The Research On Commercial SMA's Debt Securitization Model

Asset securitization is one of the best financial derivatives, although it was doubted by specialist and other people at the premier time in the cirsis.As the time passed by, it drew the attention of investor again by the end of financial crisis.The People's Bank of China with supervisory board made a public announcement that restartment of securization would come nearby once when we stepped into 2009.In August 2011, the State Council gave permission to the third round of securitization which placed much emphasis on small and medium enterprise.This paper shows the research on the design of securitization of SME debt.First, this paper makes the comparison between china and overseas on the basis of the development of securitization.And then it brings a conclusion that there are some questions on the scale,technology and the system of law in the procession of SME securitization.Second, this paper analyses the feasibility and meaning of SME debt securization.It points that the large scale of SME debt,the more mature capital market and fruitful cases of securization practice home and abroad give advantageous to the SME debt securization.And the implementation of SME debt securitization can release the presser on SME fund-raising.It also can make benefit to the commercial bank's moderate management.Third, this paper designs the model of SME debt securitization of commercial on the shoulder of four parts which include basic assets,SPV,credit enhancement and pricing.It introduces the cases of SME debt securitization in America,Germany and Spain.The most importmant thing is that this paper discusses the ZheYuan 2008-1 procuct.It evaluates the value of the three kinds of SME debt securization by the method of Internal Rate of Return (IRR).Fourth, this paper analyses the obstacles in the processing of SME debt securitization which inclued the less interaction between commercial banks and SME,the unreality of true selling,the backward development of credit enhancement and the imperfections of supervision system.At last, this paper shows the solutions to sweep the obstacles in the process of SME debt securitization. The main innovation of this essay lies in two parts.First, it introduce the first and only case of SME debt securitization and makes comprison between demand deposit of one year and treasury bills.It concluds that the yield rate of SME debt securitization is far high than the yield of demand deposit in one and treasury bills.It alse points that if we put the new project of SME debt securitization into practice we will at a profit in the end.Second, this essay improves and perfect the pricing model.There are two sitution when we price the procuct of securitization.One is that when the debt is used to the construct of physical assets,we have to use the NPV model or Simplification model.When the debt is used to R & D of intangile assets,we have to use the OAS model.When we use the OAS model we also have to consider the adjustment.We must separate the debt into two parts:initial investment and follow-up cost.The implementation of SME debt securitization in a proper time when the third round of securitization begins, when the SME are in a financial dilemmas, when the commercial banks faces a rigor regulation.Although this essay has many imperfection, it also expect to draw the attention of specialist and economist and give valuable research on SME debt securitization.