Research On Credit Risk Of Non-performing Assets Securitization Of GY Bank "SY Phase 1,2022"

The current slowdown in Chinese economic growth has to some extent limited the expansion of bank credit business,and the risks accumulated during the period of rapid expansion of bank asset size have also begun to be concentrated and exposed.As of the end of 2022,the scale of non-performing assets in China’s banking industry has approached three trillion yuan,and the accumulation of huge amounts of non-performing assets has seriously threatened the healthy and sustainable development of the banking industry,impacting the stability of the entire financial system.In order to better dispose of non-performing assets,China is actively exploring new disposal methods.As a Financial innovation tool,non-performing Securitization has higher efficiency in the disposal of non-performing assets,but because its underlying assets are non-performing assets,it faces greater credit risk than ordinary credit Securitization products.It is also worth noting that the participation of urban commercial banks with relatively poor asset quality in issuing non-performing Securitization products is not high,and only four urban commercial banks have participated in the issuance so far,which is not conducive to the further development of China’s non-performing Securitization market.In order to smoothly promote the process of non-performing Securitization in China’s market and ensure the steady development of the domestic financial market,it is very necessary to study the credit risk of non-performing Securitization of urban commercial banks.GY Bank,as the city commercial bank that currently issues the most non-performing asset securitization products in China,has a certain representativeness in the products it issues.Therefore,this article takes the "SY2022 Phase 1" non-performing asset securitization product issued by GY Bank as the research object for credit risk research,which has significant reference significance for other urban commercial banks to carry out non-performing asset securitization business in the future.Firstly,this article uses the revised KMV model to measure the credit risk of the "SY2022 Phase 1" product.It is found that the product will experience credit rating downgrades and default risks under four pressure scenarios: a decrease in asset pool fund recovery rate,a change in duration,an expansion of issuance scale,and an increase in issuance interest rate.Secondly,this article analyzes the root causes of credit risk generated by the product from four aspects:asset pool quality,borrower repayment ability,experience and ability of major participating institutions in disposal,and transaction mechanism design.It is found that the credit risk of the "SY2022 Phase 1" product comes from: 1.low quality of pooled assets,a large proportion of suspicious and loss related non-performing loans,and uneven distribution of collateral in different regions;2.The geographical and occupational distribution of borrowers is too concentrated,and some borrowers have an aging problem;3.The ability of loan service institutions to clear non-performing loans is insufficient,and there are serious deficiencies in the ability of trustee institutions in fund management and risk control.The assessment methods of due diligence teams have limitations;4.The design of the transaction structure carries the risk of fund confusion,and the product lacks external credit enhancement measures.Finally,based on the analysis of the credit risk sources of the "SY2022 Phase 1" product,the article proposes the following suggestions and inspirations for preventing the credit risk of non-performing asset securitization products: firstly,the main participating institutions of the product should optimize their internal credit scoring mechanism,establish a separate department to manage related product risks,and improve the quality of loan collection;2.Market related departments need to expand the pilot scope,expand issuance venues,improve the service level of due diligence assessment agencies,and enhance the reputation and authority of credit rating agencies;3.Regulatory agencies need to improve corresponding laws,regulations,and supervisory management systems;4.In the subsequent design of non-performing asset securitization products,urban commercial banks should improve the quality of pooled assets,control the issuance scale and interest rate of the products,adopt a combination of internal and external methods for credit enhancement,and introduce third-party institutions as asset service institutions to avoid the risk of fund mixing.