1、Collateral Evaluation and Credit Risk Management抵押品評估與信用風險管理,. .,1. Why is Collateral Evaluation Important? 為什么抵押品評估重要 2. Types of Collateral and Regulatory Pitfalls 抵押品種類和法規(guī)缺陷 3. Evaluation of Collateral (Real Estate) 抵押品評估（房產(chǎn)） 4. Evaluation of Collateral (Other Assets) 抵押品評估（其他資產(chǎn)） 5. Protection of

2、 Collateral 抵押品保護 Creation of Security Interest 擔保利益的創(chuàng)立 Perfection of Security Interest 擔保利益的完善 6. Collateral Management 抵押品管理 Collateral Management for Credit Risk Management 信用風險管理中的抵押品管理 Safeguarding the Enforcement 維護強制執(zhí)行 7. Enforcement of Collateral 抵押品的強制執(zhí)行 8. Extinguishing Security Interest i

3、n Collateral 抵押品利益的終止,Contents目錄,Why is Collateral Evaluation Important?為什么抵押品評估很重要？,Why is Collateral Evaluation Important?為什么抵押品評估很重要？,The more accurate the evaluation, the more enhanced credit risk management in place. 對抵押品的評估越是準確，信貸風險的管理的準確性就越高 Large actual loan loss exceeding the estimated LGD

4、could lead to a serious depletion of banks equity capital. 實際貸款損失如果大大超過預計的違約損失率會導致銀行的自有資本嚴重損耗。,Funding Cost資金成本,Operating Cost運營成本,Expected Loss (PD LGD) 預計損失,Unexpected Loss非預期損失 (Required Return Allocated Economic Capital),Value Added價值增加,MARGIN利潤,價格PRICE,By reducing loss given default, the bank c

5、an reduce the margin without reducing value added. 通過降低違約損失，銀行可以降低 利潤而不降低價值增加部分。,EL: Expected Loss預計損失 PD: Probability of Default違約概率 LGD: Loss Given Default違約損失率 UL: Unexpected Loss非預期損失,Why is Collateral Evaluation Important?為什么抵押品評估很重要,LGD is estimated from default-weighted average loss rate duri

6、ng a certain time period. 違約損失率可以通過一段時間內(nèi)的加權(quán)平均違約損失率估計出來 Loss rate is given by: 損失率計算方法 To reduce average loss rate, banks need to collect on the default exposure as much as and as fast as possible.為了降低平均損失率，銀行應該盡快收回盡量多的資產(chǎn)。 If a bank does not properly estimate collateral values, the collection upon de

7、fault would become smaller and take a longer period of time, leading to a depletion of capital and lower profits.如果銀行不能準確估計抵押品價值，違約后能夠收回的價值就降低了，所需要的時間也更長，導致資本損耗了利潤降低。,1 -,PV at the default date of recoveries + PV of costs associated with collecting 回收物在違約日的現(xiàn)值+會收的相關(guān)成本的現(xiàn)值,EAD (Exposure at default)違約風險

8、暴露,Wrong Collateral Evaluation 錯誤的抵押品評估,Higher Wright-offs 更高的壞帳核銷,Capital Waste 資本浪費,Higher LGD Estimation 增高違約損失率,Higher Provision 更高的壞賬損失,Lower Profits 利潤更低,PV: Present value現(xiàn)值,Role of Collateral in Financial Intermediation I抵押品在金融中介活動中的作用 I,Collateral stabilizes financial intermediation抵押品穩(wěn)定金融中介

9、活動 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達成一致 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借用方可以使承擔的風險最小化 Without collateral如果沒有抵押品: The lender will solely rely on borrowers cash-flow gener

10、ated by the project (business) for the repayment.出借方只能依靠借用方項目（營業(yè)）產(chǎn)生的現(xiàn)金流來償債 The borrower tends to take more risks in the project (business), which may cause instability in generating cash-flow.借用方會承擔項目（營業(yè)）更大的風險，這會導致無法生產(chǎn)足夠的現(xiàn)金流 There will be more vulnerable banks and more risky businesses in the econom

11、y, otherwise, resulting in shallow financial intermediation.經(jīng)濟環(huán)境中會產(chǎn)生更危險的銀行和更有風險的行業(yè)，這樣也會縮減金融中介活動。,Role of Collateral in Financial Intermediation II抵押品在金融中介活動中的作用 II,Lender 出借方(specifically) Encourage willingness of payment to reduce PL.鼓勵出借方進行借款降低損失 Substitute the repayments to reduce LGD.代替還款降低違約損失率

12、 Protects against borrowers over-borrowing.保護出借方不至于過度借債 Borrower 借用方(specifically) Access to credit: let borrowers monetize their illiquid assets to raise funds獲得融資：借用方可以抵押他們的非現(xiàn)金資產(chǎn)來獲取資金 Cost of Credit: potentially reduce funding costs for the lower EL calculated by the lender融資成本：潛在的降低了融資成本，因為出借方計算出

13、的預計損失較低 Overcoming asymmetric information problems: access to funds even in a financially difficult time, or even without audited financial reports解決了信息不對稱問題：即是財務困難時期，或者沒有審計后的財務報表，也可以獲得融資,EL: Expected Loss 預計損失 PD: Probability of Default 違約概率 LGD: Loss Given Default 違約損失率 UL: Unexpected Loss 非預期損失,2

14、. Types of Collateral and Regulatory Pitfalls抵押品種類和法規(guī)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 transac

15、tions, to substitute payments for a part or the entire outstanding debt upon default. 在現(xiàn)代擔保法體系中，抵押品可以是任何直接或間接產(chǎn)生現(xiàn)金流的資產(chǎn)，也可以是由任何出借方和借用方創(chuàng)造出來的，在違約時用現(xiàn)有或?qū)淼馁Y產(chǎn)以及交易中代替償還部分或全部借款 Under unreformed collateral law systems, there would be various constraints on asset types eligible for collateral, on persons or le

16、gal persons qualified to collateral agreements, or on the enforceability of some collateral, due to the lack of efficacy and integrity of the system. 在創(chuàng)新性的擔保法體系中，由于系統(tǒng)缺乏有效性和不統(tǒng)一，其中有很多對抵押品資產(chǎn)形式，可以簽署擔保合同的個人和法人，或者是對抵押品的強制性實權(quán)的限制條件,Collateral Laws and Collateral Types擔保法和抵押品種類,Collateral Law擔保法 Independent

17、and comprehensive “collateral law” is rare: generally collateral law is a system which is constituted by several relevant laws and regulations.獨立和綜合的擔保法很少見：通常擔保法由一些相關(guān)法律和法規(guī)組成 Extent of collateral抵押品范圍 After-acquired property事后取得的財產(chǎn) Proceeds收益 Supporting obligation相關(guān)義務 Unmovable Collateral不動抵押物 Real P

18、roperty: Land and Building房地產(chǎn)：土地和建筑物 Plant and Equipment車間和設備 Natural Reserves自然資源 Timber to be cut待采伐的木材,Goods物品 Consumer goods消費品 Farm products農(nóng)產(chǎn)品 Inventory存貨 Equipment設備 Fixtures固定設備 Accessions添加物 Intangibles無形資產(chǎn) Negotiable instrument流通票據(jù) Document of title物權(quán)憑證 Investment property投資財產(chǎn) Account (boo

19、k debt）應收款 General Intangibles一般無形資產(chǎn) Other kinds of collateral其他抵押品 Deposit accounts存款帳戶 Life insurance policy/health-care insurance receivable人生保險/應收健康保險金,Source: Collateral, Collateral Law and Collateral Substitutes, B. Balkenhol and H. Schutte, Social Finance Programme, Working Paper No. 26, p17來

20、源：抵押品，擔保法和擔保替代品,3. Evaluation of Collateral(Real Estate)抵押品評估（不動產(chǎn)）,Principles of Collateral Evaluation抵押品評估原則,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. 抵押品評估并不是為了尋找一種精確

21、的，唯一的價格，而是找到一個合理的、實際的、能夠被普通的市場參與者接受的價格和方法。 Evaluate collateral on the basis of the market value rather than book value. 抵押品的評估是依據(jù)市場價值而非帳面價值 Apply the most conservative evaluation method. 采取最保守的評估方法 If possible, collateral property should be located within a distance bank officers can take frequent v

22、isits. 如果可能，擔保資產(chǎn)應該放在銀行人員可以經(jīng)?？吹玫降牡胤?Watch the market price if its rising fast: a price bubble may be developing. 如果市場價格增長很快，那么小心市場價格，可能存在價格泡沫。,Basics of Land Collateral Evaluation土地抵押品評估基礎,Step 1: Estimate a price par square meter/feet either by:估計每平方米/英尺價格方法： (1) The sales comparison approach 市場比較法

23、(2) The income capitalization approach (mainly for lease properties) 收益還原法（主要用于出租場地） (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 用房地產(chǎn)業(yè)獨有的因素來調(diào)節(jié)價格 (1) Usage of the property房地產(chǎn)的用途 (2) Trends of real estate price房地產(chǎn)價

24、格趨勢 (3) Conditions of the property/nature of the surrounding area房地產(chǎn)的環(huán)境/附近地區(qū)的自然狀況 (4) Legal issues法律問題,Sales Comparison Approach市場比較法,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

25、果可以獲得所在城市、城鎮(zhèn)或鄉(xiāng)村最近同類房地產(chǎn)的交易或銷售價格，那么市場比較法可以提供很好的預測。,Price B (2,450$/m),Price A (2,000$/m),Price C (1,900$/m),Weighted-average of A and B (Price D) A和B的加權(quán)平均價格,Unadjusted estimated Price E ($/m)? 調(diào)整前價格,Note: Each price points should not be separated by a major street or river, which affect the price diff

26、erences 注：每個價格點不能被主要街道或河流分割，這會影響價格,150m,50m,70m,30m,(Price A 30) + (Price B 70),(Price D 150) + (Price C 50),Sales Comparison Approach: Example 市場比較法：舉例,Evaluate the land price E.估計土地E價格 Three recent real estate transactions around E.最近E的附近有三個交易 A: $2,000, B: $2,450, and C: $1,900 On the map, locate

27、 price D between A and B在地圖上找到A和B之間的價格D Distances between these points are:這些地點的距離 A-D: 70m, D-B: 30m, D-E: 50m, and C-E 150m. Then dollar price par square meter of E will be: E的每平方米價格是,Price D =,70 + 30,Price E =,50 + 150,= 2,315 ($/m),= 2,211 ($/m),Income Capitalization收益還原法 I,Find a geographicall

28、y weighted-average rent price per unit of land in the same way before. 和市場比較法一樣，找到每單位土地的加權(quán)平均出租價格,Rent price B (320$/month),Rent price A (350$/month),Rent price C (360$/month),Weighted-average of A and B (price D) A和B加權(quán)平均價格,Estimated rent price E估計E出租價 ($/month?),Note: Each price points should not be

29、 separated by a major street or river, which affect the price differences 每個價格不能被主要街道或河流分割，這會影響價格,40m,10m,30m,15m,Calculate the present value of the rent income for the certain future period.計算將來一短時間內(nèi)的租金收入的現(xiàn)值 Income capitalization approach using rents may be used in a situation where a loan officer

30、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.使用收益還原法時，貸款主管知道土地的市場價格，不過如果沒有類似交易的時候，就沒有辦法合理估計和解釋價值了。 The estimated value may be much lower than a potential market value (additional margi

31、n for valuation uncertainty).估計的價值可能遠低于潛在的市場價格（由于價格的不確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. 這取決于銀行的貸款政策，不過一般的時間跨度應該在10-12年以內(nèi),Income Capitalization II收益還原法,Annual rent (maintenance cost + property taxes) 年租金-（維護成本+房產(chǎn)稅）,PV= ,( 1 + r ),n,PV: P

32、resent value現(xiàn)值,Annual rent年租金 (33612)(maintenance cost維護成本 300),(Price D 40) + (Price C 10),(Price A 15) + (Price B 30),Income Capitalization Approach: Example收益還原法：舉例,PV = ,( 1+0.08 ),t,Evaluate the land price E.估計土地E的價格 Monthly rents of the three leasing properties are三個出租場地的月租金分別為: A: $350, B: $3

33、20, and C: $360 Distances between these properties areE到這三個場地的距離分別是: 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，估計E的出租價格是: Assume the annual maintenance cost including property taxes is $300, interest rate is 8%, and you calculate up

34、to 10 years, then estimated collateral value is: 假設包括房產(chǎn)稅的年維護成本是$300,利率*%，計算10年的估計擔保價值是,Rent D =,30 + 15,Rent E =,10 + 40,= 330 ($/month),= 336 ($/month),t=1,10,= 25,042 ($),PV: Present value現(xiàn)值,Income Capitalization Approach III收益還原法,Basic concept of the capitalization rate收益還原法的基本概念 “The capitalizat

35、ion 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)還原率是投資者希望獲得的收益率，和借款和股權(quán)投資的成本。 Factors affecting investors desired return on real estates影響投資者對房地產(chǎn)期望收益的因素 Culture, economic trends, other inve

36、stment property type, other investment opportunities, etc.文化、經(jīng)濟趨勢，其他投資財產(chǎn)，其他投資機會等 In practice在實踐中 The most simplified way is to use available loan interest rates for such an investment as a capitalization rate.最簡單的方法是使用類似投資的借款利率作為還原率 When interest rates are used as a capitalization rate, loan officer

37、s 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.如果利率為用作還原率，借款主管必須知道利率中沒有包括這項投資所承擔風險所對應的回報，計算結(jié)果會高估價值。,Source: Understanding real estate values in a rising marketBrief Article, Gerald A

38、. Bower, 2001 .findarticles./p/articles/mi_m3601/is_29_47/ai_71565185,Price Adjustment I價格調(diào)整,Usage of the property房產(chǎn)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自用農(nóng)場和林地/工廠和倉庫 The income capitalization approach收入還原法 Residential/business proper

39、ty for lease出租用住宅/商用房產(chǎn)物業(yè) Income capitalization approach收入還原法 Rent prices in the neighborhood附近社區(qū)的出租價格 Future occupancy rate estimation未來占用率預計 Residential leasing property and business leasing property出租住宅物業(yè)和商用出租物業(yè) For sale出售 Speculative in nature投機性,Price Adjustment II價格調(diào)整,Trends of real estate pric

40、e房地產(chǎn)價格趨勢 Sales and transaction prices銷售和交易價格 Information from neighbors鄰近地區(qū)的信息 Information from experts, brokers, sales registries, and mortgage registries專家，經(jīng)紀人，銷售登記和抵押登記機構(gòu)的信息 Income level of the area該地區(qū)的收入水平 Demand and supply conditions of the market市場的供求情況 Published land prices and tax rates公布的土地

41、價格和稅率 Regional development plan地區(qū)發(fā)展計劃 Availability of mortgage loan/foreign land ownership是否存在抵押借款和外國土地所有權(quán),Price Adjustment III價格調(diào)整,Conditions of the property/nature of the surrounding area周邊地區(qū)的房產(chǎn)/自然情況 Geographic conditions, such as, close to the coast, river, cliffs, or located on tilted land, in a

42、 dip, on the weak stratum 地理情況，例如，靠近海灘，河流，懸崖或者位于傾斜的土地上，地層不牢固。 Size of the real estate房地產(chǎn)的規(guī)模 Shape of the real estate房地產(chǎn)的形狀 Location of the real estate in the block房地產(chǎn)在街區(qū)的具體位置 Accessibility to the public roads是否可以方便地到達公共道路 Accessibility to public and commercial facilities是否可以方便的到達公共和商業(yè)設施 Existence of

43、 unfavorable facilities是否存在不良設施 Municipal services available是否有市政服務,Price Adjustment IV價格調(diào)整,Legal issues法律問題 Easements: restrictions, encumbrances, leases, reservations, covenants, contracts, declarations, special assessments, ordinances, or other items of a similar nature.地役權(quán)：限制，妨礙，租賃，保留，限制性條款，合同申明

44、，特別估價，法令或者其他類似性質(zhì) “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.征用權(quán)：在普通法系國家，政府有權(quán)力不經(jīng)過所有者的同意購買房地產(chǎn)用于公共用途，例如公共設施，高速公路，機場和鐵路。 Legitima

45、cy 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?你們國家最主要的房產(chǎn)抵押評估方法是什么？,Note: When the above legal issues are involved, the price of the property could drop substantially. 注意：當涉及到以上法律問題時，房地產(chǎn)的價格可能會大幅降低,4. Eva

46、luation of Collateral(Other Assets)抵押品評估（其他資產(chǎn)）,Collateral Evaluation I抵押品評估,Farm Product/Inventory農(nóng)產(chǎn)品/存貨 Market price basis依據(jù)市場價格 Interview with major buyers采訪主要買家 Market liquidity市場流動性 Market size市場規(guī)模 Market volatility市場波動幅度 Perishable products容易腐爛變質(zhì)的產(chǎn)品 Dealer listings, market sales reports經(jīng)銷商清單，市場

47、銷售報告 Location of the storage存儲場地,Collateral Evaluation II抵押品評估,Mobile Vehicle機動車 Secondhand car market price basis二手車市場價格 Interview with experts and dealers采訪專家和經(jīng)銷商 Maker, type, popularity, market, in case of inventory如果是存貨：制造商，種類，普及程度，市場 Age, depreciation schedule, unpaid taxes, prior lien, in case

48、 of equipment設備：使用年限，折舊時間，未交納的稅款，之前的留置權(quán) Governments import tax policy or other policies affecting market政府的進口稅政策和其他影響市場的政策,Collateral Evaluation III抵押品評估,Intangibles無形資產(chǎn) Negotiable instrument: validity of the instrument, obligor, credit rating, maturity, type of transaction: collateral/repurchase ag

49、reement/discount流通票據(jù)：票據(jù)的有效性，債務人，信用等級，交易類型：擔保/回購合同，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.物權(quán)憑證：提單：單據(jù)的有效性，財產(chǎn)所在地，數(shù)量，種類/品種

50、，尺寸/重量，單位價值，質(zhì)量，條件，時間表以及可銷售性和市場價格 Investment Property: issuer, credit rating, market price, market volatility, (maturity), OTC/exchange投資財產(chǎn)：發(fā)行者，信用等級，市場價格，市場頗動幅度（到期日），場外交易/交易方式 Account (book debt): obligors, the extent of diversification, the length of terms, aging schedule, the past default rate應收款：債

51、務人，多元化程度，期限長度，帳齡時間，過去的違約情況 General intangible: variability of the right (document), terms and conditions, restrictions contained in the document, marketability, etc. 一般無形資產(chǎn)：所有權(quán)（單據(jù)）的可變性，條款和條件，文件中的限制條件，可銷售性，等,5. Protection of Collateral抵押品保護,Creation of Security Interest擔保利益的產(chǎn)生,Elements to create vali

52、d security interest:擔保利益產(chǎn)生的要素 The debtor has rights in the collateral*債務人對抵押品有所有權(quán) A security agreement must be authenticated by the debtor擔保合同必須由債務人 A security agreement must contain a description of the collateral擔保合同中必須包含對抵押品的描述 A security interest cannot attach unless “value” is given*除非給定“價值”否則不

53、能附加擔保利益 “A value” in security agreement擔保合同中的“價值” A value is set in accordance with an amount intended to cover existing or future credit outstanding in part or in total.價值要能夠達到現(xiàn)有或?qū)淼牟糠只蛉抠J款額 Other Issues其他問題 Inter-creditor agreement貸款機構(gòu)間協(xié)議 Pari-passu charge比例平等抵押 Creation of security interest alone

54、 cannot preserve creditors priority over lien creditors and other secured parties with an interest in the same collateral. 僅僅使用擔保利益不能保證債權(quán)人可以優(yōu)先于留置債權(quán)人和其他對抵押品有權(quán)力的債權(quán)人,*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p57, 92, 95,Perfection of Security Interest擔

55、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.*在完善擔保利益之后，被擔保方的利益對其他債權(quán)人和債務人的轉(zhuǎn)讓方是被保護的，特別是在債務人破產(chǎn)時，對其他債權(quán)人代表而言。 Depending

56、 on the jurisdiction, different collateral may have different rules for perfection根據(jù)權(quán)限，不同的抵押物有不同的完善規(guī)則 Perfection upon attachment alone單獨附加的完善 Temporary perfection in certain collateral特定抵押物的暫時完善 Perfection by pledge or possessory security interest通過抵押或擁有擔保利益來完善 Perfection by filing (registration)歸檔（

57、登記）完善 Perfection where filing is required under a special law特定法律規(guī)定需要通過歸檔來完善 Perfection by public notice (example: news paper advertisement)通過公告來完善（例：報紙廣告）,*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p123,6. Collateral Management抵押品管理,Collateral Manag

58、ement抵押品管理,Collateral Management抵押品管理 Collateral management includes two risk management concepts: 抵押品管理包括兩項風險管理概念 (1) Collateral management for credit risk management信貸風險管理的抵押品管理 (2) Safeguarding the enforceability強制行使權(quán)的保護,Collateral Management 抵押品管理,Collateral Management for CRM 抵押品管理,Safeguarding

59、 the Enforceability 保護強制行使權(quán),Safe Custody/ Collateral Book 保管/抵押品登記冊,Credit File 信貸檔案,Record Keeping檔案記錄 Revaluation/Reappraisal against credit exposure 根據(jù)信用風險再評估/再評價,Numbering/Tagging編號/標簽 Maturity Management到期管理 Renewal of security interest 更新?lián)＠?Periodical check of inventory 定期實物檢查,Credit File信用檔案 I,Record Keeping檔案管理 Appraisers name, the effective date of the evaluation, and signature and address (when the evaluation is outsourced)鑒定人名稱，評估的有效日期，千字和地址（當評估是由外部人員完成的） Description of the collateral抵押品描述 Real estate: ownership, location, shape