| The disposal of non-performing assets has always been one of the most concerned issues in China’s banking industry.Non performing assets will not only affect the profit margin and non-performing rate of commercial banks,but also lead to the imbalance of bank capital structure and the accumulation of risks.Therefore,banks need to spend huge human and material resources to reduce the scale of non-performing assets every year.Most commercial banks in China mainly adopt the method of batch transfer,because it can realize the release of non-performing assets,which is the fastest way to reduce the non-performing rate of banks.However,since batch transfer can only be used to dispose of public non-performing loans and can not fully meet the needs of banks to dispose of public and retail non-performing loans,banks turn their vision to a new financial instrument-Asset Securitization.Asset securitization has developed for more than 50 years since it sprouted in the United States in1968.The development of foreign asset securitization market has been very mature and is one of the indispensable financial instruments in the capital market.China officially introduced asset securitization in 2005,and the regulators issued corresponding policies to encourage its development.Although it was urgently stopped in 2008 due to the impact of the global financial crisis,asset securitization was restarted in 2016.After six years of development,asset securitization has become a hot new star in China’s capital market.However,at present,the development of non-performing asset securitization in China is not optimistic.The degree of commercial banks using asset securitization to dispose of non-performing assets is low.Affected by factors such as imperfect credit system,inactive secondary market,non-standard product pricing and asymmetric information disclosure,in fact,there are few banks issuing non-performing asset securitization products.The purpose of this thesis is to study the case of China CITIC Bank’s successful issuance of "Huiyuan2020-1",and analyze the response measures of China CITIC Bank on relevant risks according to the risks of China CITIC Bank’s issuance of non-performing asset-backed securities.The successful issuance of this product proves that the risk response measures of China CITIC Bank are indeed effective,which is conducive to other banks to learn from the successful experience;Then,the Z-score Model and KMV model are used to study the risk changes of China CITIC Bank after issuing non-performing asset securitization products.The research results show that the issuance of non-performing asset-backed securities by China CITIC Bank will indeed reduce financial risk and credit risk,which proves that asset securitization can reduce risk when dealing with bad assets,and it is necessary for other banks that have not yet carried out non-performing asset securitization to carry out this business.The thesis concludes that commercial banks can alleviate the possible sampling survey risk and due diligence risk in the asset pool by decentralizing the selection of samples and increasing the scale of sample selection;Using differentiated collection method,stress test scenario simulation and setting up liquidity reserve account to ensure sufficient cash flow can reduce cash flow risk;Through the mapping of static pool and asset pool and considering the influence of macroeconomic and other factors,adjusting the prediction of cash flow,establishing liquidity support institutions and investing trust assets in the highly liquid money market can alleviate the liquidity risk.According to the results calculated by Z-score Model and KMV model,the financial risk and credit risk of China CITIC Bank before and after the issuance have changed significantly.The risk degree after the issuance is lower than that before the issuance to a certain extent.The issuance of asset securitization has effectively improved the risk situation of China CITIC Bank.Therefore,the issuance of asset securitization products is conducive to reducing its own risk for a commercial bank.Through the research on the "Huiyuan 2020-1" non-performing asset securitization,we can not only promote the benign development of the non-performing asset securitization market and involve more investors,but also summarize the successful issuance experience of China CITIC Bank,which has great reference significance for domestic banks to dispose of non-performing assets. |
