信贷资产证券化及我国应用初探

【作者】 袁继国；

【导师】 邹宏元；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 硕士

【摘要】 传统的融资方式以资金需求方的整体信用状况为基础,而信贷资产证券化以特定金融资产的未来收益权为信用基础,它以非流动资产为基础发行流动性较强的证券,这就是衍生证券技术与金融工程技术的结合,使不流动资产能进入金融市场上交易,不仅是一种信用体制的创新,更使社会资源得到优化配置。 2004 年 2 月,国务院《关于推进资本市场改革开放和稳定发展的若干意见》中提出,要“加大风险较低的固定收益类证券产品的开发力度,为投资者提供储蓄替代型证券投资品种。积极探索开发资产证券化品种”。而且随着 2006 年我国向外资全面开放金融业的截止日期的即将来临,内外资商业银行同业竞争时代强烈要求我们探索并寻求切实解决国有商业银行流动性、安全性和盈利性问题的有效手段,借鉴和引进新的资产经营方式和经营理念已经成为我国国有商业银行的紧迫任务,本文就是在这一现实背景下来探悉我国国有商业银行信贷资产证券化及其应用。 全文共分六章。 第一章主要论述论文选题的背景、目的,确立研究思路和研究方法,是论文后续研究的基础性准备工作。 第二章首先根据前人的研究成果对信贷资产证券化的概念作了一个总体的介绍,并在借鉴的基础上提出了信贷资产证券化的定义。通过各种定义各自有所侧重地对资产证券化进行界定,为我们提供一个较为全面的视角对这一概念进行更好的认识。由此,我们可以发现资产证券化这一概念主要包括三个方面:第一,资产证券化中的“资产”是指缺乏流动性,但具有可预见未来现金流收入的资产,而这些资产应具有某种同质性;第二,“证券化”是指一种技术,这种技术是指通过资产的机构性重组,辅以必要的信用增级技术,创造出适合不同投资者需求的、具有不同风险、期限和收益组合的收入凭证;第三,资产证券化产生的证券是由资产收入支持的、可以在市场上交易流通的证券。后半部分对美国和我国(包括台湾地区)的信贷资产证券化的发展概况作了详尽的介绍。美国是世界上最早开展信贷资产证2券化的国家,也是这一金融创新发展最为成熟的国家。要了解信贷资产证券化的发展历程,就不能不考察美国信贷资产证券化发展的历史和现状。对于作为同根同宗的我国台湾地区由于两岸文化底蕴的极大相似性,所以其发展资产证券化的经验也值得我们借鉴。第三章对信贷资产证券化的基本原理(主要包括资产重组原理、风险隔离原理、信用增级原理)进行了详尽的论述,并在此基础上提出了其交易模型设计。资产重组原理的核心思想是利用金融工程技术对信贷资产的中的风险与收益要素进行分离和重组,将资产重新组合,实现资产风险与收益的重新分割和重组,着重从资产收益的角度来进一步分析现金流;风险隔离原理着重从资产风险的角度来进一步分析现金流,是关于资产风险重新分割和重组的原理;信用增级原理则是从信用的角度来考察现金流,即如何通过各种信用增级方式来保证和提高整个证券资产的信用级别。所以任何一项成功的资产证券化,必须要对基础资产进行成功的重组以组成资产池,并实现资产池和其他资产的风险隔离,同时,还必须对资产池进行信用增级。信贷资产证券化作为一种结构融资的方式,一套严谨、有效的基本运作程序是其成功运作的根本保证,信贷资产证券化的基本交易结构由原始权益人、特设目的机构和投资者三类主体构成。原始权益人将自己拥有的特定资产以“真实出售”的方式过户给特设目的机构,特设目的机构获得了该资产的所有权,发行以该资产的预期现金收入流为基础的资产支撑证券,并凭借对该资产的所有权确保未来的现金收入流首先用于对证券投资者还本付息。第四章论述了信贷资产证券化的法律环境。该部分共分三节,第一节主要是在美国没有专门规范证券化的立法情况下,如何通过现存的证券法律制度对它进行证券层面的调整。这其中包括对 ABS 的“证券”属性的确认;对 SPV“投资公司”性质的确认;在为 ABS 的发行与交易提供便利方面充分利用证券立法中的豁免规定。最后总结美国证券法对资产证券化的规范,展示其在保护投资者利益、实行有效监管的前提下为资产证券化这一金融创新提供有利的发展环境的经验,为我国正在进行的资产证券化操作探索提供有益的借鉴。第二节主要论述我国台湾地区资产证券化的法律环境。为规范投资者的投资行3为,保障投资者的投资利益特别制定了《金融资产证券化条例》和《不动产证券化条例》,在这两部法律中体现了在可证券化的金融资产的界定上保留适度的弹性以及为防范风险明确规定受托机构的受托责任等,然后在此基础上总结出值得我们借鉴的地方。本章的第三节,也是本章的落脚点,结合我国现有的法律环境,分析信贷资产证券化的法律依据。在我国目前的法律框架下,SPV 无论采取公司方式还是信托方式都存在一定的障碍。若采用公司式,《公司法》对公司注册资本有最低限额及实缴要求的规定,使得作为空壳公司的 SPV 难以获得公司法人注册和取得法律上的独立人格地位,也难以具备公开发行证券的资格。而采用信托形式设立 SPV,确实是当前国有商业银行将以信贷资产证券化作为提高其资产流动性的创新手段。而《中国人民更多还原

【Abstract】 The traditional financing mode which is based on the overall creditstatus of capital demanders, securitization of credit assets takes the futureright to the income of specific financial asset as its credit base and issuessecurities of high liquidity on the basis of noncurrent assets to make thenoncurrent assets can be traded in financial market. This is not only acreation of credit system, but also an optimization of the social resourceallocation. In February, 2004, the State Council of the People’s Republic ofChina issued “ Some notions on promoting the reformation, opening upand the stable development of the capital market”, and it proposed that“we should greatly develop the low-risk fixed-income securities toprovide saving-substitutive securities for the investors, and explore thecategories of asset securitization actively”. In addition, as the deadlinewhen China’s financial sector is all-round open up to foreign capital in2006 draws on, the era in which the domestic and foreign commercialbanks compete together requires us to explore and seek for the effectivemeasure to solve the problems of state owned commercial banks’ liquidity,safety and profitability, and it has already become the urgent task of stateowned commercial banks in China to refer to and introduce new modeand conception of asset management. This paper explores thesecuritization of credit assets and its application of China’s state ownedcommercial banks under this real background. This paper is composed of six chapters. The first chapter mainly dissertates the background and purpose ofthis topic, and establishes the thought and method of the research. It is thebasic preparation of the following research in this paper. The second chapter roughly introduces the conception of credit assetsecuritization on the basis of previous researches, and puts forward thedefinition of credit asset securitization by using the previous researchesfor reference. This paper provides us a better cognition of assetsecuritization from overall aspects by defining it on different particularemphases. Therefore, we can find that this conception includes three mainaspects: firstly, the “assets” in asset securitization is lack of liquidity buthas foreseeable future cash flow of income, and these assets must havesome certain homogeneity. Secondly, “securitization” is a technology,which creates income credence with different risk, maturity and incomethat fit for different investors’ demands by means of institutionalrecompose of assets and credit enhancement technology if necessary.Thirdly, the assets formed by asset securitization are backed by the assets’income and can be transacted in the market. The latter part of this paper introduces the development of the creditasset securitization in America and China (including Taiwan) in detail.America is the earliest country to securitize the credit assets in the world,and is also the maturest country in the development of this financialinnovation. In order to know the history of the development of creditasset securitization, we have to review the history and present status ofcredit asset securitization development in America. As the agnate ofChina, Taiwan has great similarity in culture. So it is worthy of using itsexperience of asset securitization development for reference. The third part expounds the basic principles of credit assetsecuritization mainly including principles of asset recompose, riskisolation and credit enhancement, and puts forward the design of thetransaction model. The core idea of asset recompose is to divide andrecompose the risk and income of credit assets by means of financialengineering and combine the assets again so as to implement the divisionand recompose of assets’ risk and income again, and it emphasizes on theaspect of asset income to analyze cash flow. However, risk isolationemphasizes on the aspect of asset risk to analyze cash flow, and it is aprinciple about the division and recompose of assets. Credit enhancementis at the aspect of credit to analyze cash flow, i.e. how t更多还原