Research On The Pricing Of Non-performing Asset Securitization Of Commercial Banks

Relevant data show that in the past five years,the non-performing loan amount and non-performing loan ratio of China's banking industry have shown a double upward trend.As of the end of 2018,the non-performing loan amount of China's banking industry was 203.22 billion yuan,and the non-performing loan ratio was 1.87%.Compared with 2017,the amount of non-performing loans increased by 326.5 billion yuan,and the NPL ratio increased by 0.13%.It can be seen that the disposal of non-performing assets by the banking industry is imminent,and the non-performing asset securitization as an emerging means of disposing of bad assets in the banking industry has caused extensive discussions among scholars.For the securitization of non-performing assets,the most important issue is its pricing.From the issuance instructions for non-performing asset securitization products,we can see that the pricing process can be divided into three parts:the first part is to determine the valuation of the underlying assets and the forecast of cash flow,the second part is to determine the issue amount,and the third part of it is to determine the issue rate.In this paper,combined with the “Jianxin2016-2” product issuance specification,the qualitative and quantitative analysis of the methods and results of the first part of the underlying asset valuation and cash flow forecasting shows that CCB has a conservative attitude towards the issuance of this product.For the second part of the issue amount from the perspective of ordinary bonds using the static cash flow discount method,from the perspective of implicit options using the least squares Monte Carlo pricing method for pricing analysis,found the theoretical results from the above two perspectives basically the same,but higher than the actual issue amount.The third part of the issue rate is verified by the no-arbitrage pricing method and the no-arbitrage pricing method considering the probability of default.The empirical results are also higher than the actual issuance rate,and the empirical results based on the no-arbitrage pricing method are more close to reality.