Credit Asset Securitization And Commercial Bank Risk Resolution

With China's economy into the New Normal,China's commercial banks end up for ten years of gold growth period(2004-2013).Under the background of declining economic growth,interest rate marketization reform and structural adjustment of macroscopic credit delivery,the profit growth and quality of credit assets of commercial banks in China are declining,the traditional profit model is threatened and stock credit assets need to be revitalized.All of these pose challenges to the safety,liquidity and profitability of commercial banks.In 2012,the pilot reform of China's credit asset securitization restarted,which was considered to be the important instrument of revitalizing the stock assets and resolving the bad assets of China's commercial banks.And for many years,the practice of credit asset securitization in China has provided practice basis for the systematic study of credit assets securitization of China's commercial banks and the relevant issues.The questions of this paper are that whether China's commercial banks have the power and whether commercial banks can make full use of the securitization tools to solve the challenges or not.The questions can be decomposed into two interrelated sub-problems: First,when China's commercial banks,in certain conditions,will tend to carry out credit asset securitization business and expand the scale of it? Second,while China's commercial banks attempting to use securitization to resolve the risks,which kind of market conditions are needed? And as important participants of securitization market,the suppliers of credit assets,what direction the commercial banks themselves should focus on in the process of promoting securitization business?Based on the empirical data of credit asset securitization since 2012,this paper makes an empirical test on the driving factors of credit asset securitization of commercial banks in China,by adopting the binary discrete selection model and the Tobit model.These factors include indicators such as the NPL ratio,the capital adequacy ratio,the loan growth rate,the non-interest income share,and so on,reflecting bank's safety,liquidity and profitability.The driving power of the credit assets securitization comes from the NPL ratio,the capital adequacy ratio,the loan growth rate and the non-interest income ratio;and the driving effect is remarkable.Moreover,the bank scale and the deposit scale also have strong correlation with the credit securitization behavior.At the same time,taking into account the different habitude and scales of commercial banks in China,this paper makes a group study on large state-owned commercial banks and small and medium-sized commercial banks(joint-stock commercial banks,commercial firms and rural commercial banks).The empirical results show that,compared with the small and medium-sized banks,large state-owned commercial banks don't have sufficient endogenous power relatively in the initiation of credit asset securitization,and their participation in credit asset securitization behavior is driven by external policy.On the contrast,small and medium-sized commercial banks are more positive to initiate credit asset securitization because they want to solve the issues on the security,liquidity and profitability.In view of the empirical results of distinguishing behaviors of different-size commercial banks above,this paper gives a possible explanation of this phenomenon.At the same time,this article further points out that,in addition to improving the market environment and regulations,the commercial banks,as suppliers of credit asset products,should be committed to developing two different business-Mortgage-backed securitization(MBS)and non-performing loan securitization(NPLS).Large state-owned commercial banks should focus on issuing Mortgage-backed securitization(MBS)in a large scale,playing their own scale advantages,which can build a stable "bottom" in the early stage of the credit asset securitization market,providing high-quality,safe and standardized product types and enhancing market liquidity.And small and medium-sized commercial banks should focus on Non-performing loan securitization(NPLS),playing their own flexible advantages,which can enrich the supply of products in the securitization market and build a multiple securitization market matching every kind of risk-benefit.