Abstract: The securitization market, a complex financial landscape, has been a focal point for both domestic and international research due to its inherent information asymmetry. Within this market, issuers leverage structural technology to fragment the cash flow of a vast pool of loan, effectively creating asset-backed securities. However, this practice poses a challenge to investors as assessing the real risks without incurring substantial costs becomes an intricate task. As a result, investors often rely heavily on credit ratings, sometimes overlooking the underlying risks. Yet, there is a potential conflict of interest as credit rating agencies, driven by commercial incentives, might be inclined to inflate ratings. While these inflated ratings might boost bond liquidity, they could also lead investors into adopting aggressive strategies. Such a liquidity-driven environment is highly vulnerable, where external shocks can profoundly disrupt the entire financial system's stability. China's securitization market, primarily dealing with mortgage loans, bears resemblances to the products involved in the U.S. subprime crisis. The risks stemming from information asymmetry in structured financial products demand heightened attention and scrutiny.
Scholars investigating information asymmetry have systematically analyzed the genesis of the U.S. subprime debt crisis, emphasizing the role of information sensitivity. They argue that debt-based securities start as insensitive debt, traded mainly by uninformed agents. However, as events transmit risk signals, this type of debt gradually becomes information-sensitive, compelling institutions to conserve liquidity. Consequently, there is a surge in demand for haircut, leading to tightened liquidity and systemic defaults. This underscores the pivotal role of information sensitivity in the risk mechanism of the securitization market. Nonetheless, the research on information sensitivity is still in its infancy, leaving room for refining theoretical models. It is imperative to delve deeper into the information mechanisms between primary and secondary markets, understand the relationship between information sensitivity and cost, and factor in the unique characteristics of securities produced by structured technology. Furthermore, empirical studies should encompass a broader scope, not only focusing on mature markets but also exploring the Chinese bond market for comprehensive verification across both primary and secondary markets.
This paper establishes a two-stage model for asset-backed securities based on the differences between the primary and secondary market information mechanisms, analyzing the information sensitivity, introducing structured techniques to assess their impacts, and proposing a new risk mechanism in these markets. The results indicate that employing structured techniques can reduce the information sensitivity while enhancing liquidity. However, the increased liquidity may also lead to risk. The information sensitivity is influenced by the maturity and risk preferences of financial market, impacting the decision-making of institutions. When those institutions have difficulties in accessing private information at reasonable costs, the changes of information sensitivity may trigger a reversal of liquidity, thus affecting the stability of the financial system. The paper also validates these findings using data from the domestic market, showing that as the market develops, the information value of low-risk bonds diminishes, while that of high-risk bonds decreases in the primary market but increases in the secondary market. In those different markets the impact of structured techniques on information sensitivity varies. The secondary market investors weaken private information.
To further advance the securitization market's development, several measures are proposed. Firstly, introducing more adept high-risk bond investors would elevate the market demand for information-insensitive securities and boost the information sensitivity of these bonds, mitigating external risk shocks on liquidity and curbing systemic risks. Secondly, enhancing the depth and quality of information disclosure at the underlying level would gradually transition private information into public, thereby reducing transaction costs. Thirdly, improving the standardization of disclosure for asset-backed securities by establishing a direct link could enable official agencies to standardize the dissemination of service reports and other pertinent information, providing investors with more specialized services. Lastly, fostering the re-rating market, particularly through the promotion of the “investor-paid”, would bolster the independence of credit ratings in assessment and pricing, facilitating the trading of asset-backed securities in the secondary market.

Key words: securitization, information sensitivity, trading decision, information value

摘要： 本文论证了信贷资产证券化市场中交易机构的交易决策逻辑,基于信息敏感性角度,分析了一种新的资产证券化市场风险形成机制,并采用国内银行间债券市场的数据进行了验证。结果表明,结构化金融技术的运用,可以降低有基础资产支持的债券的信息敏感性,提高债券的流动性,但流动性助推下的信贷资产证券化市场很有可能积累风险。信息敏感性与金融市场发展成熟度、风险偏好变化相关,直接影响交易机构的交易决策,当资产支持证券信息敏感性出现变化,若市场中的交易机构无法以合理的成本,通过获取私有信息有效评估风险,将通过交易决策助推债券市场流动性的反转,进而影响金融系统的稳定性。为了防范信贷资产证券化市场的潜在风险,建议引入更多高风险债券专业投资人,完善资产支持证券存续期的信息披露,发展“投资人付费”的再评级市场,通过提高债券的信息敏感性,增强资产支持证券市场应对风险冲击的能力。

关键词: 资产证券化, 信息敏感性, 交易决策, 信息价值