信用风险缓释工具:产品改造与缓释失效

Credit Risk Mitigation Products: Product Alteration and Ineffective Mitigation

中国2010年底推出的信用风险缓释工具(CRM)基本沿袭国际通行的CDS产品结构,但对于标的债物条款做了一项改造。现有文献在探讨CRM交易清淡的原因时,均未分析这项产品改造对CRM市场发展的阻碍作用。论文结合信用衍生品的使用方式和国内外相关监管条文,分析这项产品改造对于信用保护范围带来的影响,进而推演CRM和国际通行的CDS在银行贷款风险缓释和资本缓释机制上的差异。研究显示,这项产品改造导致CRM工具的风险缓释和资本缓释两项核心功能同时失效,因而可能是CRM市场发展的真正瓶颈。

In late 2010,China unveiled its onshore credit derivatives market with the launch of Credit Risk Mitigation( CRM) products. Modeled after the Credit Default Swap( CDS) product,the CRM products are dubbed'the CDS of China'. However,the CRM products made an alteration regarding protection scope by adopting the specific obligations feature and rejecting the categorybased standard feature in international markets. A key bottleneck for CRM market growth is the CRM products' inability to gain explicit regulatory recognition on bank capital relief,which raised concern about overly restrictive regulations. In this paper,we compare the CRM products and the international standard CDS product with respect to hedging effectiveness and regulatory capital relief,and argue that while hailed in China as an innovation,the CRM product alteration regarding obligations is in fact the main roadblock to hedging effectiveness and regulatory capital relief.