Analysis On The Factors Influencing The Pricing Of Chinese Factoring Asset Securitization Products

In 2015,Shanghai Mosan Factoring Company issued China’s first factoring securitization product,it is the beginning of China’s factoring securitization market.Since then,benefiting from the rapid development of China’s commercial factoring industry and the strong financing needs of factoring companies,China’s corporate factoring asset securitization market has achieved rapid development,with the total issuance volume increasing from 1.34 billion yuan in 2015 to 1.17 trillion yuan in 2021,accounting for about 17%of China’s corporate ABS market.However,compared with the rapid growth of market size,there is still a lack of effective pricing mechanism for corporate factoring asset securitization products,and there are also a lot of gaps in the research on product pricing.Therefore,exploring the market conditions and product characteristics of corporate factoring ABS and exploring the factors affecting the spread of the issuance of corporate factoring securitization products can fill the gap in the existing research field in China,and on the other hand,it is of great significance to the healthy and sustainable development of the corporate factoring securitization market in China in the future.In this paper,the policies of commercial factoring industry and corporate factoring securitization market are sorted out and the development status is analyzed.Based on the reference of domestic and foreign literatures,the factors influencing the potential pricing of corporate factoring securitization products are explored.Then,the authoritative data set provided by China Asset Securitization Analysis Network(CNABS)is used to manually extract the required data from 401 underlying documents.Based on the detailed analysis of the characteristics of its issuance spreads,issuance scale,credit rating,interest payment frequency,credit enhancement measures and so on,This paper focuses on the influence of the characteristics of underlying debtors on the spread of corporate factoring asset-backed securities issuance and makes an empirical analysis.It is found in this paper that the characteristics of underlying debtors have a significant impact on the issuance spread of corporate factoring ABS.The stronger the short-term debt paying ability,the stronger the financing ability and the higher the sales profit margin of an enterprise,the lower the issuance spread of factoring ABS.In addition,in the other influence factors,higher credit ratings and servicing frequency is still the important factor to reduce interest spread,but the existence of the internal product credit,factoring in different rating asset-backed securities in the different results,below AAA-rated securities set in the internal mutual help reduce interest spread,in AAA-rated securities has achieved the opposite result,This may be because after the credit rating reaches the highest level,the existence of internal credit enhancement measures sends out an unfavorable signal to investors,indicating that the underlying asset quality of asset securitization products has some deficiency,and it is necessary to increase credit to meet the demand of rating,making investors demand higher risk compensation.