Analysis Of Asset Securitization Pricing

In the 21 st century,China's sustained and stable economic growth has improved the income level and consumption level of residents,and the consumption structure has also achieved transformation and upgrading.In 2019,service consumption accounted for nearly half of China's per capita consumption expenditure,45.49%,1.29 percentage points higher than the previous year [source: 2019 national economic and social development statistical bulletin].The improvement of consumption level has led to the growth of car ownership.By the end of 2019,the total number of car ownership in China is 348 million,including 260 million cars.There are 66 cities with more than one million cars in China.Compared with the rapid growth of car ownership,the construction of new parking lot is relatively lagging behind.It is estimated conservatively that the supply gap of parking spaces in China has exceeded 50 million and is on the rise.Because the construction of parking lot has the characteristics of large amount of capital investment and long period of capital recovery,which leads to low rate of return on capital,it is generally funded by local finance,with little social capital participation,which greatly hinders the construction of parking lot.In order to prevent the gap between supply and demand of parking lot from increasing,it has become a consensus to attract social capital to participate in the construction of parking lot.The key to the success of PPP model is whether it can meet the expectations of social capital for liquidity and yield.The asset securitization of PPP project in parking lot can effectively solve the demand of social capital on liquidity and yield,and it is an effective way to solve the problem of project financing and activate social capital.In 2017,the successful issuance of Huaxia Xingfu Gu'an new urbanization PPP asset-backed notes marked the official entry into the development mode of China's PPP project asset securitization.However,the asset securitization of PPP projects in China started late and is still in the exploration stage.Due to the large demand for new parking lots in China,the asset securitization of PPP parking lot project has great market potential.Due to the short development time of PPP asset securitizationproject in China,there are not many successful parking lot PPP asset securitization projects and lack of targeted pricing research,which further hinders the development process of parking lot PPP asset securitization project.Therefore,it is necessary to carry out targeted research and Exploration on the pricing model of PPP asset securitization project in parking lot.The appropriate pricing model can correctly reflect the product price,balance the interests of both investors and financiers,attract more social capital to participate in the construction of parking lot project,and promote the sustainable and stable development of PPP asset securitization project in parking lot.Static discounted cash flow method,static spread method and option adjusted spread method are the main methods of pricing asset securitization products in the world.China's PPP project asset securitization was officially launched in 2017,and has not yet formed a complete set of systematic and theoretical pricing system,so most of the pricing methods are open market inquiry or bidding.Sichuan investment PPP asset securitization project is the first successful parking lot asset securitization project in China,which has a unique two-tier trading structure.This paper studies the pricing of the special plan of asset support of Sichuan investment PPP project.First,it calculates the expected cash flow of basic assets,then uses the interest rate binomial tree model to simulate the term structure of interest rate in the same period,and constructs the pricing model of option adjusted spread method.Finally,it obtains the theoretical value of the asset-backed securities of Sichuan investment PPP project,and then further combines the theoretical value with the asset-backed securities The actual value of the bonds is analyzed.It is concluded that the issuing price of PPP asset securitization products of Sichuan investment is higher than the theoretical price,and the possible reasons for this conclusion are analyzed.In order to promote the rapid development of PPP asset securitization in China,this paper puts forward some policy suggestions based on the theoretical and case analysis results.