The Research On Credit Risk Of Hongfu 2020-2 Non-Performing Asset-Backed Securities Of Minsheng Bank

As China’s economic development enters the new normal stage,economic growth tends to slow down,the scale of non-performing loans of commercial banks keeps climbing,and the difficulty of non-performing assets disposal in the banking system continues to increase.As an innovative financial tool,NPAS provides a new idea for commercial banks to digest nonperforming assets,disperse liquidity risk and improve business performance.However,when promoting the securitization of non-performing assets,we should not ignore all kinds of risks,especially the scientific measurement and accurate prevention and control of the credit risk.This paper selects Hongfu 2020-2 non-performing asset-backed securities products as the research object,and introduces in detail the transaction structure design,asset pool composition and credit enhancement arrangement of the products in combination with the information disclosed in the product prospectus.Then,the credit risk of products is studied by the combination of qualitative analysis and quantitative analysis.Firstly,the credit risk sources of products are analyzed from the perspectives of asset pool,initiator and third party.Then,the default probabilities of superior and inferior securities are calculated by using the modified KMV model,and the changes of default probabilities of priority securities under different asset pool recovery rate,bond issuance scale and maturity are empirically tested.The results show that:(1)from the perspective of risk sources,The credit risk of Hongfu 2020-2 mainly comes from the basic asset pool——Unsecured Credit non-performing loans,and the credit risk is generally controllable;(2)The default probability of Hongfu 2020-2 priority securities is 2.70e04,and the credit risk is very low,which is in line with AAA rated securities;The default probability of subordinated securities is high,which can provide 22.92%credit support for priority securities under the hierarchical structure design;(3)The default probability of securities is inversely proportional to the expected recovery rate of the asset pool and directly proportional to the bond issuance scale and maturity period.The issuance scale of "Hongfu 2020-2"priority securities is within the safe bond issuance scale.Based on the conclusions of both theoretical research and empirical test,in order to mitigate and control credit risks,China’s commercial banks need to grasp the following points when issuing non-performing asset-backed securities:in terms of transaction structure design,apply a third-party institution as a loan service institution,which is independent of the initiating bank,and appropriately increase the issuance scale of securities within the limit of the safe issuance scale;in terms of asset pool construction,expand the selection of basic assets, introduce high-quality assets into the asset pool,and optimize the distribution structure of borrowers;in the application of credit enhancement methods,internal credit enhancement measures such as the hierarchical structure design and credit trigger mechanism should be improved,and the combination of external credit enhancement and internal credit enhancement measures should be actively introduced.