不良资产证券化的收益分析与风险管理——资产证券化对发起人的影响

An Analysis on the Return and Risk Management During Securitization of Non-Performing Assets-the Effect of Securitization on Originator

本文通过对证券化收益和资产池的预期现金流、外部证券发行额、融资成本、证券化成本之间定量关系的研究,首次量化分析并说明了资产证券化的总收益由利差收入、超额损失准备、现金回收增值三个部分构成,相对融资成本越低、初始损失准备越高、服务商处置能力越强,资产证券化的收益就越高,资产证券化所具有的提高不良资产现金回收率、增加收益、提供损失保护底线和提高资本回报率的作用就越强。本文还提出,发起人在通过资产证券化转移风险、改善财务状况的同时,不仅保留了部分风险,而且会暴露在新的风险敞口下,为此发起人需要建立有效的风险评估和管理体系,加强风险控制。

This paper expounded the calculation method of gain on sale and revenue on retained interest during non-performing assets securitization, analyze the relationship between return of securitizaiton and expected cash flow of asset pool, circulation volume of asset-backed security, funding cost, upfront cost. For the first time, this paper showed that the total benefit of asset securitization could be divided into three parts: excess spread, excess loss provision and value-added cash flow. Securitization of NPL could increase recovery rate and revenue, provide further loss protection and increase return on equity. Nevertheless, originating banks should carefully establish efficient risk evaluating system and strengthen internal management to control retained risk and new risk exposure generated during securitization.