Research on Non-performing Loan Securitization of Chinese Commercial Banks

【摘要 (中文/英文)】 为妥善处理银行的巨额不良资产己经成为世界各国必须面对的一个重要问题。由于历史原因,我国商业银行体系积累了大量的不良资产,极大的影响了金融业的发展。资产证券化起源于20世纪70年代,以其旺盛的生命力在全世界范围内迅猛发展。目前我国商业银行和资产管理公司的处置手段不能很好地满足快速、批量处置巨额不良资产的要求。利用证券化手段化解不良资产,对我国金融业平稳发展具有重要意义。通过不良资产证券化,可以分散和降低我国商业银行风险,改善商业银行的资本结构、提高资本充足率,提高商业银行资产的流动性,提高金融体系效率。 不良资产证券化最突出的问题是,大部分不良资产无法带来稳定的现金流,这导致不良资产的定价非常复杂,不确定性相当大。加上我国资本市场不够成熟,相关的法律法规还很不完善,不良资产如何证券化对资产管理公司、证券中介机构以及金融研究人员而言的确是一个全新的课题。 首先从商业银行不良资产证券化的理论入手,介绍商业银行不良资产证券化相关概念与基本原理,不良资产证券化的特点。其次运用历史研究法和比较研究法,剖析国外发达国家不良资产证券化的实践与我国实际操作的不良资产证券化产品的最新实例——“东元2006...更多-1重整资产支持证券”,从而发现我国目前商业银行不良资产证券化模式的特点以及运作中存在的一些问题。最后,针对我国目前不良资产证券化的运作情况,提出我国商业银行不良资产证券化的模式与交易结构改进设计方案,以及相应得生态环境建设。现阶段受制于目前的法律环境, SPV采取信托模式是目前我国商业银行不良资产证券化模式的现实选择,但是在交易结构的细节方面需进行改进,主要表现在以风险分散理念构建资产池;加强内部增级,扩展外部增级,扩大信用评级的时间范围与空间范围;放宽申购利率区间等方面。另外,为促进我国商业银行不良资产证券化,应完善相关法律、制度环境建设、资本市场建设等生态环境建设。因此,对资产证券化理论研究分析和我国目前不良资产证券化实际案例的经验总结将具有重要的理论意义和现实意义。 

To deal with large scale of non-performing loans is a very important issue facing all countries. The large scale and growing non-performing loan and the pending open-up of finance sector to the world compel Chinese commercial banks to take full advantage of their own ability to solve the problem of non-performing loan. In the early 1970S,securitization was principally an American financing technique. Now the measures that commercial banks and asset management companies take cannot meet the need of dealing with large scale of non-performing loans. So to find the best way of dealing is a big issue for the existence and development of commercial banks. Non-performing loan securitization has significant role in ensuring the stable development of our finance industry. Non-performing loan securitization can decentralization, reduce the risk of our commercial banks, improve the capital structure, increase capital adequacy, asset liquidity and advance the competitiveness of our banking industry. First, this paper introduces the relative concept of securitization, its characteristics and terms of use, the core and basic principles, the mechanism of securitization. Then, it uses and compares the foreign experiences for reference, and combines Dongyuan2006-1 NPL ABS to analysis the weakness, and threats that we face with in the securitization of non-performing loan of Chinese commercial banks. Last but not least, it makes some suggestions on the design of model and transaction structure for the development of securitization. At present, Adopting the trust model of SPV in securitization is the realistic choice of non-performing loan securitization of Chinese commercial banks. And to promote the development of the non-performing loan securitization of Chinese commercial banks, related legislation and regulation work should be made.

【关键词 (中文/英文)】 不良资产; 资产证券化; 现金流; 资产池; 特殊目的机构

Non-performing loan; Securitization; Cash flow; Asset pool; SPV