抵押品评估与信用风险管理 (中英版)

抵押品评估与信用风险管理(中英版)CollateralEvaluationand

CreditRiskManagement

抵押品评估与信用风险管理1.WhyisCollateralEvaluationImportant?为什么抵押品评估重要2.TypesofCollateralandRegulatoryPitfalls抵押品种类和法规缺陷3.EvaluationofCollateral(RealEstate)抵押品评估（房产）4.EvaluationofCollateral(OtherAssets)抵押品评估（其他资产）5.ProtectionofCollateral抵押品保护CreationofSecurityInterest担保利益的创立PerfectionofSecurityInterest担保利益的完善6.CollateralManagement抵押品管理CollateralManagementforCreditRiskManagement信用风险管理中的抵押品管理SafeguardingtheEnforcement维护强制执行7.EnforcementofCollateral抵押品的强制执行8.ExtinguishingSecurityInterestinCollateral抵押品利益的终止Contents目录WhyisCollateralEvaluationImportant?

为什么抵押品评估很重要？

WhyisCollateralEvaluationImportant?

为什么抵押品评估很重要？Themoreaccuratetheevaluation,themoreenhancedcreditriskmanagementinplace.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

LargeactualloanlossexceedingtheestimatedLGDcouldleadtoaseriousdepletionofbank’sequitycapital.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。FundingCost资金成本OperatingCost运营成本ExpectedLoss(PD×LGD)预计损失UnexpectedLoss非预期损失(RequiredReturn×AllocatedEconomicCapital)ValueAdded价值增加MARGIN利润价格PRICEByreducinglossgivendefault,thebankcanreducethemarginwithoutreducingvalueadded.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:ExpectedLoss预计损失PD:ProbabilityofDefault违约概率LGD:LossGivenDefault违约损失率UL:UnexpectedLoss非预期损失WhyisCollateralEvaluationImportant?

为什么抵押品评估很重要LGDisestimatedfromdefault-weightedaveragelossrateduringacertaintimeperiod.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Lossrateisgivenby:损失率计算方法Toreduceaveragelossrate,banksneedtocollectonthedefaultexposureasmuchasandasfastaspossible.为了降低平均损失率，银行应该尽快收回尽量多的资产。Ifabankdoesnotproperlyestimatecollateralvalues,thecollectionupondefaultwouldbecomesmallerandtakealongerperiodoftime,leadingtoadepletionofcapitalandlowerprofits.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-PVatthedefaultdateofrecoveries

+PVofcostsassociatedwithcollecting回收物在违约日的现值+会收的相关成本的现值EAD(Exposureatdefault)违约风险暴露WrongCollateralEvaluation错误的抵押品评估HigherWright-offs更高的坏帐核销CapitalWaste资本浪费HigherLGDEstimation增高违约损失率HigherProvision更高的坏账损失LowerProfits利润更低PV:Presentvalue现值RoleofCollateralinFinancialIntermediationII

抵押品在金融中介活动中的作用IILender出借方(specifically)EncouragewillingnessofpaymenttoreducePL.鼓励出借方进行借款降低损失SubstitutetherepaymentstoreduceLGD.代替还款降低违约损失率Protectsagainstborrower’sover-borrowing.保护出借方不至于过度借债Borrower借用方(specifically)Accesstocredit:letborrowersmonetizetheirilliquidassetstoraisefunds获得融资：借用方可以抵押他们的非现金资产来获取资金CostofCredit:potentiallyreducefundingcostsforthelowerELcalculatedbythelender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Overcomingasymmetricinformationproblems:accesstofundseveninafinanciallydifficulttime,orevenwithoutauditedfinancialreports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:ExpectedLoss预计损失PD:ProbabilityofDefault违约概率LGD:LossGivenDefault违约损失率UL:UnexpectedLoss非预期损失2.TypesofCollateralandRegulatoryPitfalls

抵押品种类和法规缺陷

WhatisCollateral?

什么是抵押品Undermoderncollaterallawsystems,collateralcanbeanyassetwhichproducesfuturecashflowdirectlyorindirectly,andcanbecreatedbyanylenderandborrower,inanypresentorfutureassetsandinalltransactions,tosubstitutepaymentsforapartortheentireoutstandingdebtupondefault.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Underunreformedcollaterallawsystems,therewouldbevariousconstraintsonassettypeseligibleforcollateral,onpersonsorlegalpersonsqualifiedtocollateralagreements,orontheenforceabilityofsomecollateral,duetothelackofefficacyandintegrityofthesystem.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CollateralLawsandCollateralTypes

担保法和抵押品种类CollateralLaw担保法Independentandcomprehensive“collaterallaw”israre:generallycollaterallawisasystemwhichisconstitutedbyseveralrelevantlawsandregulations.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Extentofcollateral抵押品范围After-acquiredproperty事后取得的财产Proceeds收益Supportingobligation相关义务UnmovableCollateral不动抵押物RealProperty:LandandBuilding房地产：土地和建筑物PlantandEquipment车间和设备NaturalReserves自然资源Timbertobecut待采伐的木材Goods物品Consumergoods消费品Farmproducts农产品Inventory存货Equipment设备Fixtures固定设备Accessions添加物Intangibles无形资产Negotiableinstrument流通票据Documentoftitle物权凭证Investmentproperty投资财产Account(bookdebt）应收款GeneralIntangibles一般无形资产Otherkindsofcollateral其他抵押品Depositaccounts存款帐户Lifeinsurancepolicy/health-careinsurancereceivable人生保险/应收健康保险金Source:Collateral,CollateralLawandCollateralSubstitutes,B.BalkenholandH.Schutte,SocialFinanceProgramme,WorkingPaperNo.26,p17来源：抵押品，担保法和担保替代品PrinciplesofCollateralEvaluation

抵押品评估原则Collateralevaluationisnottofindanaccurate,uniqueprice,buttofindapriceandlogicwhicharerealistic,practical,andacceptablebyordinarymarketparticipants.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。Evaluatecollateralonthebasisofthemarketvalueratherthanbookvalue.抵押品的评估是依据市场价值而非帐面价值Applythemostconservativeevaluationmethod.采取最保守的评估方法Ifpossible,collateralpropertyshouldbelocatedwithinadistancebankofficerscantakefrequentvisits.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Watchthemarketpriceifit’srisingfast:apricebubblemaybedeveloping.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。BasicsofLandCollateralEvaluation

土地抵押品评估基础Step1:Estimateapriceparsquaremeter/feeteitherby:估计每平方米/英尺价格方法：(1)

Thesalescomparisonapproach市场比较法(2)Theincomecapitalizationapproach(mainlyforleaseproperties)收益还原法（主要用于出租场地）(3)Thecostapproach(incaseofhousesandbuildings)成本法（用于房屋和建筑物）Step2:Adjustthepricebyfactorsuniquetotherealestate用房地产业独有的因素来调节价格

(1)Usageoftheproperty房地产的用途(2)Trendsofrealestateprice房地产价格趋势(3)Conditionsoftheproperty/natureofthesurroundingarea房地产的环境/附近地区的自然状况(4)Legalissues法律问题SalesComparisonApproach

市场比较法Ifrecenttransactionsorsellspricesforthesimilarrealestateareavailableinthecity,townorvillage,thesalescomparisonapproachprovidesgoodestimates.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。

PriceB(2,450$/m²)PriceA(2,000$/m²)PriceC(1,900$/m²)

Weighted-averageofAandB(PriceD)A和B的加权平均价格

UnadjustedestimatedPriceE($/m²)?调整前价格Note:Eachpricepointsshouldnotbeseparatedbyamajorstreetorriver,whichaffectthepricedifferences注：每个价格点不能被主要街道或河流分割，这会影响价格150m50m70m30mIncomeCapitalization收益还原法IFindageographicallyweighted-averagerentpriceperunitoflandinthesamewaybefore.和市场比较法一样，找到每单位土地的加权平均出租价格

RentpriceB(320$/month)RentpriceA(350$/month)RentpriceC(360$/month)

Weighted-averageofAandB(priceD)A和B加权平均价格

EstimatedrentpriceE估计E出租价

($/month?)Note:Eachpricepointsshouldnotbeseparatedbyamajorstreetorriver,whichaffectthepricedifferences每个价格不能被主要街道或河流分割，这会影响价格40m10m30m15mCalculatethepresentvalueoftherentincomeforthecertainfutureperiod.计算将来一短时间内的租金收入的现值Incomecapitalizationapproachusingrentsmaybeusedinasituationwherealoanofficerknowsthepropertyconcernedhasacertainvalueforthemarket,butthereisnowaytoreasonablyestimateandexplainthevalueduetothelackoftransaction.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。Theestimatedvaluemaybemuchlowerthanapotentialmarketvalue(additionalmarginforvaluationuncertainty).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）Itdependsonbank’sloanpolicy,buttimehorizonshouldbelimitedto10to12years.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IncomeCapitalizationII

收益还原法Annualrent–(maintenancecost+propertytaxes)年租金-（维护成本+房产税）PV=Σ(1+r)nPV:Presentvalue现值Annualrent年租金(336×12)–(maintenancecost维护成本300)(PriceD×40)+(PriceC×10)(PriceA×15)+(PriceB×30)IncomeCapitalizationApproach:Exle

收益还原法：举例PV=Σ(1+0.08)tEvaluatethelandpriceE.估计土地E的价格Monthlyrentsofthethreeleasingpropertiesare三个出租场地的月租金分别为:A:$350,B:$320,andC:$360DistancesbetweenthesepropertiesareE到这三个场地的距离分别是:A-D:30m,D-B:15m,D-E:10m,andC-E40m.Usingtheaboveinformation,estimatedrentpriceEwillbe使用上述信息，估计E的出租价格是:Assumetheannualmaintenancecostincludingpropertytaxesis$300,interestrateis8%,andyoucalculateupto10years,thenestimatedcollateralvalueis:

假设包括房产税的年维护成本是$300,利率*%，计算10年的估计担保价值是RentD=30+15RentE=10+40=330($/month)=336($/month)

t=1

10=25,042($)PV:Presentvalue现值PriceAdjustmentI

价格调整Usageoftheproperty房产用途Own-useresidentialproperty自用住宅Mostuseful最有用的Own-usefarmandforestland/factoryandwarehouse自用农场和林地/工厂和仓库Theincomecapitalizationapproach收入还原法Residential/businesspropertyforlease出租用住宅/商用房产物业Incomecapitalizationapproach收入还原法Rentpricesintheneighborhood附近社区的出租价格Futureoccupancyrateestimation未来占用率预计Residentialleasingpropertyandbusinessleasingproperty出租住宅物业和商用出租物业Forsale出售Speculativeinnature投机性PriceAdjustmentII

价格调整Trendsofrealestateprice房地产价格趋势Salesandtransactionprices销售和交易价格Informationfromneighbors邻近地区的信息Informationfromexperts,brokers,salesregistries,andmortgageregistries专家，经纪人，销售登记和抵押登记机构的信息Incomelevelofthearea该地区的收入水平Demandandsupplyconditionsofthemarket市场的供求情况Publishedlandpricesandtaxrates公布的土地价格和税率Regionaldevelopmentplan地区发展计划Availabilityofmortgageloan/foreignlandownership是否存在抵押借款和外国土地所有权PriceAdjustmentIII

价格调整Conditionsoftheproperty/natureofthesurroundingarea周边地区的房产/自然情况Geographicconditions,suchas,closetothecoast,river,cliffs,orlocatedontiltedland,inadip,ontheweakstratum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。Sizeoftherealestate房地产的规模Shapeoftherealestate房地产的形状Locationoftherealestateintheblock房地产在街区的具体位置Accessibilitytothepublicroads是否可以方便地到达公共道路Accessibilitytopublicandcommercialfacilities是否可以方便的到达公共和商业设施Existenceofunfavorablefacilities是否存在不良设施Municipalservicesavailable是否有市政服务PriceAdjustmentIV

价格调整Legalissues法律问题Easements:restrictions,encumbrances,leases,reservations,covenants,contracts,declarations,specialassessments,ordinances,orotheritemsofasimilarnature.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“Eminentdomain”:incommonlawcountries,thegovernmentmayhavetherightstobuyrealpropertywithouttheowner’sconsentforthepurposesofpublicusage,suchaspublicutilities,highway,airport,andrailroads.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。Legitimacyofbuildings(illegalconstruction/usage)建筑物的合法性（非法建筑/使用）Whatarethemostmajormethodstoevaluaterealestatecollateralinyourcountry?你们国家最主要的房产抵押评估方法是什么？Note:Whentheabovelegalissuesareinvolved,thepriceofthepropertycoulddropsubstantially.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CollateralEvaluationI

抵押品评估FarmProduct/Inventory农产品/存货Marketpricebasis依据市场价格Interviewwithmajorbuyers采访主要买家Marketliquidity市场流动性Marketsize市场规模Marketvolatility市场波动幅度Perishableproducts容易腐烂变质的产品Dealerlistings,marketsalesreports经销商清单，市场销售报告Locationofthestorage存储场地CollateralEvaluationII

抵押品评估MobileVehicle机动车Secondhandcarmarketpricebasis二手车市场价格Interviewwithexpertsanddealers采访专家和经销商Maker,type,popularity,market,incaseofinventory如果是存货：制造商，种类，普及程度，市场Age,depreciationschedule,unpaidtaxes,priorlien,incaseofequipment设备：使用年限，折旧时间，未交纳的税款，之前的留置权Government’simporttaxpolicyorotherpoliciesaffectingmarket政府的进口税政策和其他影响市场的政策CollateralEvaluationIII

抵押品评估Intangibles无形资产Negotiableinstrument:validityoftheinstrument,obligor,creditrating,maturity,typeoftransaction:collateral/repurchaseagreement/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Documentoftitle:billoflading:validityofthedocument,locationoftheproperty,quantity,species/variety,measure/weight,valueperunit,quality,condition,schedule,aswellasmarketabilityandmarketprice.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InvestmentProperty:issuer,creditrating,marketprice,marketvolatility,(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(bookdebt):obligors,theextentofdiversification,thelengthofterms,agingschedule,thepastdefaultrate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Generalintangible:variabilityoftheright(document),termsandconditions,restrictionscontainedinthedocument,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.ProtectionofCollateral

抵押品保护PerfectionofSecurityInterest

担保利益的完善Afterperfectionthesecuredpartyisprotectedagainstothercreditorsandtransfereesofthedebtorandinparticular,againstanyrepresentativeofcreditorsininsolvencyproceedingsinstitutedbyoragainstthedebtor.*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。Dependingonthejurisdiction,differentcollateralmayhavedifferentrulesforperfection根据权限，不同的抵押物有不同的完善规则Perfectionuponattachmentalone单独附加的完善Temporaryperfectionincertaincollateral特定抵押物的暂时完善Perfectionbypledgeorpossessorysecurityinterest通过抵押或拥有担保利益来完善Perfectionbyfiling(registration)归档（登记）完善Perfectionwherefilingisrequiredunderaspeciallaw特定法律规定需要通过归档来完善Perfectionbypublicnotice(exle:newspaperadvertisement)通过公告来完善（例：报纸广告）*Basedon:LawinaNutshell:Securedtransactions,RichardB.Hagedorn,ThomsonWest,2007,p1236.CollateralManagement

抵押品管理CollateralManagement

抵押品管理CollateralManagement抵押品管理Collateralmanagementincludestworiskmanagementconcepts:抵押品管理包括两项风险管理概念(1)Collateralmanagementforcreditriskmanagement信贷风险管理的抵押品管理(2)Safeguardingtheenforceability强制行使权的保护CollateralManagement抵押品管理CollateralManagementforCRM抵押品管理SafeguardingtheEnforceability保护强制行使权SafeCustody/CollateralBook保管/抵押品登记册CreditFile信贷档案

RecordKeeping档案记录Revaluation/Reappraisalagainstcreditexposure根据信用风险再评估/再评价

Numbering/Tagging编号/标签MaturityManagement到期管理Renewalofsecurityinterest更新担保利益Periodicalcheckofinventory

定期实物检查CreditFile信用档案IRecordKeeping档案管理Appraiser’sname,theeffectivedateoftheevaluation,andsignatureandaddress(whentheevaluationisoutsourced)鉴定人名称，评估的有效日期，千字和地址（当评估是由外部人员完成的）Descriptionofthecollateral抵押品描述Realestate:ownership,location,shape,condition,developments,pictures,maps,neighborhood,usage,acopyofconstructionapproval,attachedeasement,etc.房地产：所有者，位置，形状，环境，发展状况，照片，地图，附近情况，用途，建筑批准书复印件，附属物，等Goods:locationofthegoods,quantity,species/variety,measure/weight,valueperunit,quality,condition,schedule

商品：物品所在地，数量，种类/品种，尺寸/重量，单价，质量，情况，时间表Intangibles:pledgor,amount,quantity,thirdpartyobligor,attachedsecurityinterest,etc.无形资产：抵押人，金额，数量，第三方债务人，附加担保利益，等Descriptionoftheevaluationmethodemployed对所用评估方法的描述Descriptionofthesourceinformationusedintheevaluation评估中信息来源的描述Anestimatedvalueofthecollateralandtheopinionoftheloanofficerontheevaluation抵押品的估计价值，以及贷款主管的对评估的意见Source:InteragencyAppraisalandEvaluationGuidelines,FDIC,1994CreditFile:Exle信用档案：举例Typeofloan贷款种类Originalamountorcreditline金额/信用额度Loanproceedsoutstanding剩余借款Loancreditoutstanding剩余信用额度Typeofcollateral抵押品种类OriginalCollateralEvaluation出示抵押品评估LatestCollateralEvaluation最近抵押品评估Haircut折扣CollateralValue抵押品价值TermloanATermloanBRevolvingline循环贷款额度501203010950109530Land土地Building建筑物Receivable应收款PublicGuarantee公共担保Timedeposits定期存款1105040109040401012401002500540301012Total105(A)135Total(B)106UnsecuredBalance不安全余额(A)-(B)29Borrower:ABCTradingCo.InternalCreditScore:4BExternal:n/aAsof:Mar08借款方：ABC贸易公司，内部编号：4B，外部：不适用，日期：3月8日Thousand$Afterevaluationoflandandbuildingthefollowingcredit/collateralbalancetableisupdated.Howdoyouinterpretthetableandwhatshouldbedone?在评估了土地和建筑物之后，更新贷款/担保余额表，你怎样理解这张表和需要做什么SafeCustody/CollateralBookI

保管/抵押品登记册SafeCustody保管Inordertosafeguardandprotecttheenforceabilityofsecurityinterest,(1)collateralagreementand(2)pledgedgoodsanddocumentsshouldbeputinasafecustody.为了保管和保护担保利益的强制行使权，必须安全保管(1)担保合同(2)抵押品和文件Collateralagreement(togetherwithotherrelevantlegaldocuments,recordofregistry,fireinsurancepolicyforcollateralizedbuildings*,etc.)maybekeptinorderbyborrowername担保合同（和其他相关法律文件，登记档案，担保建筑物的火灾保险书）可以按照借款方名字有序保管Pledgedgoodsanddocumentsmaybekeptbytype抵押品和文件按种类保管Collateralsforwhichlimitationperiodormaturitydateiscriticalshouldbekeptinorderbysuchdate.有期限或到期日临近的抵押品应该按照日期排放Limitedaccesstothesafecustody应该限制人员接近保管场所Protectionfromnaturaldisaster避免自然灾害Note:Fireinsurancepolicyforcollateralizedbuildingmaybekeptseparatelyinorderbyexpirationdatebecauseoftheimportanceoftheexpirationdatemanagement.注意：担保建筑物的火灾保险书应该按照期满日单独排列，因为管理保险到期日很重要。SafeCustody/CollateralBookIII

保管/抵押品登记册Maturityforcertaintypesofcollateral部分抵押品的到期Negotiableinstrumentssuchasdraft,certificateofdeposit,andpromissorynotehavematuritydate.有到期日的流通票据，例如：支票，定期存款，期票Inaccordancewiththecollateralagreement,suchnegotiableinstrumentsneedtobesettledwithoutdelay.根据担保合同，流通票据应该立刻兑现Expirationforcertaintypesofsecurityinterest担保利益的到期Dependingonjurisdictionandontypeofcollateral,aperfectionofsecurityinterestmayexpireafteracertainperiod(limitationperiodeffects).根据担无误的权限和种类，担保利益的完善可能在一定时期之后终止（有限期间有效）。Suchlimitationperiodsshouldbecarefullymanagedinthecollateralbook.Acontinuationstatementshouldbefiledwithinacertainperiodbeforetheexpirationtorenewtheperfectionofsecurityinterest.应该在抵押品登记册上仔细控制这样的有限期限，再过期日前的一短时间内，应该得到并归档更新担保利益的延续申明。Howoftendoyoureappraiserealestatecollateral?你多久进行一次房地产抵押品的再评估？7.EnforcementofCollateral

抵押品的强制执行EnforcementofSecu