商业银行发行或有资本债券与资产证券化行为的相互影响研究

The Interactions Between Contingent Capital Insurance and Asset Securitization of Commercial Banks

发行或有资本债券和进行资产证券化均可提高商业银行的资本充足率,因而二者存在替代关系。但是,资产证券化可以通过转移资产风险、提高流动性而降低或有资本的触发概率,而或有资本不触发转换时会提高债务成本,触发转换时则会对在位股东产生稀释效应,故发行或有资本债券的银行进行资产证券化的动机更多,反之亦然,从而使得二者之间存在互补关系。文章建立经济学理论模型,分析发行或有资本债券和资产证券化之间的相互影响,研究发现:发行或有资本债券与资产证券化之间的替代作用和互补作用均存在,且非常关键地依赖于具体的参数设定。在此基础上,对中国商业银行的相关实践提出政策建议。

Both contingent capital issuance and asset securitization help increase the capital adequacy of commercial banks, so that these two vehicles are substitutes in this sense. However, asset securitization transfers asset risks and increases asset liquidity and thus reduces the probability of triggering conversion of contingent capital bonds. Since the non-triggered contingent capital bonds increase leverage cost, while the triggered conversion dilutes the profit of incumbent shareholders, commercial banks issuing contingent capital bonds are incentivized to engage more in asset securitization, and vice versa. Therefore, these two vehicles are complements in this sense. In this paper, we establish a theoretical model to analyze the interactions between them, and find that both complement and substitute effects exist, the interactions between them critically hinge on specific parameters. Based on the findings, we provide policy suggestions for Chinese commercial banks.