挂钩资产支持证券的信用风险缓释工具结构与应用初探  

ABS-linked CRM Products:A Primer on Their Structure and Application

作　　者：邹迎光 陈杨 李川 史梁 ZOU Yingguang;CHEN Yang;LI Chuan;SHI Liang(CITIC Securities Co.,Ltd.)

机构地区：[1]不详 [2]中信证券固定收益部结构化产品部 [3]中信证券固定收益部

出　　处：《金融市场研究》2023年第11期27-36,共10页Financial Market Research

基　　金：2021年度NAFMII研究计划课题“信用风险缓释工具支持资产证券化市场健康发展研究”(KFKT2021-059),最初成文于2021年11月,有更新和删减。课题主持人:邹迎光,课题组成员:陈杨、李川、史梁、杨雨霖。

摘　　要：信用风险缓释工具(CRM)具有信用风险高效转移、对冲、交易、定价的独特功能,近年来规则不断完善,结构不断创新。资产证券化产品(ABS)在支持直接融资、实现风险隔离等方面具备明显优势,逐渐发展为国内重要固定收益品种。结合对ABS、CRM市场的综合分析,挂钩ABS的CRM产品(ABCRM)存在巨大的发展空间。有必要从ABS的产品特点出发,结合境外设计经验,对ABCRM结构设计分歧点进行探析,并对其交易化、结构化和指数化应用进行展望。在此基础上,针对ABCRM市场现存问题,可以从基础设施、试点范围和配套政策等多方面为境内ABCRM市场良性有序发展提出可行建议。Credit Risk Mitigation Instruments(CRM)have a unique role in providing efficient transfers of credit risks,as well as their hedging,trading,and pricing.Rules governing the use of these instruments have been improving continuously,while innovative structures have emerged as well.Asset-backed securities(ABS),which have distinct advantages in supporting direct financing and achieving risk isolation,have gradually developed into an important fixed-income product on the domestic market.Based on a comprehensive analysis of the ABS and CRM markets,this paper concludes there is substantial development potential for ABS-linked CRM products(ABCRM).It is necessary to build upon the existing ABS product characteristics,and combine these features with overseas experience and a uniform ABCRM structure design.It is also necessary to explore the prospective applications as transactional,structural,and indexed instruments.This paper examines existing problems in the ABCRM market and offers actionable suggestions from multiple considerations such as infrastructure,pilot project scope,and support policies for the orderly development of the domestic ABCRM market.

关 键 词：信用风险缓释工具 资产证券化 金融衍生品 金融创新 

分 类 号：F832.51[经济管理—金融学]