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1、Collateral Evaluation and Credit Risk Management抵押品评估与信用风险管理抵押品评估与信用风险管理1.Why is Collateral Evaluation Important?1.Why is Collateral Evaluation Important?为什么抵押品评估重要为什么抵押品评估重要2.Types of Collateral and Regulatory Pitfalls 2.Types of Collateral and Regulatory Pitfalls 抵押品种类和法规缺陷抵押品种类和法规缺陷3.Evaluation o
2、f Collateral(Real Estate)3.Evaluation of Collateral(Real Estate)抵押品评估（房产）抵押品评估（房产）4.Evaluation of Collateral(Other Assets)4.Evaluation of Collateral(Other Assets)抵押品评估（其他资产）抵押品评估（其他资产）5.Protection of Collateral 5.Protection of Collateral 抵押品保护抵押品保护Creation of Security Interest Creation of Security I
3、nterest 担保利益的创立担保利益的创立Perfection of Security Interest Perfection of Security Interest 担保利益的完善担保利益的完善6.Collateral Management 6.Collateral Management 抵押品管理抵押品管理Collateral Management for Credit Risk Management Collateral Management for Credit Risk Management 信用风险管理信用风险管理中的抵押品管理中的抵押品管理Safeguarding the E
4、nforcement Safeguarding the Enforcement 维护强制执行维护强制执行7.Enforcement of Collateral 7.Enforcement of Collateral 抵押品的强制执行抵押品的强制执行8.Extinguishing Security Interest in Collateral 8.Extinguishing Security Interest in Collateral 抵押品利益的终止抵押品利益的终止Contents目录1.Why is Collateral Evaluation Important?为什么抵押品评估很重要？为
5、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？为什么抵押品评估很重要？n nThe more accurate the evaluation,the more enhanced credit risk The more accurate the evaluation,the more enhanced credit risk management in place.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 n nL
6、arge actual loan loss exceeding the estimated LGD could lead to a Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of banks equity capital.serious depletion of banks equity capital.实际贷款损失如果大大超过预计的违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。约损失率会导致银行的自有资本严重损耗。Funding Cost资
7、金成本资金成本Operating Cost运营成本运营成本Expected Loss(PD LGD)预计损失预计损失Unexpected Loss非预期损失非预期损失(Required Return Allocated Economic Capital)Value Added价值增加价值增加MARGIN利润利润价格价格PRICEBy 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
8、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为什么抵押品评估很重要n nLGD is estimated from default-weighted average loss rate during a LGD is estimated from default-weighted average loss rate during a certain time period.cert
9、ain 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n nLoss rate is given by:Loss rate is given by:损失率计算方法损失率计算方法n nTo reduce average loss rate,banks need to collect on the default To reduce average loss rate,banks need to collect on the default exposure exposure as much asas muc
10、h as and and as fast asas fast as possible.possible.为了降低平均损失率，银行应该尽为了降低平均损失率，银行应该尽快收回尽量多的资产。快收回尽量多的资产。n nIf a bank does not properly estimate collateral values,the collection If a bank does not properly estimate collateral values,the collection upon default would become smaller and take a longer per
11、iod of time,upon default would become smaller and take a longer period of time,leading to a depletion of capital and lower profits.leading to a depletion of capital and lower profits.如果银行不能准确估计抵押品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。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
12、 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 Fin
13、ancial Intermediation I抵押品在金融中介活动中的作用 In nCollateral stabilizes financial intermediationCollateral stabilizes financial intermediation抵押品稳定金融中介活动抵押品稳定金融中介活动n nCollateral better aligns interests of the lender and borrower Collateral better aligns interests of the lender and borrower because:because:抵
14、押品更好的使出借方和借用方的利益达成一致抵押品更好的使出借方和借用方的利益达成一致n nThe lender can maximize the safety of repaymentThe lender can maximize the safety of repayment出借方可以使收回借款的可出借方可以使收回借款的可能性最大化能性最大化n nThe borrower will minimize the risk takingThe borrower will minimize the risk taking借用方可以使承担的风险最小化借用方可以使承担的风险最小化n nWithout co
15、llateralWithout collateral如果没有抵押品如果没有抵押品:n nThe lender will solely rely on borrowers cash-flow generated by the The lender will solely rely on borrowers cash-flow generated by the project(business)for the repayment.project(business)for the repayment.出借方只能依靠借用方项目（营业）产生的出借方只能依靠借用方项目（营业）产生的现金流来偿债现金流来偿债
16、n nThe borrower tends to take more risks in the project(business),which The borrower tends to take more risks in the project(business),which may cause instability in generating cash-flow.may cause instability in generating cash-flow.借用方会承担项目（营业）更大借用方会承担项目（营业）更大的风险，这会导致无法生产足够的现金流的风险，这会导致无法生产足够的现金流n n
17、There will be more vulnerable banks and more risky businesses in the There will be more vulnerable banks and more risky businesses in the economy,otherwise,resulting in economy,otherwise,resulting in shallow financial intermediationshallow financial intermediation.经济环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
18、介活动。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 IIn nLender Lender 出借方出借方(specifically)(specifically)n nEncourage willingness of payment to reduce PL.Encourage willingness of payment to reduce PL.鼓励出借方进行借款降低损失鼓励出借方进行借款降低损失n nSubstitute the repayme
19、nts to reduce LGD.Substitute the repayments to reduce LGD.代替还款降低违约损失率代替还款降低违约损失率n nProtects against borrowers over-borrowing.Protects against borrowers over-borrowing.保护出借方不至于过度借债保护出借方不至于过度借债n nBorrower Borrower 借用方借用方(specifically)(specifically)n nAccess to creditAccess to credit:let borrowers mone
20、tize their illiquid assets to raise funds:let borrowers monetize their illiquid assets to raise funds获获得融资：借用方可以抵押他们的非现金资产来获取资金得融资：借用方可以抵押他们的非现金资产来获取资金n nCost of CreditCost of Credit:potentially reduce funding costs for the lower EL calculated:potentially reduce funding costs for the lower EL calcul
21、ated by the lenderby 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n nOvercoming asymmetric information problemsOvercoming asymmetric information problems:access to funds even in a:access to funds even in a financially difficult time,or even without audited financial report
22、sfinancially difficult time,or even without audited financial reports解决了信息不对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
23、种类和法规缺陷抵押品种类和法规缺陷What is Collateral?什么是抵押品qqUnder Under modern collateral law systemsmodern collateral law systems,collateral can be any asset,collateral can be any asset which produces future cash flow directly or indirectly,and can be which produces future cash flow directly or indirectly,and can
24、be created by any lender and borrower,in any present or future assets 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 and in all transactions,to substitute payments for a part or the entire outstanding debt up
25、on default.outstanding debt upon default.在现代担保法体系中，抵押品可以是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或全部借款qqUnder Under unreformed collateral law systemsunreformed collateral law systems,there would be v
26、arious,there would be various constraints on asset types eligible for collateral,on persons or legal constraints on asset types eligible for collateral,on persons or legal persons qualified to collateral agreements,or on the enforceability persons qualified to collateral agreements,or on the enforce
27、ability of some collateral,due to the lack of efficacy and integrity of the of some collateral,due to the lack of efficacy and integrity of the system.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，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者是对抵押品的强制性实权的
28、限制条件Collateral Laws and Collateral Types担保法和抵押品种类n nCollateral LawCollateral Law担保法担保法n nIndependent and comprehensive Independent and comprehensive“collateral law”is rare:generally“collateral law”is rare:generally collateral law is a system which is collateral law is a system which is constituted b
29、y several relevant laws constituted by several relevant laws and regulations.and regulations.独立和综合的担保法很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少见：通常担保法由一些相关法律和法规组成规组成n nExtent of collateralExtent of collateral抵押品范围抵押品范围n nAfter-acquired propertyAfter-acquired property事后取得的财产事后取得的财产n nProceedsProceeds收益收益n nSuppo
30、rting obligationSupporting obligation相关义务相关义务n nUnmovable CollateralUnmovable Collateral不动抵押物不动抵押物n nReal Property:Land and BuildingReal Property:Land and Building房地房地产：土地和建筑物产：土地和建筑物n nPlant and EquipmentPlant and Equipment车间和设备车间和设备n nNatural ReservesNatural Reserves自然资源自然资源n nTimber to be cutTimb
31、er to be cut待采伐的木材待采伐的木材n nGoodsGoods物品物品n nConsumer goodsConsumer goods消费品消费品n nFarm productsFarm products农产品农产品n nInventoryInventory存货存货n nEquipmentEquipment设备设备n nFixturesFixtures固定设备固定设备n nAccessionsAccessions添加物添加物n nIntangiblesIntangibles无形资产无形资产n nNegotiable instrumentNegotiable instrument流通票
32、据流通票据n nDocument of titleDocument of title物权凭证物权凭证n nInvestment propertyInvestment property投资财产投资财产n nAccount(book debtAccount(book debt）应收款）应收款n nGeneral IntangiblesGeneral Intangibles一般无形资产一般无形资产n nOther kinds of collateralOther kinds of collateral其他抵押品其他抵押品n nDeposit accountsDeposit accounts存款帐户存
33、款帐户n nLife insurance policy/health-care Life insurance policy/health-care insurance receivableinsurance receivable人生保险人生保险/应收健康应收健康保险金保险金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
34、of Collateral(Real Estate)抵押品评估（不动产）抵押品评估（不动产）Principles of Collateral Evaluation抵押品评估原则1.1.Collateral evaluation is not to find an accurate,unique price,but to Collateral evaluation is not to find an accurate,unique price,but to find a price and logic which are realistic,practical,and acceptable fi
35、nd a price and logic which are realistic,practical,and acceptable by by ordinaryordinary market participants.market participants.抵押品评估并不是为了寻找一种精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。市场参与者接受的价格和方法。2.2.Evaluate collateral on the basis of the market valu
36、e rather than Evaluate collateral on the basis of the market value rather than book value.book value.抵押品的评估是依据市场价值而非帐面价值抵押品的评估是依据市场价值而非帐面价值3.3.Apply the most conservative evaluation method.Apply the most conservative evaluation method.采取最保守的评采取最保守的评估方法估方法4.4.If possible,collateral property should be
37、 located within a distance If possible,collateral property should be located within a distance bank officers can take frequent visits.bank officers can take frequent visits.如果可能，担保资产应该放如果可能，担保资产应该放在银行人员可以经常看得到的地方在银行人员可以经常看得到的地方5.5.Watch the market price if its rising fast:a price bubble may be Watch
38、 the market price if its rising fast:a price bubble may be developing.developing.如果市场价格增长很快，那么小心市场价格，可能存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。在价格泡沫。Basics of Land Collateral Evaluation土地抵押品评估基础n nStep 1:Estimate a price par square meter/feet either by:Step 1:Estimate a price par square meter/feet either by:估
39、计每平估计每平方米方米/英尺价格方法：英尺价格方法：(1)(1)The sales comparison approach The sales comparison approach 市场比较法市场比较法(2)The income capitalization approach(mainly for lease properties)(2)The income capitalization approach(mainly for lease properties)收益还原法（主要用于出租场地）收益还原法（主要用于出租场地）(3)The cost approach(in case of hous
40、es and buildings)(3)The cost approach(in case of houses and buildings)成本法（用成本法（用于房屋和建筑物）于房屋和建筑物）n nStep 2:Adjust the price by factors unique to the real estate Step 2:Adjust the price by factors unique to the real estate 用房地用房地产业独有的因素来调节价格产业独有的因素来调节价格 (1)Usage of the property(1)Usage of the property
41、房地产的用途房地产的用途(2)Trends of real estate price(2)Trends of real estate price房地产价格趋势房地产价格趋势(3)Conditions of the property/nature of the surrounding area(3)Conditions of the property/nature of the surrounding area房地产房地产的环境的环境/附近地区的自然状况附近地区的自然状况(4)Legal issues(4)Legal issues法律问题法律问题Sales Comparison Approach
42、市场比较法n nIf recent transactions or sells prices for the similar real estate are If recent transactions or sells prices for the similar real estate are available in the city,town or village,the sales comparison approach available in the city,town or village,the sales comparison approach provides good
43、estimates.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。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
44、 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150m50m70m30m(Price A 30)+(Price B 70)(Price D 150)+(Price C 50)Sales Comparison Approach:Example 市场比较法：举例n nEvaluate the land price E.Evaluate the land price E.估计土地估计土地E E价格价格n nThree recent real es
45、tate transactions around E.Three recent real estate transactions around E.最近最近E E的附近有三个交易的附近有三个交易n nA:$2,000,B:$2,450,and C:$1,900A:$2,000,B:$2,450,and C:$1,900n nOn the map,locate price D between A and BOn the map,locate price D between A and B在地图上找到在地图上找到A A和和B B之间的价格之间的价格D Dn nDistances between t
46、hese points are:Distances between these points are:这些地点的距离这些地点的距离n nA-D:70m,D-B:30m,D-E:50m,and C-E 150m.A-D:70m,D-B:30m,D-E:50m,and C-E 150m.n nThen dollar price par square meter of E will be:EThen dollar price par square meter of E will be:E的每平方米价格是的每平方米价格是Price D=70+30Price E=50+150=2,315($/m)=2,
47、211($/m)Income Capitalization收益还原法 In nFind a geographically weighted-average rent price per unit of land in Find a geographically weighted-average rent price per unit of land in the same way before.the same way before.和市场比较法一样，找到每单位土地的加权平和市场比较法一样，找到每单位土地的加权平均出租价格均出租价格Rent price B(320$/month)Rent pr
48、ice 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40m10m30m15mn nCalculate the present value of t
49、he rent income for the certain future Calculate the present value of the rent income for the certain future period.period.计算将来一短时间内的租金收入的现值计算将来一短时间内的租金收入的现值n nIncome capitalization approach using rents may be used in a situation Income capitalization approach using rents may be used in a situation w
50、here a loan officer knows the property concerned has a certain value where a loan officer knows the property concerned has a certain value for the market,but there is no way to for the market,but there is no way to reasonably estimate and explainreasonably estimate and explain the value due to the l