Structure Modeling And Pricing For Microloans Securitization

Since domestic microfinance companies growing rapidly in recent years, itplays a more and more important role for SME(small and medium-sized enterprise)financing. However, under the restrictions of external financing does not exceed50%of net capital constraints and the status of bank credit crunch, inadequatecapital has become a key barrier for sustainable development of microfinancecompanies. The success of Alibaba small credit asset securitization regenerate theali small financial credit assets, and more important provides a good way forsolving the microfinance company capital plight. But on the other hand, there aremany differences between ordinary offline microfinance and ali small loancompanies on the risk control、 customer group、the size of the loan、operationmode and so on. Alibaba small credit asset securitization model is hard to bereplication.Therefore, this article first analyzes the deal structure and operation mode ofOrient securities-Alibaba No.1SAMP(special asset management plan). Itapproves the innovation of the plan and also points out that it can be improvedfurther. Then it analyzes the the characteristics of credit assets and in terest ratestructure of small loan companies. On the basis of last step this article designedthe realization approach and specific transation structure of small loan companies’asset securitization. It describes the typical risks as well.Since pricing plays the core role in the distribution and transaction, thisarticle carried out the preliminary pricing research of the microfinanceasset-backed securities based on option-adjusted spreads method. After thedetailed analysis of the influence of the credit default risk and prepayment risk onmicrofinance asset-backed securities, it analyzes the pricing of Orient securities-Alibaba No.1SAMP asset-backed securities empirically by Monte-CarloSimulation method.