2015年至2019年，供应金融资产证券化产品发展迅速。2018年，在完成发 行的2.01万亿的资产证券化产品中，应收账款类ABS达3078.18亿，超过小额 贷款ABS，跃居成为企业ABS发行量之首。我国房地产企业的供应金融资产证券 化业务模式主要为反向保理业务模式，据市场公开信息发行量最大三家企业为： 万科集团、碧桂园和恒大集团。截至2019年6月份市场公开数据，恒大地产集 团及恒大旅游集团共获得资产证券化函储架规模达290亿，其储架及发行规模居 国内地产开发企业的前3。中信证券-信捷-联易融供应链资产支持计划储架100 亿规模，其基础资产为针对恒大地产集团及下属企业的应收账款，并分13期发 行完毕。 本文将针对中信证券-信捷-联易融供应链资产支持计划案例运作进行介绍 和分析。首先对供应链金融资产证券的相关理论进行阐述和梳理，其次对研究案 例的背景进行介绍，再次通过对恒大地产集团供应链金融资产证券化案例的动因、 定价、融资产品比较和存在风险进行分析，并探讨案例的特点和融资效果，最后 根据案例的分析对文章进行总结，并提出建议。 本文认为供应链金融资产证券化可以优化企业供应链，降低企业融资成本， 并提高企业资产流动性，在企业不增加表内负债的情况获得资金支持，是一种有 效的创新融资手段。 关键词：供应链金融，保理，资产证券化 EMBA学位论文 作者：黄炳研 恒大地产集团供应链金融资产证券化案例分析 II CASE ANALYSIS OF SUPPLY CHAIN FINANCIAL ASSET SECURIITIZATION OF EVERGREEN REAL ESTATE GROUP Abstract From 2015 to 2019, the supply of financial asset securitization products developed rapidly. In 2018, among the 2.01 trillion asset securitization products that have been issued, the accounts receivable ABS reached 307.818 billion, surpassing the small loan ABS, ranking the first in the issuance of enterprise ABS. China's real estate enterprises mainly adopt the reverse factoring business model for the securitization of supply financial assets. According to the market, the three largest public information issuances are: Vanke Group, country garden and Evergrande group. As of June 2019, according to the data released by the market, Evergrande real estate group and Evergrande tourism group have obtained a total of 29 billion yuan of asset securitization letter storage racks, and their storage racks and issuance scale ranks the top 3 of domestic real estate development enterprises. CITIC Securities - Xinjie - Lianyi finance supply chain asset support plan has a storage scale of 10 billion yuan, and its basic assets are accounts receivable for Evergrande real estate group and its subordinate enterprises, which are issued in 13 phases. This paper will introduce and analyze the case operation of CITIC Securities - Xinjie - Lianyi finance supply chain asset support plan. First of all, the related theories of supply chain financial asset-backed securities are elaborated and combed. Secondly, the background of the research case is introduced. Thirdly, through the analysis of the motivation, pricing, financing product comparison and existing risks of Evergrande real estate group's supply chain financial asset-backed securitization case, the characteristics and financing effect of the case are discussed. Finally, the article is summarized according to the analysis of the case And make suggestions. This paper holds that the securitization of supply chain financial assets can optimize the supply chain of enterprises, reduce the financing cost of enterprises, improve the liquidity of enterprises' assets, and obtain financial support when the EMBA学位论文 作者：黄炳研 恒大地产集团供应链金融资产证券化案例分析 III enterprises do not increase their on balance sheet liabilities, which is an effective innovative financing means. Key words: Supply Chain Finance, Factoring, Asset Securitization EMBA学位论文 作者：黄炳研 恒大地产集团供应链金融资产证券化案例分析 IV 目 录 中文摘要 .................................................. I Abstract ................................................. II 第一章 绪论 ............................................... 1 1.1 研究背景及研究意义 ......................................... 1 1.1.1 研究背景 ......................................................... 1 1.1.2 研究意义 ......................................................... 4 1.2 研究内容与研究问题 ......................................... 6 1.2.1 研究内容 ......................................................... 6 1.2.2 研究问题 ......................................................... 7 1.3 研究方法与论文结构 ......................................... 8 1.3.1 研究方法 ......................................................... 8 1.3.2 论文结构 ......................................................... 8 第二章 相关理论综述...................................... 10 2.1 供应链金融资产证券化相关理论定义 .......................... 10 2.1.1 资产证券化相关理论 .............................................. 10 2.1.2 供应链金融理论 .................................................. 10 2.1.3 商业保理理论 .................................................... 11 2.2 供应链金融资产证券化发展状况 .............................. 11 2.2.1 我国资产证券化发展状况 .......................................... 11 2.2.2 国外资产证券化的发展状况 ........................................ 14 2.2.3 商业保理行业发展状况 ............................................ 15 2.3 资产证券化与商业保理国内外研究状况 ........................ 15 2.3.1 资产证券化国内外研究状况 ........................................ 16 2.3.2 商业保理国内外研究状况 .......................................... 17 第三章 案例描述 .......................................... 20 3.1 公司基本情况 .............................................. 20 3.1.1 基本信息公司简介 ................................................ 20 EMBA学位论文 作者：黄炳研 恒大地产集团供应链金融资产证券化案例分析 V 3.1.2 公司经营状况 .................................................... 21 3.1.3 股权结构 ........................................................ 21 3.1.4 财务状况 ........................................................ 24 3.2 资产证券化产品设计简介 .................................... 25 3.2.1 基本情况 ........................................................ 25 3.2.2 资产证券化参与方 ................................................ 26 3.2.3 产品结构设计 .................................................... 29 3.2.4 基础资产池设计 .................................................. 30 3.2.5 信用评级 ........................................................ 34 3.2.6 发行情况介绍 .................................................... 35 3.3 案例特点 .................................................. 35 第四章 恒大地产供应链金融资产证券化分析 ................. 37 4.1 资产证券化动因分析 ........................................ 37 4.1.1 外部原因分析 .................................................... 37 4.1.2 恒大地产集团内因分析 ............................................ 40 4.2 公司财务分析 .............................................. 41 4.2.1 公司盈利能力 .................................................... 41 4.2.2 公司偿债能力 .................................................... 42 4.2.3 恒大地产集团财务运作的特点 ...................................... 46 4.3 资产证券化定价分析 ........................................ 48 4.3.1 无套利定价原理及定价分析思路 .................................... 49 4.3.2 无套利定价模型的建立 ............................................ 49 4.3.3 无套利定价模型的计算 ............................................ 50 4.4 资产证券化产品比较分析 .................................... 52 4.4.1 与其它资产证券化产品对比分析 .................................... 52 4.4.2 资产证券化的特点 ................................................ 54 4.5 资产证券化风险分析 ........................................ 55 4.5.1 基础资产及原始权益人风险分析 .................................... 55 4.5.2 资产支持证券相关风险 ............................................ 58 EMBA学位论文 作者：黄炳研 恒大地产集团供应链金融资产证券化案例分析 VI 4.6 资产证券化的融资效果 ...................................... 59 第五章 案例启示 .......................................... 61 5.1 资产证券化成功原因 ........................................ 61 5.2 案