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font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">张鹏<span style="line-height: 200%" lang="EN-US"><span style="line-height: 200%"> </span></span>郭辉�?/font></span></p> <p class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">摘要�?/span></b><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">在信用事件多发阶段，债券市场上与风险暴露相关的信息成本急剧上升。利率互换（<span style="line-height: 200%" lang="EN-US">IRS</span>）作为发展较为成熟的风险管理工具，可以激励投资者充分发掘与信用风险有关的信息。本文回顾了相关理论，分析了当前我国风险防范体系面临的挑战，重点就如何创新性使�?span style="line-height: 200%" lang="EN-US">IRS</span>来管理信用风险的问题进行了探讨�?/span></font></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">关键词：</span></b><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">利率互换<span style="line-height: 200%" lang="EN-US"><span style="line-height: 200%"> </span></span>风险定价<span style="line-height: 200%" lang="EN-US"><span style="line-height: 200%"> </span></span>信用风险</span></font></p> <p class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">近期，我国金融市场上信用风险暴露呈抬头趋势，<span style="line-height: 200%" lang="EN-US">2013</span>年末�?/span><span style="line-height: 200%; font-family: 宋体; font-size: 15pt" lang="EN-US">�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">诚至金开<span style="line-height: 200%" lang="EN-US">1</span>�?/span><span style="line-height: 200%; font-family: 宋体; font-size: 15pt" lang="EN-US">�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">信托计划出现兑付危机�?span style="line-height: 200%" lang="EN-US">30</span>亿元本金安全受到威胁。此风波虽已暂告平息，但非标产品中类似的“定时炸弹”已成为高悬于金融市场之上的达摩克利斯之剑。一波未平一波又起，<span style="line-height: 200%" lang="EN-US">2014</span>�?span style="line-height: 200%" lang="EN-US">3</span>�?span style="line-height: 200%" lang="EN-US">4</span>日，上海超日太阳能公司公告称�?span style="line-height: 200%" lang="EN-US">11</span>超日�?/span><span style="line-height: 200%; font-family: 宋体; font-size: 15pt" lang="EN-US">�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">原定<span style="line-height: 200%" lang="EN-US">8980</span>亿元的利息仅能支�?span style="line-height: 200%" lang="EN-US">400</span>万元，从而成为国内首例违约的债券。一时间，信用风险向债券市场传染的可能性引发广泛的忧虑�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">在当前信用风险管理工具市场尚不够成熟的背景下，我国债券市场有效防范风险的有效之举是灵活运用现有的金融市场产品。在我国金融市场上，利率互换�?span style="line-height: 200%" lang="EN-US">Interest Rate Swap</span>�?span style="line-height: 200%" lang="EN-US">IRS</span>）是发展较为成熟的风险管理工具，创新性地运用该产品可以激励投资者充分发掘与信用风险有关的信息，强化风险的价格发现，实现信用风险的市场化分担�?/font></span></p> <p class="MsoNormal"><b><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><span style="font-family: 黑体; font-size: 16pt"><font style="line-height: 200%">理论基础<a name="_GoBack"></a></font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">信息经济学研究发现，在现实的不完全信息条件之下，信息成本与经济周期波动之间存在着密切的联系�?span style="line-height: 200%" lang="EN-US">Mankiw</span>�?span style="line-height: 200%" lang="EN-US">Reis</span>�?span style="line-height: 200%" lang="EN-US">2010</span>）指出，信息成本包括获取信息的成本、吸收信息的成本和处理信息的成本。由于信息有成本，人们会根据成本最小化的原则来确定信息获取率或信息到达率。人们并不总是基于最新的信息做出决策（粘性信息），或由于信息处理能力不足而放弃某些信息（理性无知）。这些摩擦因素造成经济在面对冲击时难以快速恢复到均衡状态（<span style="line-height: 200%" lang="EN-US">Mankiw</span>�?span style="line-height: 200%" lang="EN-US">Reis</span>�?span style="line-height: 200%" lang="EN-US">2002</span>�?span style="line-height: 200%" lang="EN-US">Sims</span>�?span style="line-height: 200%" lang="EN-US">2003</span>）。因此，更有效的信息获取手段对于平滑经济波动也具有积极意义�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">在信息不对称程度较高的金融市场上，信息成本对冲击的放大作用更加明显。大量研究显示，当经济景气走弱时，金融市场上的信用风险将呈上升趋势。而且，根�?span style="line-height: 200%" lang="EN-US">Merton</span>模型�?span style="line-height: 200%" lang="EN-US">Merton</span>�?span style="line-height: 200%" lang="EN-US">1974</span>�?span style="line-height: 200%" lang="EN-US">Vasicek</span>�?span style="line-height: 200%" lang="EN-US">2002</span>），投资者持有公司债券相当于向公司所有者售出一个看跌期权（<span style="line-height: 200%" lang="EN-US">Put</span>），当公司价值下降到某个与债务水平相关的门槛值以下时，公司所有者将违约。因此，当经济景气走低时，公司价值下降会造成信用风险趋势性上升�?span style="line-height: 200%" lang="EN-US">Mishkin</span>�?span style="line-height: 200%" lang="EN-US">1990</span>）指出，当金融市场出现恐慌时，中介机构成本上升，投资水平下降，经济活动进一步萎缩�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">为降低信息成本对经济运行的摩擦作用，价格体系，特别是金融市场价格体系，对信息的传递作用受到了理论界的重视�?span style="line-height: 200%" lang="EN-US">2002</span>年，美国开发出了宏观经济衍生品�?span style="line-height: 200%" lang="EN-US">Macroeconomic Derivatives</span>），对重要宏观变量的未来预测值进行交易�?span style="line-height: 200%" lang="EN-US">Gurkaynak</span>�?span style="line-height: 200%" lang="EN-US">Wolfers</span>�?span style="line-height: 200%" lang="EN-US">2006</span>）根�?span style="line-height: 200%" lang="EN-US">2002</span>年到<span style="line-height: 200%" lang="EN-US">2005</span>年的数据分析了宏观经济衍生品的运行情况。他们认为，根据衍生品价格预测未来宏观经济变量走势所获得的结果，与采用问卷调查方式所得结果基本一致，但前者准确度更高�?span style="line-height: 200%" lang="EN-US">Ohl</span>�?span style="line-height: 200%" lang="EN-US">2014</span>）进一步指出，私人信息可以通过均衡价格体系进行传递，这可以降低信息获取的成本，使经济波动更加平缓�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">由以上理论研究可知，在当前信用风险概率上升的背景下，通过发展金融衍生品实现风险信息的有效发掘和传递，是维护我国宏观经济和金融市场稳健运行的重要途径�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><span style="font-family: 黑体; font-size: 16pt"><font style="line-height: 200%">既有风险防范体系面临新的挑战</font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">近年来，我国债券市场已经建立了较为健全的风险防范体系。特别是银行间债券市场已构建了以自律管理为基础的风险管理框架，不仅对非金融企业债务融资工具的发行信息披露制定了具体规定，而且通过信用评级追踪和后续管理，不断规范发行人信息的持续披露�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">然而，在经济增速换挡期和结构调整阵痛期的叠加阶段，信用事件的分散爆发使收集风险信息的成本急剧上升，这使既有风险防范体系面临新的挑战。主要表现在三个方面�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（一）部分产能过剩行业景气下行，易造成信用事件多发</font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">近期的�?span style="line-height: 200%" lang="EN-US">11</span>超日债”、“诚至金开<span style="line-height: 200%" lang="EN-US">1</span>号”和“吉�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">松花�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">77</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">号”等信用事件均发生在景气下行且杠杆率普遍偏高的行业。这些行业中的部分企业由于经营现金流减少、难以覆盖债务本息支出，因而信用风险明显增加。在此背景下，既有风险防范体系的集中监管主体和自律管理主体由于资源有限，将难以覆盖整个市场上存在隐患的融资主体�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（二）企业资金周转空间系统性减�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">受多种因素影响，近期债券市场资金面整体偏紧，债券收益率处于高位。此外，近两年地方政府债务和信托产品均处于偿还高峰期，市场上资金周转需求强烈，企业以再融资偿还债务的压力明显放大。因此，陷入偿债困难的融资主体，已经越来越难以通过再融资腾挪空间。在此情况下，需重点监控的行业或企业可能在短期内快速增加，超出既有风险防范体系可重点管理的半径</font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（三）信用风险的隐蔽性提高，发掘信息的成本上�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">现阶段，我国某些非标产品的结构设计存在结构复杂、委托链长、透明度低等缺陷。一些银行将理财资金外包给非银行机构管理，其究竟属于银行代销产品，还是通道业务，本身就存在比较大的争议。这使商业银行的风险敞口存在模糊性，容易引发市场忧虑。另外，由于资金周转的难度增加，陷入支付困难的企业也有可能去掩盖其困境。在<span style="line-height: 200%" lang="EN-US">11</span>超日债事件中，超日公�?span style="line-height: 200%" lang="EN-US">2012</span>年三季报仍显示公司营业收入同比增�?span style="line-height: 200%" lang="EN-US">11.3%</span>、净利润同比增长<span style="line-height: 200%" lang="EN-US">39.13%</span>。但一个月后公司即宣告停牌。而且在该信用事件爆发前，融资主体还存在隐瞒债务的倾向。这些因素都会推高发掘风险信息的成本，使信息成本超出集中管理主体所能承担的范围�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">由于与风险相关的信息成本显著上升，债券市场急需市场化的激励机制，促使大量交易者去充分发掘私人信息，并使拥有私人信息的交易者通过揭示风险获利，应鼓励将私人信息变成公开信息，从而分担集中管理主体发掘信息的成本�?/font></span></p> <p class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 黑体; font-size: 16pt" lang="EN-US">IRS</span><span style="line-height: 200%; font-family: 黑体; font-size: 16pt">的交易结构及功能特点</span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（一�?span style="line-height: 200%" lang="EN-US">IRS</span>的基本交易结�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">利率互换也称利率掉期，是指交易双方约定在未来一定期限内，根据约定数量的名义本金交换利息额的金融合约。本币利率互换交�?span style="line-height: 200%" class="MsoEndnoteReference"><span style="line-height: 200%" lang="EN-US">1</span></span>一般分为“固定对浮动利率互换”和“浮动对浮动利率互换”�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">在固定对浮动利率互换中，交易一方（固定支付方）在合约期间，同意付给另一方按固定利率（协议利率）计算的现金流，交易另一方（浮动支付方）则同意回付按某个浮动参考利率计算的现金流。比如，固定支付方按固定利率计算利息，定期支付给浮动支付方。浮动支付方�?span style="line-height: 200%" lang="EN-US">Shibor</span>利率加减一定利差计算利息，定期支付给固定支付方，交易结构如�?span style="line-height: 200%" lang="EN-US">1</span>所示�?/font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt" lang="EN-US"><font style="line-height: 200%"> </font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">1<span style="line-height: 200%"> </span></span>固定对浮动的利率互换</font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"><img style="line-height: 200%" alt width="477" height="92" v:shapes="Group_x0020_129 Rectangle_x0020_130 Text_x0020_Box_x0020_131 Rectangle_x0020_132 Text_x0020_Box_x0020_133 AutoShape_x0020_134 AutoShape_x0020_135" src="./W020140516600049733927.gif" OLDSRC="W020140516600049733927.gif" /></font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">在浮动对浮动利率互换中，交易双方分别按照不同的参考利率计算现金流，相互进行支付。比如，交易一方按回购定盘利率为参考利率计算利息，交易另一方按<span style="line-height: 200%" lang="EN-US">Shibor</span>利率加减一定利差计算利息，双方定期相互支付，交易结构如�?span style="line-height: 200%" lang="EN-US">2</span>所示�?/font></span></p> <p class="MsoNormal"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt" lang="EN-US"><font style="line-height: 200%"> </font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">2 </span>浮动对浮动的利率互换</font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"><img style="line-height: 200%" alt width="477" height="92" v:shapes="Group_x0020_143 Rectangle_x0020_144 Text_x0020_Box_x0020_145 Rectangle_x0020_146 Text_x0020_Box_x0020_147 AutoShape_x0020_148 AutoShape_x0020_149" src="./W020140516600049739152.gif" OLDSRC="W020140516600049739152.gif" /></font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><b><span style="font-family: 黑体; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></b></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（二�?span style="line-height: 200%" lang="EN-US">IRS</span>的三大功�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">1.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">降低融资成本功能</span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">出于各种原因，交易者在不同债务融资形式中的融资利率不同，存在着相对的比较优势，利率互换可以使这种比较优势得到充分发挥。因此，当交易双方都需要借入相当于互换本金的债务时，可以通过互换交易使总的负债成本降低�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">X</span>企业可以�?span style="line-height: 200%" lang="EN-US">3%</span>的固定利率借入资金，也可以�?span style="line-height: 200%" lang="EN-US">Shibor</span>�?span style="line-height: 200%" lang="EN-US">1%</span>的浮动利率借入资金�?span style="line-height: 200%" lang="EN-US">Y</span>企业可以�?span style="line-height: 200%" lang="EN-US">4%</span>的固定利率借入资金，也可以�?span style="line-height: 200%" lang="EN-US">Shibor</span>�?span style="line-height: 200%" lang="EN-US">3%</span>的浮动利率借入资金。那�?span style="line-height: 200%" lang="EN-US">Y</span>在借入固定利率债务方面存在比较优势。如果双方进行一笔利率互换交易，�?span style="line-height: 200%" lang="EN-US">X</span>借入浮动利率债务，�?span style="line-height: 200%" lang="EN-US">Y</span>借入固定利率债务，则双方的总负债成本就能够下降�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">2.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">资产负债管理功�?/span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">利率互换本质上是风险敞口的互换。由于利率互换可以实现固定利率债务敞口与浮动利率债务敞口的交换，因而可以成为交易者改变负债敞口以匹配资产的有效工具�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">3.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">风险定价和风险管理功�?/span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">IRS</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">可以让对风险判断更准确的一方通过交易获利。如在固定对浮动的利率互换中，固定支付方认为其持有的某固息债券的收益率可能上升，形成损失。那么，他可以选择一个浮动支付对手签署互换协议，协议本金与债券本金等值，协议利率等于债券利率。这样他可以将自己持有债券的风险敞口转移给浮动支付方，自己则承担参考利率波动的风险。如果其预测正确，则可在交易中获利。在浮动对浮动的利率互换交易中，交易双方基于各自的预测交换不同参考利率波动的风险，判断更准确的一方可以从交易中获利�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 黑体; font-size: 16pt" lang="EN-US">IRS</span><span style="line-height: 200%; font-family: 黑体; font-size: 16pt">在信用债市场的创新性应用探�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">利率互换交易赋予交易者通过交换风险敞口获利的机会，也就为交易者提供了通过发掘风险信息获利的机会。而理想的风险管理工具正是通过提供激励机制，促使风险信息被充分发掘，以保证风险的准确定价。在准确定价风险的前提下，一旦信用事件发生，市场化机制将保证损失在各参与主体之间公平且有效的分配。因此，成熟�?span style="line-height: 200%" lang="EN-US">IRS</span>在防范债券市场风险方面可以对既有的风险防范体系形成有效补充�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（一�?span style="line-height: 200%" lang="EN-US">IRS</span>在信用风险管理上的创新性应�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">根据《中国银行间市场金融衍生产品交易定义文件》（<span style="line-height: 200%" lang="EN-US">2009</span>年版）的定义�?span style="line-height: 200%" lang="EN-US">IRS</span>中浮动金额的参考利�?/span><span style="line-height: 200%; font-family: 仿宋_GB2312; color: black; font-size: 15pt">指交易双方约定的在利率确定日用以确定浮动利率水平的利率指标，包括但不限于人民币一年定存利率（<span style="line-height: 200%" lang="EN-US">TD</span>）�?span style="line-height: 200%" lang="EN-US">Shibor</span>、回购定盘利率�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; color: black; font-size: 15pt">目前</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">市场上常见的<span style="line-height: 200%" lang="EN-US">IRS</span>交易多是以上三种利率作为浮动参考利率的，尚没有出现将债券到期收益率作为浮动利率指�?sup style="line-height: 200%"><span style="line-height: 200%" lang="EN-US">2</span></sup>，但如果我们创新性地将债券的到期收益率作为浮动金额的参考利率，则可以在一定程度上管理信用风险�?/span></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">对于信用债券而言，其收益率波动既是市场风险的一种体现，也在很大程度上反映了信用风险的信息。因此，�?span style="line-height: 200%" lang="EN-US">IRS</span>创新性地应用于信用债市场，既可以发掘市场风险信息，又可以同时发掘市场风险背后的信用风险信息。下面的例子是笔者设计的一种应用于信用债市场的<span style="line-height: 200%" lang="EN-US">IRS</span>交易结构�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">假定交易�?span style="line-height: 200%" lang="EN-US">A</span>持有某只特定评级的信用债，如果<span style="line-height: 200%" lang="EN-US">A</span>预期未来一段时间该债券收益率将上升，那么为防止相应的损失，或利用收益率变动获利�?span style="line-height: 200%" lang="EN-US">A</span>可以寻找对收益率持不同预期的交易�?span style="line-height: 200%" lang="EN-US">B</span>进行互换交易。与市场上常见的交易模式不同，此互换交易�?span style="line-height: 200%" lang="EN-US">A</span>直接将所持债券的利息转移给<span style="line-height: 200%" lang="EN-US">B</span>，并换取<span style="line-height: 200%" lang="EN-US">B</span>的浮动支付，其交易结构如�?span style="line-height: 200%" lang="EN-US">3</span>所示�?/font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt" lang="EN-US"><font style="line-height: 200%"> </font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">3<span style="line-height: 200%"> </span>IRS</span>在信用债市场的创新应用</font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><span lang="EN-US"><font style="line-height: 200%"><img style="line-height: 200%" alt width="432" height="113" v:shapes="_x0000_s1033 _x0000_s1034 _x0000_s1035 _x0000_s1036 _x0000_s1037 _x0000_s1038 _x0000_s1039" src="./W020140516600049738483.gif" OLDSRC="W020140516600049738483.gif" /></font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">B</span>双方对于债券信用风险溢价的变动趋势存在分歧，�?span style="line-height: 200%" lang="EN-US">IRS</span>协议可规�?span style="line-height: 200%" lang="EN-US">B</span>按照该信用等级同期限债券收益率，或者该债券本身的收益率，加减双方协定的利差，对<span style="line-height: 200%" lang="EN-US">A</span>支付利息。交换中的固定利率可设为债券利率，以全部转移交易�?span style="line-height: 200%" lang="EN-US">A</span>持有某只债券的的利率风险敞口。通过这个交易�?span style="line-height: 200%" lang="EN-US">A</span>可以按市场化定价将债券收益率波动所造成的风险敞口转移给<span style="line-height: 200%" lang="EN-US">B</span>�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">例如，当<span style="line-height: 200%" lang="EN-US">IRS</span>交易开始时，某债券的价格等于其面值�?span style="line-height: 200%" lang="EN-US">IRS</span>协议可规定，在每个支付时点，<span style="line-height: 200%" lang="EN-US">A</span>按票面利率向<span style="line-height: 200%" lang="EN-US">B</span>支付债券利息，�?span style="line-height: 200%" lang="EN-US">B</span>按债券的到期收益率�?span style="line-height: 200%" lang="EN-US">A</span>支付利息。由于开始时债券市价等于面值，所以当<span style="line-height: 200%" lang="EN-US">IRS</span>交易开始时，债券票面利率与收益率相等。在随后的协议期限内，当债券信用风险提高，收益率相应上升�?span style="line-height: 200%" lang="EN-US">B</span>需要向<span style="line-height: 200%" lang="EN-US">A</span>支付高于债券利息的金额，<span style="line-height: 200%" lang="EN-US">A</span>从交易中获利，也恰好覆盖其所承担的风险；反之，当债券信用风险降低，收益率相应下行�?span style="line-height: 200%" lang="EN-US">B</span>�?span style="line-height: 200%" lang="EN-US">A</span>支付低于债券利息的金额，<span style="line-height: 200%" lang="EN-US">B</span>从交易中获利，但<span style="line-height: 200%" lang="EN-US">A</span>所获得的支付也与其承担的风险相适应�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">本文所提出的创新型<span style="line-height: 200%" lang="EN-US">IRS</span>交易模式为交易双方提供了一种激励，促使他们充分发掘关于某类债券或债券市场整体的信用风险的信息。如果该产品被充分应用于信用债市场，其定价将成为反映信用风险的有效指标。信用债市场的风险是由整个市场上融资主体的信用风险所共同决定的。因此，<span style="line-height: 200%" lang="EN-US">IRS</span>的这种创新广泛应用有助于进一步推动信用风险的市场化定价和市场化管理�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">需要指出的是，债券的投资者可以通过创新运用<span style="line-height: 200%" lang="EN-US">IRS</span>来对冲由信用风险引起的收益率波动，但如果债券投资者预期债券违约概率很大，最好还是应�?span style="line-height: 200%" lang="EN-US">CRM</span>一类的信用衍生品来进行更充分地对冲。利率衍生品终究不可能完全替代信用衍生产品�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（二�?span style="line-height: 200%" lang="EN-US">IRS</span>与信用违约互换（<span style="line-height: 200%" lang="EN-US">CDS</span>）交易的差异</font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">在这�?span style="line-height: 200%" lang="EN-US">IRS</span>交易中，<span style="line-height: 200%" lang="EN-US">A</span>转出的仍然是市场风险敞口，而非信用风险敞口，但是对于信用债而言，市场风险与信用风险紧密相关，交易市场风险敞口同样可以起到管理信用风险的作用。表面上看，<span style="line-height: 200%" lang="EN-US">IRS</span>的这种创新应用与<span style="line-height: 200%" lang="EN-US">CDS</span>有类似功能，但两者仍然存在着根本性的差异。这可以通过对比<span style="line-height: 200%" lang="EN-US">IRS</span>�?span style="line-height: 200%" lang="EN-US">CDS</span>的交易结构得到很好的说明。如�?span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">B</span>开展的是直接转让信用风险敞口的<span style="line-height: 200%" lang="EN-US">CDS</span>交易，则交易结构如图<span style="line-height: 200%" lang="EN-US">4</span>所示。这与本文提出的<span style="line-height: 200%" lang="EN-US">IRS</span>交易存在三点显著的不同：</font></span></p> <p style="text-align: center" class="MsoNormal" align="center"><b><span style="font-family: 仿宋_GB2312; font-size: 12pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">4<span style="line-height: 200%"> </span>CDS</span>交易结构</font></span></b></p> <p style="text-align: center" class="MsoNormal" align="center"><span lang="EN-US"><font style="line-height: 200%"><img style="line-height: 200%" alt width="432" height="113" v:shapes="_x0000_s1026 _x0000_s1027 _x0000_s1028 _x0000_s1029 _x0000_s1030 _x0000_s1031 _x0000_s1032" src="./W020140516600049731925.gif" OLDSRC="W020140516600049731925.gif" /></font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">第一，在<span style="line-height: 200%" lang="EN-US">CDS</span>交易中，<span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">B</span>支付的是一笔浮动费用。这笔浮动费用与债券发行者的信用风险溢价是直接相关的。而在<span style="line-height: 200%" lang="EN-US">IRS</span>交易中，<span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">B</span>支付的是固定的债券利息�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">第二，在<span style="line-height: 200%" lang="EN-US">CDS</span>交易中，若债券的发行主体不发生信用事件�?span style="line-height: 200%" lang="EN-US">B</span>�?span style="line-height: 200%" lang="EN-US">A</span>则无支付义务，只有当信用事件发生时，<span style="line-height: 200%" lang="EN-US">B</span>才有义务补偿<span style="line-height: 200%" lang="EN-US">A</span>在信用事件中所受到的损失。�?span style="line-height: 200%" lang="EN-US">IRS</span>交易中双方始终要进行相互的利息支付�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">第三�?span style="line-height: 200%" lang="EN-US">CDS</span>交易更容易被操纵。比如交易�?span style="line-height: 200%" lang="EN-US">B</span>可以人为地压低债券价格，制造债券发行者信用风险溢价上升的假象，使<span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">CDS</span>交易中多支付费用。在现实�?span style="line-height: 200%" lang="EN-US">CDS</span>交易中，这种操作手法并不鲜见。而在<span style="line-height: 200%" lang="EN-US">IRS</span>交易中，如果双方约定�?span style="line-height: 200%" lang="EN-US">Shibor</span>或同评级债券的收益率作为浮动参考利率，那么<span style="line-height: 200%" lang="EN-US">B</span>意欲操纵交易就必须影响整体的资金价格，或影响多种债券的价格，这对于单一交易者而言是无法做到的。即使双方约定参考该债券本身的收益率，那�?span style="line-height: 200%" lang="EN-US">B</span>也只能通过炒高债券价格来减少其�?span style="line-height: 200%" lang="EN-US">IRS</span>中对<span style="line-height: 200%" lang="EN-US">A</span>的支付。这虽然会造成<span style="line-height: 200%" lang="EN-US">A</span>�?span style="line-height: 200%" lang="EN-US">IRS</span>交易中的损失，但<span style="line-height: 200%" lang="EN-US">A</span>的现券头寸却会因此获利�?span style="line-height: 200%" lang="EN-US">A</span>甚至可以卖出所持有债券，并购入相同评级但市价更低的债券，由此产生的资本利得可以弥补其在<span style="line-height: 200%" lang="EN-US">IRS</span>交易中的损失�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 黑体; font-size: 15pt"><font style="line-height: 200%">（三）创新应�?span style="line-height: 200%" lang="EN-US">IRS</span>相对于其他市场化风险管理工具的优�?/font></span></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">除了�?span style="line-height: 200%" lang="EN-US">CDS</span>的显著差异以外，本文所设计�?span style="line-height: 200%" lang="EN-US">IRS</span>交易相对于其他市场化信用风险管理工具，也具有一些独特的优势，这增加了其在风险管理中的实用价值�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">1.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">相比信用风险缓释工具�?span style="line-height: 200%" lang="EN-US">CRM</span>），<span style="line-height: 200%" lang="EN-US">IRS</span>的参与主体更加广�?/span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">�?span style="line-height: 200%" lang="EN-US">2005</span>年人民银行提出发展人民币<span style="line-height: 200%" lang="EN-US">IRS</span>�?span style="line-height: 200%" lang="EN-US">2006</span>年试点推出以来，人民�?span style="line-height: 200%" lang="EN-US">IRS</span>市场发展非常迅速。截�?span style="line-height: 200%" lang="EN-US">2013</span>年底，已�?span style="line-height: 200%" lang="EN-US">108</span>家交易商通过签署交易主协议，并向交易商协会备案内部操作规程和风险管理制度，成�?span style="line-height: 200%" lang="EN-US">IRS</span>市场的参与者。相较于信用风险缓释工具等风险管理工具，<span style="line-height: 200%" lang="EN-US">IRS</span>拥有更为广泛的参与者基础，可以为更多市场成员提供风险管理手段�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">2.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">相比国债期货，<span style="line-height: 200%" lang="EN-US">IRS</span>涉及的标的券种更加广�?/span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">尽管国债期货也可以为投资者提供套期保值功能，但其应用范围仅限于国债交易。�?span style="line-height: 200%" lang="EN-US">IRS</span>只要求交易双方约定名义本金，却不限定是何种债券的本金。理论上讲，任何债务的利率风险均可使�?span style="line-height: 200%" lang="EN-US">IRS</span>工具进行管理。另外，<span style="line-height: 200%" lang="EN-US">IRS</span>的参考利率选择也更为灵活，可以�?span style="line-height: 200%" lang="EN-US">Shibor</span>、定存利率、回购利率及其他利率�?/font></span></p> <p style="text-indent: 30.1pt" class="MsoNormal"><font style="line-height: 200%"><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">3.</span></b><b style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">相比其他产品�?span style="line-height: 200%" lang="EN-US">IRS</span>市场更具深度和广度，市场基础设施更加完备</span></b></font></p> <p style="text-indent: 30pt" class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt"><font style="line-height: 200%">就市场深度和广度而言�?span style="line-height: 200%" lang="EN-US">IRS</span>是交易规模最大、最活跃的人民币利率衍生产品�?span style="line-height: 200%" lang="EN-US">2013</span>年共发生<span style="line-height: 200%" lang="EN-US">2.4</span>万笔人民�?span style="line-height: 200%" lang="EN-US">IRS</span>交易，名义本金达�?span style="line-height: 200%" lang="EN-US">2.7</span>万亿元。同时，<span style="line-height: 200%" lang="EN-US">IRS</span>市场的基础设施建设也日益完善�?span style="line-height: 200%" lang="EN-US">IRS</span>市场已于<span style="line-height: 200%" lang="EN-US">2012</span>年实现了交易确认和冲销业务的电子化�?span style="line-height: 200%" lang="EN-US">2014</span>年又推出了集中清算业务，这些都为<span style="line-height: 200%" lang="EN-US">IRS</span>交易活跃度的进一步提高创造了有利条件�?/font></span></p> <p class="MsoNormal"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="line-height: 150%" class="MsoEndnoteText"><span style="line-height: 150%; font-family: 仿宋_GB2312; font-size: 12pt"><font style="line-height: 200%">注：</font></span></p> <p style="line-height: 150%; text-indent: 24pt" class="MsoEndnoteText"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 12pt" lang="EN-US">1.</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 12pt">本币利率互换交易是交易双方互换等额的按本币计价的名义本金，并据此计算利息互换额的利率互换交易。不同币种的本金之间也可以进行利率互换交易，这种交易一般涉及本金的交换，也被称为货币互换�?/span></font></p> <p style="line-height: 150%; text-indent: 24pt" class="MsoEndnoteText"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 12pt" lang="EN-US">2.</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 12pt">在国外成熟债券市场上，由于信用衍生品发展已较为充分，并不需�?span style="line-height: 200%" lang="EN-US">IRS</span>发挥信用风险管理的功能。而在国内债券市场上，将衍生品应用于信用风险管理则尚未引起充分重视�?/span></font></p> <p style="text-align: right; text-indent: 30pt" class="MsoNormal" align="right"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> <p style="text-align: right; text-indent: 30pt" class="MsoNormal" align="right"><font style="line-height: 200%"><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US">2014</span><span style="line-height: 200%; font-family: 仿宋_GB2312; font-size: 15pt">�?span style="line-height: 200%" lang="EN-US">4</span>月份发表于《债券》杂�?/span></font></p> <p style="text-align: right; text-indent: 30pt" class="MsoNormal" align="right"><span style="font-family: 仿宋_GB2312; font-size: 15pt" lang="EN-US"><font style="line-height: 200%"> </font></span></p> </div></div> </td></tr> <tr><td height="25" valign="top" align="left"> </td></tr> <tr style="display:none;" id="pdfShow" align="center"> <td height="600"> <div id="flashObjId"></div> </td></tr> </table> </td> </tr> </table> </td> </tr> </table> <table width="1001" border="0" align="center" cellpadding="0" cellspacing="0"> <tr> <td height="5"></td> </tr> <tr> <td height="3" bgcolor="#203E98"></td> </tr> <tr> <td height="35" align="center" valign="bottom"><a href="/html/.scyjfx.gkwz201405......fzlmrczp.html" target="_blank" class=gray>人才招聘</a> <SPAN class=font_wh>　|　</SPAN> <a href="/html/.scyjfx.gkwz201405......fzlmGYWM201202t20120227_4278.html" arget="_blank" class="gray">关于我们</a> <SPAN class=font_wh>　|　</SPAN> <a href="/html/.scyjfx.gkwz201405......fzlmLXWM201202t20120227_4286.html" arget="_blank" class="gray">联系我们</a> <SPAN class=font_wh>　|　</SPAN> <a href="/html/.scyjfx.gkwz201405......fzlmWZDH.html" target="_blank" class=gray>网站导航</a> <SPAN class=font_wh>　|　</SPAN> <a href="/html/.scyjfx.gkwz201405......fzlmyhbz201202t20120227_4289.html" arget="_blank" class="gray">用户帮助</a> </td> </tr> <tr> <td height="20" align="center"><span style="font-size:12px">京ICP�?8009794�?/span></td> </tr> <tr> <td height="20" align="center"><span style="font-size:12px">中国银行间市场交易商协会所有未经允许请勿转�?2007 </span></td> </tr> </table> <div style="display:none"> </div> <div style="display:none"> <noscript><p><img src="https://neilshang.cn/piwik/piwik.php?idsite=1&rec=1" style="border:0" alt /></p></noscript> </div> <script type="text/javascript" src="/tongji.js"></script></body> </html>