关键词: 关联方增信, 集团风险, 信用风险溢价, 资产证券化

Abstract: This paper focuses on the credit spread of asset-backed securities (ABS) and discusses the effect of credit enhancement by related parties. We find that the spread of ABS with related-party credit enhancement is higher. Especially, when the previous ABS issued by the same originator is upgraded, the spread of new ABS is even higher. This paper further explores the reasons for the above phenomena. On one hand, the credit enhancement of related parties concentrates risks within the group. On the other hand, the upgrading of previous ABS can become a negative signal reflecting the fact that the quality of underlying assets of new ABS becomes worse due to possible moral hazard issues of enterprises, and further affect the pricing behavior of investors. The contribution of our study is to reveal the possible moral hazard issues in the credit enhancement of related parties. By analyzing the statistical characteristics of the abundant underlying assets, we find that the group risk agglomeration can lead to the damage of the underlying asset quality, which increases the financing cost of enterprises. In practice, regulators are suggested to properly restrict credit enhancement by related parties or strengthen supervision to develop China ’ s asset securitization market healthily and sustainably.

Key words: Credit Enhancement by Related Parties, Group Risk, Credit Spread, Asset Securitization