| After 2015,the government's supply-side structural reform officially proposed that de-leveraging has become the primary task of the financial market.In this context,the asset securitization business has experienced rapid development with its unique advantages of reducing financing costs and revitalizing existing assets,and the scale of distribution and product types are increasing.With the gradual liberalization of asset securitization in China's real estate sector,commercial real estate mortgage-backed securities as an innovative financial product fits well with the financing needs of real estate companies.Commercial real estate usually has a large investment scale and a long payback period.Real estate companies face high liquidity risks in the investment process.Supporting securities through commercial real estate mortgage loans can effectively revitalize the stock of commercial real estate,broaden the financing channels of enterprises,and provide new ways for the majority of real estate enterprises to reduce leverage.As China's commercial real estate mortgage loan support securities market is still in the exploratory stage,the entire market pricing mechanism is not perfect.Commercial real estate mortgage-backed securities,due to the complexity of their own trading structure,are not only affected by macro market conditions,securities ratings,etc.,but also by their own structural characteristics and the quality of their underlying assets.Therefore,based on the analysis of the above-mentioned influencing factors,this paper explores the relevant factors that may affect the issuance rate of commercial real estate mortgage-backed securities,and quantitatively analyzes its impact on the issue spread by establishing a multiple regression model.The first part of this paper briefly reviews the domestic and international research status of asset securitization and commercial real estate mortgage-backed securities.Domestic research on commercial real estate mortgage-backed securities mostly focuses on theoretical research,and pricing research is relatively small.The pricing of commercial real estate mortgage-backed securities is still in the stage of pricing theory analysis and model exploration.On this basis,this paper expounds the practical significance of studying the spread of commercial real estate mortgage-backed securities,and proposes the research framework and research methods.At the end of this chapter,the innovations and shortcomings of this paper are summarized.The second part of this paper focuses on the basic theory of asset securitization,and explains the difference between asset securities products and traditional debt financing methods from three aspects: priority/secondary stratification,SPV structure and credit enhancement measures.Then compare the main characteristics of China's three asset securitization products,and introduce their current development status in detail.The third part of this paper analyzes commercial real estate mortgage-backed securities.From the development history of commercial real estate mortgage-backed securities in China,the development path of commercial real estate mortgage-backed securities in China is basically consistent with the related products of enterprise asset securitization.After the successful launch of the first single in 2016,there was an explosive growth.Since commercial real estate mortgage-backed securities usually involve different underlying property assets,generally including office buildings,shopping malls,hotels,apartments,etc.,there is a certain difference in the cash flow corresponding to each underlying asset,Therefore,it is necessary to consider the difference between different basic assets when analyzing the spread of commercial real estate mortgage-backed securities.Subsequently,this paper describes the three transaction structures of commercial real estate mortgage-backed securities,and on this basis analyzes the risks of commercial real estate mortgage-backed securities.The fourth part of this paper first analyzes the factors affecting the spread of commercial real estate mortgage-backed securities,and on the basis of this,combines regression analysis to analyze its impact on the spread.In the selection of sample data,this paper selects 51 commercial real estate mortgage-backed securities issued during the three years from 2016 to 2018,a total of 124 samples after eliminating the secondary.The issuance spread is obtained by the difference between the issuance rate of commercial real estate mortgage-backed securities and the interest rate of the same-term government bonds.Taking the priority coverage multiple,internal credit enhancement,basic asset type and credit rating as explanatory variables,the issue period,the issuance scale,the repayment method,the non-financial corporate debt financing guidance interest rate,the issuer's asset size as the control variable for multiple linear regression.From the regression results,credit rating,priority coverage ratio,internal credit enhancement,and basic asset types have strong explanations for the issue spread of commercial real estate mortgage-backed securities.When making investment decisions,investors pay attention not only to the securities rating,but also to the characteristics of the securities structure and the characteristics of the underlying assets.Securities with different ratings and different underlying property assets are also sensitive to these variables.Finally,the results of empirical analysis are summarized,and on this basis,several suggestions are put forward for China's commercial real estate mortgage loan support securities market.This paper studies the principle and pricing method of commercial real estate mortgage-backed securities,and on the basis of this,analyzes the influencing factors of the spread of commercial real estate mortgage-backed securities by regression analysis,which has certain theoretical and academic value.The development of China's commercial real estate mortgage loan support securities market has certain practical reference significanc. |
PDF Full Text Request