中国企业资产证券化投资定价方法探讨与实践

Discussion and Practice on Pricing Method of China's Enterprise Assets Securitization

风险识别与估值定价是金融机构开展资产证券化投资业务的核心能力。在国外成熟的ABS市场中,主流的ABS定价方法均遵循基础资产现金流折现的基本思路。然而,由于我国ABS市场信息披露不完善、历史数据不完整、二级市场不活跃等原因,一方面很难准确预测ABS产品的现金流,另一方面无ABS收益率曲线作为折现因子,并不具备使用成熟市场定价方法的市场条件。本文尝试探讨了在中国当前企业ABS市场条件下的两种可行定价方法:信用债利差加点定价、多因子信用利差回归模型定价,并分别使用这两种方法作了具体应用举例,验证了这两种方法的可行性,进而提出了这两种方法存在的问题与改进方向。对这一问题的研究,不论对ABS的发行人、承销机构抑或投资者,均具有重要的现实意义。

Risk identification and pricing is the core competence of financial institutions to carry out asset securitization.In the mature ABS market abroad,mainstream ABS pricing methods follow the common practice of discounting cash flow of basic assets.However,due to the imperfect disclosure of ABS market information,incomplete historical data,inactive secondary market and other reasons,on the one hand,it is difficult to accurately predict the cash flow of ABS products,on the other hand,there is no ABS yield curve as a discount factor.In addition,there is no ready market to use mature market pricing methods.This paper attempts to discuss two feasible pricing methods under the current ABS market conditions of Chinese enterprises:credit spreads plus point pricing and multi-factor credit spreads regression model pricing.These two methods are used separately to make specific application examples to verify the feasibility of the two methods.Existing problems are pointed out and improvement measures are put forward.The research on this issue is of great practical significance to the issuer,underwriter or investor of ABS.