Research On The Asset Backed Securitization Pricing Of Infrastructure

The construction of infrastructure plays a decisive role in economic development.With the development of urbanization,the infrastructure will face huge market demand and require large amount of investment.But as traditional infrastructure financing methods are facing their own dilemma,asset securitization as a new financing tool for infrastructure plays an increasing important role in infrastructure financing.In the process of asset securitization,the pricing of the underlying assets and the asset backed security is the key part of asset securitization.But the fact is,in the area of infrastructure asset securitization,there is still a lack of systematic pricing model.Therefore,this paper firstly studies the necessity and feasibility of asset securitization of infrastructure: from three aspects studies the necessity-the situation of construction and financing of infrastructure in China,the shortcomings of traditional financing methods,the advantages of asset securitization;from three aspects studies the feasibility-the applicability of underlying assets,the implementation conditions of the securitization,the prospect of the asset backed securities.Then,based on the study of general Asset-Backed Security(abbreviated as ABS)pricing models,this paper constructs a practical and innovative pricing model of ABS of infrastructure.The innovation specifically is reflected in: first,the choice of discount rate,this paper uses the entire yield curve,so that the model also applies to the asset backed securities,those pay interest rates more than one time a year;second,using the idea of tiered pricing,so that the pricing model is more in line with the actual situation;third,using the average Z-spread of the same debt rating credit bond to estimate the credit spread,provide a new idea for estimating credit spread.In the end,using the above-mentioned pricing model and the data of A contracture company,this paper design a financing plan of securitization,and simulates the pricing process of asset backed security by using the above-mentioned pricing model.In the process of case simulation,this paper proves that the above-mentioned pricing model is scientific,operational and practical.