Pricing Analysis Of RMBS In Chinese Primary Market

Asset Backed Securitization is one of the most important innovations in the financial field,among which RMBS is the largest asset category in the world.The issuance of RMBS in China started in 2005 and began to develop again after the 2008 financial crisis.By the end of June 2018,the total issuing volume has reached 502.242 billion yuan.From 2015 to 2017,the year-onyear growth rate of the issuing volume was 281%,304% and 63% respectively,showing a rapid expansion trend.The issuing rate of RMBS reflects the turnover cost of capital via mortgage.Under the background of sustained tighter financial regulation policies,commercial bank faces multiple pressure such as asset optimization on books,reducing risk capital requirement,increasing capital holdings,reducing operating costs,etc.The Analysis of RMBS issuing rate can provide prediction of financing cost through RMBS for commercial banks.Based on the analysis of global RMBS market,especially the structure and the pricing method of primary market in the United States.this paper makes a comparative analysis of the RMBS market in China and conducts an in-depth study on the influencing factors of the RMBS issuing rate in primary market.This paper constructs the RMBS pricing model in primary market in terms of macro factors,securities and assets influencing factors,then tests and analyzes the model.In addition,as the Jianyuan series RMBS issued by the China Construction Bank accounted for nearly half of RMBS issuing volume in China,this paper divided Jianyuan series products and other products into two sub-samples for model verification.This study found that,according to the multiple regression model,the factors of year,AAA rating,inclusion of fixed amortized securities,weighted average life and weighted average loan age had a relatively significant impact on the issuing rate of primary market of RMBS in China.Further research shows that the issuing rate of Jianyuan series products are relatively high and unreasonable.Meanwhile,the explanatory power of pricing model of Jianyuan series products is less than other products,the reason may be Jianyuan series products are more liquid in the secondary market,while the secondary market gives the primary market a negative feedback.