Research On The Asset Securitization Of Consumer Finance

In recent years,it has been witnessed that the asset securitization of consumer finance has been growing rapidly.Due to the characteristics of large number,small amount,short period and no mortgage guarantee,there is significant differences in the securitization of consumer finance compared to products such as traditional mortgage-backed,in terms of transaction structure,risk characteristics and pricing methods.Initially,the transaction structure of the asset securitization of consumer finance is examined,followed by the analysis of its risk characteristics and risk control methods.Lastly,the discussion of pricing methods is elaborated,leading to an in-depth and systematic research on the asset securitization of consumer finance.This thesis firstly discusses the concept and classification of asset securitization,and reviews its historic development and operating principles in both domestic and international contexts.Then it summarizes the practice of China's asset securitization of consumer finance,discussing the differences between the asset securitization of consumer finance and other types of asset securitization with regards to the transaction structure and operation process.Moreover,a case analysis of "Hexiang 2018 Phase I Personal Consumer Loan Asset-backed Securities”is conducted in the research.Based on the general asset securitization risk,this thesis introduces the special risks of asset securitization of consumer finance,as well as relevant risk control measures,including various quantitative indicators for monitoring in the entire asset securitization process:weighted average rating factor for risk control of asset pool,average coupon test,concentration test;over-guarantee test and interest coverage test for risk control of security layer structure.The pricing of consumer financial asset-backed securities is the focus and difficulty of the entire study.It mainly considers the risk of default by consumers and the risk of early repayment.This thesis reviews the main pricing methods for asset-backed securities:Static Cash Flow Yield(SCFY)and Option Adjusted Spread(OAS);and sets the appropriate early compensation model and default model based actual situations.An empirical study on "Hexiang 2018 Phase I Personal Consumer Loan Asset-backed Securities”has been conducted.