Research On Credit Enhancement Mechanism Of Receivables Related To Home Loan ABS

This paper focuses on the sub-sector of enterprise asset securitization,which uses the receivables related to home loan as underlying assets to issue ABS.By using the combination of multivariable linear regression model analysis and case analysis to obtain the impact of different credit enhancement measures on the issuance interest rate,and to explore the benefits of the credit enhancement of receivables related to home loan ABS.First of all,on the basis of in-depth study of the asset securitization and credit enhancement mechanism,the theoretical research on the credit enhancement of receivables related to home loan ABS is carried out,which lays a theoretical foundation for the research of the thesis.Secondly,combined with the specific practice projects that have been issued in the market,the basic principles,necessity and trigger mechanism of the credit enhancement mechanism of receivables related to home loan ABS are studied.Based on the studies,the characteristics are summarized,which put forward the demand for multivariable linear regression model analysis and cost-benefit analysis in the following paper.And then,by collecting and sorting out the key variables such as the issuance interest rate,the priority/secondary asset-backed securities,the excess cash flow coverage ratio,and the distribution characteristics of the underlying assets,the multivariable linear regression model is constructed to obtain the impact of different credit enhancement measures on the issuance interest rate of ABS products.Next,taking the R Group's receivables related to home loan ABS as a representative case to analyze both the credit quality of underlying assets and the characteristics,functions and trigger mechanism of credit enhancement measures adopted in the case.Through the cost benefit analysis on the credit enhancement measures of the case,a quantitative analysis on the benefits of the credit enhancement mechanism design is processed.Finally,summarize conclusions,and make the corresponding suggestions.The main conclusions of this paper are as follows:(1)The information asymmetry between originators and securities investors can be reduced by a reasonable credit enhancement mechanism,which makes securities investors believe that the project is of high quality and promotes the successful issuance of the project;(2)The system arrangement of the credit enhancement mechanism can reduce the transaction cost,and the savings of the financing cost before and after the credit enhancement is the benefits of credit enhancement;(3)The difference between the credit enhancement income and the credit enhancement cost reflects that the project credit enhancement benefits is remarkable.In this paper,through credit enhancement mechanism and the benefits of credit enhancement,the research on credit enhancement mechanism of receivables related tohome loan ABS is deeply explored.The results of paper's research aims to help real estate enterprises with strong financing needs to successfully issue the receivables related to home loan ABS with reasonable credit enhancement mechanism to meet their financing needs.