金融学院知识库

       在供应链金融快速发展、国家的政策支持下，同供应链金融相关的结构设计也正在完善，这种新型的融资模式——反向保理资产证券化迎来重要的发展机遇。市场上反向保理资产证券化产品投资者的广泛关注，运用反向保理资产证券化进行融资，通过转化企业账面上应收账款类的债权获取资金，并且这种融资模式还能为信用低的中小企业获取低成本的融资，缓解中小企业因自身信用不足造成的“融资难”问题，也有助于实体经济的发展。但是资产证券化交易结构的复杂性，投资者很难辨别其中的风险，特别是资产证券化业务发行过程中存在的风险转移功能，这种功能运用失误可能会导致系统性风险的积累，引起金融体系的不稳定。基于这一背景，本文以苏宁易购在 2019 年发行的“华泰资管——苏宁易购供应链资产支持专项计划”为例，对该类型的融资模式进行风险分析。

       本文以市场广泛关注的反向保理资产证券化为研究方向，采用定量与定性相结合的研究方法对此进行分析。首先，分析反向保理ABS 的研究背景及研究意义，对国内外反向保理 ABS 融资模式的发展现状进行描述，并对国内外的研究现状进行评述；其次，解释反向保理和资产证券化的相关概念，并对国内该融资模式的发行状况进行总结；最后，着重解读苏宁易购采取反向保理资产证券化融资模式产生的风险；根据苏宁易购发行的专项计划剖析其风险管理情况，并采用KMV 模型、财务指标两种方法量化其核心企业的违约风险。

       通过对苏宁易购反向保理资产证券化的基础资产、交易结构以及核心企业的信用风险进行分析后，发现苏宁易购发行的专项计划存在基础资产集中度较高、违约距离 DD 变短、核心企业的经营状况下行、交易结构不稳固等风险。最后，根据苏宁易购发行的专项计划中存在的风险，从基础资产、核心企业、交易结构三个方面完善相应的风险控制措施，并为要发行反向保理资产证券化融资模式的企业提供一些建议。

       With the rapid development of supply chain finance and the policysupport of the state, the structural design related to supply chain financeis also being improved. Reverse factoring asset securitization is widelyconcerned by investors in the market. Reverse factoringasset securitization is used for financing to obtain funds by transformingaccounts receivable creditor's rights on the enterprise's books. In addition, this financing method can also obtain low-cost financing for small andmedium-sized enterprises with low credit and alleviate the "financingdifficulties" caused by their own credit shortage. It will also helpthedevelopment of the real economy. However, due to the complexityof thetransaction structure of asset securitization, it is difficult for investors toidentify the risks involved, especially the risk transfer function existinginthe issuance process of asset securitization business. The misapplicationof this function may lead to the accumulation of systemic risks andtheinstability of the financial system. Based on this background, this paper takes "Huatai Asset Management -- SUNING.COMSupply chainAsset Support Special Plan" issued by SUNING.COMin 2019 as an exampletocarry out risk analysis on this type of financing model.

       Based on the research direction of asset securitization with reversefactoring, which has been widely concerned by the market, this paper uses a combination of quantitative and qualitative research methods for analysis. Firstly, the research background and significance of reversefactoring ABS were analyzed, and the development status of thefinancing mode of reverse factoring ABS at home and abroadwasdescribed, and the domestic research status was reviewed. Secondly, it explains the related concepts of reverse factoring and asset securitization, and summarizes the issuing situation of this financing model inChina. Finally, the paper focuses on the risk of SUNING.COMadopting reversefactoring asset securitization financing model. According to the special plan issued by SUNING.COM, the risk management situation is analyzed, and the default risk of its core enterprise is quantified by KMVmodel andfinancial index.

        After analyzing the underlying assets, transaction structureandcredit risks of SUNING.COM reverse factoring asset securitization, it isfound that the special plan issued by SUNING.COMhas such risks ashigh concentration of underlying assets, shorter default distance DD, declining operating conditions of core enterprises and unstabletransaction structure. Finally, according to the risks existing in the special plan of Suning Tesco issuance, the corresponding risk control measuresare improved from the three aspects of basic assets, core enterprises andtransaction structure, and some suggestions are provided for enterprisesthat want to issue reverse factoring asset securitization financing model.