关联方增信与资产证券化信用风险溢价——基于底层资产风险的统计分析

Credit Enhancement by Related Parties and Credit Spread of Asset Securitization:An Statistical Analysis Based on the Risk of Underlying Assets

本文着眼于企业资产支持证券(ABS)市场的信用风险溢价,探讨关联方增信的效果。研究表明,采用关联方增信的ABS风险溢价较高;当同一主体先前发行的ABS评级上调时,新发行ABS的风险溢价会因为采用关联方增信而升高。本文进一步探究了产生上述现象的原因,一方面,关联方增信使得集团内部风险集聚;另一方面,企业的道德风险使得原ABS的评级上调成为反映新ABS底层资产质量变差的负面信号,从而影响投资者的定价判断。本研究揭示了关联方增信可能存在的道德风险问题。通过分析ABS丰富的底层资产统计特征,本文发现集团风险集聚导致ABS的底层资产质量下降,进而提高了企业的融资成本。本文建议监管机构可以通过适当限制关联方增信或加强监管的方式保障我国企业资产证券化市场的健康持续发展。

This paper focuses on the credit spread of asset-backed securities(ABS)and discusses the effect of credit enhancement by related parties.We find that the spread of ABS with related-party credit enhancement is higher.Especially,when the previous ABS issued by the same originator is upgraded,the spread of new ABS is even higher.This paper further explores the reasons for the above phenomena.On one hand,the credit enhancement of related parties concentrates risks within the group.On the other hand,the upgrading of previous ABS can become a negative signal reflecting the fact that the quality of underlying assets of new ABS becomes worse due to possible moral hazard issues of enterprises,and further affect the pricing behavior of investors.The contribution of our study is to reveal the possible moral hazard issues in the credit enhancement of related parties.By analyzing the statistical characteristics of the abundant underlying assets,we find that the group risk agglomeration can lead to the damage of the underlying asset quality,which increases the financing cost of enterprises.In practice,regulators are suggested to properly restrict credit enhancement by related parties or strengthen supervision to develop China’s asset securitization market healthily and sustainably.