Research On Credit Risk Of Green Certification CMBS Products

Commercial Mortgage Backed Securities(CMBS),which was refers to the asset-backed securities products that banks issue securities with commercial mortgages as assets and the expected income of real estate as the source of repayment principal and interest.CMBS have been introduced into China since 2016 and are popular in the capital market while the green finance has flourished under the policy support of the ‘Five Principles of Development'.At the same time,as a comprehensive emerging product,Green CMBS has begun to enter the investor's horizon.However,the Green CMBS of China has many problems such as starting late,lacking of experience and uniform standard.It may face potential default risk in its development process,causing losses of investors and the entire market.Therefore,it is of great significance to analyze the default risk of green CMBS and put forward corresponding preventive measures for the steady development of green finance in China.On the basis of literature review of green CMBS,this paper expounds it's trading results and development status.At the same time,it chooses Jiashi Capital,the first green CMBS product in China,as the special plan of energy-saving green building assets support,and uses “5C” factor analysis method to analyze default risk from three aspects of original equity holders,basic assets and green attributes,and accordingly summarizes it and gives research conclusions and refine policy recommendations.The main points of this paper are as follows:1.For the original stakeholder,the risk of credit risk is small.Green City Energy Conservation Company has good industrial and commercial credit,and most of it's legal disputes are won.Although the financial statements show that the debt ratio is increasing,this is because the energy-saving building is still in the state of incomplete construction and rental,and the financial situation should be improved after the final sale and rental is completed.2.In terms of basic assets,there is a certain credit risk when the rental rate decreases.According to the coverage ratio of cash flow to interest under different pressure scenarios,it of the final three phases of the product is less than 1 under the rent rate pressure scenario.Therefore,in order to control the risk,we should focus on building rental rate.3.As for green attributes,there are little risk of product default.This case belongs to "Asset Green" Asset-backed Securities,that is,the basic assets are green projects,but the funds raised are not for green purposes.Therefore,the basic attributes are easier to maintain stability and the risk of default is smaller.4.The first green CMBS product in China has been successfully tested and has great potential for development.With the increasingly active domestic green bond market,the success of the product provides a practical basis for the pricing of green bonds,and provides a reference for the calculation of default risk of similar products.To sum up,this paper puts forward three policy recommendations: 1.Perfecting the compensation mechanism for default risk of green CMBS products;2.Formulating standardized contracts to foster an independent green certification system;3.Strengthening supervision and forming a sound information disclosure mechanism.