A Study On The Non-performing Asset Securitization Of China's Commercial Banks

The traditional business of China's commercial banks has been affected by the economic downturn,the balance of non-performing loans and the non-performing loan ratio show a "double rise" phenomenon,which brings great business risk to the banks.The non-performing asset securitization is an effective way to deal with the accumulation of non-performing assets of commercial banks,which can move the non-performing assets off it's balance sheet,increase the liquidity and reduce the risk.The successful issuance of "Zhongyu 2016-1" marked the formal restart of the securitization of bad credit assets of commercial banks,which will play an important role in enhancing the turnover rate of bank loans and resolving the "shortage of assets" in financial markets,further supporting the domestic real economic development.In this thesis,the case of securitization of Zhongyu 2016-1 non-performing asset is analyzed through four aspects,which are the trading institutions,credit enhancement,securities pricing and risk analysis.We focus on the way of credit enhancement and trading institutions.The conclusions are as follows:(1)the design of the product's transaction structure use a variety of risk-prevention measures to enhance the liquidity of securities and reduce the risk of senior securities;(2)For the first time the structure of the product use the external credit support to increase the credit rating and absorb more investors to participate in the securitization.(3)The pricing method is still using the way of simulated valuation and bid to evaluate the securities,which can not reflect the value of the product and inherent risk.On the basis of drawing on the advantages of the securitization products of "Zhongyu 2016-1" non-performing asset and the problems found in the course of the case study,this paper puts forward some suggestions on improving the market system construction,accelerating the practice of external promotion mode and strengthening the independence of the rating system,Not only to make up for the lack of existing literature,but also for China's rapid development of non-performing assets securitization provides a reference.