含展期条款的存货质押贷款定价

发布时间：2018-07-17 07:52

【摘要】：存货质押贷款是解决中小企业融资问题的有效途径之一。实际中,针对企业：运营不确定的情况,金融机构通过展期服务缓解该企业短期资金压力,最终实现收回贷款的目标。比如贷款到期日企业面临资金困境,金融机构提供展期服务确保贷款本息的全额收回；或者贷款期限小于企业投资生产周期的情形,金融机构会提供展期服务保证企业稳定的投资规模。显然,如何确定不同展期条款下存货质押贷款的质押率是借贷双方都关心的重要问题之一。本文结合贷款实务中合约范本的分类,在分期偿还和全额延期偿还两种展期条款下,构建存货质押贷款合约的定价模型,确定合理的质押率,并分析质押率和企业融资成本之间的关系。在实际中,金融机构提供贷款展期服务的前提是借款企业需在贷款原到期日增加一定的存货数量或者偿付部分贷款。与此相对应,本文将其归为两种展期条款：分期偿还条款和全额延期偿还条款,其中分期偿还条款是指合约规定如果借款方申请贷款展期,那么借款方应在原贷款到期日偿还部分贷款；全额延期偿还条款是指合约规定如果借款方申请贷款展期,那么借款方需在原贷款到期日增加一定数量的存货做质押,并在展期结束日全额偿付贷款本息。目前,大多数工作都是针对不含展期条款的合约,并从贷款方的角度来研究质押率的确定问题。本文将从借款方的角度进行分析,分别在贷款方无追索权和有追索权两种情形下,分析和比较两类经营状况的企业在不同展期方式下质押率,融资成本的大小关系。这里,企业的两类经营状况是指在贷款到期日,企业存在经营困境和企业需要续贷资金,这分别对应质押物价值不足的情形和质押物足值的情形。具体地说,本文首先在金融机构无追索权和有追索权两种情形下,分别构建出可展期存货质押贷款的定价模型,并给出与借款方偿还能力和偿还意愿相适应的质押率决定方程。然后在借款方存在违约可能的情况下,分析存货的流动性对存货质押贷款质押率的影响。最后在两种展期条款下,给出存货质押贷款的质押率、贷款利率、展期期限和手续费等风险控制指标间的合理关系,并通过数值实验,比较两种展期条款对贷款利率和质押率的影响,以及贷款方有无追索权对贷款利率和质押率的影响。根据本文的理论结果和数值实验结果,我们得到如下结论：(1)在融资成本(贷款利率和手续费)相同的假设下,当贷款方无追索权时,如果在贷款到期日质押物价值低于债权价值,那么在偿还部分贷款的展期方式下借款方能获得更多的贷款额度；如果质押物价值高于债权价值,那么在增加质押存货的展期方式下借款方能获得更多的贷款额度。当贷款方有追索权时,在偿还部分贷款的展期方式下借款方能获得更多的贷款额度。(2)在质押率相同的假设下,无论金融机构是否有贷款追索权,在增加质押存货的展期方式下借款方的融资成本更低。(3)在贷款到期日,只要质押物价值高于债权价值,那么在有追索权和无追索权两种情形下可展期存货质押贷款的贷款利差相同。本文的研究结果将为借款企业选择适合自身需求的贷款产品,如,根据自身资金的需求程度企业可以选择贷款展期的方式和展期期限等,提供有益的参考,同时也为借贷双方协商展期贷款的贷款利率和质押率提供理论依据。此外,本文的结果也将为贷款方在存货质押融资产品的设计和定价提供技术支持。
[Abstract]:Inventory loan is one of the effective ways to solve the financing problem of small and medium-sized enterprises. In practice, in view of the enterprise: the operation is uncertain, the financial institutions can alleviate the short-term fund pressure through the extension service, and finally achieve the goal of recovering the loan. For example, the loan maturity day enterprises face the financial difficulties and the financial institutions provide the exhibition service. To ensure the full recovery of the loan principal and interest; or the loan period is less than the period of the enterprise investment production cycle, the financial institutions will provide the extension service to ensure the stable investment scale of the enterprise. Obviously, how to determine the pledge rate of the inventory loan under the different extension terms is one of the important issues that both the borrowers and the borrowers are concerned about.
This paper, based on the classification of the contract model in the loan practice, constructs the pricing model of the inventory loan contract under the two terms of instalment and full deferred repayment, determines the reasonable pledge rate, and analyzes the relationship between the pledge rate and the enterprise financing cost. In practice, the premise of the loan extension service is the premise of the financial institutions to borrow the loan. An enterprise needs to add a certain amount of stock or pay part of the loan at the original maturity date of the loan. In contrast, this article is classified as the two term clause: the instalment clause and the full deferred repayment clause, in which the installment clause refers to the contract stipulates that if the borrower applies for a loan extension, the borrower should expire on the original loan. The full deferred repayment clause means that the contract stipulates that if the borrower applies for a loan extension, the borrower shall pledge to increase a certain amount of inventory on the maturity date of the original loan and pay the full amount of the loan principal and interest on the end of the expiry date. At present, most of the work is aimed at the contract without the terms of the extension and from the loan party. From the angle of the borrower, this article will analyze and compare the pledge rate and the financing cost of the two types of enterprises under the two circumstances of the lender without recourse and the right of recourse. Here, the two business conditions of the enterprise refer to the loan. On the date of maturity, enterprises have difficulties in operation and enterprises need to renew loans, which correspond to the situation of insufficient value of pledge and the value of pledge.
Specifically, in this paper, the pricing model of the mortgaged loan for a period of time is constructed in two cases without the right of recourse and the right of recourse in the financial institutions, and the equation of pledge is given in accordance with the repayment ability and willingness of the borrower. Then, the liquidity of the inventory is analyzed under the circumstances of the default of the borrower. The effect of the pledge rate of inventory loan. Finally, under the two extension terms, the paper gives a reasonable relationship between the pledge rate of the mortgage loan, the loan interest rate, the duration and the formalities, and compares the influence of the two period clauses to the loan interest rate and the pledge rate through the numerical experiment, and the loan party has no recourse right. The effect of loan interest rate and pledge rate.
According to the theoretical results of this paper and the results of the numerical experiment, we get the following conclusions: (1) under the same assumption of financing cost (loan interest rate and formality fee), when the borrower has no recourse, if the value of the pledge is lower than the creditor's value on the maturity date of the loan, the borrower can get more of the loan in the way of repayment of the loan. Loan amount; if the value of the pledge is higher than the value of the creditor's claim, the borrower can obtain more loan amount in the way of increasing the period of the pledge of the pledge. When the borrower has the recourse, the borrower can get more loan amount under the period of repayment of the partial loan. (2) under the assumption of the same pledge rate, no matter the financial institution If there is a loan recourse, the borrower's financing cost is lower in the way of increasing the period of the pledge inventory. (3) at the maturity date of the loan, as long as the value of the pledge is higher than the value of the creditor's right, then the loan spreads of the extended inventory loan are the same in the two cases of the right of recourse and the right of no recourse.
The results of this study will provide the loan companies with the loan products suitable for their own needs, for example, according to the demand degree of their own funds, the enterprises can choose the way of loan extension and the duration of the extension, and provide a useful reference for the loan interest rate and the pledge rate of the loan between the borrowers and the borrowers. In addition, the paper also provides a theoretical basis for the loan. The results will also provide technical support for the lenders in designing and pricing inventory pledge financing products.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.4

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