A Research On The Motives And Decision-Making Of Credit Assets Securitization Of Commercial Banks

Securitization,efficiently using of which could facilitate performance promotion of commercial banks,is an external financing tool for banks in need of liquidity or credit risk release.China's bank loan securitization rebooted in 2012,and there are several distinctive characteristics that marked the market development during the year after 2012.There is a significant change of market status commercial banks loan securitization before and after the year 2016.The securitization issuance volume backed by normal loans has been roaring but issuance backed by non-performing loans stays depressed.Commercial banks seem to have no interest in using securitization to deal with non-performing loan.The market development come with a series of new regulations upgrades,the core frameworks of which are information disclosure and risk retention schemes that seem to0 strict for an initial-stage market.Thus,under such market and regulation circumstance,a through research on why and how China commercial banks do loan securitization would be of both theoretical and practical necessity.Literatures on developed financial markets mainly focus on the motives and effects of securitization such as liquidity risk or credit risk releasement,profitability enhancement,on which empirical results are consistent and solid.But given the status quo of China's securitization,what are the motives and their determinants? Is there any distinctiveness facing financing demands? These are questions need to be answered.Research on motives of securitization of China's commercial banks emerged around the year of 2012,which are neither systematic nor successive,but no solid evidence shows the existence of the three major motives above.And research on the decision-making securitization is rare.Thus,this dissertation presents a theoretical model based on motives of securitization to deduce the decision-making constraints and strategies of commercial banks,and conducts an empirical analysis to inspect the the characteristics of the three major motives in recent securitization issuance.Distinguishing from developed securitization markets,China not only implements such a strict regulation to an infant state market,but also practices securitization issuance according to the quality of underlying loan assets.Therefore,firstly the dissertation chooses normal loan backed securitization as the research object,and builds a linear program model base on securitization motive hypothesis and decision-making theory.This model aims to find the decision-making constraints and related financing strategies of commercial banks under certain liquidity risk shock and credit risk shock,and to find influence of the newly implemented risk retention regulation to securitization decision-making.Secondly,an empirical analysis is conducted to reveal the relationship between the motives and the determinant factors such as liquidity indicators,credit risk indicators and also performance indicators base on data from financial reports of China public listed commercial banks dating from 2013 to 2019,which is intentionally split into two parts,namely tryout stage(2013-2016)and start-up stage(2017-2019).The empirical analysis also includes the detection and comparison of the motives of different types of banks.Thirdly,the theorical model is extended to non-performance loan(in short as NPL)securitization to reveal the relationship above,and to analyses the inadequate development of NPL securitization.The major findings are as follows:(1)The theoretic model gives a series of decisionmaking constraints and corresponding financing strategies for commercial banks when to decide whether use normal asset securitization as financing tool or part of a financing portfolio,under three scenarios of liquidity risk dominant,credit risk dominant and relative balanced scenario of the two risks aforesaid.Meanwhile,it is found that the supervision rules of risk retention make the conditions stricter for normal loan securitization to replace sub-debt financing.(2)There exists a motive transition during the data period,and motives like liquidity risk management,credit risk management and profitability improvement emerges togethers with the securitization market development.And the motives are different among different types of banks.The monetary policy variable has a significant influence to loan securitization.(3)The extended model reveals the conditions for non-performing loan securitization to take effects,and the loan-sale-discounting ratio is a dominant variable in nonperforming loan securitization,which deactivates capital requirement releasing effect and financing cost reducing effect of securitization.The high loan-sale-discounting ratio has been holding back commercial banks from securitizing non-performing loans.This dissertation makes the following contributions:(1)The theoretical model based on China's market and regulation status presents the mechanism that how the motives and riskretention rules affect the decision-making of commercial banks upto a series of financing senarios,and the conclusion of the model can be used as a decision-making tool and reference.(2)The empirical analysis enriches research findings by an in-depth thought on market developing segmentation,bank type difference and monetary policies,and being conducted with quarterly report data which meets the securitization issuance cycle.(3)The extended model on non-performing loan securitization and the data analysis of NPL securitization in China based on the NPL model extend the research field of the NPL securitization in China.