The Pricing Of Lease Asset-backed Securities In China

Financial leasing originated from the United States,while China’s financial leasing industry started relatively late,and the first financial leasing enterprise established in the 1980 s.After “Administration of Financial Leasing Companies” published in 2007,the financial leasing industry has experienced exponential growth and development.The financing channels of leasing companies include equity financing and debt financing,and financial leasing companies in China mainly turn to bank credit.However,bank credit cannot meet the huge demand due to the rapid development of the financial leasing industry.Since financing leasing industry is a capital-intensive industry,such a single financing channel,along with the high financing cost,greatly limited the long-term development of the financing leasing companies.With the bloom of asset-backed securitization,leasing companies are able to find a new way of financing and meanwhile reduce financing costs to some extent.Asset-backed securitization is a new method of direct financing in the capital market.It repackages assets with little liquidity but predictable and stable cash flows,and then issues securities based on these underlying assets in the capital markets.Financial leasing companies have a natural advantage for asset-backed securitization since there are a large number of accounts receivable and stable cash flows.The issuance of asset-backed securities provides a new channel to solve the financial dilemma of leasing industry.Lease asset-backed securitization in China has made great progress in 2014,with a total issuance of 518.2 billion yuan by 2019.Utilizing a unique data set provided by CNABS,this paper empirically studies the pricing factors of lease asset-backed securities(ABS)in the primary securitization market in China.The second chapter mainly analyzes the policies and development status of lease asset-backed securitization market in China from multiple perspectives,including issuance amount,issuance price,characteristics of underlying assets pool,credit rating,and other characteristics in detail.The third and fourth chapters analyze the factors affecting the issuance rate of lease ABS from the aspects of underlying assets,securities structure,credit rating,credit enhancement,and etc.,present assumptions,set indicators,and build models.Empirical analysis and conclusions are reported in Chapter 5 and Chapter 6.As for traditional factors,higher credit rating and higher reputation of rating agencies are associated with a lower issuance rate of lease ABS.In addition to conventional factors,this paper mainly focuses on the impact of the diversification level of underlying assets,internal credit enhancement,and external credit enhancement.The empirical results show that increasing the regional diversification level of the asset pool can significantly reduce the issuance spread.After controlling for the type of underlying assets,we find that Chinese investors have certain risk preferences on the underlying asset.In terms of internal credit enhancement,the more internal protection a security receives,the lower the issuance spread is.As for external credit enhancement,the impact of differential payment commitment is ambiguous and insignificant,which maybe because asset-backed securitization in China does not really separate the originator from the asset pool,and over 90% of the differential payment commitment is provided by the originating firms themselves.