Research On Credit Risk Of Commercial Factoring Securitization In Supply Chain Finance Practices

Asset-backed securitization provides a new financing channel for commercial factoring companies to continue their business in the supply chain finance practices.This has given birth to a new segment in Chinese asset securitization market,which is called reverse factoring ABS.From the first issuance in 2016 to the end of 2019,it has developed into the largest issuance scale and stock scale in Chinese enterprise asset support special plans.It is worth noting that with the continuous default of credit bonds since 2018,the negative list number of reverse factoring ABS has also increased significantly.In May 2018,the regulator proposed to vigorously strengthen the credit risk management of the asset-backed securitization during its lifetime.Protecting the interests of asset-backed securities holders is one of the core objectives pursued by asset-backed securitization.From the perspective of investors,which are the sources of credit risk in reverse factoring ABS as a new type of ABS investment? And what are the influencing factors? This article studies this.Based on the construction principles of asset-backed securitization,the asset characteristics of account receivables and the transaction characteristics of reverse factoring ABS,this article considers that the credit risk of reverse factoring ABS mainly comes from assets' credit and subjects' credit,which is summarized as three major influencing factors: the credit quality of the underlying asset pool,the effectiveness of the transaction structure,and the performance capabilities of the repayment subjects,thus used to construct an analysis framework for the credit risk of the reverse factoring ABS.Then this article uses this framework to analyze the credit risk of Suning factoring asset securitization project-"Sugong 2019-1" asset support special plan,the results show that the credit rating of "Sugong 2019-1" priority Alevel securities and the issuance interest rate fairly reflects its credit risk.Through this case,the article further found that the credit quality of the underlying asset pool and the effectiveness of the transaction structure depend to a large extent on the performance capabilities of the repayment subjects,that is,the theoretical analysis of the sources of credit risk in reverse factoring ABS is very different from the nature of credit risk shown in practice.One is that the underlying assets are difficult to be sold,which fundamentally destroys the basis of asset securitization transactions.Reverse factoring ABS is a kind of the sponsor's guarantee financing.The second is that the credit enhancement measures in the transaction structure are insufficient.Reverse Factoring ABS is a kind of core debtor's credit debt.The findings of this article indicate that the subjects' credit is stronger than assets' credit in the reverse factoring ABS,which is contrary to the essence of assetbacked securitization,and explains why the priority securities' credit rating in practice is usually not higher than the core debtor subject's credit rating.