以信托方式推行银行信贷资产证券化研究
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摘要
银行信贷资产证券化是将银行不流通但具有稳定的未来现金收入流的存量信贷资产，构造和转变成可销售和转让的金融证券的过程。它将信贷资产的风险与收益进行分离和重组，使参与各方都能从中获益。信贷资产证券化作为近三十年来金融领域最大的创新之一，在国外发展迅速，已涉及到汽车贷款、信用卡贷款、消费品贷款、公用事业贷款等信贷资产。
20世纪90年代中期以来，中国的学界和业界对资产证券化进行了深入的研究和不懈的探索。由于信贷资产证券化的复杂性和实践的缺乏，现实的研究离创立中国资产证券化市场所需的理论深度仍然存在着一定的距离。目前，国内关于银行信贷资产证券化还处于个案试点探索阶段，没有一个完善的运作模式，主要原因是关于特殊目的公司(SPV)的选择和运作条件不成熟。本文主要研究以信托模式来推行银行信贷资产证券化。论文共分为五章。
第一章是银行信贷资产证券化的理论基础。资产证券化的发展过程是从一级资产证券化向二级资产证券化过渡。本文所研究的银行信贷资产是二级资产证券化，也就是狭义资产证券化的最主要内容。银行信贷资产证券化主要包括一个核心原理(基础资产的现金流分析原理)和三个基本原理(资产重组原理、风险隔离原理、信用增级原理)。资产证券化的结构性融资特点以及我国银行业自身的情况，使得我国推行信贷资产证券化已刻不容缓。特别是从证券化依存条件分析，我国已初步具备证券化条件。
第二章对以信托方式推行银行信贷资产证券化进行了可行性分析。信托模式主要是借用信托财产的独立性原理，完成证券化资产的风险隔离。金融体系发达的国家，法律法规完善，SPV的选择很多。探其历史，在资产证券化的起步阶段，为规避法律法规的限制往往采用信托模式，日本就是一个例子。我国信托业经过五次调整后，按照现代企业管理要求和市场化标准进行了制度建设，以崭新的面目出现在人们面前。同其他金融机构相比，信托投资公司的业务内容最为丰富，经营方式最为灵活，功能作用最为广泛。在推行信贷资产证券化方面，信托有着其他金融行业无可比拟的优势。
第三章对信托形式推行银行信贷资产证券化的运作形式作了分析。证券化的信贷资产放在银行优质资产上，如住房抵押贷款和基础建设贷款。证券化品种采用较简单的过手证券形式。运作时将银行信贷资产作为信托财产，经信用增级和信用评
华东师范大学硕士学位论文
以信托方式推行银行信贷资产证券化研究
级后，由受托人，即信托公司向投资者发行受益权凭证。证券化初期选择机构投资
者为宜。信托财产的收入流来自贷款每月本息归还及提前还贷数，扣除服务费之后
就是投资者收益。所以提前还贷是证券化贷款组合中最大的风险因素，可采用美国
公共证券协会的模式，假设一个提前偿付率常数，将提前还贷风险进行预测并记入
现金流分配中。证券化可分试点与自由发展两阶段逐步实现目标，试点阶段选择上
海作为试点地区。
第四章对证券化过程中遇到的法律、会计和税收问题进行了分析。法律问题涉
及资产转移中的原债务人的知情权和对债务人保密的规定，信托法规定的信托财产
的独立性有效的保证了信贷资产、发起人和信托公司的风险隔离。关于会计问题，
关键是明确资产证券化是作为出售处理的表外业务。目前信托业务会计核算上没有
一个统一的规范，文章仅对证券化中涉及的信托财产的会计核算做出说明，明确信
托会计核算主体。在税收问题上，根据信托导管原理，以受益人为纳税义务人课征
所得税，并建议证券化初期减免营业税、印花税，降低对证券化投资者的所得税率
或免征所得税。
第五章对我国银行信贷资产证券化的发展提出一些构想。目前，我国在实施资
产证券化过程中，制度方面存在一些不足，建立健全证券化的规章制度势在必行。
证券化由试点阶段到自由发展阶段的基本发展格局，必然带来证券化对象工具和技
术的多样化。剥离证券和分期支付多级证券的实行将会满足资本市场上不同投资者
的投资目的。
The bank credit assets securitization is an important financial innovation in the international finance field in recent three decades and develops rapidly in the abroad. Credit assets as securitization have included automobile loan, credit card loan and consumer goods loan and public cause loan etc. Its purpose is to provide liquidity to the mortgage credit market. It separates and reorganizes between the risk and value of credit assets, which makes the participators benefit from it. Assets securitization would be the trend of financial market in the future.
Since the middle period in the 90's, many economists have been carrying on the research of assets securitization. But owing to the complexity of credit assets securitization, China has not found securitization market and exists fixed distance between reality and theory. As a member of the emerging market in the world, China must follow the trend of securitization. It is a milestone showing China big step toward the wave of the finance globalization. At present, the bank credit assets securitization is the exploring stage, and still no perfect operating model. The major cause lies in the special purpose vehicle (SPV). The thesis would try to research the new model-the trust model-with the help of trust to carry out the bank credit assets securitization. The thesis consists of five parts.
Part one is the theory on the bank credit asset securitization. The development course of assets securitization includes two stages. The bank credit assets securitization is the second stage and is main part of asset securitization. The bank credit assets securitization in theory chiefly includes a nucleus principle (cash flow analysis theory of underlying assets) and three the basic theories (assets reorganization and risk remote and credit enhancement). It is a more efficient method for linking borrowers and investors than traditional financing through financial intermediaries. Our country has to carry on securitization no delay, and the basic conditions on securitization have been fulfilled now.
Part two analyses the feasibility that makes trust put to use the implementation of credit assets securitization. Trust property is of the independence principle and could achieves effectively risk remote in the course of securitization, which is central content of trust model. There are perfect laws and regulations and financial system in the
advanced nations and many selections in SPV. But in the early stage of securitization trust model was often used because lack of laws and regulations, and Japan is an example. Trust in china after going through five important adjustments is energetic and trust companies also carry on institutional reformation according to modern corporations management requirement and market-directed economic standard. Being compared with other finance organizations, the business and functions in trust investment corporations are the richest, and the management method is the most flexible. So it possesses the incomparable superiority at the aspect of carrying out the credit assets securitization.
Part three analyses operating means that make use of trust to carry on the credit assets securitization. Performing loans should been selected as asset-backed securities in the bank credit assets such as housing mortgage loan and capital construction loan. Pass through as simpler security is used in the early stage. The bank credit assets will be transformed into trust properties in the trust model. Then is asset-backed securities that through credit enhancement and due diligence in the course of securitization. Trust companies as trustee issue securities to investors. Now agency investors are suitable in the initial stage. The investors' income of trust comes from principal sum and interest of per month loan and prepaid capital, and deducts the service fee. Prepayment is a risk factor during the securitization. Due to avoid credit risk need to suppose a constant prepayment rate (CPR) and its affection to cash flow. The securitization can be divided two steps that ar
20世纪90年代中期以来，中国的学界和业界对资产证券化进行了深入的研究和不懈的探索。由于信贷资产证券化的复杂性和实践的缺乏，现实的研究离创立中国资产证券化市场所需的理论深度仍然存在着一定的距离。目前，国内关于银行信贷资产证券化还处于个案试点探索阶段，没有一个完善的运作模式，主要原因是关于特殊目的公司(SPV)的选择和运作条件不成熟。本文主要研究以信托模式来推行银行信贷资产证券化。论文共分为五章。
第一章是银行信贷资产证券化的理论基础。资产证券化的发展过程是从一级资产证券化向二级资产证券化过渡。本文所研究的银行信贷资产是二级资产证券化，也就是狭义资产证券化的最主要内容。银行信贷资产证券化主要包括一个核心原理(基础资产的现金流分析原理)和三个基本原理(资产重组原理、风险隔离原理、信用增级原理)。资产证券化的结构性融资特点以及我国银行业自身的情况，使得我国推行信贷资产证券化已刻不容缓。特别是从证券化依存条件分析，我国已初步具备证券化条件。
第二章对以信托方式推行银行信贷资产证券化进行了可行性分析。信托模式主要是借用信托财产的独立性原理，完成证券化资产的风险隔离。金融体系发达的国家，法律法规完善，SPV的选择很多。探其历史，在资产证券化的起步阶段，为规避法律法规的限制往往采用信托模式，日本就是一个例子。我国信托业经过五次调整后，按照现代企业管理要求和市场化标准进行了制度建设，以崭新的面目出现在人们面前。同其他金融机构相比，信托投资公司的业务内容最为丰富，经营方式最为灵活，功能作用最为广泛。在推行信贷资产证券化方面，信托有着其他金融行业无可比拟的优势。
第三章对信托形式推行银行信贷资产证券化的运作形式作了分析。证券化的信贷资产放在银行优质资产上，如住房抵押贷款和基础建设贷款。证券化品种采用较简单的过手证券形式。运作时将银行信贷资产作为信托财产，经信用增级和信用评
华东师范大学硕士学位论文
以信托方式推行银行信贷资产证券化研究
级后，由受托人，即信托公司向投资者发行受益权凭证。证券化初期选择机构投资
者为宜。信托财产的收入流来自贷款每月本息归还及提前还贷数，扣除服务费之后
就是投资者收益。所以提前还贷是证券化贷款组合中最大的风险因素，可采用美国
公共证券协会的模式，假设一个提前偿付率常数，将提前还贷风险进行预测并记入
现金流分配中。证券化可分试点与自由发展两阶段逐步实现目标，试点阶段选择上
海作为试点地区。
第四章对证券化过程中遇到的法律、会计和税收问题进行了分析。法律问题涉
及资产转移中的原债务人的知情权和对债务人保密的规定，信托法规定的信托财产
的独立性有效的保证了信贷资产、发起人和信托公司的风险隔离。关于会计问题，
关键是明确资产证券化是作为出售处理的表外业务。目前信托业务会计核算上没有
一个统一的规范，文章仅对证券化中涉及的信托财产的会计核算做出说明，明确信
托会计核算主体。在税收问题上，根据信托导管原理，以受益人为纳税义务人课征
所得税，并建议证券化初期减免营业税、印花税，降低对证券化投资者的所得税率
或免征所得税。
第五章对我国银行信贷资产证券化的发展提出一些构想。目前，我国在实施资
产证券化过程中，制度方面存在一些不足，建立健全证券化的规章制度势在必行。
证券化由试点阶段到自由发展阶段的基本发展格局，必然带来证券化对象工具和技
术的多样化。剥离证券和分期支付多级证券的实行将会满足资本市场上不同投资者
的投资目的。
The bank credit assets securitization is an important financial innovation in the international finance field in recent three decades and develops rapidly in the abroad. Credit assets as securitization have included automobile loan, credit card loan and consumer goods loan and public cause loan etc. Its purpose is to provide liquidity to the mortgage credit market. It separates and reorganizes between the risk and value of credit assets, which makes the participators benefit from it. Assets securitization would be the trend of financial market in the future.
Since the middle period in the 90's, many economists have been carrying on the research of assets securitization. But owing to the complexity of credit assets securitization, China has not found securitization market and exists fixed distance between reality and theory. As a member of the emerging market in the world, China must follow the trend of securitization. It is a milestone showing China big step toward the wave of the finance globalization. At present, the bank credit assets securitization is the exploring stage, and still no perfect operating model. The major cause lies in the special purpose vehicle (SPV). The thesis would try to research the new model-the trust model-with the help of trust to carry out the bank credit assets securitization. The thesis consists of five parts.
Part one is the theory on the bank credit asset securitization. The development course of assets securitization includes two stages. The bank credit assets securitization is the second stage and is main part of asset securitization. The bank credit assets securitization in theory chiefly includes a nucleus principle (cash flow analysis theory of underlying assets) and three the basic theories (assets reorganization and risk remote and credit enhancement). It is a more efficient method for linking borrowers and investors than traditional financing through financial intermediaries. Our country has to carry on securitization no delay, and the basic conditions on securitization have been fulfilled now.
Part two analyses the feasibility that makes trust put to use the implementation of credit assets securitization. Trust property is of the independence principle and could achieves effectively risk remote in the course of securitization, which is central content of trust model. There are perfect laws and regulations and financial system in the
advanced nations and many selections in SPV. But in the early stage of securitization trust model was often used because lack of laws and regulations, and Japan is an example. Trust in china after going through five important adjustments is energetic and trust companies also carry on institutional reformation according to modern corporations management requirement and market-directed economic standard. Being compared with other finance organizations, the business and functions in trust investment corporations are the richest, and the management method is the most flexible. So it possesses the incomparable superiority at the aspect of carrying out the credit assets securitization.
Part three analyses operating means that make use of trust to carry on the credit assets securitization. Performing loans should been selected as asset-backed securities in the bank credit assets such as housing mortgage loan and capital construction loan. Pass through as simpler security is used in the early stage. The bank credit assets will be transformed into trust properties in the trust model. Then is asset-backed securities that through credit enhancement and due diligence in the course of securitization. Trust companies as trustee issue securities to investors. Now agency investors are suitable in the initial stage. The investors' income of trust comes from principal sum and interest of per month loan and prepaid capital, and deducts the service fee. Prepayment is a risk factor during the securitization. Due to avoid credit risk need to suppose a constant prepayment rate (CPR) and its affection to cash flow. The securitization can be divided two steps that ar
引文
[1] 李曜著，《资产证券化》。上海：上海财经大学出版社，2001年12月第一版
[2] 涂永红，刘柏荣著，《银行信贷资产证券化》。北京：中国金融出版社，2000年8月第一版
[3] 萧端主编，《新世纪金融热点》。北京：中国审计出版社，2001年1月第一版
[4] 詹向阳主编，《银行资产证券化与债转股》。四川：西南财经大学出版社，2000年11月第一版
[5] 陆世敏、赵晓菊编著，《现代商业银行经营与管理》。上海：上海财经大学出版社，1999年1月第二版
[6] 萧灼基主编，《2001年金融市场分析与预测》。北京：经济科学出版社，2001年2月第一版
[7] 王洪卫等著，《中国住房金融：资金筹措与风险防范机制》。上海：上海财经大学出版社，2001年4月第一版
[8] 文宗瑜、冷汇卿著，《产权证券化与创业板(二板)融资》。北京：中国金融出版社，2000年7月第一版
[9] 沈沛主编，《资产证券化研究》。海天出版社，1999年版
[10] 王开国等编著，《资产证券化论》。上海：上海财经大学出版社，1999年版
[11] 邓伟利编著，《资产证券化：国际经验与中国实践》。上海：上海人民出版社，2003年版
[12] 李莉，《我国信贷资产证券化应注意的问题》，物流科技，2002．2
[13] 严武，《论我国资产证券化基础资产的选择》，当代财经，2001．7
[14] 关光启、应明幼，《资产证券化的风险分析与监控》，技术经济与管理研究，2002．6
[15] 贡峻，《资产证券化的会计问题研究》，金融教学与研究，2002．3
[16] 陈红，《我国商业银行信贷资产证券化探析》，武汉金融，2002．7
[17] 孙月琴，《银行信贷资产证券化的必要性及在我国的应用》，福建农业大学学报，2001．7
[18] 洪玫，《信用评级在资产证券化中的应用》，投资研究，2001．6
[19] 林薇峰，《资产证券化的现状与前景》，浙江金融，2001．6
[20] 冯廷皆，《英国资产证券化及其启示》，广西金融研究，2001．6
[21] 人民银行南昌中心支行课题组，《我国银行信贷资产证券化问题研究》，金融与经济，2002．12
[22] ANDREA HEUSON, WAYNE PASSMORE, ROGER SPARKS. 《Credit Scoring and Mortgage Securitization: Implications for Mortgage Rates and Credit Abailability》 In 《The Journal of Real Estate Finance and Economics》 spring 2001 Kluwer Academic Publishers, in the Netherlands.
[23] 《The Case of Mortgage-backed Securities》 in spring 2001 《The Real Estate Finance Journal》,A West Group Publication in the US.
[24] Henderson, John,《Asset securitization: current techniques and emerging market applications》. Euromoney Books, c1997.
[25] Obay, Lamia. 《Financial innovation in the banking industry: the case of asset securitization》 Garland Pub., 2000.
[2] 涂永红，刘柏荣著，《银行信贷资产证券化》。北京：中国金融出版社，2000年8月第一版
[3] 萧端主编，《新世纪金融热点》。北京：中国审计出版社，2001年1月第一版
[4] 詹向阳主编，《银行资产证券化与债转股》。四川：西南财经大学出版社，2000年11月第一版
[5] 陆世敏、赵晓菊编著，《现代商业银行经营与管理》。上海：上海财经大学出版社，1999年1月第二版
[6] 萧灼基主编，《2001年金融市场分析与预测》。北京：经济科学出版社，2001年2月第一版
[7] 王洪卫等著，《中国住房金融：资金筹措与风险防范机制》。上海：上海财经大学出版社，2001年4月第一版
[8] 文宗瑜、冷汇卿著，《产权证券化与创业板(二板)融资》。北京：中国金融出版社，2000年7月第一版
[9] 沈沛主编，《资产证券化研究》。海天出版社，1999年版
[10] 王开国等编著，《资产证券化论》。上海：上海财经大学出版社，1999年版
[11] 邓伟利编著，《资产证券化：国际经验与中国实践》。上海：上海人民出版社，2003年版
[12] 李莉，《我国信贷资产证券化应注意的问题》，物流科技，2002．2
[13] 严武，《论我国资产证券化基础资产的选择》，当代财经，2001．7
[14] 关光启、应明幼，《资产证券化的风险分析与监控》，技术经济与管理研究，2002．6
[15] 贡峻，《资产证券化的会计问题研究》，金融教学与研究，2002．3
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