Research on the Pricing of Green Asset Securitization: A case Study of “Yingfeng 2024-1 ABS”

Abstract

To address global environmental challenges, green finance has embraced green asset securitization (Green ABS) as an innovative tool, reducing corporate financing costs and meeting investors’ risk diversification needs. However, current Green ABS pricing largely relies on traditional securitization frameworks, failing to fully leverage green attributes and undermining product competitiveness. Using the “Yingfeng 2024-1 Asset-Backed Securities” as an empirical case, this paper analyzes Green ABS pricing models, summarizes existing research, identifies systemic deficiencies, and proposes a comprehensive pricing structure. Integrating the CIR model, option-adjusted spread, and Monte Carlo simulation for interest rate forecasting, coupled with multiple linear regression for issuing spread assessment, the model derives discount rates and theoretical valuations. Analysis of the “Yingfeng 2024” project—covering asset composition, cash flow projections, and rate simulations—yields a theoretical value of 2.095 billion yuan, marginally higher than the actual issuance price. Finally, measures to optimize information disclosure, standardize third-party certification, and promote green investment are proposed to support stable market growth and rational pricing for issuers and investors.