Human genome-wide association studies have linked single nucleotide polymorphisms (SNPs) on chromosome 9p21.3 near the INK4/ARF (CDKN2a/b) locus with susceptibility to atherosclerotic vascular disease (ASVD). Although this locus encodes three well-characterized tumor suppressors, p16^INK4a, p15^INK4b, and ARF, the SNPs most strongly associated with ASVD are ∼120 kb from the nearest coding gene within a long non-coding RNA (ncRNA) known as ANRIL (CDKN2BAS). While individuals homozygous for the atherosclerotic risk allele show decreased expression of ANRIL and the coding INK4/ARF transcripts, the mechanism by which such distant genetic variants influence INK4/ARF expression is unknown. Here, using rapid amplification of cDNA ends (RACE) and analysis of next-generation RNA sequencing datasets, we determined the structure and abundance of multiple ANRIL species. Each of these species was present at very low copy numbers in primary and cultured cells; however, only the expression of ANRIL isoforms containing exons proximal to the INK4/ARF locus correlated with the ASVD risk alleles. Surprisingly, RACE also identified transcripts containing non-colinear ANRIL exonic sequences, whose expression also correlated with genotype and INK4/ARF expression. These non-polyadenylated RNAs resisted RNAse R digestion and could be PCR amplified using outward-facing primers, suggesting they represent circular RNA structures that could arise from by-products of mRNA splicing. Next-generation DNA sequencing and splice prediction algorithms identified polymorphisms within the ASVD risk interval that may regulate ANRIL splicing and circular ANRIL (cANRIL) production. These results identify novel circular RNA products emanating from the ANRIL locus and suggest causal variants at 9p21.3 regulate INK4/ARF expression and ASVD risk by modulating ANRIL expression and/or structure.