资产证券化交易中的银行信用风险计量和资本监管研究

资产证券化业务在我国属于金融创新产品,其风险管理和资本监管依然是商业银行开展业务的关键要素。其中,对资产证券化的风险加权资产的衡量是计算资本充足率的重中之重。巴塞尔委员会对资产证券化计量框架的改革,体现了科学地简化处理、风险敏感度和审慎性提高的特点。本文着重从衡量资产证券化的风险加权资产出发,结合最新资本监管要求,分析了资产证券化交易对银行资本充足率的影响,阐述了交易中的"真实出售"和"风险自留"的意义,并就此提出了相关政策建议。     

我国专利证券化的机遇和风险

专利证券化（Patent Securitization）,是指发起机构把专利将来可能产生的现金流剥离于企业之外作为基础资产,转移给特殊目的机构（Special PurposeVehicle,SPV）,再由该特殊目的机构通过重新包装、信用评级以及信用增强等手段分离与重组基础资产中的风险和收益因素,并向投资者发行以该基础资产为担保的可流通权利凭证,借以为发起机构融资的金融操作过程。专利证券化是资产证券化在专利领域的延伸,它代表着资产证券化的基础资产由实物资本转向了知识资本,是金融证券领域的重要创新。     

房地产抵押贷款证券化的法律思考

一、住房抵押贷款证券化 住房抵押贷款证券化,是指商业银行等金融机构将其持有的住房抵押贷款债权转让给一家特别的专业机构(证券化机构),该机构以其收购的住房抵押贷款为基础而在资本市场上发行证券(主要是住房抵押贷款债券)的行为.     

住房抵押贷款证券化的经济效应分析

住房抵押贷款证券化就是对住房抵押贷款债权进行拆分整合并销售的过程。即住房抵押贷款机构将其持有的抵押债权汇集重组为抵押组群，经过政府机构或私人机构的担保和信用加强，转化为可在金融市场上流通的证券，进而通过发行证券在资本市场进行流通，完成住房抵押贷款机构将抵押贷款由债权变现的过程。住房抵押贷款证券化最早出现于20世纪70年代的美国。     

浅析机构投资者在国有资产管理体制改革中的业务机会

国有资产管理体制改革的核心是实现国资管理模式由资产管理到资本管理的转变,具体实现路径就是资产的资本化和证券化。国有资产管理体制改革为机构投资者在证券市场、咨询顾问以及投资银行业务领域扩展了发展空间。     

农村金融机构信贷资产证券化的实践与思考

近两年来,我国信贷资产证券化重启后进入快速发展轨道。在政策的支持下,首批农村金融机构展开了对信贷资产证券化的探索与实践。本文以江苏辖区内农村商业银行(以下简称JN农商行)为例,阐述了全省首单信贷资产证券化的实践情况,分析了信贷资产证券化对农村金融机构的积极影响,重点剖析了当前农村金融机构开展信贷资产证券化的制约因素,并有针对性地提出对策建议。     

浅析机构投资者在国有资产管理体制改革中的业务机会

国有资产管理体制改革的核心是实现国资管理模式由资产管理到资本管理的转变,具体实现路径就是资产的资本化和证券化.国有资产管理体制改革为机构投资者在证券市场、咨询顾问以及投资银行业务领域扩展了发展空间.     

关于资产证券化的几个问题

资产证券化作为资本市场上一种重要的融资工具,已越来越受到世界各方的关注。本文在介绍了资产证券化的概念与演变过程后,详细论述了资产证券化的运行机制,相信对中国新生的资本市场不无借鉴之处。     

对商业银行资产证券化的一些思考

随着我国资产证券化试点工作的正式启动,相关的法规日渐完善,资产证券化产品也将日益丰富。本文试图通过分析我国已成功发行的信贷资产证券化产品的一些特点,探析资产证券化将对发起机构和投资机构带来的益处。     

中国地方政府债务证券化研究

目前我国地方政府债务达11万亿,相当于2012年全国税收总和,地方政府债务问题引起了国家高层和学术界高度关注。资产证券化的化解方法相对于传统方式具有对发起人信用等级要求较低、融资成本较低、风险较低三大优势。本文结合地方政府债务证券化的操作步骤对在我国实施证券化可能存在的问题提出解决办法,同时重点分析特设机构如何构建与选择资产池,并对资产证券化发起人、特设机构及投资者这三大主体的收益分别进行研究。     

资产证券化的风险及其防范与化解

资产证券化业务是国际资本市场发展最快、最具活力的一种金融产品,它以其独特的筹资方式而具有高效的融资功能,同时也存在巨大的市场风险。随着我国资本市场的不断成熟,我国也开始试点,由于在经济环境、法律框架等方面的限制,我国实施资产证券化业务还面临许多障碍,为此我们必须加强对其风险的防范并采取有效的措施化解风险,不断完善我国资产证券化的模式和相关政策,使风险降到最小。     

Credit Card Securitization and Regulatory Arbitrage

This paper explores the motivations and desirability of off-balance sheet financing of credit card receivables by banks. We explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits banks to economize on capital by avoiding regulatory minimum capital requirements, and whether banks' avoidance of minimum capital regulation through securitization with implicit recourse has been undesirable from a regulatory standpoint. We show that regulatory capital arbitrage is an important consequence of securitization. The avoidance of capital requirements could be motivated either by efficient contracting or by safety net abuse. We find that securitizing banks set their capital relative to managed assets according to market perceptions of their risk, and seem not to be motivated by maximizing implicit subsidies relating to the government safety net when managing their risk. This evidence is more consistent with the efficient contracting view of securitization with implicit recourse than with the safety net abuse view.     

Securitization in Public Sector Finance

Already commonplace in the private sector, the securitization of future income streams is now being promoted in the public sector as a means of accessing investment capital. This article reports on a British university's securitization of 30 years' future rents on its student accommodation. Although the securitization made it possible to refurbish the residences, it has turned out to be costly in other respects. The authors conclude that investment returns in the public sector will rarely be sufficient to cover the finance costs of securitization; that the loss of the securitized income in labour-intensive public services is virtually certain to cost jobs; and that the accounting treatment of securitization needs to incorporate a realistic calculation of the movements in effective debt. Finally the article recommends that the value for money of any proposed public sector securitization should be independently checked by comparing its total cost of capital with the returns on its proposed uses.     

资产证券化的运行机理及其经济效应

资产证券化是20世纪最重大的金融创新成果之一,过去几十年间它获得了广泛应用和巨大成功,在次贷危机中却遭受重大挫折并给世界经济造成严重的负面冲击。本文通过理清资产证券化从资产的真实销售到经过各种技术处理变成能够在资本市场上具有投资特征的证券的过程,分析资产证券化给交易各方带来的收益和影响,将其促进效率的一面和增加风险的一面进行比较,寻求一种能够改进其现有运行机制效率的帕累托改进。     

Structural effects of asset-backed securitization

This paper analyses the potential changes in the operational structure of deposit-taking financial institutions that securitize assets. Findings indicate that banks can create an asset securitization pipeline structure that enables them to increase their return on capital. In other words, through securitization banks can expand their loan provision business without increasing their liabilities or their capital levels. Using a contingent claims model, four factors that impact on the bank's decision to securitize are highlighted and analysed: (i) the level of deposit insurance; (ii) capital adequacy requirements; (iii) insolvency risk; and, (iv) the risk of credit enhancements. Furthermore, we identify key accounting and regulatory challenges that emerge for banks from the process of asset backed securitization.     

跨期环境下的巨灾风险分担：一个比较分析

资本市场通过衍生品交易增强的管理风险能力,大大改善了其跨期风险分担功能。作为风险中介的再保险公司通过储备流动性的方式,在跨期风险分担方面具有比较优势,而传统的资本市场缺乏衍生品交易,更多地体现为跨地风险分担的功能。在资本市场的竞争压力下,直保公司和再保险公司都面临融资和风险转移问题,如果通过新的资本市场工具,将资产负债表上的成熟产品通过证券化的形式转移到资本市场上,那么资本市场将是有效率的。     

Securitization and financial solvency: empirical evidence from Portugal

This paper analyses the effect of securitization issues on the solvency of Portuguese financial institutions. For this purpose, we use an unbalanced panel model estimated using GMM methods and find that securitization has a slightly positive impact on the soundness of the issuing entity. We study 35 financial entities and 60 traditional securitizations issued by 9 originators between 2001 and 2013. The analysis reveals that the financial entities’ soundness improved slightly, showing that securitization enhanced the quality of the originators’ portfolios and increased the regulatory capital requirements. We also found that efficiency and profitability improve the risk-adjusted ROAA and that efficiency increases regulatory capital requirements. The robustness analysis confirms the positive effect of securitization on solvency, where both credit quality and liquidity are shown to be significant variables.     

贷款证券化、监管资本套利与资本监管改进

巴塞尔协议的资本充足率指标可以反映银行部门吸收风险损失的能力,但是无法监测和控制银行体系外的贷款总额和累积的信用风险。20世纪70年代的贷款证券化创新导致银行进行监管资本套利,并使得资本充足率监管趋于失效。本文基于贷款证券化下银行贷款余额与社会贷款余额的差异,分析银行监管资本套利的微观机制并提出改进资本监管的建议。     

Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?

Banks can choose to keep loans on balance sheet as private debt or transform them into public debt via asset securitization. Securitization transfers credit and interest rate risk, increases liquidity, augments fee income, and improves capital ratios. Yet many lenders still retain a portion of their loans in portfolio. Do lenders exploit asymmetric information to sell riskier loans into the public markets or retain riskier loans in portfolio? If riskier loans are indeed retained in portfolio, is this motivated by regulatory capital incentives (regulatory capital arbitrage), or a concern for reputation? We examine these questions empirically and find that securitized mortgage loans have experienced lower ex-post defaults than those retained in portfolio, providing evidence consistent with either the capital arbitrage or reputation explanation for securitization.     

Supervisory perspectives

Confidence in both financial institutions and markets must be re-built; this requires (1) better (model-based) valuation processes; (2) a more robust capital basis, including clarification and strengthening of the Basel II securitization framework; (3) improving the liquidity regime; (4) greater transparency; notably relating to structured products and off-balance sheet vehicles; (5) improved information from CRAs. The need is to find a balance that still fosters innovation, without leaving the system vulnerable to excesses.