Research On The Risk And Pricing Of Asset Securitization In Long-Rent Apartments

Asset securitization is the process of issuing asset-backed securities,in which future cash flows generated by basic assets are used as reimbursement support,and certain structural design and credit enhancement methods are adopted.It can make the future assets of enterprises realize ahead of time,increase the liquidity of assets and reduce the financing cost.Since the pilot project of asset securitization was launched in 2005,China has experienced setbacks along the way,but it has never stopped developing.The products are more and more abundant,the issuance scale is larger and larger,the relevant laws and regulations are constantly improved,and the process is further simplified.China's long-Rent apartment market has entered a rapid development stage,but it is facing a series of problems,such as large investment,slow capital turnover,difficult financing,expensive financing,etc.Combining asset securitization and long-Rent apartment business can alleviate the financing difficulties of enterprises,reduce financing costs and enhance profit margins."Mofang Apartment Trust Benefit Asset Support Plan" is the first single asset securitization product of long-term rental apartment enterprises in China.By studying this case,this paper analyses the transaction structure model,risk factors,pricing methods,and summarizes the experience and shortcomings,which has a long-term significance for the future long-term rental apartments to use securitization financing.This paper first introduces the current situation of asset securitization and longRent apartment development in China.Although it develops rapidly,it is still restricted by relevant policies,market conditions and historical experience.Then it analyses the latest research progress of asset securitization,focusing on risk and pricing.Through reviewing the existing literature,it clarifies the research direction.Then,it studies the operation process and pricing model of asset securitization,as well as the current financing situation of long-Rent apartments,and analyses the feasibility and necessity of long-Rent apartment securitization.Finally,the case of Mofang apartment asset securitization is analyzed,which is divided into three parts: Firstly,the choice of basic assets,SPV construction and credit enhancement methods,mainly from the structural aspect;Secondly,the risk assessment of the case is carried out by using the analytic hierarchy process,the main risks faced by the special plan are summarized,and the corresponding risk control measures are put forward;Thirdly,the pricing of products is carried out.The paper explores the main factors affecting prices and traditional pricing methods.After in-depth study of the case,this paper only chooses the static spread method which is more suitable for the case.Simplified: discount rate = benchmark interest rate + spreads,constructs a CIR model to simulate the term structure of the benchmark interest rate.In the static spreads method,the spreads between AAA bonds and treasury bonds are selected as the static spreads.Interest spreads,the study found that the pricing results are higher than the size of the issuance,summarized the reasons and put forward relevant suggestions,to promote the development of asset securitization of rental apartments.