An Empirical Study On The Relationship Between The Credit Rating Of Asset Securitization And The Issuing Spreads

The credit rating of Asset Securitization is a branch of the credit rating of bond.With the development of financial markets,increasingly rich varieties and more perfect functions,the fixed-income markets of our country obtained the rapid development.Asset securitization products as the innovation of the financial market is becoming more and more active,because of its complex structure and dispersed risk that many participants to make.The credit rating agencies play an irreplaceable role in the process of asset securitization through hierarchical structured design of asset package and pricing techniques.Credit rating can alleviate the information asymmetry in the financing of asset securitization.It not only reveals risks for investors,but also helps issuers to expand financing channels and reduce financing costs.Moreover,credit rating can help government departments to strengthen market supervision andprevent financial risks.This paper analyzes the relationship between credit rating and the issuancespread of asset securitization products to measure the impact of credit rating on the issuance cost of asset securitization products.In the literature review section,the research results of asset securitization,credit rating and the relationship between credit rating of asset securitization and credit spread are analyzed and summarized.In the theoretical part,the theoretical basis of the empirical is elaborated.In the overview part,this paper introduces the historical process of the development of asset securitization in China and the current product structure of asset securitization.In the part of empirical analysis,Asset securitization products issued between January 2014 and 2018 are selected as samples.The two types of securitization of credit assets including enterprise asset securitization and securitization of credit assets are analyzed respectively.The issue of asset securitization product spreads is used as the explained variable.Credit rating and the other four factors that affect the interest spread are usedas explanatory variables in multivariate linear regression in order to analyze the impact of credit rating on asset securitization products' distribution cost.From the empirical results,it can be seen that the credit rating has a significant impact on the issuing spreads of the securitized products of enterprise asset securitization and securitization of credit assets.The higher the credit rating,the smaller the spread on the issuance of securitized products.Finally,based on the results of theoretical analysis and empirical analysis,the corresponding policy recommendations are proposed.