China's Bank Credit Assets Support Product Structure And Pricing Analysis

Since the official restart of credit asset securitization in September 2013,the issuance of credit asset-backed securities has exceeded one trillion yuan and has become one of the most active products in the financial markets.A series of documents have been promulgated by the state,emphasizing the need to provide investors with more choices while speeding up the liquidity of banks.The 19 th NPC report once again stressed the need to raise the proportion of direct financing and promote the healthy development of a multi-level capital market.This indicates that China's asset securitization will enter a period of rapid development.Credit asset-backed securities products are an important part of asset-backed securities.After nearly four years of development,credit asset securitization product types have made breakthroughs in innovation.Since the beginning of the trial of non-performing assets of banks in 2016 as a base asset for the securitization business,the types of sponsors of asset securitization businesses in the market have also diversified.From the very beginning,larger diversified banks,to stronger regional rural commercial banks,and licensed consumer finance companies that are in high demand for liquidity,embarked on an asset securitization business.This can be seen from the ratings of the three parties.In addition,among the existing credit asset securitization products,secondary banks account for more than 30% Products,the originator of which is the original owner of the local rural commercial banks.Therefore,analyzing the stratified structure design and stratification pricing of such credit asset-backed products with low quality into this pool not only has reference value for the issue of asset-backed securities by other banks and enterprises of the same type,but also makes an investment decision for investors Also has practical reference value.In this paper,I selected the first-period credit asset-backed securities of Jiang Yu Chongqing No.1 as the case product according to the product stratification number as much as possible,the basic asset rating and asset-backed rating diversification,and the data accessibility criteria.In two aspects,firstly,starting from the repayment cashflow of the borrower from top to bottom,this paper gives the design idea of asset-backed securities under the mode of repayment according to the plan and creatively gives the calculation under the given conditions Priority A file,priority B file Maximize the rate of return and product stratification model.And calculates the internal rate of return of the secondary tranche under the model result and the actual product.Can provide ideas for the initial design of asset securitization products.Second,when considering the default event of the borrower,Gaussian Copula function and t-Copula function are used to measure the default correlation structure among the borrowers.From the bottom up,when the product stratification is known,the theoretical pricing results of stratified securities are obtained by simulation.And analyzed the impact of the default rate,default recovery rate and correlation coefficient on the price of the securities,while keeping the other inputs unchanged.The results show that when the total issue size accounts for the high proportion of the total cash flow,the maximum investment income of the priority A and B securities will be prioritized,and the profits of the sub-tier will be deprived.This leaves the equity-level,high-yield nature of the secondary tranche of asset-backed securities withstood.Therefore,in the case product of this paper,the secondary tranche of asset backed securities loses its attributes as an equity investment and its existence simply provides credit support for the priority tranche of asset backed securities for the purpose of enhancing investor confidence.From the results of the stratification,the actual stratification of the product is in good agreement,which shows that the design model in this paper has practical reference significance.From the simulation results,there is a mismatch between the risk borne by the holders of the preferred A and B portfolios and the risk compensation received.The current prices of the two priority bids result from pricing without full account of the default.This also shows the importance of studying the pricing of China's credit asset-backed securities.