The Research On Banks' Credit Asset Securitization Under Asymmetric Information

If the information is completely symmetric, from standard economic theory, the liquidity value that the credit asset securitization brings would be passed on to the borrowers in the form of lower loan rate. However, the information is really asymmetric, banks having better information about the loans' quality, they may only securitize the high-risk loans and keep the low-risk loans in their own portfolios by screening. Then the liquidity value that the credit asset securitization brings won't necessarily lower the loan rate. The dissertation mainly studies the effects of the credit asset securitization on loan rate under asymmetric information by a multistage dynamic game model between the bank and the serutitizer, and further analyses the result' apocalypse to our country opening credit asset securitization. In model, the securitizers contain "GSEs" and "non-GSEs". The former are sponsored by government without bankrupt risk, moreover they place in a monopolistic market. On the contrary the latter aren't sponsored by government, having bankrupt risk, and place in a completely competitive market because of their numerous quantity. The results of game reveal that neither "GSEs" nor "non-GSEs" securitize loans , the yield of security equal to the yield of no-risk asset, and the banks don't and have no necessity to screening loans. Notwithstanding "GSEs" placing in a monopolistic market, both "GSEs" and "non-GSEs" can acquire the normal profits only. This is because the banks place in the completely competitive market, the pressure of the competition indirectly makes "GSEs" can acquire the normal profits only. And, if both cost of credit asset securitization are same, the results of game are same, too. Their influences to the loan rate are also same. Furthermore, the cost of securitization is more, the depletion to the liquidity value is more. When the cost is equal to, or more than the liquidity value, the credit asset securitization is invalid. The research reveals that when there is no securitization to choose, banks will refuse the borrow-applicants with high default-risk and low screen-cost. However, when banks can securitize their loans, they will agree all applicants no longer refuse. This makes the liquidity value will not necessarily lower the loan rate, only when the cost of securitization is very small, it is possible. The research finds that the main persons who benefit from credit asset securitization are the borrowers with high default-risk and low screen-cost, not the borrowers with low default-risk. To the former, only when credit asset securitization can lower the loan rate, they can benefit from securitization. To the latter, if there is no securitization they can't get loans from banks, but when there is securitization they not only can borrow money from banks, but also have chance to pay low rate.