Analysis Of Determinants On Issue Spreads Of Corporate Asset Securitization

In recent years,China’s corporate asset securitization market has developed rapidly,and has now become the largest category in the domestic asset securitization market,accounting for 47% by the end of 2019,and the issuing scale is as high as 1.11 trillion yuan.Difficulty and expensive financing of enterprises are currently prominent issues in China.By issuing corporate ABS products,enterprises can fully mobilize their own assets,improve capital efficiency,and open new financing channels.Corporate asset securitization reflects the real meaning of financial services for the real economy,and its development potential is huge under the background of policy support and investment growth.However,China’s corporate asset securitization is still in the early stages of development,the relevant laws and regulations are lacking,the credit rating system is not perfect,and the secondary market is not sufficiently liquid.At the same time,at present,China’s enterprise asset securitization has not formed a unified and clear pricing mechanism,and product pricing lacks a theoretical research basis.At present,domestic research on corporate asset securitization is mostly about operational process introduction,case analysis,risk disclosure,and policy advice,etc.There are few literatures on the factors influencing the interest margin of asset securitization.In this paper,1347 asset securitization products issued in China from 2012 to 2019 are used as samples to establish a multiple regression model.Take the product issue spread as the explanatory variable,the sponsor’s corporate nature,asset-liability ratio,total operating income,and industry type as the main explanatory variables.Product factors are included as control variables in the model.In order to alleviate the potential endogenous problems,this paper uses one-stage lagged corporate nature and financial factor variables for empirical analysis.In addition,the issuer is classified according to the nature of the enterprise,the operating income and the industry type.The empirical test of the factors affecting the spread of product issuance is further conducted for the group of companies.Through empirical research,this paper finds that: 1.In terms of corporate factors,the nature of the corporate entity and the industry coefficient are significantly negative,that is,the higher the nationalization degree of the sponsor in the last period,the lower the issue interest margin in the current period,and the issuing cost of financial institutions will be lower than that of non-financial institutions.The scale factor of the entity’s operating income is significantly negative,and the asset-liability ratio coefficient is significantly positive.2.In terms of product factors,internal credit enhancement,the number of lead underwriters and the duration of the product have a significant positive impact on the issue spread;credit ratings and the amount of products issued have a significant negative impact on the issue spread.3.The overall situation of the issue spread is different among the enterprise groups classified according to the nature of the enterprise,the operating income,and the industry type.The degree of integration and the significance of the coefficients are also different,indicating that the heterogeneity of enterprises will affect the pricing mechanism of securitized products,and the issue spread of different types of corporate groups is affected by various risk factors.Finally,this article proposes the following suggestions for the current domestic ABS market problems and empirical test results: companies need to optimize their product structure and their own qualifications;relevant departments should address pricing issues for different business groups,and improve the relevant ABS laws and regulations as well as credit Mechanism;the corporate ABS market needs to focus on improving the liquidity of the secondary market and establishing a sound pricing mechanism.