The Study On Asset Securitization Pricing Of Long-rent Apartments

With the development of urbanization in China,the demand for housing rental market is growing rapidly.At the same time,since 2015,the release of a series of policies also shows that the government attaches great importance to the housing rental market.Driven by market demand and policy,the long-Rent apartment market in China has witnessed an explosive development.However,in the process of expanding the market scale of long-Rent apartments,some management problems of long-Rent apartments have gradually emerged.As a real estate,housing has high acquisition cost.Under the fierce market competition,long-Rent apartment enterprises are facing many difficulties,such as large capital gap,long payback period of rent income and narrow financing channels.Therefore,long-Rent apartment enterprises urgently need to find their own financing channels,improve the efficiency of financing in order to achieve better operational benefits.the financing efficiency of traditional financing channels is below ground.In this case,asset securitization has become a new financing method for many long rental apartments.The reason is that asset securitization can help long-term rental apartment enterprises to activate their own stock assets,quickly withdraw funds,and improve the turnover rate of funds.With more and more long-Rent apartment enterprises issuing asset-backed securities,how to reasonably estimate the theoretical price of such securities has become an increasingly prominent issue.Based on the operating characteristics of long-Rent apartments,this type of assetbacked securities generally has the basic characteristics of decentralized underlying assets,short issuance period,asset pool cycle purchase and dual SPV structure.In addition,there are prevalent risk characteristics in cash flow,such as early repayment risk,default risk and interest rate term structure risk.These basic characteristics and risk characteristics make the traditional comparable pricing method and static cash flow discount method no longer applicable to the study of the theoretical price of asset-backed securities in long-Rent apartments.It is necessary to find other methods to reasonably estimate the theoretical price of such securities.After reviewing the literature and theoretical research,it is found that the option-adjusted spreads method based on Monte Carlo simulation is suitable for the theoretical price study of asset securitization products in long-Rent apartments.In order to verify the theoretical results,this paper takes the asset-backed securities of the freely rented apartment as an empirical study.Firstly,CPR,SMM and CIR models are used to simulate the premature repayment rate,default rate and term structure of interest rate of the asset-backed securities.Then calculate the theoretical price of the securities through the predicted cash flow and the estimated OAS discount factor.The results show that the price of securities obtained by this method is less than 0.2% different from the actual price of securities.Therefore,this paper draws the following conclusions: Firstly,the general static cash flow discount method and the static spreads method are difficult to determine the price of such asset-backed securities reasonably.Secondly,the option-adjusted spreads method can comprehensively consider the term structure of interest rate,the implied options of creditor's rights and cash flow of basic assets,so it is more suitable for the pricing of asset-backed securities in long-Rent apartments.Thirdly,under the stratified design of structured credit,the price of asset-backed securities in long-Rent apartments estimated by option-adjusted spread method is fairly stable,and can withstand to a large extent the impact of the reduction of cash flow of basic assets caused by the rise of default rate on the price of priority securities.Based on the above conclusions,it is suggested to further improve the pricing methods of asset-backed securities in long-Rent apartments from the aspects of checking underlying assets strickly,improving the pricing basis,strengthening information disclosure and diversified pricing methods,so as to make the pricing results of such securities more reasonable.