观韬解读｜不良资产证券化重启的优势与机遇 Rebooting NPA securitization
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专家策略资产证券化
美国次贷危机于2008年的爆发曾促使全球市场对金融衍生品进行反思，不良资产证券化业务也一度在中国停摆。然而，随着中国经济下行压力加大，不良资产率连续多个季度攀升，市场广泛寻找处置不良资产的方法，封存多年的不良资产证券化又重新被市场关注。
《不良贷款资产支持证券信息披露指引(征求意见稿)》于2016年的发布就意味着不良贷款证券化即将重启。很多不良资产主要是短期缺乏现金流所造成的，如果能够投入相当的资金，不良资产很有可能变为优质资产。
资产证券化在融资方面优势明显：首先，融资成本低。处置不良资产需要大量的现金流，同时管理不良资产也需要高昂的成本。资产证券化中，融资资金的使用成本较低，比之银行信贷，可以避免较高的利息率；比之股权融资，可以降低融资成本，保持企业组织结构。同时还可以通过信用增级，突破不良资产自身信用评级的限制发行等级更高的证券。
第二，资产组合可降低单项不良资产的风险。根据投资组合原理,将负相关的证券进行组合,在不降低其预期收益率的情况下,可以使证券组合的风险低于单独持有任何一种证券风险。不良资产的信用等级较差、违约风险较大，但如果在证券化时将风险不同的资产组合成资产池，可相互抵消资产的单项风险，从而提高资产池整体收益水平的稳定性。
最后，风险隔离消除了融资者带来的收益支付风险。资产证券化结构设计中的最大亮点在于特殊目的载体（SPV）的设立。融资者通过“真实出售”将手中的基础资产转让给SPV，由SPV以此为担保来发行证券。
这种融资结构安排保证了资产证券化融资是以特定的资产而非融资者整体信用为支付的保证和信用基础。因此，对投资者的还本付息可以完全不受融资者自身财务状况的影响，从而降低了投资者和融资者的信用风险。既然不存在破产风险，也就不必考虑需要因此给予投资者的补偿。融资者因而降低了融资成本。
新机遇
不良资产证券化的重启也给企业与市场带来了新的机遇。首先，它可以增强企业抵御风险的能力。证券化让不同种类的不良资产进入同一资产池，实现风险对冲；并且通过资本市场加速了对不良资产的转移、隔离和集中处理，直接降低不良贷款的比率。
证券化还能使不良资产快速出表，净化表内资产，消化经济下行的风险积累，优化资产负债结构，增强业务运营能力、风险管理能力和核心竞争力。同时，市场化、批量化处理方式具有规模效应，节约了不良资产处置的经济和时间成本，提高了处置效率。
第二，证券化有助于降低企业不良资产存量。随着经济下行，企业短期内迅速处置不良资产的可能性减小；不良资产项目一般在经济较好时方能取得较高收益。但是，持有资产期间较长意味着管理或处置的风险较高。通过不良资产证券化，企业可尽快出售不良资产，并利用出售所得资金投资或发展新项目，既增加了流动性，也有助于调整业务结构。
第三，不良证券化能增加资本来源。资产证券化可以为企业提供新的融资途径，有效打破当前企业过度依赖银行借款的负债格局。此外，证券化能扩大企业的收益来源。企业通过不良资产证券化，一般能在不增加负债的前提下，有效盘活存量资金，获得低成本的资金来源，从而增加资产流动性。
专业处理不良资产的资产管理公司的机遇更是大大增加。资产管理公司传统上采用的是赚取利差的营利模式。企业履约能力的下降以及中国的利率市场化改革会大大压缩其营利空间。通过不良资产证券化，资产管理公司可以取得资产管理费、手续费等中介服务费收入，满足资本监管和杠杆监管的要求。资产管理公司还可趁此机会扩大不良资产主业规模，实现营利模式的转变；还可获得结构融资、证券发行等方面的经验，为未来的经营打下基础。
最后，不良资产证券化能够增加证券化市场上基础资产的多样性，丰富信用评级和收益率的梯次，从而进一步扩大资产证券化市场规模。同时，当前资本市场上的投资产品相对于日益增加的居民财富增长需求以及庞大的社会闲散资金仍显不足。
在股市风险较大的环境下，不良贷款证券化产品能为资本市场提供新的投资品种、拓展投资渠道、增加产品选择，在帮助企业有效解决不良贷款的同时，能满足不同投资者的风险偏好和日益多元化的投资需求。
Practitioners' perpectiveABS
Advantages, opportunities in rebooting NPA securitization
The crash brought on by the subprime lending crisis in the US in 2008 caused markets around the world to reconsider financial derivatives, and the business of securitizing non-performing assets (NPAs) was also suspended for a time in China. However, with the increasing pressures felt as a result of the weakening Chinese economy, the rate of NPAs has continued to rise for several consecutive quarters and the market has searched high and low for a means to dispose of such assets. The market has therefore taken a second look at NPA securitization.
The issuance of the Guidelines for Information Disclosures Relating to Non-Performing Loan Asset Backed Securities (Draft for Comment) in 2016 is a harbinger of the imminent restart of non-performing loan securitization. Many NPAs are mainly caused by a short-term cash flow shortage, and if a significant quantity of funds can be committed, the NPAs have a good chance to become quality assets.
In financing terms, the advantages of asset securitization are obvious.
First, the financing costs are low. Disposing of NPAs requires a large cash flow, while management of the same requires large costs. In asset securitization, the use costs of the financing proceeds are relatively low; compared to bank loans, relatively high interest rates can be avoided; and compared to equity financing, the financing costs can be reduced while the enterprise’s organizational structure is maintained. Additionally, the limit imposed by the credit rating of the NPAs themselves may be overcome through credit enhancement, to issue securities of a higher rating.
Second, an asset portfolio can reduce the risks of a single NPA. According to investment portfolio theory, combining negatively correlated securities can cause the risks of the securities portfolio to be less than the risks of any one type of security held, without reducing their anticipated return rate. The credit rating of NPAs is relatively poor and the risks of default are relatively high, but during securitization, if assets of different risk levels are combined into an asset pool, they can mutually offset the risks of single assets, thereby increasing the stability of the level of the returns of the entire asset pool.
Finally, risk remoteness eliminates the risks of the payment of the returns associated with the financed party. The major highlight in the design of an asset securitization structure is the establishment of a special purpose vehicle (SPV). The financed party removes the underlying assets from its hands by transferring the same to the SPV through a “genuine sale”, and the SPV uses these as security to issue the securities.
Such a financing structure arrangement ensures that the asset securitization financing takes the specific assets rather than the entire credit standing of the financed party as the payment guarantee and credit basis. Accordingly, the repayment of the principal and payment of interest to investors is entirely unaffected by the financial position of the financed party itself, reducing the investors’ and the financed party’s credit risks. Since the risk of bankruptcy is eliminated, there is no need to provide relevant compensation to investors, thus reducing the financed party’s financing costs.
The restart of NPA securitization also presents new opportunities for enterprises and the market. First, it can enhance an enterprise’s capacity to defend against risks. Securitization allows different types of NPAs to enter one asset pool to achieve risk hedging; and, through accelerated transfer, separation and centralized disposal of the NPAs by the capital market, the percentage of non-performing loans is directly reduced.
Securitization can additionally allow rapid removal of NPAs from the balance sheet, sanitization of the on-balance-sheet assets, digestion of the accumulated risks from the sliding economy, optimization of the asset-to-liability structure and strengthening of business operation capabilities, risk management capabilities and core competitiveness. Additionally, the market-based and mass disposal method has a scaling effect, reducing the economic and time costs of disposing of NPAs and enhancing disposal efficiency.
Second, securitization also helps reduce the quantity of an enterprise’s NPAs. With the weakening economy, the possibility that an enterprise can rapidly dispose of NPAs within a short timeframe decreases; and, generally, NPA projects can achieve relatively high returns only when the economy is doing quite well. However, holding assets for a relatively long period of time signifies that the management or disposal risks are relatively high. Through NPA securitization, an enterprise can sell the NPAs quickly and use the sale proceeds to invest in, or develop, a new project, increasing liquidity and helping it adjust its business structure.
Third, NPA securitization can increase capital sources. Asset securitization can provide enterprises with a new means of financing, effectively allowing enterprises to break their current over-reliance on bank borrowing. Securitization can also expand enterprises’ revenue sources. Through NPA securitization, an enterprise generally can revitalize existing funds, without in general increasing liabilities, and secure a low-cost fund source, increasing asset liquidity.
Asset management companies specializing in the disposal of NPAs are presented with even greater opportunities. Traditionally, asset management companies have adopted a profit model where they make their money on the spread. The weakening in enterprises’ performance capacity and China’s reform of market-based interest rates have greatly squeezed their profitability space. Through NPA securitization, asset management companies can earn asset management fees, handling fees and other such intermediary service fee income, satisfying capital regulatory and leverage regulatory requirements. Asset management companies can also take advantage of this opportunity to expand the scale of their main NPA business to achieve a transformation in their profit model; additionally they can obtain experience in structured financing, securities issuance, etc., laying the foundations for their future operations.
Finally, NPA securitization can increase the diversity of underlying assets in the securitization market and increase the number of credit ranking and return rate tiers, further expanding the scale of the asset securitization market. Additionally, as compared to the increasing wealth and demand of people and the vast sums of idle private funds, the investment products currently available in capital markets remain insufficient.
In an environment where stock market risks are relatively large, non-performing loan securitization products can provide new investment products for the capital markets, open investment channels and increase product choice. While helping enterprises in effectively resolving non-performing loans, such products can satisfy different investors’ risk appetites and their ever diversifying investment demands.
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注：本文首刊于《商法》月刊。
吕立秋
合伙人
观韬中茂北京办公室
电话：（86-10）6657 8066
传真：（86-10）6657 8016
电子邮箱：llq@guantao.com
顾放
律师
观韬中茂北京办公室
电话：（86-10）6657 8066
传真：（86-10）6657 8016
电子邮箱：gufang@guantao.com