| As a new and effective way to deal with non-performing loans of banks,the principle of non-performing assets securitization is to analyze the overdue loans within banks and reassemble them in a certain way.It classifies non-performing assets into five levels and matches them according to their grades.Through recombination,the overall quality of assets is balanced and the liquidity speed is accelerated,which can effectively maintain the normal operation of the banking system.In 2008,the outbreak of the subprime mortgage crisis in the United States stopped the pilot work of all credit asset securitization businesses,including non-performing asset securitization products.After the economic crisis,the non-performing loan rate of Chinese banks has been rising,which endangers the development of banks.At the same time,the data show that from 2014 to 2016,the non-performing loan rate of the Bank of China is also rising,from 1.18% in 2014 to 1.46% in 2016.The traditional ways of collection,restructuring and write-off have been difficult to alleviate the pressure of banks.For this reason,in 2016,China restarted the pilot work of non-performing assets securitization,and actively coped with the difficult problem of non-performing assets disposal to ease the pressure of banks.This paper chooses Zhongyu's second phase of non-performing assets securitization in 2017(hereinafter referred to as "17 Zhongyu II")products for analysis,uses the method of comparative analysis and data analysis to find out the problems existing in the products,and verifies the risks caused by the problems through income calculation and KMV model,and puts forward corresponding suggestions for the existing problems.This paper has four parts: the first part is the introduction,introduces the background,purpose and significance of the study,typical and representative cases;the second part is the background of the case,the underlying asset information,transaction structure information and credit enhancement are introduced,to understand the product as a whole;the third part is the key part of this paper,the case of potential.Problem analysis,first of all,through the comparative analysis of basic assets concentrated distribution,the high correlation between the assets.Secondly,by comparing with other domestic and foreign products,the product of external credit enhancement is not perfect,so that the issuer to reduce income.Again,through the quantitative KMV model,found that the product of default risk is relatively high.Finally,through the analysis of collateral disposal factors after calculation,found that the collateral cash flow volatility recovery.These potential risks will bring losses to the issuer or investors at any time.The fourth part puts forward the corresponding suggestions for the problems in product design,and finally to summarize.According to the analysis results of this case and the characteristics of other products in China and foreign countries,this paper summarizes several suggestions for designing non-performing assets securitization products.The main suggestions are that the construction of asset pool should conform to the principles of asset reorganization and risk dispersion,improve the quality of basic assets,increase the types of mortgages,improve the external credit enhancement methods and institutions.Risk isolation between them;improve the database to ensure the accuracy and integrity of data and other measures.It is hoped that through these suggestions,the design of non-performing assets securitization products in China will be more scientific and the market will be more perfect... |
PDF Full Text Request