我国汽车金融资产证券化研究
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摘要
汽车金融作为汽车工业的巨大推动力和国外汽车公司的最大盈利点近年来在我国方兴未艾。但相对于我国庞大蓬勃的汽车产业,汽车金融业在我国6年的发展状况还是无法适应和有效推动汽车业的发展。深究原因发现,汽车金融的融资问题已经成为其发展的主要瓶颈。纵观国际成熟经验,资产证券化作为增强资产流动性、化解金融风险的重要工具,已经逐渐成为破解汽车金融融资难题的关键。此时对汽车金融资产证券化进行研究显得尤其迫切。
本文按照总分总的逻辑展开,首先叙述研究背景和文献综述；接着主要分析了我国汽车金融资产证券化的运行模式；在此基础上探讨汽车金融资产支持证券的定价方法并结合我国首只汽车金融资产支持证券(通元2008-1)进行实证分析；最后指出汽车金融资产证券化存在的问题并提出相关建议。
综合理论分析和对“通元2008-1”的实证分析,最后得出以下结论：目前情况下我国可采用国际上通用的资产证券化运行模式,但根据我国实际情况,特殊目的机构主要采取信托形式,信用增级主要采取内部增级。定价方法主要采用静态现金流收益率法和静态利差法,其中,静态利差法由于考虑了利率的期限结构更为准确。
As a huge driving force and the automotive industry's largest profitable offering in foreign country, we noted that the auto finance industry in China is developing a lot recent years. But compared to the huge boom in China's auto industry, auto finance industry's 6 years development in China is still in its infancy, can not adapt to and effectively promote the thrilling auto industry. With clue as to why, financing has become a bottleneck in its development. A look at international experience in mature, asset securitization which is a important tool to strengthen asset mobility and avoid financial crisis has become a key to auto financing problem. Now, the research on asset securitization of auto finance means a lot.
This paper is logical to start with the following. First, It describes the background and literature review, the second part analyzes the mode of operation, the next focuses on auto finance asset-backed securities pricing; followed, empirical studying to the first auto finance asset-backed securities (Tong Yuan 2008-1). The last chapter is to conclude the problems and recommendations.
Comprehensive the theoretical analysis and the empirical analysis, finally we can draw the following conclusions:the current issue mode can be used in China, but basis our condition, SPV should be entrustment basis and credit update should be internal. About pricing fixing methods, static cash flow yield and static spread are both applicable, but the latter is a little bit precise for it considers the term structure of interest rate.
本文按照总分总的逻辑展开,首先叙述研究背景和文献综述；接着主要分析了我国汽车金融资产证券化的运行模式；在此基础上探讨汽车金融资产支持证券的定价方法并结合我国首只汽车金融资产支持证券(通元2008-1)进行实证分析；最后指出汽车金融资产证券化存在的问题并提出相关建议。
综合理论分析和对“通元2008-1”的实证分析,最后得出以下结论：目前情况下我国可采用国际上通用的资产证券化运行模式,但根据我国实际情况,特殊目的机构主要采取信托形式,信用增级主要采取内部增级。定价方法主要采用静态现金流收益率法和静态利差法,其中,静态利差法由于考虑了利率的期限结构更为准确。
As a huge driving force and the automotive industry's largest profitable offering in foreign country, we noted that the auto finance industry in China is developing a lot recent years. But compared to the huge boom in China's auto industry, auto finance industry's 6 years development in China is still in its infancy, can not adapt to and effectively promote the thrilling auto industry. With clue as to why, financing has become a bottleneck in its development. A look at international experience in mature, asset securitization which is a important tool to strengthen asset mobility and avoid financial crisis has become a key to auto financing problem. Now, the research on asset securitization of auto finance means a lot.
This paper is logical to start with the following. First, It describes the background and literature review, the second part analyzes the mode of operation, the next focuses on auto finance asset-backed securities pricing; followed, empirical studying to the first auto finance asset-backed securities (Tong Yuan 2008-1). The last chapter is to conclude the problems and recommendations.
Comprehensive the theoretical analysis and the empirical analysis, finally we can draw the following conclusions:the current issue mode can be used in China, but basis our condition, SPV should be entrustment basis and credit update should be internal. About pricing fixing methods, static cash flow yield and static spread are both applicable, but the latter is a little bit precise for it considers the term structure of interest rate.
引文
[1]王再祥.汽车金融[M].北京：中国金融出版社,2004.
[2]孙奉军.资产证券化效率分析[M].上海：上海财经大学出版社,2004.马钧等.汽车金融服务[M].北京：北京理工大学出版社,2007.
[3]高峦.刘忠燕.资产证券化研究[M].天津：天津大学出版社,2009.
[4]赵宇华.资产证券化原理与实务[M].北京：中国人民大学出版社,2007.
[5]高广春.资产证券化的结构[M].北京：中国经济出版社,2008.
[6]李永钧.汽车金融载沉载浮[J].上海经济,2008(2),70-71.
[7]张风喜.呼唤汽车金融服务公司[J].经贸世界,2002(90),61.
[8]黎希宁.汽车金融外国的月亮中国圆[J].中国金融家,2003(11),22.
[9]江南.汽车金融公司亮相[J].远东经济画报,2004(9),16-19.
[10]钟恬.汽车金融公司会抢走银行的“饭碗”吗?[J].大经贸,2004(4),32-35.
[11]彭国庆,梁新波.当前个人汽车贷款的风险分析与控制对策[J].科技情报开发与经济,2008,18： (24),112-114.
[12]韩博印.融资证券化初探[J].当代经济科学,1995(1),12.
[13]季成,任荣明.我国信贷资产证券化的模式与定价研究[J].价格理论与实践,2007(9),60-61.
[14]方明,韩平.资产证券化在我国汽车金融业的应用研究[J].上海汽车,2004(4),15-18.
[15]田娟娟.我国银行业不良资产证券化的定价研究[J].金融理论与教学,2008(3),24-26.
[16]孙英.双层结构资产证券化运作模式探究[J].中国乡镇企业会计,2009(4),58-59.
[17]林声强.金融资产证券化的运行模式与风险聚集—以美国次贷危机为例[J].福建论坛：人文社会科学版,2008(9),15-19.
[18]李佳,王晓.试析资产证券化的基本功能在次贷危机中的作用[J].新金融,2009(8)，50-53.
[19]史晨昱.中国信贷资产证券化市场发展现状及展望[J].新金融,2009(4),45-49.
[20]宣昌能,王信.焦点——欧美资产证券化模式的比较分析[J].财经,2009(9),83.
[21]王永刚,吕卓.关于城市建设贷款证券化的可行性研究[J].技术经济与管理研究,2008(6),94-97.
[22]聂亦慧.企业资产证券化与资本结构优化研究[J].商业时代,2008(19),66.
[23]吕伟昌.汽车金融公司资产证券化问题探讨[J].浙江金融,2009(8),40-41.
[24]朱宇畅.资产证券化在中国的实践状况分析[J].商业现代化,2008(16),392.
[25]邱询旻,孙强.我国不良资产证券化运作方式分析[J].河北大学学报：哲学社会科学 版,2008(2),69-76.
[26]郭志仪,隆宗佐.我国住房消费信贷与房地产业资产证券化研究[J].消费经济,2008(2),92-95.
[27]陈钟.浅析汽车消费贷款资产支持证券[J].经济研究导刊,2007(2),94-97.
[28]耿丹丹.我国信贷资产证券化的立法完善[J].西南金融,2007(4),53-54.
[29]陈志宏,柳岳青.信贷资产证券化中资产选择博弈分析[J].商业研究.2007(2),58-59.
[30]俞金平,李胜宏.基于跳扩散模型的资产证券化定价[J].浙江大学学报：理学版,2008(2),160-162.
[31]刘希珍,边心博.汽车金融的资产证券化研究[J].西安电子科技大学学报(社会科学版),2007(3),83-88.
[32]吴成权.汽车金融公司信贷资产证券化浅谈[J].中国经贸,2010(2),146-147.
[33]冯俊文.汽车金融中的信贷资产证券化研究[D].南京：南京理工大学,2006.
[34]魏振媛.汽车金融公司财务管理研究[D].北京：对外经济贸易大学,2006.
[35]缪明杨.我国汽车消费信贷证券化的可行性探讨[D].成都：西南财经大学,2007.
[36]李丽.汽车金融：保护资金链[J].汽车观察,2009(7),100-101.
[37]柳庆元,王臻.建设银行住房抵押贷款定价实证分析[J].武汉金融,2008(9),26-29.
[38]薄科满.多方面扶持汽车金融.http://auto.sohu.com/20100223/n270371534_1.shtml,2010.2.23.
[39]2010：中国汽车金融元年.汽车市场,http://www.automarket.net.cn.
[40]搜狐汽车,http：//auto.sohu.com/.
[41]朱伟.2010：汽车金融有戏么?http://auto.tencent.com/,2010/01/22.
[42]福特汽车信贷公司,http://www.fordcredit.com.
[43]通用金融,http://www.gmacfs.com/us/en/index.html.
[44]Benvenise and Berger. Securitization with Recourse. J. Banking& Finance,1987.
[45]James A. Rosenthal and Juan M.Ocampo. Securitization of Loan,1988.
[46]Steven L.Schwarcz. The Alchemy of Asset Securitization [J]. Stan.J.L.Bus.Fin.1994:133.
[47]Lacour-Little, Anthony B. Sanders. Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?[J]. Journal of Financial Services Research, 28:1,113—133,2005.
[48]David Hirshleifer. The Blurring of Boundaries between Financial Institutions and Markets. Journal of Financial Intermediation,2001,(7)
[49]Frank J. Fabozzi. Accessing Capital Markets through Securitization, Fabozzi Associate, 2001.
[50]Glennie, Bouter and Luke. Securitisation:Aviable Finance Alternative?. African Business, 1998.
[51]Christopher W. Frost. Asset Securitization and Corporate Risk Allocation[J],72 Tul.L. Rev.101,1997.
[52]Graham John R。Harvey Campbell R. The Theory Practice of Corporate Finance: Evidence from the field [J]. Journal of Financial Economics,2001,60:187-243.
[53]Paul w.Feeney. Securitization:Redefining the Bank, St. Martin'S Press,1995.
[54]Joseph C. Shenker & Anthony J.Colletta. Asset Securitization:Evolution, Current Issues and New Frontiers, Texas Law Review, Vol.69, May 1991.
[55]Charles Austin, Anne Zissu. Securitization:The Transformation of Liquid Financial Assets into Liquid Capital Market Securities. Financial Markets,2000,(3-4).
1王再祥.汽车金融[M].北京：中国金融出版社,2004
2网易汽车：http://auto.163.com/09/0821/10/5H7VK8KN00081 G98.html
3韩庆.汽车金融：中国汽车消费助推力,中国证券报[N1.上海证券报,2009.11.27
4资料来源：长江证券银行信贷数据
5数据来源：中国汽车工业协会汽车行业报告
6 Charles Austin,Anne Zissu.Securitization:The Transformation of Liquid Financial Assets into Liquid Capital Market Securities.Financial Markets,2000,(3-4)
7财资网：http://www.treasury.com.cn/treasury/cash/4361.htm
8 Glennie, Bouter and Luke. Securitisation:Aviable Finance Alternative?. African Business,1998
9 David Hirshleifer. The Blurring of Boundaries between Financial Institutions and Markets. Journal of Financial intermediation,2001,(7)
Frank J. Fabozzi. Accessing Capital Markets through Securitization, Fabozzi Associate,2001
11数据来源：中国人民银行,2005年6月16日公告
12数据来源：上海统计局
13赵宇华.资产证券化原理与实务[M].北京：中国人民大学出版社,2007(232)
14刘明康：2010.3.5访谈
15资料来源：上海银监会
16大公报(2009年170号)：通元更新评级报告
[2]孙奉军.资产证券化效率分析[M].上海：上海财经大学出版社,2004.马钧等.汽车金融服务[M].北京：北京理工大学出版社,2007.
[3]高峦.刘忠燕.资产证券化研究[M].天津：天津大学出版社,2009.
[4]赵宇华.资产证券化原理与实务[M].北京：中国人民大学出版社,2007.
[5]高广春.资产证券化的结构[M].北京：中国经济出版社,2008.
[6]李永钧.汽车金融载沉载浮[J].上海经济,2008(2),70-71.
[7]张风喜.呼唤汽车金融服务公司[J].经贸世界,2002(90),61.
[8]黎希宁.汽车金融外国的月亮中国圆[J].中国金融家,2003(11),22.
[9]江南.汽车金融公司亮相[J].远东经济画报,2004(9),16-19.
[10]钟恬.汽车金融公司会抢走银行的“饭碗”吗?[J].大经贸,2004(4),32-35.
[11]彭国庆,梁新波.当前个人汽车贷款的风险分析与控制对策[J].科技情报开发与经济,2008,18： (24),112-114.
[12]韩博印.融资证券化初探[J].当代经济科学,1995(1),12.
[13]季成,任荣明.我国信贷资产证券化的模式与定价研究[J].价格理论与实践,2007(9),60-61.
[14]方明,韩平.资产证券化在我国汽车金融业的应用研究[J].上海汽车,2004(4),15-18.
[15]田娟娟.我国银行业不良资产证券化的定价研究[J].金融理论与教学,2008(3),24-26.
[16]孙英.双层结构资产证券化运作模式探究[J].中国乡镇企业会计,2009(4),58-59.
[17]林声强.金融资产证券化的运行模式与风险聚集—以美国次贷危机为例[J].福建论坛：人文社会科学版,2008(9),15-19.
[18]李佳,王晓.试析资产证券化的基本功能在次贷危机中的作用[J].新金融,2009(8)，50-53.
[19]史晨昱.中国信贷资产证券化市场发展现状及展望[J].新金融,2009(4),45-49.
[20]宣昌能,王信.焦点——欧美资产证券化模式的比较分析[J].财经,2009(9),83.
[21]王永刚,吕卓.关于城市建设贷款证券化的可行性研究[J].技术经济与管理研究,2008(6),94-97.
[22]聂亦慧.企业资产证券化与资本结构优化研究[J].商业时代,2008(19),66.
[23]吕伟昌.汽车金融公司资产证券化问题探讨[J].浙江金融,2009(8),40-41.
[24]朱宇畅.资产证券化在中国的实践状况分析[J].商业现代化,2008(16),392.
[25]邱询旻,孙强.我国不良资产证券化运作方式分析[J].河北大学学报：哲学社会科学 版,2008(2),69-76.
[26]郭志仪,隆宗佐.我国住房消费信贷与房地产业资产证券化研究[J].消费经济,2008(2),92-95.
[27]陈钟.浅析汽车消费贷款资产支持证券[J].经济研究导刊,2007(2),94-97.
[28]耿丹丹.我国信贷资产证券化的立法完善[J].西南金融,2007(4),53-54.
[29]陈志宏,柳岳青.信贷资产证券化中资产选择博弈分析[J].商业研究.2007(2),58-59.
[30]俞金平,李胜宏.基于跳扩散模型的资产证券化定价[J].浙江大学学报：理学版,2008(2),160-162.
[31]刘希珍,边心博.汽车金融的资产证券化研究[J].西安电子科技大学学报(社会科学版),2007(3),83-88.
[32]吴成权.汽车金融公司信贷资产证券化浅谈[J].中国经贸,2010(2),146-147.
[33]冯俊文.汽车金融中的信贷资产证券化研究[D].南京：南京理工大学,2006.
[34]魏振媛.汽车金融公司财务管理研究[D].北京：对外经济贸易大学,2006.
[35]缪明杨.我国汽车消费信贷证券化的可行性探讨[D].成都：西南财经大学,2007.
[36]李丽.汽车金融：保护资金链[J].汽车观察,2009(7),100-101.
[37]柳庆元,王臻.建设银行住房抵押贷款定价实证分析[J].武汉金融,2008(9),26-29.
[38]薄科满.多方面扶持汽车金融.http://auto.sohu.com/20100223/n270371534_1.shtml,2010.2.23.
[39]2010：中国汽车金融元年.汽车市场,http://www.automarket.net.cn.
[40]搜狐汽车,http：//auto.sohu.com/.
[41]朱伟.2010：汽车金融有戏么?http://auto.tencent.com/,2010/01/22.
[42]福特汽车信贷公司,http://www.fordcredit.com.
[43]通用金融,http://www.gmacfs.com/us/en/index.html.
[44]Benvenise and Berger. Securitization with Recourse. J. Banking& Finance,1987.
[45]James A. Rosenthal and Juan M.Ocampo. Securitization of Loan,1988.
[46]Steven L.Schwarcz. The Alchemy of Asset Securitization [J]. Stan.J.L.Bus.Fin.1994:133.
[47]Lacour-Little, Anthony B. Sanders. Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?[J]. Journal of Financial Services Research, 28:1,113—133,2005.
[48]David Hirshleifer. The Blurring of Boundaries between Financial Institutions and Markets. Journal of Financial Intermediation,2001,(7)
[49]Frank J. Fabozzi. Accessing Capital Markets through Securitization, Fabozzi Associate, 2001.
[50]Glennie, Bouter and Luke. Securitisation:Aviable Finance Alternative?. African Business, 1998.
[51]Christopher W. Frost. Asset Securitization and Corporate Risk Allocation[J],72 Tul.L. Rev.101,1997.
[52]Graham John R。Harvey Campbell R. The Theory Practice of Corporate Finance: Evidence from the field [J]. Journal of Financial Economics,2001,60:187-243.
[53]Paul w.Feeney. Securitization:Redefining the Bank, St. Martin'S Press,1995.
[54]Joseph C. Shenker & Anthony J.Colletta. Asset Securitization:Evolution, Current Issues and New Frontiers, Texas Law Review, Vol.69, May 1991.
[55]Charles Austin, Anne Zissu. Securitization:The Transformation of Liquid Financial Assets into Liquid Capital Market Securities. Financial Markets,2000,(3-4).
1王再祥.汽车金融[M].北京：中国金融出版社,2004
2网易汽车：http://auto.163.com/09/0821/10/5H7VK8KN00081 G98.html
3韩庆.汽车金融：中国汽车消费助推力,中国证券报[N1.上海证券报,2009.11.27
4资料来源：长江证券银行信贷数据
5数据来源：中国汽车工业协会汽车行业报告
6 Charles Austin,Anne Zissu.Securitization:The Transformation of Liquid Financial Assets into Liquid Capital Market Securities.Financial Markets,2000,(3-4)
7财资网：http://www.treasury.com.cn/treasury/cash/4361.htm
8 Glennie, Bouter and Luke. Securitisation:Aviable Finance Alternative?. African Business,1998
9 David Hirshleifer. The Blurring of Boundaries between Financial Institutions and Markets. Journal of Financial intermediation,2001,(7)
Frank J. Fabozzi. Accessing Capital Markets through Securitization, Fabozzi Associate,2001
11数据来源：中国人民银行,2005年6月16日公告
12数据来源：上海统计局
13赵宇华.资产证券化原理与实务[M].北京：中国人民大学出版社,2007(232)
14刘明康：2010.3.5访谈
15资料来源：上海银监会
16大公报(2009年170号)：通元更新评级报告