An Study Of The Issue Spread Of Credit Asset-Back Security Issued By Chinese Bank

Since the formal restart of credit asset securitization in 2012,the issuance scale of credit asset securitization products in China has exceeded trillion yuan and become one of the most active products in the financial market.The rapid development of credit asset securitization is of great significance to revitalizing the stock assets,improving the capital adequacy ratio,increasing the income of intermediary business,improving the structure of assets and liabilities,and promoting the rapid transformation of banks.The pricing of credit asset securitization products is the link between market and assets,and the key to the issuance of credit asset securitization products.With the increasing number of credit asset securitization products issued in China,its importance has gradually become prominent.The spread of issuing interest rate of credit asset securitization products is the premium part of issuing interest rate compared with risk-free interest rate.It is the risk compensation that investors of credit asset securitization products bear.It can eliminate the influence of macro factors and reflect the difference between credit asset securitization products more effectively.The research on the spread of credit asset securitization issuance is of great significance for optimizing the pricing system of credit asset securitization products and promoting the healthy development of credit asset securitization market.However,what are the factors that affect the spread of Credit Asset Securitization Product issuance? What are the effects of these factors on the spreads of issuance of credit asset securitized products? What are the differences in the impacts of different types of Credit Asset Securitization Product issuance spreads? In this context,this paper is particularly important to study the influencing factors of interest margin in the issuance of credit asset securitization products in China.Firstly,this paper theoretically introduces the concept,operation process,basic principle and pricing model of credit asset securitization.Secondly,after describing the issuance of credit asset securitization products in China,the pricing method of credit asset securitization products in China is elaborated,and the main factors affecting the spread of credit asset securitization products issuance are credit rating,priority and duration according to relevant theories.Thirdly,through the establishment of multiple linear regression model,this paper takes the credit asset securitization products issued by banks in China from 2012 to 2018 as samples to study the impact of the above factors on the spread of issuance.On this basis,the samples are further classified by sponsor type,interest rate type and AAA rating.The results show that:(1)Credit rating,priority and duration are the factors affecting the spread of issuance of credit asset securitization products in China,and they are negatively correlated with the spread of issuance.In addition,investors also pay attention to the total amount,stratified amount,stratified number,principal underwriters,interest rate type and other product characteristics when determining the spread of Credit Asset Securitization Product issuance.The above factors have different impacts on the spread of issuance among different types of sponsors,interest rate types,AAA-level and non-AAA-level credit asset securitization products.(2)Although credit rating is the result of comprehensive consideration of the characteristics of credit asset securitization products,investors will consider other factors as the analysis index of the spread of credit asset securitization products.(3)China's credit asset securitization products in the actual issuance pricing can not fully achieve the main isolation.Investors have higher requirements for credit asset securitization products issued by non-state-owned banks,while state-owned banks often enjoy lower requirements for products when issuing credit asset securitization products,thus having lower financing costs.Finally,according to the conclusion of the study,this paper puts forward corresponding suggestions from four aspects: establishing and perfecting supporting laws and regulations,speeding up the construction of pricing system,improving credit rating ability and enriching the investor group.