城市商业银行不良资产证券化——以“钱塘一期”为例.pdf

摘 要 近些年来，中国经济由高速发展向高质量发展转型，经济下行以及结构性调 整，新旧产业的转型使得中国国内金融风险大幅上升，商业银行的不良贷款率和 不良贷款余额自2012 年以来不断上升。不良资产证券化作为处置不良资产的一 种手段，在2016 年重启之后，已有多家银行试点使用。杭州银行作为第二批试 点银行中三家城商行之一，在2018 年10 月22 日成功发行“钱塘2018 年第一期 不良资产支持证券”。作为由中小型城商行发行的最新一例资产支持证券，“钱塘 一期”的交易结构设计、级次设计、增信措施及入池资产选择可以为第三批更大 范围的试点银行（包括多家城商行及农商行）提供思路及参考。 本文以“钱塘2018 年第一期不良资产支持证券”为研究对象，首先描述了 我国不良资产现状，并且就当前银行处置不良资产的八种方式比较优劣势。然后 介绍了不良资产证券化自2016 年重启之后的产品现状以及存在的问题，并且以 美国与韩国为代表介绍了国外不良资产证券化的交易模式。通过介绍本次产品发 行的主要参与方、交易结构设计、级次设计、增信措施分析发行动因、产品交易 要素以及发行效应，总结本期产品发行过程中的启示，并分别从微观层面以及宏 观层面给出操作层面以及政策层面的建议，包括入池资产的组合、信息披露机制 的完善等，为之后试点银行提供借鉴。 关键词：商业银行；资产证券化；不良资产 I Abstract In recent years, China's economy has transformed from high-speed development to high-quality development, economic downturn and structural adjustment. The transformation of new and old industries has caused China's domestic financial risks to rise sharply. Non-performing asset securitization, as a means of disposing of non- performing assets, has been used by many banks on a trial basis since its restart in 2016. Hangzhou Bank, as one of the three city commercial banks among the second batch of pilot banks, successfully issued "Qiantang's first phase of non-performing asset-backed securities in 2018" on October 22, 2018. As the latest example of asset-backed securities issued by small and medium-sized city commercial banks,The transaction structure design, grade design, credit enhancement measures, and asset selection of the "Qiantang Phase I" can provide ideas and references for the third batch of larger pilot banks (including multiple city commercial banks and rural commercial banks). This article takes “Qiantang's first issue of non-performing asset-backed securities in 2018” as the research object. It first describes the current situation of non-performing assets in