信用衍生品信用事项决定和拍卖结算机制研究

Derivatives,Credit Event Determination and the Auction Settlement Mechanism

近年来,随着我国债券市场刚性兑付有序打破,对于信用风险管理的需求逐步增加。本文对国际市场信用事项决定和拍卖结算机制的运作流程进行研究,探讨了在国内市场建立两项机制的可行性:其中信用事项决定机制有助于促进市场发展,且市场已具备一定的共识基础和人才储备,具有必要性和可行性,但鉴于我国信用衍生品市场还处于发展初期,引入拍卖结算机制的条件尚不成熟,因此,建议在交易商协会金融衍生品专委会框架下,采用“先信用事项决定机制,后拍卖结算机制”循序渐进的步骤策略,首先建立信用事项决定机制,并预留接口,待条件成熟时再完善拍卖结算等机制,促进银行间信用衍生产品市场的稳步发展。

As government bailouts of troubled domestic bond issuers are no longer a certainty,the importance of credit risk management in the domestic market has increased significantly.This article examines credit event determination and the auction settlement mechanism of credit derivatives in the international market and the feasibility of implementing a similar system in China.It concludes that a credit event determination mechanism is necessary and feasible;however,considering that China's credit derivatives market is still at an early stage,the conditions for implementing auction settlement are insufficiently mature.Therefore,this article recommends the adoption of a stepby-step strategy of'credit event determination first,auction settlement later'in order to achieve a steady development of the credit derivatives market.