Research On The Non-performing Asset-backed Securities Products Of Bank Of China "Zhongyu 2017-2"

Non-performing assets securitization is a relatively stable and market-oriented way for the banking system to isolate non-performing assets from the statement.In 2016,China formally restarted the pilot project of non-performing assets securitization of commercial banks,and the regulators released 50 billion issuance volumes.However,as of 2018,the actual issuance volume of commercial banks only accounted for less than 80% of the release quota.On the one hand,China’s financial market is transiting from the bank-dominated stage to the weak market-dominated stage.During this period,commercial banks accumulated a large number of non-performing loans.The traditional ways of cancellation and reorganization are inefficient.Commercial banks have the motivation to carry out non-performing assets securitization business.However,after the pilot restart,the enthusiasm of commercial banks is insufficient,which is not perfect with the market environment,laws and regulations.On the other hand,the low level of standardization,complex product trading structure and high heterogeneity of pooled assets make it difficult for investors lacking experience and professional literacy to judge products and choose investment,which is also one of the reasons for the inactivity of the secondary market of non-performing asset-backed securities in China.Based on the above background,this paper chooses the "Zhongyu 2017-2" personal housing mortgage non-performing loan-backed securities issued by the Bank of China as the research object.The conclusion of the research has certain practical and theoretical significance,either from the perspective of the practice of nonperforming asset securitization of commercial banks in China or from the perspective of enhancing the timeliness of relevant research in the academic field after the pilot restart of asset securitization.。Firstly,this paper introduces the background of non-performing assets securitization,finds out the pain points in the developing industry,then analyzes the specific problems by selecting typical cases,qualitatively and quantitatively analyses the design of product transaction structure,and finally puts forward the measures to optimize the design of product asset pool and improve the attractiveness of product market.Among them,the introduction and analysis of the case is based on modern portfolio theory,cash flow valuation theory,Monte Carlo simulation and nonperforming asset backed securities trading design and other related theories.The research finds that the trust product Zhongyu 2017-2 has a series of problems,such as excessive tax and fees in the transaction process,flaws in the recovery prediction analysis method,high interest rate risk,single and independent credit enhancement measures,etc.Based on this,it is proposed that in order to ensure a better issuing environment for non-performing asset-backed securities in China,relevant laws and regulations should be perfected,and asset pool cash flow should be optimized.Gold flow valuation analysis method,dynamic management of asset pool data.Overall,in addition to the above problems,"Zhongyu 2017-2" product distribution effect is better.Since the Bank of China issued credit asset-backed securities in the national interbank bond market in 2014,its capital adequacy ratio and core first-level capital adequacy ratio have basically maintained a small growth momentum every year,and its operating profit has also increased considerably.In summary,the securitization of non-performing assets can bring some benefits to commercial banks,but if the risk is not well controlled,it may also bring impact to the financial market.It is important to do a good job in the design of product trading structure,improve the system and regulations,reduce the issuance cost through tax relief,improve the quality of information disclosure and other measures,and mobilize the investment enthusiasm of the secondary market,so as to "capital".Securitization,an important financial innovation,has become a market-oriented tool to promote the development of China’s financial bond market and optimize the asset structure of commercial banks.