资产证券化被称为 70 年代以来最重要的金融创新，它源于美国的住房抵押 支持证券，经过 30 年的迅猛发展，现在已经扩展到汽车销售贷款、信用卡应收 款、基础设施收费等众多领域。80 年代进入欧洲市场并蓬勃发展，90 年代开始 进入亚洲市场，被视为极具魅力的新型融资工具。这一切说明资产证券化已成为 国际资本市场上一股不可逆转的大潮，被誉为最新的金融产品的技术，并被预言 为未来金融的发展重点。 本文主要采用逻辑的研究方法、比较的研究方法和定性与定量相结合的方 法，在参考了资产支持证券（ABS）和仓单质押贷款理论的基础上，提出了物流 仓单证券化的概念，通过对其原理、交易过程和实例的分析讨论，试图提出一条 适合投融资的创新的多赢道路。 本文首先介绍了全球资产证券化的发展背景，从深化我国金融体制改革、创 新供应链运作机制以及开拓供需理论方面阐述了仓单证券化的意义，进而提出了 仓单证券化的概念和意义，并分析了仓单支持证券相比公司债券和仓单抵押贷款 的优势。 接下去，通过逐项分析我国宏观经济条件、潜在证券投资者、我国金融市场 国际化的趋势、仓单证券化的法律可行性以及实施证券化的成功实践，研究了实 施仓单证券化的基础条件。又从发起者、投资者、物流企业以及物流运营体系和 供应链等多个角度分析了仓单证券化的价值和优势，阐述仓单证券化如何实现交 易各方的共赢。进而论证了发展我国仓单证券化符合经济原理，市场需求成熟， 具备法律基础和较高的收益水平，可以开展具体实践。 然后从仓单证券化的运作思路入手，论述了仓单证券化的交易程序，即构造 证券化资产—创立证券化的发行主体 SPV—进行信用增级—证券设计—证券发 行—现金流管理服务与清算，并通过一个实务案例分析了它的交易过程，重点论 述各方的主要业务内容和相互关系。 最后，论述了我国实施中的问题和对策并展望了仓单证券化的发展，提出， 我国目前在市场和法律制度建设方面还不是很完善，需要通过进一步发展经济， 完善会计税务等法律法规，健全市场运作机制，培养人才等方式来推动仓单证券 化这一崭新业务的实施与发展。 关键词， 资产证券化 资产支持证券 仓单质押贷款 仓单证券化 仓单支持证券 物流企业 融资ABSTRACT Asset securitization is called the most important financial innovation since 1970’s. It originated from the supporting securities for housing mortgage in USA. After its swift and violent development in the past thirty years, it has already expanded into numerous fields, such as automobiles, vessels, accounts receivables of loan and fee collection for basic facilities. It entered the European market in 1980’s and experienced a vigorous development. It entered the Asian market in 1990’s and it is regarded as a very attractive new financial instrument. All these facts have demonstrated that the securitization of assets has become an irrevocable big trend on the international capital market. It is considered as one of the newest financial techniques. It is predicted as the highlight of financial development in future. In the thesis, the logistic methods of comparison research, the combination of quantitative analysis and qualitative analysis are used to bring forward the conception of Warehouse Receipt Securitization, referred to asset-backed securities (ABS) and Warehouse Receipt Finance, and to analyze and discuss the principle, dealing process and example of the Warehouse Receipt Securitization, in order to create new multi-win financial technique. The development background of global asset securitization has been introduced first; the significance of Warehouse Receipt Securitization has been dissertated from the points of deepening our Financial Reformation and innovating the supply chain operation mechanism. Then, the conception and implement of Warehouse Receipt Securitization has been proved in detail, comparing with the corporation bond and warehouse receipt finance. Third, “The feasibility of implementing Warehouse Receipt Securitization”, the basic condition of macroscopical economics, potential investors, internationalization of our financial market, legal feasibility and the successful practices have been analyzed. Then, the value for sponsor, investor, logistics enterprise and the supply chain operation has been offered, so the multi-win of warehouse receipt securitization has been proved. In the fourth part, start with the route of warehouse receipt securitization, the process has been introduced, as follow: structure the asset –build the SPV -- credit enhancement –design securities –launch securities –manage and liquidate cash flow.An example has been taken for the detailed warehouse receipt securitization process. Finally, this thesis deals with some other issues that have emerged in the process of design of Warehouse Receipt Securitization, such as the economy, law, market and human resource etc. KEY WORDS，Asset Securitization, Asset-backed Securities (ABS), Warehouse Receipt Finance, Warehouse Receipt Securitization, Warrant-backed Securitization (WBS), the logistic enterprise, financingI 目 录 第一章 导言 ................................................. 1 1.1 研究内容和意义 ........................................................................................1 1.1.1 研究内容..........................................................................................1 1.1.2 研究意义..........................................................................................1 1.2 研究方法 ....................................................................................................1 1.3 报告结构 ....................................................................................................2 1.4 本章小结 ....................................................................................................3 第二章 仓单证券化理论概述..................................... 4 2.1 资产证券化的概念 ....................................................................................4 2.1.1 资产证券化的概念..........................................................................4 2.1.2 资产证券化的前提条件..................................................................6 2.1.3 资产证券化的交易过程..................................................................7 2.1.4 资产证券化的意义..........................................................................9 2.1.5 国内资产证券化的动态及发展趋势..............................................9 2.2 仓单及仓单质押贷款的概念 .................................................................. 11 2.2.1 仓单的概念.................................................................................... 11 2.2.2 仓单质押贷款的概念及过程........................................................ 11 2.2.3 仓单质押贷款的意义....................................................................13 2.2.4 国内仓单质押贷款理论与实践综述............................................13 2.3 仓单证券化的概念 ..................................................................................15 2.3.1 仓单证券化的定义.......................................................................15 2.3.2 仓单证券化的意义.......................................................................15 2.3.3 仓单支持证券与公司债券的比较...............................................16 2.3.4 仓单证券化与仓单质押贷款的比较...........................................17 2.4 本章小结 ..................................................................................................18 第三章 仓单证券化的可行性.................................... 20 3.1 仓单证券化融资原理分析 ......................................................................20 3.2 实施仓单证券化已经具备的基础条件 ..................................................21 3.2.1 宏观经济条件分析........................................................................21 3.2.2 社会上存在大量的潜在证券投资者............................................22II 3.2.3 我国金融市场国际化的趋势........................................................23 3.2.4 仓单证券化的法律可行性............................................................23 3.2.5 我国已经有了实施证券化的成功实践........................................24 3.3 仓单证券化实现多方共赢 .....................................................................25 3.3.1 从发行人角度看仓单证券化的价值...........................................25 3.3.2 从投资者角度看仓单证券化的价值...........................................26 3.3.3 从物流企业角度看仓单证券化的价值.......................................27 3.3.4 物流仓单证券化对提升物流运营的价值...................................28 3.4 量化的证券化方案可行性分析 ..............................................................29 3.4.1 选择仓单证券化方案的定量分析................................................29 3.4.2 实施仓单证券化的收益分析........................................................30 3.5 本章小结 ..................................................................................................32 第四章 仓单证券化的实施构想 .................................. 33 4.1 仓单证券化的思路 .................................................................................33 4.2 仓单证券化的交易程序 .........................................................................33 4.2.1 构造证券化资产...........................................................................34 4.2.2 创立证券化的发行主体 SPV ......................................................35 4.2.3 进行信用增级...............................................................................35 4.2.4 证券设计.......................................................................................36 4.2.5 证券发行.......................................................................................37 4.2.6 现金流管理服务与清算...............................................................37 4.3 仓单证券化实务案例分析 .....................................................................37 4.4 本章小结 .................................................................................................39 第五章 仓单证券化实施的难点与对策............................. 40 5.1 仓单证券化实施的难点 .........................................................................40 5.1.1 SPV 设立的问题 ...........................................................................40 5.1.2 信用增级的问题...........................................................................40 5.1.3 定价问题.......................................................................................41 5.1.4 二级市场建设问题.......................................................................41 5.1.5 税费优惠问题...............................................................................41 5.2 仓单证券化的对策 .................................................................................42 5.2.1 关于我国证券化市场 SPV 的设想 .............................................42 5.2.2 开发完善第三方物流企业信用增级功能....................................43III 5.2.3 仓单支持证券理论上定价方法的选择........................................43 5.2.4 完善资本市场建设，大力培育机构投资者................................45 5.2.5 建立健全相关的会计制度和税收制度........................................46 5.3 本章小结 .................................................................................................46 第六章 结语与展望........................................... 47 6.1 我国有利于发展仓单证券化的因素 ......................................................47 6.2 实现仓单证券化必须解决的几个问题 ..................................................48