Research On The Design And Pricing Of Securitization Products Of The Guarantee Payable Of The Micro-credit Company

The birth of the micro-credit company is one of the breakthrough in the reform of Chinese monetary system, and it has also become all but new emerging financial form for the purpose of perfecting inclusive financial system and adapting to the strong demand of economic development. Its foundation and development does provide more convenient loans and other financial services for the low income groups and small and micro businesses, and can improve the efficiency of private capital. However, during the process of its development, it also has met the trouble of financing plight, so it is necessary to broaden its financing channels. The first batch of the right of return on assets of the micro-credit company were sold in Chongqing financial assets exchange on July 19,2011,and absolutely it opened up a new financing channel for the micro-credit company and also created a new era of financial innovation for the micro-credit company. So it is of great significance for the micro-credit company to carry out the securitization of guarantee payable in this context. The micro-credit company has a large amount of guarantee payable with no liquidity obtained from the discount and rediscount, and it can’t get the liquidity immediately by the traditional financing means. Because of the liquidity preference and the needs of improving the financial situation, the micro-credit company has the motivation of revitalizing the guarantee assets and enhancing its liquidity, obviously the securitization of guarantee payable provides such a way for the micro-credit company. Via the true sale of assets of the securitization, the micro-credit company sells the guarantee payable to SPV to gain the liquidity. In sum, from the perspective of studying of the theory of the asset securitization, improving of the micro-credit company’s liquidity, revitalizing the assets and reducing the risk of the reality, the research on securitization of guarantee payable has the profound significance for the securitization of further research and financial innovation. Based on the existing research, this paper researches the design and pricing of the securitization products of the guarantee payable of the micro-credit company.Firstly, this paper analyzes the asset attributes of the guarantee payable, the necessity and feasibility of the securitization, and studies the design and pricing of the securitization products of the guarantee payable of the micro-credit company. The result of the research shows that, (1) For the trouble of financing predicament and the need of risk management, the micro-credit company has the motivation of obtaining liquidity in advance and peeling of risky assets through the securitization of the guarantee payable. (2) The low risk of the assets of the guarantee payable, investors’ diversified demand for financial products, the policy environment of encouraging asset securitization and many financial innovation cases of short term products in small loan company, they provided the feasibility of securitization of the guarantee payment for the micro-credit company. (3) By the term splicing of the guarantee payable, it can construct a long period of cash How to solve the deadline matching problem between the guarantee payable cash flow and the securities’ cash flow. And we can also make use of the feature of the short-term of the guarantee payable to realize several issues in a certain period of time.Secondly, based on the perspective of issuers, this paper uses the theory of the cumulative prospect utility to do some research on pricing the securitization of the guarantee payable of the micro-credit company. It shows that the first-order condition of the the utility maximization of the issuer is only related to the share coefficient in the net income model, and that any one of the share coefficients corresponds to only one optimal price. It can be observed from the simulation results that with the increase of share coefficient, the issuer’s net profit rises after the first drop, and the variation tendency of the amount issued become similar to the issue price; the amount issued shows the increasing tendency and convex to the vertical axis.Finally, from the perspective of investors, this paper uses the theory of cumulative prospect utility to study the pricing of the securitization of the guarantee payable of the micro-credit company. Being different from the optimal pricing model basing on the perspective of the issuers, based on the perspective of investor, the first-order condition of the utility maximization of the investors is expressed as the function of the sharing coefficient, and is only related to Weibull distribution, the investor’s risk appetite, the loss aversion parameters. That is to say, the condition of the utility maximization for any type of the investors is the only one, determined by the sharing coefficient, and has nothing to do with the profit function. Similarly, the optimal price based on the perspective of the investors corresponds to an interval, i.e., different amounts issued determine the only best price. It can be known that the share coefficient of investors is determined by market random disturbance item and risk attitude attributes, when we put the letter of guarantee securitized assets optimal pricing model from the two perspectives. So issuers determine the amount of a unique offering. Now under the two perspectives of the optimal set of pricing compared with a little bit, sharing coefficient and the issued amount is determined by investors and issuers, respectively.In short, this paper studies the securitization of the guarantee payable of the micro-credit company, compensates the securitization pricing theory of short term asset. It not only has important theoretical and academic value, but also provides practice guidance for implementing the securitization of the guarantee payable for the micro-credit company.