Research On The Pricing Of Auto Loan Securitization In China

The popularity of car travel makes car companies set up their own car finance company,with commercial banks to serve customers in their demand of auto loans.Most auto loans have small amount and short maturity,so commercial banks and auto finance companies have to prepare sufficient short-term liquidity resulting in financing needs.In recent years,China's auto loan securitization has gradually emerged.As a tool of financial innovation,it has played a role in resolving credit risk and financing problems for China's auto loan sponsors.In 2008,SAIC General Motors Finance Co.,Ltd.issued the first "China Tong Yuan One 2008" personal auto mortgage asset-backed security.Auto loan securitization market experienced a prosperity period from 2012 to present.Promoters issued 46 auto loan asset-backed securities in the last 5 years,mainly by car finance companies.However,domestic car finance companies' financing channels are limited to commercial bank loans and funding from their parent companies,with high cost and lots of restrictions.Securitization is an important supplement.With the increasing income of residents and the gradual growth of the auto consumption market,auto loan securitization will play an important role in auto finance in the future.In the process of securitization,pricing is an important part that impacts issuance and future transactions of securities.Based on the existing researches,China's auto loan securitization pricing process and pricing methods are discussed here.Firstly,the definition and classification of auto loan and auto loan asset-backed securities are sorted out,clarifying this paper's object.According to the basic principles of asset reorganization,combined with the examples of securitization issued in China and relevant policy documents,the principles and basic steps of auto loan securitization are summarized.The focus is how to choose appropriate basic assets to form asset pool,establishing special purpose institutions to achieve bankruptcy segregation,setting up reliable enhancement measures to improve the credit rating of securities and determining reasonable price to complete the financing.Considering the characteristics of China's national conditions and that of auto loans,a general pricing model of auto loan securitization is established.Cash flow of each period is uncertain due to the existence of early repayment behavior and default behavior.The cash flow amount is calculated according to historical data of different cases.Secondly,"China Driver One car mortgage-backed securities" issued by Volkswagen Finance(China)Co.,Ltd.in 2014 is analyzed as a case in the article.Empirical research methods is used to obtain the relationship between market lending rates,capital gains,residents income,second-hand car transaction price and prepayment rate,default rate and default recovery rate.Finally,using the Monte Carlo simulation method,according to the general pricing model and the estimated parameters,each term cash flow is obtained and the spread value of "China Driver One" is also gotten with Simple Method and Option Adjustment Spreads Method.The Monte Carlo simulation is used to improve the accuracy of pricing results.Compared with the Static Spread Method,the Monte-Carlo method simulates the cash flow more in line with the actual cash flow,and the final result of the interest rate is also closer to the real value,but limited to the shorter data period,the gap between the two is not obvious.In short,this paper studies the steps and pricing method of automobile loan securitization.It has theoretical and academic value to a certain degree,and also has practical reference to the implementation of China's auto loan securitization.