商业银行不良贷款证券化结构化分层机制

Structured Hierarchical Mechanism on Non-performing Loan Securitization of Commercial Bank

商业银行在开展信贷业务过程中.帯常会由于贷款本息无法及时收回而产生不良贷款。不良贷款的累积极易导致银行失败和银行危机,降低不良贷款率已经成为商业银行彷范运营风险的主要途径。不良贷款证券化是商业银行处置不良贷款的有效方法,尽管不良贷款证券化产品具有潜在的投资价值,但由于其未来现金回流存在不确定性,如果没有任何增信措施,这类产品很难得到投资人的认可。结构化分层机制是一种内部增信的方法,在没有外部増信支持条件下,通过在交易结构中引入结构化分层机制可以有效地降低投资风险,对于调动投资人的认购积极性具有十分重要的作用。本文首先对商业银行不良贷款证券化过程中的收入和成本情况进行分析,然后分别针对商业银行持有不良贷款全部份额、仅持有劣后级份额和仅持有中间级份额三种策略情况建立商业银行利益最大化数学模型,最后借助于Matlab工具,对毎种情况下商业银行的最优努力程度策略和最优持有规模策略进行研究。

In the process of commercial bank business, non-performing loans (NPLs) always come out as the principaland interest of the loans that could not be recovered in time. The accumulation of NPLs could lead to bank failures andbank crises, thus reducing the non-performing loan ratio has become the main method for commercial banks to avoidrisks. Non-performing loan securitization is an effective way for commercial banks to deal with NPLs. Although there ispotential investment value for the non-performing loan securitization products≫ it is difficult to be invested without anycredit enhancement because of the uncertainty of its future cash return. Structuration hierarchical mechanism is a methodof internal credit enhancement, it could reduce investment risk effectively for the structuration hierarchical mechanism inthe deal structure, which plays an important role in investment. This paper firstly analyzed the income and cost when thecommercial banks issued non-performing loan securitization. And then established the profit maximization mathematicalmodels of the commercial banks according to three strategies≫ that is, the full loan retention, the equity tranche retentionand the mezzanine tranche retention. Finally* the optimal effort strategy and the optimal tranche thickness had beenstudied under each strategy with the help of the software Matlab.