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Collateral Evaluation and Credit Risk Management 抵押品评估与信用风险管理. Contents 目录. 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)
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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
Value Added价值增加
By reducing loss
given default, the
bank can reduce
the 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。
Expected Loss (PD × LGD) 预计损失
MARGIN利润
Unexpected Loss非预期损失 (Required Return ×
Allocated Economic Capital)
价格PRICE
Operating Cost运营成本
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
Funding Cost资金成本
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
1 -
EAD (Exposure at default)违约风险暴露
PV: Present value现值
Wrong
Collateral
Evaluation
错误的抵押品评估
Higher
Wright-offs
更高的坏帐核销
Capital Waste
资本浪费
Higher LGD
Estimation
增高违约损失率
Higher
Provision
更高的坏账损失
Lower Profits
利润更低
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
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
Collateral Laws and Collateral Types担保法和抵押品种类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
(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)
(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
Price B (2,450$/m²)
30m
Unadjusted estimated Price E ($/m²)?
调整前价格
Weighted-average
of A and B (Price D)
A和B的加权平均价格
50m
Price C (1,900$/m²)
150m
70m
Note: Each price points should not be
separated by a major street or river,
which affect the price differences
注:每个价格点不能被主要街道或河流分割,这会影响价格
Price A (2,000$/m²)
(Price A × 30) + (Price B × 70)
Price D =
= 2,315 ($/m²)
70 + 30
(Price D × 150) + (Price C × 50)
Price E =
= 2,211 ($/m²)
50 + 150
Rent price B (320$/month)
15m
Estimated rent price E估计E出租价($/month?)
Weighted-average
of A and B (price D)
A和B加权平均价格
10m
Rent price C (360$/month)
40m
30m
Note: Each price points should not be
separated by a major street or river,
which affect the price differences
每个价格不能被主要街道或河流分割,这会影响价格
Rent price A (350$/month)
Annual rent – (maintenance cost + property taxes)
年租金-(维护成本+房产税)
PV= Σ
( 1 + r )
n
PV: Present value现值
(Price A × 15) + (Price B × 30)
Rent D =
= 330 ($/month)
30 + 15
(Price D × 40) + (Price C × 10)
Rent E =
= 336 ($/month)
10 + 40
10
Annual rent年租金 (336×12)–(maintenance cost维护成本 300)
PV = Σ
( 1+0.08 )
t
t=1
= 25,042 ($)
PV: Present value现值
Source: Understanding real estate values in a rising market—Brief Article, Gerald A. Bower, 2001
http://findarticles.com/p/articles/mi_m3601/is_29_47/ai_71565185
Note: When the above legal issues are involved, the price of the property could
drop 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
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
*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p57, 92, 95
*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p123
Collateral
Management
抵押品管理
Collateral
Management
for CRM
抵押品管理
Credit File
信贷档案
Safeguarding
the
Enforceability
保护强制行使权
Safe Custody/
Collateral Book
保管/抵押品登记册
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
Source: Interagency Appraisal and Evaluation Guidelines, FDIC, 1994
房地产(重新评估):每6或12个月
房地产(实地调查):每1或3个月
农产品:根据市场情况每周或月
存货:根据市场
机动车:每3或6个月
无形资产:如果必须按市价调整,则每天进行(根据业务种类)
Borrower: ABC Trading Co. Internal Credit Score: 4B External: n/a As of: Mar 08
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 $
Note: Fire insurance policy for collateralized building may be kept separately in order
by expiration date because of the importance of the expiration date management.
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。
Note: When accepting and returning collateral, receipt should be issued to and received from
the borrower by the bank, which should indicate concerned goods and documents in detail:
type, number/quantity, date, with signature. 注意:当接受和归还抵押品时,应该交给和收回借款方收条,收条上应该写明相关物品和文件的明细:种类,数字/数量,日期,签名
*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p320-323
*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p346
Note: When returning pledged goods and documents, receipt with the borrowers signature
should be provided. 注意:当归还抵押物或文件时,借用方应提供有签名的收条