资本新规下不良资产支持证券风险资本计提标准的适用性研究

Group 1: Capital Regulation Overview - The new capital regulation will be implemented on January 1, 2024, based on Basel III principles, significantly influencing the banking sector's future development[1] - Risk capital requirements for asset-backed securities (ABS) have been notably reduced, with AAA-rated securities' capital charge decreasing from 20% to 10%[1] - In contrast, the capital charge for non-performing asset-backed securities (NPL ABS) has increased, with AAA-rated NPL ABS now requiring a minimum capital charge of 100%, up from 20%[1][2] Group 2: Risk Capital Requirements - The capital regulation establishes differentiated risk capital requirements based on asset risk levels, with low-risk assets like cash and government bonds requiring a 0% capital charge[2] - High-risk assets, such as corporate loans, have a capital charge of 100%, while some extremely high-risk assets may require up to 1250%[2][3] - The capital charge for general ABS follows a similar pattern, with AAA-rated securities at 10% and BBB-rated at 55%[3] Group 3: NPL ABS Performance and Risk Assessment - Despite the higher capital charge, NPL ABS can still be attractive investments due to their structured layering and internal credit enhancements, which mitigate risks[8][12] - Data from 42 NPL ABS issued in 2023 shows that the actual recovery rates range from 1.17% to 37.49%, with most projects performing better than initial predictions[12] - The performance of priority NPL ABS has been consistent, with 27 out of 28 projects maturing earlier than expected, indicating low risk comparable to general ABS[12]