摘 要

在全球金融市场中资产证券化产品盛行的背景下，抵押债务债券（Collateralized Debt Obligation，CDO）作为结构性创新产品的代表产品，在近十几年中产品品种和交易数量迅速增长。我国的资产证券化市场的发展相对落后。直到近几年，我国CDO产品的发行量才开始出现较大幅度增长。因此，针对我国CDO产品市场环境，开展CDO产品结构的理论和市场研究，具有必要性。

本文的研究目的旨在：通过研究CDO产品结构理论和中国CDO产品结构的发展现状，从CDO产品结构视角出发，针对中国市场上CDO的产品结构发展提出可行的对策和建议。本文的理论研究意义包括以下三个方面：基于证券化方法分类标准，探讨了现金型、合成型、混合型CDO的具体产品结构；讨论了现金流理论、瀑布理论、虚拟资产理论在CDO产品结构中的运用及特征；探讨了CDO产品结构主要的两种风险：分券风险、违约风险。本文的现实研究意义包括以下三个方面：通过案例研究了解我国市场中最新CDO产品结构发展现状；针对性地对我国市场中CDO产品结构发展现状提出存在问题；从CDO产品结构视角出发，提出可行的对策和建议。因此，本文研究CDO产品结构存在问题及对策具有较强的理论价值和现实意义。

本文的主要研究结论包括以下四个方面：（1）CDO产品结构最显著的特征是分券结构、破产隔离和现金流分配的瀑布机制；（2）针对2017第二期国家开发银行信贷资产支持证券产品，从信用质量、产品交易结构、产品信用评级、资产池的分散度等多个方面进行了产品结构研究，指出我国开元系列产品结构实质为CLO；（3）通过研究CDO产品结构的每一个环节，对我国CDO产品结构存在问题进行了讨论，具体地提出了以下几个方面的问题：现金型CDO基础资产构成单一、合成型CDO基础资产选择受限于我国基础金融市场、分券结构中不同层级份额债券评级普遍偏高；（4）针对每一个存在问题，给出了具体的政策建议。

本文的创新点包括以下两个方面：（1）对我国2017第二期国家开发银行信贷资产支持证券产品进行了案例研究；（2）从CDO产品结构视角出发，对我国的CDO产品结构的发展现状提出了存在问题和对策。

关键词：抵押债务债券（CDO）；现金型CDO；合成型CDO；CDO产品结构

Abstract

Under the prevalence of asset securitization products in global financial markets, Collateralized Debt Obstruction (CDO) is a representative product of structural innovation products. The number of product varieties and transactions has grown rapidly in the past decade or so. The development of the asset securitization market in our country is relatively backward. Until recent years, the circulation of CDO products in our country began to show a substantial increase. Therefore, for the market environment of CDO products in China, it is necessary to carry out the theoretical and market research of CDO product structure.

The purpose of this paper is to propose viable countermeasures and suggestions for the development of the product structure of mortgage debt bonds in the Chinese market from the perspective of CDO product structure by studying the CDO product structure theory and the actual status of application in China. The theoretical research significance of this article includes the following three aspects: Based on the securitization method classification standard, the specific product structure of cash, synthetic, and hybrid CDOs is discussed; the cash flow theory, waterfall theory, and virtual asset theory are discussed in the CDO product structure. The use and characteristics of the medium; discussed the two main risks of the CDO product structure: the risk of coupons and default. The realistic research significance of this article includes the following three aspects: Through the case study to understand the current status of the latest CDO product structure development in China's market; To present the existing problems of the current CDO product structure development in China's market; From the perspective of CDO product structure, put forward feasible Countermeasures and suggestions. Therefore, studying the problems of CDO product structure and its countermeasures have strong theoretical value and practical significance.

The main conclusion of this paper is: (1) The most significant feature of the CDO product structure is the fall mechanism of the securities bond structure, bankruptcy isolation and cash flow distribution;(2) According to the 2017 China Development Bank credit asset-backed securities, the product structure was studied in terms of credit quality, product transaction structure, product credit rating, and asset pool dispersion. It is pointed out that the structure of Kaiyuan series products in China is essentially CLO; (3) Through the study of each link in the CDO product structure, we discussed the problems in the structure of China's CDO products, and specifically raised the following issues: The cash-based CDOs have a single basic asset composition and lack of policy support for the development of synthetic CDOs. The ratings of different levels of shares in the coupon structure are generally high; (4) Specific policy recommendations are given for each existing problem.

The innovation of this article is: (1) A case study was conducted on China's second-phase China Development Bank's credit asset-backed securities products in 2017. (2) Based on the perspective of product structure research of CDO, the author puts forward problems and countermeasures for the development of China's market application of CDO products.

Key Words：collateralized debt obligation (CDO)；cash CDD；synthetic CDO；CDO product structure

目录

第1章 绪论 1

1.1 研究背景 1

1.2 研究目的和意义 2

1.3 国内外研究现状 3

1.3.1 抵押债务债券（CDO）产品结构理论基础的研究现状 3

1.3.2 我国抵押债务债券（CDO）产品结构的研究现状 3

1.3.3 研究评述 4

1.4 研究内容 5

1.5 研究方法 5

第2章 抵押债务债券（CDO）产品结构理论基础 7

2.1 抵押债务债券（CDO）定义与分类 7

2.1.1 抵押债务债券（CDO）定义 7

2.1.2 抵押债务债券（CDO）分类 8

2.2 基于证券化方法分类的抵押债务债券（CDO）产品的结构 9

2.2.1 现金型抵押债务债券（CDO）产品的结构 10

2.2.2 合成型抵押债务债券（CDO）产品的结构 11

2.2.3 混合型抵押债务债券（CDO）产品的结构 12

2.3 抵押债务债券（CDO）产品结构风险 13

2.3.1 分券风险 13

2.3.2 违约风险 14

2.4 抵押债务债券（CDO）产品结构理论基础 15

2.4.1 现金流理论 15

2.4.2 瀑布理论 15

2.4.3 虚拟资本理论 16

2.4.4 资产组合、破产隔离、信用增级理论 17

2.5 本章小结 18

第3章 我国抵押债务债券（CDO）产品结构现状及存在问题 19

3.1 我国抵押债务债券（CDO）产品结构现状 19

3.1.1 我国抵押债务债券（CDO）产品发展现状 19

3.1.2 国家开发银行2017年第二期“开元”系列产品结构 20

3.2 我国抵押债务债券（CDO）产品结构存在问题 24

3.2.1 现金型CDO基础资产构成单一 24

3.2.2 合成型CDO基础资产选择受限于我国基础金融市场 24

3.2.3 分券结构中不同层级份额债券评级普遍偏高 25

3.3 本章小结 26

第4章 我国抵押债务债券（CDO）产品结构发展对策和建议 27

4.1 加强资产审查及扩大现金型CDO基础资产选择范围 27

4.2 积极推行稳健的合成型CDO产品试点 27

4.2.1 积极推动我国基础金融市场发展和二级CDO产品市场发展 27