Research On Green Credit Asset-backed Securitization Pricing ——Taking "Feichi-Jianrong 2019" As An Example

In September 2015,the Political Bureau of the CPC Central Committee issued the Overall Plan for Ecological Civilization System Reform,in which the goal of "building a green financial system" was clearly proposed for the first time,and it was pointed out that financial institutions should be supported to vigorously develop green credit and green credit asset securitization.In September 2020,General Secretary Xi Jinping pointed out at the United Nations General Assembly that China strives to achieve "carbon peak" by 2030 and "carbon neutrality" by 2060.In this context,green finance will play an important role,and vigorously developing green finance has become a policy orientation.In recent years,with the continuous support of the state for the development of green finance,our country has gradually formed a green financial system including green credit,green bonds and other products.At the same time,green credit asset securitization is on the rise.At present,green credit accounts for more than90% of green financing.If green credit is securitized,it will greatly improve asset liquidity and further promote the development of green economy.However,the development of domestic green credit asset-backed securitization is relatively slow,and there is no effective pricing mechanism for green credit asset-backed securities.In this context,it is necessary to establish an accurate and effective pricing mechanism for green credit asset-backed securitization products,so as to promote the development of green finance and green economy.This thesis introduces the pricing characteristics of green credit asset-backed securitization products on the basis of analyzing the current situation of green assetbacked securitization market development,and selecting the representative domestic green credit asset-backed securitization product in recent years--"Feichi-Jianrong 2019 Phase 1 Green Credit Asset-Backed Securities"（hereinafter referred to as "FeichiJianrong 2019"）as a research case.In the process of analysis,this thesis introduces the current main methods and models in product pricing,selecting a reasonable interest rate term structure model to fit forward interest rates.And then building an option-adjusted spread model.In addition,the default risk,early repayment risk and other risk factors of green projects are incorporated into the pricing model,and the constructed pricing model is used to calculate the theoretical value of "Feichi-Jianrong 2019",analyzing the difference between the theoretical value and the actual issuance scale.At the same time,"Hexin 2019 First Phase of Auto Installment loan Asset-backed Securities"（hereinafter referred to as "Hexin 2019"）is introduced as a reference,and the reasons for the differences in pricing errors of the two securities are explored by analyzing the differences between the two securities in the basic information of products,basic assets and risk prevention measures.This makes the theoretical value of "Feichi-Jianrong2019" calculated more convincing,and further verifies the validity of the pricing model constructed in this thesis.There are three main conclusions in the thesis: Firstly,the option-adjusted spread method is applicable to the pricing practice of green credit asset-backed securitization products;Secondly,the theoretical value of "Feichi-Jianrong 2019" and "Hexin 2019" is higher than the actual issuance scale;Thirdly,"Hexin 2019" has a larger discount issuance scale than "Feichi-Jianrong 2019",the reason is that "Feichi-Jianrong 2019" has a variety of credit enhancement methods.On the basis of the research conclusions,this thesis puts forward the following policy suggestions: Firstly,the pricing basis of green credit asset-backed securitization market should be improved,and a green loan information database should be established;Secondly,Green credit asset-backed securities can reduce securities risks by setting up diversified credit enhancement methods;Thirdly,Improving the pricing method of green credit asset-backed securities and improving the accuracy of product pricing.