEN)

· 銀行資本

MBA智庫百科，全球最大的中文經管百科銀行資本

作者｜張開眉

一個留英女孩的知識共享與生活拾遺。 歡迎留言，一起共享知識和討論觀點。

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