A Empirical Research Of The Issue Spread Of Credit Asset-backed Security

China's economic development has entered a new normal, financial market, especially the healthy and rapid development of the fixed income market has a positive significance to reduce the financing costs of the whole market, optimize the financing structure of the community, the establishment of a multi-level capital market, and make an inventory of the existing stock of assets and so on. Asset securitization as a kind of direct financing tool of innovation, has the advantage of huge potential market size, transaction mechanism flexible design, not subject to restrictions of the main rating, improve the operational efficiency of assets and meet the demands of investors of multi-level etc. Under the guidance of a series of favorable policies, the asset securitization get the strong support from the government and the regulatory agencies, In the past two years, China's asset securitization market has developed rapidly, in the issue size, the stock of assets, asset type and participating institutions have a great development. But in the process of rapid development, there are many problems, such as the supervision standard is not unified, the information disclosure system is not perfect, the investors are not mature, the two level market liquidity is poor, the issue price is not reasonable and the product structure is single and so on.Asset securitization in China is in an important period from the incremental development to the stock optimization, commercial banks to carry out securitization of credit assets is of great significance to make an inventory of the stock of assets, improve capital adequacy ratio, improve the intermediate business income, improve the structure of assets and liabilities and promote the rapid transformation of commercial banks. Although the domestic research on the securitization of credit assets is more and more, but on the actual issue of China's asset securitization market is relatively small, especially on the market pricing of asset securitization products is very lack.So this article from the basis of asset quality, credit rating and other aspects to analysis, find the factors that may affect the pricing of asset securitization, and through the establishment of multiple regression model to analyze the impact of factors and the impact of the interpretation of the relationship between them. The chapters of this paper are arranged as follows.The first part, first of all, this paper briefly introduces the asset securitization of in the development of our country and the research situation, according to the domestic and foreign on asset securitization research, put forward the research content of this paper, research framework and research methods, and points out the research of a new points and deficiencies. Although China's asset securitization process is relatively rough, but format a unique Chinese characteristics of the market structure, under the guidance of different regulatory agencies, gradually move towards to the new normalization; But compared to the U.S. asset securitization market, China's practical experience and academic research is still in the initial stage of exploration, the research of credit asset securitization in our country is mainly case study and system analysis, as well as the practical analysis and theoretical research of asset securitization in developed countries, the research on the whole credit asset securitization market is relatively scarce.The second part, first from the market issue, operation process, market investors and bond secondary market liquidity four aspects to introduce the securitization of credit assets in the practice of our country, and then analysis the different of Chinese and American asset securitization pricing. In recent years, although the liquidity of secondary market has improved, but the enthusiasm of investors participating in the secondary market is not high, most investors are still in a waiting state. On product pricing, the U.S. asset securitization market is relatively mature, the price of its products are mainly used more accurate option pricing method. Because the benchmark interest rate is not complete, the market acceptance is not high reason, China's credit asset securitization pricing is generally adopted "the relative interest rate"; Credit asset securitization products relatively simple only priority and a secondary gear, in priority and subprime product pricing process, the "nominal interest rate pricing" mode is choosed, namely, over the same period of similar duration of reference notes and then on the basis of floating or downward float a few basis points; and subprime securities general initiated by the mechanism of retention, it is generally not a rating there is no pricing.The third part, this paper analysis the enterprise bank loan securitization products, from the three aspects of the underlying asset characteristics, product structure design and credit rating to introduce characteristics of our country enterprise bank loan asset securitization issuance. The characteristics of the bank's underlying assets are many industry is involved, the loan condition difference is big, the non-standard contract and weak liquidity, based on this, this article in the analysis of the basic assets of bank loans, it is not only to analyze the individual assets but also to analyze the diversity of the asset pool, mainly from the product structure, the distribution of cash flow, credit enhancement and bond redemption provisions to analyze the product structure of enterprise loan asset securitization. Rating agencies rating of asset securitization not only consider the quality of the underlying asset and product structure design, but also analyze the level of asset management and service providers to participate in the organization's collection capacity.The third part is a key section of a connecting link between the preceding and the following, it analyzed the underlying asset pool and structural characteristics of the bank's corporate loan asset securitization, it made adequate preparations for the fourth part of issuance spreads influencing factors analysis.In the fourth part, this paper studies the influence of credit rating, the result of the product and the quality of the foundation assets on the issue of the corporate loan asset backed securities by establishing a multiple linear regression model. The model part adopts the idea of gradual regression, Multiple regression models were established by selecting different explanatory variables, then analyzes the similarities and differences between the different models, to analyze the influence factors of the issue spreads and the influence factors of change. By means of the coefficient of the model, the influence of factors on the issue spread of asset backed securities is analyzed, through the absolute value of the regression coefficient, analysis the impact of the above factors on the impact of asset backed securities issuance spreads.In the selection of the sample, this paper selects the time period from January 1,2012 to February 29,2016, have a total of 365 samples (68 banks issued 137 asset securitization products), taking into account the selected samples are all parity issue, the issue of interest rates is the coupon rate, therefore the issue of interest rates are interpreted as the coupon rate minus the benchmark interest rate. This paper take the bond characteristics and bond market conditions as the control variable, underlying asset pool characteristics, structural characteristics, and credit rating as the explanatory variable to establish multiple group multiple regression model, through the comparison of multi angle analysis, study the issue of factors influencing the spread.Multivariate regression model results show that in the explained variables, credit rating, the interest coverage ratio (IC) and GR support thickness (LB), be explained issue and period (MAT) and bond market index (index) variables have a strong explanatory power for Bond spreads; but AAA and not AAA rated bonds have different sensitive degree on these variables, for the AAA bond, the recognized degrees of the investors is high, the market is relatively mature, and the sensitivity of fixed rate and floating rate bonds on these variables are also different.The last part, on the basis of previous research and analysis, Combining with the actual situation of credit asset securitization in our country at present, from the asset securitization market infrastructure, asset selection and product design, credit rating and information disclosure agencies, this paper puts forward the policy recommendations.Asset securitization in China has developed into a critical period from scale development to optimize the stock change, in-depth study of asset securitization products classification has great practicability and necessity. This paper focuses on the credit asset securitization market in china, explore the factors that affect the pricing of asset backed securities, starting from the bottom of the foundation of asset quality, the product structure design, the debt rating, the bond market situation and characteristics of securities, this paper analyzes the factors affecting the pricing of the bank's loan asset backed securities. Comprehensive basic asset pool information, product structure, credit rating and security features, this paper makes a quantitative study on the influencing factors of credit asset securitization pricing, the perspective is relatively novel. The rapid development of asset securitization in recent two years, also provides relatively sufficient research sample for the empirical study, provides a feasible source data for establishing multivariate regression model. It is more persuasive and feasible through the combination of qualitative analysis and quantitative analysis to find factors influencing of asset securitization pricing.