运用利率衍生品加强信贷资产证券化利率风险管理

Strengthen Interest Rate Risk Management in Credit Asset Securitization with Interest Rate Derivatives

贷款市场报价利率(LPR)改革以来,大多数信贷资产证券化产品资产端和证券端的基准利率均实现了与市场利率"接轨",很大程度上缓解了利率错配风险,但目前仍面临部分证券化产品资产端和证券端计息方式不挂钩、资产端与负债端利率波动不匹配等问题。文章介绍了我国信贷资产证券化产品市场总体运行情况,围绕以利率衍生品为核心完善信贷资产证券化产品利率风险管理展开思考。

The benchmark interest rates of both the asset and security sides of most credit asset securitization products have been "geared" to the market rates since the LPR reform,which,to a large extent,has mitigated the risk of interest rate mismatch.However,issues still remain for some securitization products in terms of the interest calculation discrepancy between the asset side and the security side,and the mismatch of interest rate fluctuations between the asset side and the liability side.The article introduces the overall operation of the credit asset securitization market in China,and offers some ideas on improving the interest rate risk management of credit asset securitization products with interest rate derivatives as the core.