循环购买型资产证券化产品终止确认问题研究

发布时间：2018-04-13 01:21

本文选题：循环购买 + 资产证券化　；参考：《上海国家会计学院》2017年硕士论文

【摘要】：自从2012年我国重启信贷资产证券化以来,这项业务在我国资本市场上得到了迅速发展。资产证券化在盘活存量资产、拓宽企业融资渠道等方面发挥着独特作用,这也吸引着越来越多的企业和金融机构参与到这项业务中来。伴随着我国经济增长方式的转变,消费金融行业逐渐兴起,包括传统的信用卡业务以及当下流行的京东白条、蚂蚁花呗等。消费金融资产的重要特征就是单笔金额小、期限短、债务人分散。传统的资产证券化交易结构往往不适合于这种类型的基础资产,为解决这一难题,出现了循环购买型资产证券化产品。这种结构有效地解决了基础资产与发行的抵押支持证券的期限错配问题。从会计的角度来看,最终实现资产的会计“出表”一直也是很多金融机构和非金融机构开展资产证券化业务的原始动力之一。循环购买结构虽然可以从技术上解决证券化的难题,但是在现有的会计准则规定下,发起人要想在财务报表层面终止确认该项资产,则会面临着更多的障碍。本文选取招商银行发行的和享2016年第一期个人消费信贷资产支持证券进行案例研究。招商银行近些年来一直在努力向“轻型银行”战略转型,发行了多笔资产证券化产品。和享2016年第一期个人消费信贷资产支持证券是国内第一个循环购买结构的信用卡分期账单资产证券化产品,并且符合会计准则中关于金融资产终止确认的规定。案例研究表明,对于循环购买结构来说实现出表的关键在于不合并特殊目的实体、让渡持续购买权、有“熔断”机制、合理的风险自留;其次,在终止确认判断时我们还应该关注循环结构的特殊风险,包括混同风险、价格风险等;最后,招商银行的这款产品作为一次“试水”,并未触及循环购买结构“一次设立信托,多次发行”的核心。
[Abstract]:Since China restarted the securitization of credit assets in 2012, the business has developed rapidly in China's capital market.Asset securitization plays a unique role in activating stock assets and broadening financing channels of enterprises, which attracts more and more enterprises and financial institutions to participate in this business.Along with the change of our country's economic growth mode, the consumer finance industry is rising gradually, including the traditional credit card business as well as the current popular JingDong white stripes, ant flowers and so on.The important characteristic of consumer financial assets is that the single amount is small, the term is short, and the debtor is scattered.The traditional transaction structure of asset securitization is often not suitable for this kind of basic assets. In order to solve this problem, the circularly purchased asset securitization products appear.This structure effectively solves the maturities mismatch between underlying assets and issued mortgage-backed securities.From the perspective of accounting, the ultimate realization of asset accounting "out of the table" has been one of the original driving forces for many financial institutions and non-financial institutions to carry out asset securitization business.Although the circular purchase structure can solve the problem of securitization technically, under the existing accounting standards, the sponsors will face more obstacles if they want to terminate the recognition of the asset in the financial statement level.This paper selects China Merchants Bank to issue and enjoy the first issue of personal consumer credit asset-backed securities for a case study.In recent years, China Merchants Bank has been trying to "light bank" strategic transformation, issued a number of asset securitization products.The first installment of consumer credit asset backed securities in 2016 is the first credit card installment asset securitization product with a circular purchase structure in China, and complies with the accounting standards on the termination of financial asset recognition.The case study shows that the key to realizing the table for the circular purchase structure lies in not merging special purpose entities, transferring the right of continuous purchase, having a "fuse" mechanism, and keeping reasonable risks; secondly,In terminating the confirmation judgment, we should also pay attention to the special risks of the circular structure, including mixed risks, price risks, etc. Finally, as a "water trial", this product of China Merchants Bank does not touch on the circular purchase structure "a trust set up."The core of multiple issues.
【学位授予单位】：上海国家会计学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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