农发行信贷资产证券化路径及定价研究

发布时间：2018-03-31 20:43

本文选题：农发行　切入点：信贷资产证券化　出处：《长沙理工大学》2013年硕士论文

【摘要】：农发行作为我国唯一的农业性政策银行，是金融系统的重要组成部分。其信贷资产的优劣状况对于它的健康运行具有决定性的作用。但当前农发行的信贷资产结构存在诸多问题，如资本充足率较低、不良资产比率过高、筹融资渠道单一以及中间业务收入低等，这些问题都严重制约了信贷资产流动性、安全性和效益性的提高，使农发行面临较大的风险。因此优化其信贷资产结构对于有效化解农发行内部体系风险，以及提高我国银行业乃至整个金融业的国际竞争力都具有举足轻重的作用。资产证券化正是优化信贷资产结构的重要途径之一。但与发达市场经济国家以及亚洲新兴市场国家相比，中国资产证券化的发展远远落后，尤其是对于农业性金融机构的证券化研究几乎是空白，这与我国金融改革与创新的迫切要求和农业的基础性地位是不相符的，可以说农发行的证券化问题没有得到应有的重视。次贷危机之后，信贷资产证券化重新开启并体现出新的特点，比如基础资产的种类进一步扩大，将经过清理合规的地方政府融资平台公司贷款、涉农贷款、中小企业贷款等均可被纳入其中，使得农发行初步具备了实施证券化的条件，也为研究农发行证券化提供了合理的现实依据。本文以湖南省分行为例，对农发行信贷资产证券化的实现路径和定价问题进行研究。首先阐述了资产证券化的基础理论，并介绍了信贷资产证券化的参与主体、运作流程及在我国的发展历程。接着从农发行资产负债结构的现状出发，分析实施证券化的必要性、可行性及优势，并总结了农发行实施证券化所具备的内外部条件。然后以农发行湖南省分行为例，探讨了适合湖南农发行的资产池形式，并设计出相应的交易结构、定价方式。最后通过对农发行信贷资产证券化进行的理论分析并联系实际操作流程，总结出证券化过程存在的问题，有针对性地提出了政策改进意见。文章在研究过程中着力突出以下几点：首先，通过分析农发行的资产负债业务特点及政策环境，总结了农发行实施证券化的自身条件和优势。其次，针对农发行实施证券化的具体情况，，设定了选取基础资产的限制条件，提出了建立农发行全资子公司SPV、在权益级债券基础上嵌入期权和为期权设立保险合同两方面对证券化产品进行设计的设想，并对如何定价进行了仿真分析。最后，针对当前金融环境以及我国资产证券化研究现状，从法律及监管机制、市场体系、税收政策等方面提出了改善农发行实施证券化外部环境的政策建议。本文的研究，可以为农发行实施证券化提供一定的理论指导，希望农发行能通过资产证券化分散风险，尤其是中长期信贷资金风险，进一步调节资产负债结构，从而更好的肩负起支持农村农业经济发展的使命。
[Abstract]:As the only agricultural policy bank in China, Agricultural Development Bank is an important part of the financial system.The quality of its credit assets for its healthy operation has a decisive role.However, there are many problems in the credit asset structure of Agricultural Development Bank, such as the low capital adequacy ratio, the high ratio of non-performing assets, the single financing channel and the low income of intermediary business. These problems have seriously restricted the liquidity of credit assets.Safety and efficiency of the improvement, so that the Agricultural Development Bank is facing a greater risk.Therefore, optimizing the structure of credit assets plays an important role in effectively defusing the risks of Agricultural Development Bank's internal system and improving the international competitiveness of China's banking industry and even the whole financial industry.Asset securitization is one of the important ways to optimize the structure of credit assets.However, compared with developed market economy countries and Asian emerging market countries, the development of asset securitization in China lags far behind, especially the research on securitization of agricultural financial institutions is almost blank.This is inconsistent with the urgent requirement of financial reform and innovation in China and the basic position of agriculture. It can be said that the securitization problem of Agricultural Development Bank has not received due attention.After the subprime mortgage crisis, the securitization of credit assets re-opened and reflected new features, such as the further expansion of the types of basic assets, loans from local government financing platform companies and agriculture-related loans that will be cleared up and complied with.The loan of small and medium-sized enterprises can be included, which makes Agricultural Development Bank have the condition to implement securitization, and it also provides a reasonable practical basis for studying the securitization of Agricultural Development Bank.This paper takes Hunan Branch as an example to study the realization path and pricing of Agricultural Development Bank credit asset securitization.Firstly, the basic theory of asset securitization is expounded, and the main body, operation process and development process of credit asset securitization are introduced.Then, the necessity, feasibility and advantages of securitization are analyzed, and the internal and external conditions of the securitization are summarized.Then taking Hunan Branch of Agricultural Development Bank as an example, the paper discusses the form of asset pool suitable for Hunan Agricultural Development Bank, and designs the corresponding trading structure and pricing method.Finally, through the theoretical analysis of the credit asset securitization of Agricultural Development Bank and the practical operation process, the problems in the process of securitization are summarized, and the suggestions for policy improvement are put forward.This paper emphasizes the following points in the course of research: firstly, by analyzing the characteristics and policy environment of the asset-liability business of the Agricultural Development Bank, the author summarizes the conditions and advantages of the securitization implemented by the Agricultural Development Bank.Secondly, in view of the concrete situation of Agricultural Development Bank implementing securitization, the restriction conditions of selecting basic assets are set up.This paper puts forward the idea of establishing SPV, a wholly owned subsidiary of Agricultural Development Bank, embedding options on the basis of equity grade bonds and setting up insurance contracts for options to design securitization products, and analyzes how to price the securitized products by simulation.Finally, in view of the current financial environment and the current research situation of asset securitization in China, the paper puts forward some policy suggestions to improve the external environment of agricultural development bank securitization from the aspects of law and supervision mechanism, market system, tax policy and so on.The research in this paper can provide some theoretical guidance for Agricultural Development Bank to implement securitization. It is hoped that Agricultural Development Bank can further adjust the structure of assets and liabilities through asset securitization, especially the risk of medium and long-term credit funds.In order to better shoulder the mission of supporting the development of rural agricultural economy.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.31;F832.51

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