对《商业银行资本管理办法》资产支持证券风险资本计量的几点思考

Group 1: Regulatory Framework - The "Commercial Bank Capital Management Measures" based on Basel III will be implemented on January 1, 2024, significantly influencing the future development of the banking industry[1] - The capital regulation aims to provide a foundational supervisory framework for commercial banks, particularly in the context of asset securitization[1] Group 2: Risk Capital Measurement - The new capital regulation redefines the risk asset measurement methods, with most banks expected to continue using the weighted method for loan risk capital and external rating methods for standardized assets like bonds and asset-backed securities (ABS)[2] - The risk capital measurement for ABS is notably influenced by the underlying assets, with the actual risk levels being closely aligned[2] Group 3: Capital Requirement Discrepancies - A comparison of risk capital requirements before and after securitization shows that the ABS requires approximately 3.3 times the risk capital of the underlying personal loans, indicating a significant overestimation of risk post-securitization[8] - Different tranching designs in securitization lead to varying risk capital measurements, with the total risk capital for ABS decreasing as more senior tranches are added[12] Group 4: Recommendations - It is recommended that the total risk capital required for assets before and after securitization should remain consistent, reflecting the actual risk levels of the underlying assets[17] - The risk capital measurement for subordinate tranches should not use a uniform ratio across different securitization structures, as this does not accurately reflect the varying risk levels associated with different tranching designs[17]