挂钩资产支持证券的信用风险缓释工具结构与应用初探

ABS-linked CRM Products:A Primer on Their Structure and Application

信用风险缓释工具(CRM)具有信用风险高效转移、对冲、交易、定价的独特功能,近年来规则不断完善,结构不断创新。资产证券化产品(ABS)在支持直接融资、实现风险隔离等方面具备明显优势,逐渐发展为国内重要固定收益品种。结合对ABS、CRM市场的综合分析,挂钩ABS的CRM产品(ABCRM)存在巨大的发展空间。有必要从ABS的产品特点出发,结合境外设计经验,对ABCRM结构设计分歧点进行探析,并对其交易化、结构化和指数化应用进行展望。在此基础上,针对ABCRM市场现存问题,可以从基础设施、试点范围和配套政策等多方面为境内ABCRM市场良性有序发展提出可行建议。

Credit Risk Mitigation Instruments(CRM)have a unique role in providing efficient transfers of credit risks,as well as their hedging,trading,and pricing.Rules governing the use of these instruments have been improving continuously,while innovative structures have emerged as well.Asset-backed securities(ABS),which have distinct advantages in supporting direct financing and achieving risk isolation,have gradually developed into an important fixed-income product on the domestic market.Based on a comprehensive analysis of the ABS and CRM markets,this paper concludes there is substantial development potential for ABS-linked CRM products(ABCRM).It is necessary to build upon the existing ABS product characteristics,and combine these features with overseas experience and a uniform ABCRM structure design.It is also necessary to explore the prospective applications as transactional,structural,and indexed instruments.This paper examines existing problems in the ABCRM market and offers actionable suggestions from multiple considerations such as infrastructure,pilot project scope,and support policies for the orderly development of the domestic ABCRM market.