Study On The Pricing Model About The Coupon Rate Of Asset-back Security In China

In China,corporate asset securitization,also known as asset securitization by securities companies or fund management companies' subsidiaries,refers to an investment banking activity in which the cash inflow of the underlying asset in the future is packed up and becomes a security whose payment in the future is generated by the underlying assets' cash flow,whose credit is enhanced by trenching structure.Asset-backed security(ABS)is the special purpose vehicle(SPV)of it.March 2013,CSRC(China Securities Regulatory Commission)announced the management rules for asset securitization by the securities company.Corporate asset securitization came to reality.Subsequently CSRC canceled administrative approval,implemented issuance filing in the AMAC(Asset Management Association of China)instead,and started banning the underlying assets in a negative list.Since Shanghai and Shenzhen stock exchange started providing transactions services for ABS to make a secondary trading market,the ABS has become the most popular,most efficient asset securitization tool.Due to private placement,ABS does not hold an effective market pricing mechanism in the primary market.In lack of active transaction and market depth,there is little reference from secondary market for pricing.Therefore,when issuing ABS,it has been a problem to decide the coupon rate for both the owner of the underlying asset and the financial institute.It is to discuss how to find a way to price the coupon rate of an ABS in this research.This research is different from the traditional quantitative methods.Firstly,we look for the ABS determinants from fixed income securities coupon rate determine determinants.Secondly,assuming some correlations between an ABS coupon rate and the DCM pricing curve from NAFMII(National Association of Financial Institutional Investors)and the province where the insurer are from,we construct a linear regression model.The research results show that the linear regression model has good fitting effect and prediction therefore will be of meanings in application.