期貨商風險資本之計提：ANC與BIS的比較

Calculation of Risk-Based Capital Requirement for FCMs: A Comparison of ANC and BIS Requirements

我國期貨商現以調整後淨資本額（ANC）比率作為風險管理之指標，但銀行業及證券業均已採用自有資本適足率（BIS）為指標，因而有期貨商應否使用BIS制度之倡議。本研究分析期貨商ANC與BIS比率，並以問卷調查期貨商對二制度之意見，研究結果發現ANC比率與BIS比率正相關，在金融風暴期間具替代性，且期貨商普遍認為BIS計算複雜，而ANC簡單易行並已適當反映期貨商之經營風險。在期貨商無金融他業多元化業務風險之前題下，導入BIS將增加期貨商之成本而無顯著實益。

Currently, the regulator in Taiwan applies Adjusted Net Capital (ANC) to supervise the capital adequacy of Future Commission Merchants (FCMs) in the futures industry. However, BIS ratio is applied to other financial industries, including banking and security industries. In this study, we analyze and compare ANC ratios and Bank of International Settlement (BIS) capital adequacy ratios of FCMs. In addition, we survey FCMs’ comments on the two ratios by questionnaire. The results show that, ANC and BIS ratios are positively correlated during the sample period, and FCMs generally believe that BIS capital adequacy ratio is complex and difficult to calculate daily. Therefore, supervising FCMs by using BIS capital adequacy is not yet to show effectiveness yet.