抵押品评估与信用风险管理

Collateral Evaluation and Credit Risk Management抵押品评估与信用风险管理,1. Why is Collateral Evaluation Important? 为什么抵押品评估重要2. Types of Collateral and Regulatory Pitfalls 抵押品种类和法规缺陷3. Evaluation of Collateral (Real Estate) 抵押品评估（房产）4. Evaluation of Collateral (Other Assets) 抵押品评估（其他资产）5. Protection of Collateral 抵押品保护Creation of Security Interest 担保利益的创立Perfection of Security Interest 担保利益的完善6. Collateral Management 抵押品管理Collateral Management for Credit Risk Management 信用风险管理中的抵押品管理Safeguarding the Enforcement 维护强制执行7. Enforcement of Collateral 抵押品的强制执行8. Extinguishing Security Interest in Collateral 抵押品利益的终止,Contents目录,Why is Collateral Evaluation Important?为什么抵押品评估很重要？,Why is Collateral Evaluation Important?为什么抵押品评估很重要？,The more accurate the evaluation, the more enhanced credit risk management in place. 对抵押品的评估越是准确，信贷风险的管理的准确性就越高 Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of banks equity capital. 实际贷款损失如果大大超过预计的违约损失率会导致银行的自有资本严重损耗。,Funding Cost资金成本,Operating Cost运营成本,Expected Loss (PD LGD) 预计损失,Unexpected Loss非预期损失 (Required Return Allocated Economic Capital),Value Added价值增加,MARGIN利润,价格PRICE,By reducing lossgiven default, thebank can reducethe margin without reducing value added. 通过降低违约损失，银行可以降低利润而不降低价值增加部分。,EL: Expected Loss预计损失PD: Probability of Default违约概率LGD: Loss Given Default违约损失率UL: Unexpected Loss非预期损失,Why is Collateral Evaluation Important?为什么抵押品评估很重要,LGD is estimated from default-weighted average loss rate during a certain time period. 违约损失率可以通过一段时间内的加权平均违约损失率估计出来Loss rate is given by: 损失率计算方法To reduce average loss rate, banks need to collect on the default exposure as much as and as fast as possible.为了降低平均损失率，银行应该尽快收回尽量多的资产。If a bank does not properly estimate collateral values, the collection upon default would become smaller and take a longer period of time, leading to a depletion of capital and lower profits.如果银行不能准确估计抵押品价值，违约后能够收回的价值就降低了，所需要的时间也更长，导致资本损耗了利润降低。,1 -,PV at the default date of recoveries + PV of costs associated with collecting回收物在违约日的现值+会收的相关成本的现值,EAD (Exposure at default)违约风险暴露,WrongCollateralEvaluation错误的抵押品评估,HigherWright-offs更高的坏帐核销,Capital Waste资本浪费,Higher LGDEstimation增高违约损失率,HigherProvision更高的坏账损失,Lower Profits利润更低,PV: Present value现值,Role of Collateral in Financial Intermediation I抵押品在金融中介活动中的作用 I,Collateral stabilizes financial intermediation抵押品稳定金融中介活动Collateral better aligns interests of the lender and borrower because:抵押品更好的使出借方和借用方的利益达成一致The lender can maximize the safety of repayment出借方可以使收回借款的可能性最大化The borrower will minimize the risk taking借用方可以使承担的风险最小化Without collateral如果没有抵押品:The lender will solely rely on borrowers cash-flow generated by the project (business) for the repayment.出借方只能依靠借用方项目（营业）产生的现金流来偿债The borrower tends to take more risks in the project (business), which may cause instability in generating cash-flow.借用方会承担项目（营业）更大的风险，这会导致无法生产足够的现金流There will be more vulnerable banks and more risky businesses in the economy, otherwise, resulting in shallow financial intermediation.经济环境中会产生更危险的银行和更有风险的行业，这样也会缩减金融中介活动。,Role of Collateral in Financial Intermediation II抵押品在金融中介活动中的作用 II,Lender 出借方(specifically)Encourage willingness of payment to reduce PL.鼓励出借方进行借款降低损失Substitute the repayments to reduce LGD.代替还款降低违约损失率Protects against borrowers over-borrowing.保护出借方不至于过度借债Borrower 借用方(specifically)Access to credit: let borrowers monetize their illiquid assets to raise funds获得融资：借用方可以抵押他们的非现金资产来获取资金Cost of Credit: potentially reduce funding costs for the lower EL calculated by the lender融资成本：潜在的降低了融资成本，因为出借方计算出的预计损失较低Overcoming asymmetric information problems: access to funds even in a financially difficult time, or even without audited financial reports解决了信息不对称问题：即是财务困难时期，或者没有审计后的财务报表，也可以获得融资,EL: Expected Loss 预计损失PD: Probability of Default 违约概率LGD: Loss Given Default 违约损失率UL: Unexpected Loss 非预期损失,2. Types of Collateral and Regulatory Pitfalls抵押品种类和法规缺陷,What is Collateral?什么是抵押品,Under modern collateral law systems, collateral can be any asset which produces future cash flow directly or indirectly, and can be created by any lender and borrower, in any present or future assets and in all transactions, to substitute payments for a part or the entire outstanding debt upon default. 在现代担保法体系中，抵押品可以是任何直接或间接产生现金流的资产，也可以是由任何出借方和借用方创造出来的，在违约时用现有或将来的资产以及交易中代替偿还部分或全部借款Under unreformed collateral law systems, there would be various constraints on asset types eligible for collateral, on persons or legal persons qualified to collateral agreements, or on the enforceability of some collateral, due to the lack of efficacy and integrity of the system. 在创新性的担保法体系中，由于系统缺乏有效性和不统一，其中有很多对抵押品资产形式，可以签署担保合同的个人和法人，或者是对抵押品的强制性实权的限制条件,Collateral Laws and Collateral Types担保法和抵押品种类,Collateral Law担保法Independent and comprehensive “collateral law” is rare: generally collateral law is a system which is constituted by several relevant laws and regulations.独立和综合的担保法很少见：通常担保法由一些相关法律和法规组成Extent of collateral抵押品范围After-acquired property事后取得的财产Proceeds收益Supporting obligation相关义务Unmovable Collateral不动抵押物Real Property: Land and Building房地产：土地和建筑物Plant and Equipment车间和设备Natural Reserves自然资源Timber to be cut待采伐的木材,Goods物品Consumer goods消费品Farm products农产品Inventory存货Equipment设备Fixtures固定设备Accessions添加物Intangibles无形资产Negotiable instrument流通票据Document of title物权凭证Investment property投资财产Account (book debt）应收款General Intangibles一般无形资产Other kinds of collateral其他抵押品Deposit accounts存款帐户Life insurance policy/health-care insurance receivable人生保险/应收健康保险金,Source: Collateral, Collateral Law and Collateral Substitutes, B. Balkenhol and H. Schutte,Social Finance Programme, Working Paper No. 26, p17来源：抵押品，担保法和担保替代品,3. Evaluation of Collateral(Real Estate)抵押品评估（不动产）,Principles of Collateral Evaluation抵押品评估原则,Collateral evaluation is not to find an accurate, unique price, but to find a price and logic which are realistic, practical, and acceptable by ordinary market participants. 抵押品评估并不是为了寻找一种精确的，唯一的价格，而是找到一个合理的、实际的、能够被普通的市场参与者接受的价格和方法。Evaluate collateral on the basis of the market value rather than book value. 抵押品的评估是依据市场价值而非帐面价值Apply the most conservative evaluation method. 采取最保守的评估方法If possible, collateral property should be located within a distance bank officers can take frequent visits. 如果可能，担保资产应该放在银行人员可以经常看得到的地方Watch the market price if its rising fast: a price bubble may be developing. 如果市场价格增长很快，那么小心市场价格，可能存在价格泡沫。,Basics of Land Collateral Evaluation土地抵押品评估基础,Step 1: Estimate a price par square meter/feet either by:估计每平方米/英尺价格方法：(1) The sales comparison approach 市场比较法(2) The income capitalization approach (mainly for lease properties)收益还原法（主要用于出租场地）(3) The cost approach (in case of houses and buildings) 成本法（用于房屋和建筑物）Step 2: Adjust the price by factors unique to the real estate 用房地产业独有的因素来调节价格 (1) Usage of the property房地产的用途(2) Trends of real estate price房地产价格趋势(3) Conditions of the property/nature of the surrounding area房地产的环境/附近地区的自然状况(4) Legal issues法律问题,Sales Comparison Approach市场比较法,If recent transactions or sells prices for the similar real estate are available in the city, town or village, the sales comparison approach provides good estimates.如果可以获得所在城市、城镇或乡村最近同类房地产的交易或销售价格，那么市场比较法可以提供很好的预测。,Price B (2,450$/m),Price A (2,000$/m),Price C (1,900$/m),Weighted-averageof A and B (Price D)A和B的加权平均价格,Unadjusted estimated Price E ($/m)?调整前价格,Note: Each price points should not beseparated by a major street or river, which affect the price differences 注：每个价格点不能被主要街道或河流分割，这会影响价格,150m,50m,70m,30m,(Price A 30) + (Price B 70),(Price D 150) + (Price C 50),Sales Comparison Approach: Example 市场比较法：举例,Evaluate the land price E.估计土地E价格Three recent real estate transactions around E.最近E的附近有三个交易A: $2,000, B: $2,450, and C: $1,900On the map, locate price D between A and B在地图上找到A和B之间的价格DDistances between these points are:这些地点的距离A-D: 70m, D-B: 30m, D-E: 50m, and C-E 150m.Then dollar price par square meter of E will be: E的每平方米价格是,Price D =,70 + 30,Price E =,50 + 150,= 2,315 ($/m),= 2,211 ($/m),Income Capitalization收益还原法 I,Find a geographically weighted-average rent price per unit of land in the same way before. 和市场比较法一样，找到每单位土地的加权平均出租价格,Rent price B (320$/month),Rent price A (350$/month),Rent price C (360$/month),Weighted-averageof A and B (price D)A和B加权平均价格,Estimated rent price E估计E出租价 ($/month?),Note: Each price points should not beseparated by a major street or river, which affect the price differences每个价格不能被主要街道或河流分割，这会影响价格,40m,10m,30m,15m,Calculate the present value of the rent income for the certain future period.计算将来一短时间内的租金收入的现值Income capitalization approach using rents may be used in a situation where a loan officer knows the property concerned has a certain value for the market, but there is no way to reasonably estimate and explain the value due to the lack of transaction.使用收益还原法时，贷款主管知道土地的市场价格，不过如果没有类似交易的时候，就没有办法合理估计和解释价值了。The estimated value may be much lower than a potential market value (additional margin for valuation uncertainty).估计的价值可能远低于潜在的市场价格（由于价格的不确定性而需要附加利差）It depends on banks loan policy, but time horizon should be limited to 10 to 12 years. 这取决于银行的贷款政策，不过一般的时间跨度应该在10-12年以内,Income Capitalization II收益还原法,Annual rent (maintenance cost + property taxes) 年租金-（维护成本+房产税）,PV= ,( 1 + r ),n,PV: Present value现值,Annual rent年租金 (33612)(maintenance cost维护成本 300),(Price D 40) + (Price C 10),(Price A 15) + (Price B 30),Income Capitalization Approach: Example收益还原法：举例,PV = ,( 1+0.08 ),t,Evaluate the land price E.估计土地E的价格Monthly rents of the three leasing properties are三个出租场地的月租金分别为: A: $350, B: $320, and C: $360Distances between these properties areE到这三个场地的距离分别是: A-D: 30m, D-B: 15m, D-E: 10m, and C-E 40m.Using the above information, estimated rent price E will be使用上述信息，估计E的出租价格是:Assume the annual maintenance cost including property taxes is $300, interest rate is 8%, and you calculate up to 10 years, then estimated collateral value is: 假设包括房产税的年维护成本是$300,利率*%，计算10年的估计担保价值是,Rent D =,30 + 15,Rent E =,10 + 40,= 330 ($/month),= 336 ($/month),t=1,10,= 25,042 ($),PV: Present value现值,Income Capitalization Approach III收益还原法,Basic concept of the capitalization rate收益还原法的基本概念“The capitalization rate itself is a function of the investors desired return and a combination of the costs of debt and equity employed in making the investment.” (Bower 2001)还原率是投资者希望获得的收益率，和借款和股权投资的成本。Factors affecting investors desired return on real estates影响投资者对房地产期望收益的因素 Culture, economic trends, other investment property type, other investment opportunities, etc.文化、经济趋势，其他投资财产，其他投资机会等In practice在实践中The most simplified way is to use available loan interest rates for such an investment as a capitalization rate.最简单的方法是使用类似投资的借款利率作为还原率When interest rates are used as a capitalization rate, loan officers must be aware that the interest rate does not include necessary returns for taking risks inherent to the investment, hence, the outcome overvalues the real estate.如果利率为用作还原率，借款主管必须知道利率中没有包括这项投资所承担风险所对应的回报，计算结果会高估价值。,Source: Understanding real estate values in a rising marketBrief Article, Gerald A. Bower, 2001/p/articles/mi_m3601/is_29_47/ai_71565185,Price Adjustment I价格调整,Usage of the property房产用途Own-use residential property自用住宅Most useful 最有用的Own-use farm and forest land/factory and warehouse自用农场和林地/工厂和仓库The income capitalization approach收入还原法Residential/business property for lease出租用住宅/商用房产物业Income capitalization approach收入还原法Rent prices in the neighborhood附近社区的出租价格Future occupancy rate estimation未来占用率预计Residential leasing property and business leasing property出租住宅物业和商用出租物业For sale出售Speculative in nature投机性,Price Adjustment II价格调整,Trends of real estate price房地产价格趋势Sales and transaction prices销售和交易价格Information from neighbors邻近地区的信息Information from experts, brokers, sales registries, and mortgage registries专家，经纪人，销售登记和抵押登记机构的信息Income level of the area该地区的收入水平Demand and supply conditions of the market市场的供求情况Published land prices and tax rates公布的土地价格和税率Regional development plan地区发展计划Availability of mortgage loan/foreign land ownership是否存在抵押借款和外国土地所有权,Price Adjustment III价格调整,Conditions of the property/nature of the surrounding area周边地区的房产/自然情况Geographic conditions, such as, close to the coast, river, cliffs, or located on tilted land, in a dip, on the weak stratum 地理情况，例如，靠近海滩，河流，悬崖或者位于倾斜的土地上，地层不牢固。Size of the real estate房地产的规模Shape of the real estate房地产的形状Location of the real estate in the block房地产在街区的具体位置Accessibility to the public roads是否可以方便地到达公共道路Accessibility to public and commercial facilities是否可以方便的到达公共和商业设施Existence of unfavorable facilities是否存在不良设施Municipal services available是否有市政服务,Price Adjustment IV价格调整,Legal issues法律问题Easements: restrictions, encumbrances, leases, reservations, covenants, contracts, declarations, special assessments, ordinances, or other items of a similar nature.地役权：限制，妨碍，租赁，保留，限制性条款，合同申明，特别估价，法令或者其他类似性质“Eminent domain”: in common law countries, the government may have the rights to buy real property without the owners consent for the purposes of public usage, such as public utilities, highway, airport, and railroads.征用权：在普通法系国家，政府有权力不经过所有者的同意购买房地产用于公共用途，例如公共设施，高速公路，机场和铁路。Legitimacy of buildings (illegal construction/usage)建筑物的合法性（非法建筑/使用）What are the most major methods to evaluate real estate collateral in your country?你们国家最主要的房产抵押评估方法是什么？,Note: When the above legal issues are involved, the price of the property coulddrop substantially. 注意：当涉及到以上法律问题时，房地产的价格可能会大幅降低,4. Evaluation of Collateral(Other Assets)抵押品评估（其他资产）,Collateral Evaluation I抵押品评估,Farm Product/Inventory农产品/存货Market price basis依据市场价格Interview with major buyers采访主要买家Market liquidity市场流动性Market size市场规模Market volatility市场波动幅度Perishable products容易腐烂变质的产品Dealer listings, market sales reports经销商清单，市场销售报告Location of the storage存储场地,Collateral Evaluation II抵押品评估,Mobile Vehicle机动车Secondhand car market price basis二手车市场价格Interview with experts and dealers采访专家和经销商Maker, type, popularity, market, in case of inventory如果是存货：制造商，种类，普及程度，市场Age, depreciation schedule, unpaid taxes, prior lien, in case of equipment设备：使用年限，折旧时间，未交纳的税款，之前的留置权Governments import tax policy or other policies affecting market政府的进口税政策和其他影响市场的政策,Collateral Evaluation III抵押品评估,Intangibles无形资产Negotiable instrument: validity of the instrument, obligor, credit rating, maturity, type of transaction: collateral/repurchase agreement/discount流通票据：票据的有效性，债务人，信用等级，交易类型：担保/回购合同，折扣Document of title: bill of lading: validity of the document, location of the property, quantity, species/variety, measure/weight, value per unit, quality, condition, schedule, as well as marketability and market price.物权凭证：提单：单据的有效性，财产所在地，数量，种类/品种，尺寸/重量，单位价值，质量，条件，时间表以及可销售性和市场价格Investment Property: issuer, credit rating, market price, market volatility, (maturity), OTC/exchange投资财产：发行者，信用等级，市场价格，市场颇动幅度（到期日），场外交易/交易方式Account (book debt): obligors, the extent of diversification, the length of terms, aging schedule, the past default rate应收款：债务人，多元化程度，期限长度，帐龄时间，过去的违约情况General intangible: variability of the right (document), terms and conditions, restrictions contained in the document, marketability, etc.一般无形资产：所有权（单据）的可变性，条款和条件，文件中的限制条件，可销售性，等,5. Protection of Collateral抵押品保护,Creation of Security Interest担保利益的产生,Elements to create valid security interest:担保利益产生的要素The debtor has rights in the collateral*债务人对抵押品有所有权A security agreement must be authenticated by the debtor担保合同必须由债务人A security agreement must contain a description of the collateral担保合同中必须包含对抵押品的描述A security interest cannot attach unless “value” is given*除非给定“价值”否则不能附加担保利益“A value” in security agreement担保合同中的“价值”A value is set in accordance with an amount intended to cover existing or future credit outstanding in part or in total.价值要能够达到现有或将来的部分或全部贷款额Other Issues其他问题Inter-creditor agreement贷款机构间协议Pari-passu charge比例平等抵押Creation of security interest alone cannot preserve creditors priority over lien creditors and other secured parties with an interest in the same collateral. 仅仅使用担保利益不能保证债权人可以优先于留置债权人和其他对抵押品有权力的债权人,*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p57, 92, 95,Perfection of Security Interest担保利益的完善,After perfection the secured party is protected against other creditors and transferees of the debtor and in particular, against any representative of creditors in insolvency proceedings instituted by or against the debtor.*在完善担保利益之后，被担保方的利益对其他债权人和债务人的转让方是被保护的，特别是在债务人破产时，对其他债权人代表而言。Depending on the jurisdiction, different collateral may have different rules for perfection根据权限，不同的抵押物有不同的完善规则Perfection upon attachment alone单独附加的完善Temporary perfection in certain collateral特定抵押物的暂时完善Perfection by pledge or possessory security interest通过抵押或拥有担保利益来完善Perfection by filing (registration)归档（登记）完善Perfection where filing is required under a special law特定法律规定需要通过归档来完善Perfection by public notice (example: news paper advertisement)通过公告来完善（例：报纸广告）,*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p123,6. Collateral Management抵押品管理,Collateral Management抵押品管理,Collateral Management抵押品管理Collateral management includes two risk management concepts: 抵押品管理包括两项风险管理概念(1) Collateral management for credit risk management信贷风险管理的抵押品管理(2) Safeguarding the enforceability强制行使权的保护,CollateralManagement抵押品管理,CollateralManagementfor CRM抵押品管理,SafeguardingtheEnforceability保护强制行使权,Safe Custody/Collateral Book保管/抵押品登记册,Credit File信贷档案,Record Keeping档案记录 Revaluation/Reappraisal against credit exposure根据信用风险再评估/再评价,Numbering/Tagging编号/标签 Maturity Management到期管理 Renewal of security interest 更新担保利益 Periodical check of inventory 定期实物检查,Credit File信用档案 I,Record Keeping档案管理Appraisers name, the effective date of the evaluation, and signature and address (when the evaluation is outsourced)鉴