Faced with the strict supervision of the off-balance-sheet business of banks by the central bank and the China Banking Regulatory Commission (the standard asset ABS business of banks is inefficient, and there are many restrictions on assets leaving the balance sheet), many banks (mainly nearly 190 city commercial banks and more than 800 rural commercial banks) hope to innovate their business and increase their business income, and pay attention to private ABS products one after another (the scale of private ABS issuance is several times that of bank standard asset ABS is a microcosm).
Broadly speaking, bank credit ABS (including private placement ABS) can be divided into five categories: peers, exchanges, quotation systems, banking centers and non-issuance places. Among them, the products issued by banks are public offerings and the rest are private offerings.
The main differences between bank standard asset ABS and private placement ABS are: (1) the range of assets that can be pooled; (2) examination and approval institutions and distribution efficiency; (3) product nature (this difference is also reflected in the private ABS issued by banks in different places).
Let's talk about the arbitrage risk of private ABS:
1. Risk of non-standard financial assets: It is not illegal for commercial banks to cooperate with non-bank financial institutions to design and issue such "asset-like securitization products", but considering their characteristics, such products are not asset securitization products and cannot be treated as asset securitization products, only as non-standard financial products.
2. Financial leverage risk: Take the private placement of ABS products of a city commercial bank as an example. If it is direct investment, the ROE (Return on Equity) is 47% according to the risk of 100%. After ABS, the risk accrual is 16% and the roe is 400% (that is to say, more returns can be obtained with less funds through financial leverage), which is the core of arbitrage supervision.
3. Issuer risk: The core design of ABS operation mechanism is its risk isolation mechanism, and the most typical design of risk isolation is the establishment of special purpose agency SPV(Special).
purpose
SPV is a high credit rating agency specially established for asset securitization, which plays an important role in asset securitization. At present, there is no detailed SPV supervision mechanism in China, and some banks, securities or trust companies play this role in the private placement ABS product structure, that is, athletes and referees.
4. Risk of information registration: Beijing Banking Regulatory Bureau found that 89% of privately-funded ABS products invested by a corporate bank were inter-bank offline transactions, and 1 1% were traded through the "Inter-agency Private Offering and Service System" of CSRC. The system only registers the product name, release time and coupon rate, but not the basic assets, rating report and other substantive information, so the buyer needs to consult the seller. Therefore, it is naturally risky for investment customers to invest in such products through bank capital channels under the environment of opaque information.
To sum up, the next steps and suggestions of relevant financial supervision are as follows: First, it is clear that the risk weight of the priority part of bank investment in such products is 100%, and the concepts must not be confused; Second, for the sponsoring bank that uses bank wealth management funds to undertake the inferior level of such products, it is required to calculate the capital according to the situation before the securitization of the basic assets.