Research On Credit Rating For Asset-backed Securitization By TBCI

Since the beginning of asset-backed securitization in 2005,asset-backed securitization has made great progress in China.By the end of 2017,the total issuance of asset-backed securities has exceeded the traditional debt instruments in China,including corporate bonds,corporate bonds and medium-term notes.In the critical period of economic development in our country,this paper studies the credit rating method of asset-backed securitization,in order to against and avoid the occurrence of the U.S subprime mortgage crisis in 2007.The paper found that the credit rating of asset-backed securitization in China is generally high,AAA and AA+ class asset-backed securities do not accord with the assumption of the accuracy of rating.In addition,the paper concludes that the current rating methods have some disadvantages,including excessive reliance on future cash flow prediction and do not have unreasonable identification of credit enhancement measures.Therefore,this paper introduces the TBCI evaluation method of brand credit model to carry out credit rating on asset-backed securitization and put it into practice.The final result proves that the positioning of asset-backed securitization is changing gradually in Chinese asset-backed securitization market,which is from "activating inventory assets" to"obtain the overfinancing".This paper is divided into four parts.The first part consists of the first chapter.The first chapter introduces the research background,significance and innovation,and discusses the value of the paper.The second part consists of the second chapter.The second chapter starts from the relevant literature of credit rating in asset-backed securitization.And then introduce the views of domestic and foreign scholars on credit rating of asset-backed securitization and existing rating methods.In addition,this part mainly analyzes the validity of the credit enhancement measures which is recognized by Chinese rating agencies,and it is found that only the three credit enhancement methods are valid,such as overmortgage,wrapped securities and basic asset mortgage,and the validity of other credit enhancement methods is debatable.The third part consists of the third chapter.The third chapter analyzes the current situation of Chinese asset-backed securitization market and credit rating market.From the distribution of credit rating,the total issuance of asset-backed securities rated above AA was between 94.68%and 99.38%from 2012 to 2017.The result shows that the asset-backed securitization market has a high rating on underlying assets.It is also concluded that credit enhancement measures are considered to be effective by rating agencies in China.Secondly,in order to test whether the high credit rating obtained by the existing rating method matches the asset-backed securities,this paper used 404 samples to do analysis of variance.The 404 samples are made up of bank credit asset-backed securities and corporate asset-backed securities that are less than a year old from March 18,2017 to March 18,2018.Finally,this paper obtain the overall credit rating has a significant influence on the average interest rate spreads,but there was no significant difference of the average interest spread between AAA grade and AAA+ grade.The fourth part consists of chapter four,chapter five and chapter six,which is the main part of this paper.The fourth chapter discusses the reasons why TBCI is applicable to the credit rating of asset-backed securitization.According to the particularity of asset-backed securitization,this paper assigns minor modifications to TBCI 10 points of evaluation index in the fifth chapter.Chapter six is a case study based on the rating index of chapter five.After using TBCI to obtain the rating results,the ratings were compared with those of the rating agencies.Finally,this paper also analyzes the causes of the large gap between this two results.At the same time,this paper adopts three research methods:theoretical research,quantitative analysis and case analysis,and tries to obtain logical and rigorous scientific research papers.