基础资产质量、真实出售条款与信贷ABS直接金融发展

Underlying Asset Quality,Real Sale Terms and Direct Financial Development of Credit Asset-Backed Securitization

监管部门针对信贷ABS基础资产质量的监管理念和相应措施,虽然提高了基础资产质量,但也导致信贷ABS偏离“缓解银行流动性压力、减少资本占用”的本源。本文以真实出售条款为切入点,在对表内信贷ABS和真实出售型信贷ABS进行比较分析的基础上,探究了基础资产质量对信贷ABS直接金融发展的影响机制。利用我国2012—2020年的信贷ABS数据进行检验,实证得到如下结论:在既定的资产总额下,基础资产质量越低,信贷ABS发行规模越大。与大型银行相比,中小银行对基础资产质量更加敏感。机制检验显示:第一,基础资产质量越低,原始权益人采用真实出售条款的概率越高。第二,信贷资产真实出售的概率越高,金融机构的贷款投放能力越强,从而能够为发行信贷ABS提供更多的基础资产来源。进一步分析表明,当原始权益人与计划管理人相互独立、计划管理人管理能力较强时,降低基础资产质量标准对促进信贷ABS直接金融发展的作用更大。此外,本文还发现适度扩大合格基础资产质量的浮动范围并不会显著增加信贷ABS违约风险。本研究能够为信贷ABS准入政策改革及中国特色直接金融渠道建设提供启示。

The regulatory concept and corresponding measures of Chinese regulatory authorities on the underlying asset quality of credit asset-backed securitization have improved the underlying asset quality,but also led to the deviation of credit asset-backed securitization from the source of“easing the liquidity pressure of banks and reducing the capital occupation”.Taking the real sale terms as the starting point,this paper makes a comparative analysis between on-balance sheet and true-sale asset-backed securitization business to explore the impact of the quality of the underlying assets on the direct financial development of the credit asset-backed securitization.The empirical conclusions are drawn by using the credit asset-backed securitization samples from 2012 to 2020 in China:When the total amount of assets is set,the lower the underlying asset quality is,the larger the issuance scale of credit asset-backed securitization will be.Compared with big banks,small and medium-sized banks will be more sensitive to the underlying asset quality standard.The mechanism test shows that:first,the lower the quality of the underlying asset is,the higher the probability that the originator adopts the true sale clause.Second,the higher the probability of the real sale of credit assets,the stronger the lending capacity of financial institutions,thus providing more basic asset sources for the issuance of credit asset-backed securitization.Further analysis shows that when the originator and the special purpose vehicle are independent from each other and the special purpose vehicle has strong management ability,reducing the underlying asset quality standard has a greater effect on promoting the direct financial development of credit asset-backed securitization.In addition,the paper finds that moderate expansion of the floating range of eligible underlying asset quality will not significantly increase the default risk of credit asset-backed securitization.The study can provide enlightenment for the reform of credit asset-backed securitization access policy and the construction of direct financial channels with Chinese characteristics.