我国企业债券信用增进研究
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摘要
自2005年短期融资券推出以来，我国企业债券市场进入快速发展阶段，然而，由于我国企业债券市场发展时间短，信用增进等风险管理制度安排并没有跟上其高速发展的步伐，债券市场开始出现信用等级向下迁移、信用风险加速积聚的局面。2012年，中国人民银行发布《信用增进机构业务规范》与《信用增进机构风险管理规范》（银发[2012]204号），正式将信用增进明确化、制度化和规范化。信用增进对我国企业债券市场发展具有重大而深远的影响，有利于提高债券债项信用等级、降低发行人融资成本，也有利于债券市场信用风险的科学计量、有效监测和全面监管，从而实现信用风险的分担机制、维护金融体系稳定。
本文按“理论与现状剖析－基础性信用增进－信用衍生工具信用增进－结构化信用增进－国际比较－对策建议”的研究框架，综合运用信用增进的契约机制理论、激励机制理论和风险管理理论，借鉴国外企业债券信用增进的相关制度安排的经验，对我国企业债券基础性信用增进、信用衍生工具信用增进和结构化信用增进的方式、原理及其效用进行评价，并最终从信用增进方式优化与创新、信用衍生工具市场发展、信用增进配套制度完善等渠道提出促进我国企业债券市场信用增进发展的对策建议。
首先，本文对企业债券信用增进相关概念进行界定。本文所指“企业债券”是指企业依照法定程序发行、约定在一定期限还本付息的有价证券，泛指非金融企业发行的债券，包括短期融资券、中期票据、企业债和公司债等。本文所指“信用增进”是指以保证、信用衍生工具、结构化金融产品或者法律、法规、政策以及行业自律规范文件明确的其他有效形式提高债项信用等级、增强债务履约保障水平，从而分散、转移信用风险的专业性金融服务。信用增进方式按信用增进的原理可分为基础性信用增进、信用衍生工具信用增进和结构化信用增进。其中基础性信用增进方式包括担保、抵质押等；信用衍生工具包括信用违约互换（CDS）、信用风险缓释工具（CRM）等；结构化信用增进方式包括优先/次级结构、优先/中间/次级结构、优先/中间/股权结构等。
其次，本文对基础性信用增进的方式、原理和效用进行分析。研究发现，信用增进可以有效分散转移企业债券的信用风险、提升其信用等级、降低其信用利差和发行成本。信用增进将中小企业集合票据（SMECN）的平均信用等级从BBB提升到了AA+，共计8个等级，平均减少了298个基点的融资利率。通过对比分析短期融资券、中期票据、企业债等债券信用增进前后信用等级可知，企业债券信用增进效用显著，其中以短期融资券最为显著、中期票据次之、企业债最后。此次，信用增进对债券流动性的影响与理论并不完全一致，还有待进一步检验。
再次，本文对信用衍生工具信用增进的方式、原理、成本和效用进行分析。基于Jarrow-Turnbull模型的信用衍生工具成本测算结果显示，在测算信用风险缓释凭证（CRMW）价格时，国债利率与政策性金融债利率充当无风险利率较为适合。CRMW创设价格≈CRMW成本测算价格（以政策性金融债利率为无风险利率） 最后，本文对结构化信用增进的方式、原理和效用进行分析。通过运用不完全信息静态博弈模型对优先/次级结构引入中间层级债券进行研究发现，增设中间层级债券提高了联合发行人和投资者效用。一方面，对联合发行人而言，由于增设的中间层级债券由中介机构购买，这在一定程度上起到了信号传递和减少信息不对称的作用，因此，投资者会降低自身对债券收益率的要求，从而降低联合发行人总的发行成本。另一方面，对次级债券和优先级债券投资者来说，由于结构化信用增进改变了债券违约风险的风险承担渠道，中介机构购买中间层级债券，从而分担了部分债券违约风险，因而投资者承担债券违约风险有所降低。尤其对于优先级债券投资者，债券违约风险基本被次级债券和中间层级债券吸收，其承担违约风险大大降低。
本文试图建立完整的企业债券信用增进体系，在现有研究的基础上，还需要进一步研究的方面有：第一，依据我国企业债券市场的实际发展状况，创新信用增进方式的设计，探寻适合我国企业债券发展现状的有效信用增进路径；第二，完善信用衍生工具的运行机制，建立合理的成本测算模型，准确反映信用衍生工具的信用风险转移；第三，在全面认识到信用增进过程中的操作缺陷及隐含风险的基础上，对有效的监管体系构建进行探讨，以充分发挥信用增进的风险管理功能。
Since the launch of short-term financing bonds in2005, China's corporate bondmarket has entered a stage of rapid development. However, as the development time isshort, the credit enhancement and other risk management system have not kept up withthe pace of the rapid development, the bond market began to appear the downwarding ofcredit rating and the accumulation of credit risk. In2012, the People's Bank of Chinaissued “the business practices of credit enhancement institution" and "the riskmanagement norms of institution "(YinFa [2012] no.204), formally making creditenhancemen clear, institutionalized and standardized. Credit enhancement has animportant and far-reaching influence on our corporate bond market, improving the bondrating, lowing the financing costs. At the same time, it is conducive to the scientificmeasurement, effective monitoring and comprehensive supervision of the bond marketrisks. Also it can help to achieve credit risk-sharing mechanism and maintain the stabilityof the financial system.
This paper followed the below research framework:" Theory and Situation Analysis-basic credit enhancement-Credit derivatives Credit Enhancement-Structured CreditEnhancement-Foreign Reference-Suggestions". It used the contract mechanism theory,incentive theory and risk management theory and learnt from foreign experience, makingevaluation on the methods, principle and effect of the credit enhancement in China.Finally the paper put forward countermeasures and suggestions such as innovating theway of credit enhancement, developing the mechanism.
First of all, this paper defined the related concepts of the corporate bonds creditenhancement. The "corporate bonds" in this paper refers to the securities that enterprisesissued in accordance with legal procedures, agreed debt service within a certain period.Generally it refers to the securities that issued by non-financial companies, mainlyincluding short-term financing bonds, medium-term notes, enterprise bonds andcorporate bonds. And the "credit enhancement" refers to a kind of professional financialservices in order to improve the credit rating and enhance the performances, so as to todisperse and transfer the credit risk. Specifically it includes the ways of guarantee, creditderivatives, structured finance products or laws, regulations, policies, industryself-disciplines and other effective mehods. Credit enhancement methods can be dividedinto basic credit enhancement, credit derivatives credit enhancement and structuredcredit enhancement according to the principle. Basic credit enhancement includes assets mortgage/pledge and guarantees; credit derivatives credit enhancement includes creditdefault swaps (CDS), credit risk slow-release tools (CRM) etc.; structured creditenhancement includes prime/secondary structure, first/middle/secondary structure,priority/middle/equity structure etc.
Secondly, this paper analyzed the way, principle and utility of the basic creditenhancement. Studies have found that credit enhancement can effectively disperse andtransfer the credit risk of corporate bond, improving its credit rating and reducing itscredit spreads as well as its distribution costs. Credit enhancement changed the averagerating of small and medium enterprises collective notes(SMECN) from BBB to AA+, atotal of eight grades, dropping an average of298basis financing points. Comparing andanalyzing the credit rating of short-term financing bonds, medium-term notes, corporatebonds and other bonds before and after the credit enhancement, we can know thatcorporate bond credit enhancement has a significant effect, of which the short-termfinancing bonds work the most significantly, then the medium-term notes, and thecorporate bonds is the last. In this paper, the effect credit enhancement on bond liquidityis not completely consistent with the theory, therefore it still need further research.
Again, this paper analyzed the ways, principle, cost and utility of the creditderivatives credit enhancement. Estimating the cost of credit derivatives based on theJarrow-Turnbull model,it showed that when measuring the price of credit riskmitigation credentials (CRMW) it is more suitable for treasury bonds interest rates andpolicy debt-financed interest rates acting as the risk-free interest rate. CRMW createprice≈CRMW cost-estimating price (while the policy debt-financed interest rates actingas the risk-free rate) Finally, this paper analyzed the methods, principle and effects of structured creditenhancement. By using incomplete information static game model to study thepriority/secondary structure,it found that adding middle level can raise the utility of jointissuers and the investors. For joint issuers, as the intermediate level bonds are bought byintermediary institutions, to a certain extent it can play a role in the signal transmissionand the information-asymmetry reduction, so the investors will reduce their demand for bond yields. Thereby it will reduce the total distribution cost of joint issuer. On theother hand, for the investors, as the structured credit enhancement changed therisk-taking channel, intermediary institutions take on a part of default risk,so their riskswill reduce. Especially for those priority bond investors, the default risk almost fullyabsorbed by subprime debt and intermediate bonds, their part of the default risk isgreatly reduced.
This paper tried to establish a complete enterprise bond credit enhancement system.On the basis of existing research, it still needs further research: first, according to theactual development situation in our corporate bond market, we need to innovate the waysof credit enhancement, explore effective channels that are suitable for China's currentsituation to develop the credit enhancement; Second, perfecting the operatingmechanism of credit derivatives, establishing the reasonable cost calculation model,accurately reflecting the credit risk transfer mechanism of credit derivatives; Third, onthe basis of comprehensively understanding the credit enhancement operation defectsand hidden risks, researching the effective regulation system, in order to give full play toimprove credit risk management function.
本文按“理论与现状剖析－基础性信用增进－信用衍生工具信用增进－结构化信用增进－国际比较－对策建议”的研究框架，综合运用信用增进的契约机制理论、激励机制理论和风险管理理论，借鉴国外企业债券信用增进的相关制度安排的经验，对我国企业债券基础性信用增进、信用衍生工具信用增进和结构化信用增进的方式、原理及其效用进行评价，并最终从信用增进方式优化与创新、信用衍生工具市场发展、信用增进配套制度完善等渠道提出促进我国企业债券市场信用增进发展的对策建议。
首先，本文对企业债券信用增进相关概念进行界定。本文所指“企业债券”是指企业依照法定程序发行、约定在一定期限还本付息的有价证券，泛指非金融企业发行的债券，包括短期融资券、中期票据、企业债和公司债等。本文所指“信用增进”是指以保证、信用衍生工具、结构化金融产品或者法律、法规、政策以及行业自律规范文件明确的其他有效形式提高债项信用等级、增强债务履约保障水平，从而分散、转移信用风险的专业性金融服务。信用增进方式按信用增进的原理可分为基础性信用增进、信用衍生工具信用增进和结构化信用增进。其中基础性信用增进方式包括担保、抵质押等；信用衍生工具包括信用违约互换（CDS）、信用风险缓释工具（CRM）等；结构化信用增进方式包括优先/次级结构、优先/中间/次级结构、优先/中间/股权结构等。
其次，本文对基础性信用增进的方式、原理和效用进行分析。研究发现，信用增进可以有效分散转移企业债券的信用风险、提升其信用等级、降低其信用利差和发行成本。信用增进将中小企业集合票据（SMECN）的平均信用等级从BBB提升到了AA+，共计8个等级，平均减少了298个基点的融资利率。通过对比分析短期融资券、中期票据、企业债等债券信用增进前后信用等级可知，企业债券信用增进效用显著，其中以短期融资券最为显著、中期票据次之、企业债最后。此次，信用增进对债券流动性的影响与理论并不完全一致，还有待进一步检验。
再次，本文对信用衍生工具信用增进的方式、原理、成本和效用进行分析。基于Jarrow-Turnbull模型的信用衍生工具成本测算结果显示，在测算信用风险缓释凭证（CRMW）价格时，国债利率与政策性金融债利率充当无风险利率较为适合。CRMW创设价格≈CRMW成本测算价格（以政策性金融债利率为无风险利率）
本文试图建立完整的企业债券信用增进体系，在现有研究的基础上，还需要进一步研究的方面有：第一，依据我国企业债券市场的实际发展状况，创新信用增进方式的设计，探寻适合我国企业债券发展现状的有效信用增进路径；第二，完善信用衍生工具的运行机制，建立合理的成本测算模型，准确反映信用衍生工具的信用风险转移；第三，在全面认识到信用增进过程中的操作缺陷及隐含风险的基础上，对有效的监管体系构建进行探讨，以充分发挥信用增进的风险管理功能。
Since the launch of short-term financing bonds in2005, China's corporate bondmarket has entered a stage of rapid development. However, as the development time isshort, the credit enhancement and other risk management system have not kept up withthe pace of the rapid development, the bond market began to appear the downwarding ofcredit rating and the accumulation of credit risk. In2012, the People's Bank of Chinaissued “the business practices of credit enhancement institution" and "the riskmanagement norms of institution "(YinFa [2012] no.204), formally making creditenhancemen clear, institutionalized and standardized. Credit enhancement has animportant and far-reaching influence on our corporate bond market, improving the bondrating, lowing the financing costs. At the same time, it is conducive to the scientificmeasurement, effective monitoring and comprehensive supervision of the bond marketrisks. Also it can help to achieve credit risk-sharing mechanism and maintain the stabilityof the financial system.
This paper followed the below research framework:" Theory and Situation Analysis-basic credit enhancement-Credit derivatives Credit Enhancement-Structured CreditEnhancement-Foreign Reference-Suggestions". It used the contract mechanism theory,incentive theory and risk management theory and learnt from foreign experience, makingevaluation on the methods, principle and effect of the credit enhancement in China.Finally the paper put forward countermeasures and suggestions such as innovating theway of credit enhancement, developing the mechanism.
First of all, this paper defined the related concepts of the corporate bonds creditenhancement. The "corporate bonds" in this paper refers to the securities that enterprisesissued in accordance with legal procedures, agreed debt service within a certain period.Generally it refers to the securities that issued by non-financial companies, mainlyincluding short-term financing bonds, medium-term notes, enterprise bonds andcorporate bonds. And the "credit enhancement" refers to a kind of professional financialservices in order to improve the credit rating and enhance the performances, so as to todisperse and transfer the credit risk. Specifically it includes the ways of guarantee, creditderivatives, structured finance products or laws, regulations, policies, industryself-disciplines and other effective mehods. Credit enhancement methods can be dividedinto basic credit enhancement, credit derivatives credit enhancement and structuredcredit enhancement according to the principle. Basic credit enhancement includes assets mortgage/pledge and guarantees; credit derivatives credit enhancement includes creditdefault swaps (CDS), credit risk slow-release tools (CRM) etc.; structured creditenhancement includes prime/secondary structure, first/middle/secondary structure,priority/middle/equity structure etc.
Secondly, this paper analyzed the way, principle and utility of the basic creditenhancement. Studies have found that credit enhancement can effectively disperse andtransfer the credit risk of corporate bond, improving its credit rating and reducing itscredit spreads as well as its distribution costs. Credit enhancement changed the averagerating of small and medium enterprises collective notes(SMECN) from BBB to AA+, atotal of eight grades, dropping an average of298basis financing points. Comparing andanalyzing the credit rating of short-term financing bonds, medium-term notes, corporatebonds and other bonds before and after the credit enhancement, we can know thatcorporate bond credit enhancement has a significant effect, of which the short-termfinancing bonds work the most significantly, then the medium-term notes, and thecorporate bonds is the last. In this paper, the effect credit enhancement on bond liquidityis not completely consistent with the theory, therefore it still need further research.
Again, this paper analyzed the ways, principle, cost and utility of the creditderivatives credit enhancement. Estimating the cost of credit derivatives based on theJarrow-Turnbull model,it showed that when measuring the price of credit riskmitigation credentials (CRMW) it is more suitable for treasury bonds interest rates andpolicy debt-financed interest rates acting as the risk-free interest rate. CRMW createprice≈CRMW cost-estimating price (while the policy debt-financed interest rates actingas the risk-free rate)
This paper tried to establish a complete enterprise bond credit enhancement system.On the basis of existing research, it still needs further research: first, according to theactual development situation in our corporate bond market, we need to innovate the waysof credit enhancement, explore effective channels that are suitable for China's currentsituation to develop the credit enhancement; Second, perfecting the operatingmechanism of credit derivatives, establishing the reasonable cost calculation model,accurately reflecting the credit risk transfer mechanism of credit derivatives; Third, onthe basis of comprehensively understanding the credit enhancement operation defectsand hidden risks, researching the effective regulation system, in order to give full play toimprove credit risk management function.
引文
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