会计学院知识库

摘 要

绿色债券的发展是国家持续推进绿色经济与绿色金融体系建设的重要一环，绿色资产证券化在推动绿色债券业务落地方面发挥着重要作用。随着绿色发展理念的深化，我国新能源汽车行业迎来了快速发展阶段，汽车金融企业的绿色资产证券化产品逐年增加。然而随着市场份额的增加，汽车金融企业绿色资产证券化面临的问题也逐渐凸显。我国绿色资产证券化起步较晚，政策体系不健全，缺乏统一的市场规范，汽车金融企业在绿色资产证券化产品发行方面缺乏经验，导致发行过程中存在诸多风险，且不利于绿色资产证券化市场的稳定发展。因此，对上汽财务绿色资产证券化进行风险管理研究，有助于企业识别证券化产品发行过程中的风险并及时防范风险，为我国汽车金融企业绿色资产证券化的发展提供借鉴。

本文以上海汽车集团财务有限责任公司发行的上和2021年第一期绿色资产支持证券为案例。对企业绿色资产证券化过程中的基础资产、产品的交易结构以及绿色认证情况进行阐述；运用流程分解法从资产重组环节、风险隔离环节、信用增级和证券发行环节以及后续管理环节进行风险识别，并建立风险指标评价体系对识别的风险进行量化评估；提出风险防范措施及结论。基于对上海汽车集团财务有限责任公司绿色资产证券化风险的研究，对汽车金融企业绿色资产证券化产品的发行提出相关建议。

Abstract

The development of green bonds is an important part of the country's continuous promotion of green economy and green financial system construction, and green asset securitization plays an important role in promoting the green bond business to the ground. With the deepening of the concept of green development, China's new energy automobile industry has ushered in a rapid development stage, and the green asset securitization products of auto finance enterprises have increased year by year. However, with the increase of market share, the problems faced by the securitization of green assets of auto finance enterprises have gradually come to the fore. China's green asset securitization started late, the policy system is not sound, there is a lack of unified market norms, and auto finance companies lack experience in issuing green asset securitization products, which leads to many risks in the issuance process and is not conducive to the stable development of the green asset securitization market. Therefore, the risk management study of SAIC Finance's green asset securitization helps enterprises identify the risks in the issuance process of securitized products and prevent them in time, which provides a reference for the development of green asset securitization of auto finance enterprises in China.

This paper takes as an example Shanghai Automotive Group Finance Corporation, which issued its first green securitization product in Shanghai in 2021. The company's green securitization basic assets, hedging product transaction structure, and green certification were developed, and the expert survey method and process decomposition method were applied to identify risks in terms of asset restructuring linkage, risk isolation linkage, credit enhancement linkage, securities issuance linkage, and monitoring and management linkage, and a risk indicator evaluation system was established. Control of credit risk can be achieved by improving credit management systems, promoting digitalization, and strengthening monitoring and governance. Control of technology risks can be achieved by raising the threshold for access to qualifications, establishing a logical framework, and improving the green certification system. Control of environmental risks should be achieved by strengthening oversight and emphasizing governance. Based on the green asset securitization risk study of Shanghai Automotive Group Finance Company Limited, the company and related auto finance companies will make appropriate recommendations on green securitization products.