浙江出口业务发展迅猛，出口企业融资需求日渐旺盛，但世界经济形势变化 多端，国际贸易环境风险莫测，浙江大多数出口企业的抗风险能力偏弱，货款回 笼风险增加。企业还款能力不足，银行信贷资产质量下降，国内银行业信用风险 持续蔓延，并可能导致银行业系统性风险加剧。外部监管机构建立宏观审慎评估 体系，促使银行主动管理资产负债结构，使银行倾向于持有低风险信贷资产，以 满足外部监管规定和内部发展要求。 论文分析了 A 银行存量出口贸易信贷资产的现状，运用信贷资产证券化的理 论，对 A 银行贸易融资产品的风险、基础资产池构建、证券化流程梳理和证券模 拟销售作了可行性研究，特别是对证券分层增信、金融衍生品配套等方面作了创 新研究。 论文研究发现银行无法规避贸易流程中的所有风险，认为出口贸易信贷资产 被证券化很有必要，而且出口贸易信贷资产适合作基础资产，证券化条件具备， 适合浙江的经济特点。出口贸易信贷资产证券化实施效果明显，可有效盘活存量 资产和转移贷款风险。本文对银行控制出口贸易信贷资产风险，提高银行资产管 理质量具有一定的参考价值。 关 键 词，出口贸易融资，资产质量，风险转移，资产证券化 论文类型，应用研究浙江工业大学硕士学位论文 浙江省 A 银行出口贸易信贷资产证券化研究 II RESEARCH ON EXPORT TRADE CREDIT ASSET SECURITIZATION OF BANK A IN ZHEJIANG ABSTRACT With the rapid development of export in Zhejiang, the export trade financing demand is increasing. However, the world economic situation is changing rapidly, the risk of international trade is unpredictable, the anti-risk ability of most export enterprises is weak, and the default risk of buyers is also increasing. With domestic banking credit continuing spreading, the quality of bank credit assets is declining and the banking system risk is increasing. The establishment of the macro-prudential evaluation system by external regulators makes commercial banks actively manage their asset-liability structure and the commercial banks tend to hold low-risk credit assets in order to meet external regulatory requirements and internal development requirements. This paper analyzes the existing export trade credit asset of bank A in Zhejiang, and applies the theory of asset securitization to study the risk of trade financing products, basic asset pool construction and securitization process, especially the security credit enhancement, security sales mode and financial derivatives application . The paper finds that commercial banks are unable to control all the risk arising from trade and concludes that it is necessary for trade credit assets to be securitized. Trade credit assets are proved good basic assets conforming to related standards,and are suitable to develop in Zhejiang. The trade credit asset securitization can effectively liquidize the stock assets and transfer loan risks. This article is beneficial and helpful for researchers to study how to control the risk of export trade credit assets and reinforce the management of banking trade credit assets. KEY WORDS: Export Trade Financing ； Asset Quality ； Risk Transfer ；Asset Securitization TYPE OF DISSERTATION / THESIS: Application Research浙江工业大学硕士学位论文 浙江省 A 银行出口贸易信贷资产证券化研究 III 目 录 1 绪论...........................................................................................................1 1.1 研究背景和意义...................................................................................................1 1.1.1 研究背景.........................................................................................................1 1.1.2 研究意义.........................................................................................................1 1.2 研究框架...............................................................................................................2 1.3 研究方法...............................................................................................................3 1.4 创新点和难点.......................................................................................................3 2 理论文献综述..........................................................................................4 2.1 资产证券化理论...................................................................................................4 2.1.1 资产证券化的概念和分类.............................................................................4 2.1.2 资产证券化对银行的作用.............................................................................4 2.1.3 资产证券化业务的交易结构.........................................................................4 2.1.4 资产证券化业务的核心和特征.....................................................................5 2.2 理论综述..............................................................................................................6 2.3 文献综述..............................................................................................................8 2.3.1 国外研究现状.................................................................................................8 2.3.2 国内研究现状.................................................................................................9 2.4 小结.......................................................................................................................9 3 A 银行出口贸易信贷资产现状及影响................................................11 3.1 出口贸易信贷资产特性.....................................................................................11 3.1.1 出口贸易信贷资产概念...............................................................................11 3.1.2 出口贸易信贷资产特点...............................................................................11 3.1.3 出口贸易信贷资产的产生...........................................................................12 3.2 出口贸易信贷资产现状.....................................................................................12 3.2.1 外币贸易融资余额及市场占有率...............................................................12 3.2.2 出口贸易信贷资产质量状况.......................................................................13 3.3 资产风险类别及不良成因分析.........................................................................14 3.3.1 风险来源.......................................................................................................14浙江工业大学硕士学位论文 浙江省 A 银行出口贸易信贷资产证券化研究 IV 3.3.2 风险分类.......................................................................................................15 3.3.3 不良资产风险成因.......................................................................................16 3.4 存量资产的影响.................................................................................................16 3.4.1 不良率高于平均水平...................................................................................16 3.4.2 核心战略指标变差.......................................................................................17 3.4.3 高风险资产占比较大...................................................................................17 3.5 小结.....................................................................................................................18 4 A 银行出口贸易信贷资产证券化实施................................................19 4.1 证券化发展条件具备.........................................................................................19 4.1.1 法律法规不断健全.......................................................................................19 4.1.2 市场环境逐步成熟.......................................................................................19 4.1.3 出口贸易形势稳定向好...............................................................................20 4.1.4 贸易背景的资产证券化趋势.......................................................................21 4.1.5 银行信贷资产投放偏好...............................................................................22 4.1.6 信贷资产符合证券化要求...........................................................................23 4.2 组织架构和交易流程.........................................................................................24 4.2.1 角色定位和职能部门组建...........................................................................24 4.2.2 需求发起和中介对接...................................................................................26 4.2.3 筛选资产和尽职调查...................................................................................26 4.2.4 产品结构设计...............................................................................................28 4.2.5 文件签署和监管报批...................................................................................28 4.2.6 发行前准备...................................................................................................28 4.2.7 发行后处理...................................................................................................29 4.2.8 后期服务.......................................................................................................29 4.2.9 证券交易结构...............................................................................................30 4.3 基础资产池构造.................................................................................................31 4.3.1 按融资币种分类...........................................................................................31 4.3.2 按融资产品分类...........................................................................................32 4.3.3 按资产质量分类...........................................................................................32 4.3.4 按行业归属分类...........................................................................................33 4.3.5 资产池基本情况...........................................................................................34浙江工业大学硕士学位论文 浙江省 A 银行出口贸易信贷资产证券化研究 V 4.4 证券分层和信用增级别.....................................................................................34 4.5 金融衍生品配套使用.........................................................................................35 4.5.1 利率掉期的应用...........................................................................................36 4.5.2 货币互换的应用...........................................................................................37 4.6 证券模拟发行分析.............................................................................................38 4.6.1 模拟证券具体信息.......................................................................................38 4.6.2 证券销售前景分析.......................................................................................39 4.7 小结.....................................................................................................................41 4.7.1 对 A 银行经营发展的效果影响...................................................................41 4.7.2 对资产证券化市场发展的影响...................................................................41 4.7.3 对浙江出口企业融资的影响.......................................................................42 5.1 主要结论和不足之处.........................................................................................44 5.2 建议措施.............................................................................................................44