汽車抵押貸款證券之評價分析

Abstract

本研究以汽車抵押貸款證券（auto loan-backed securities）為研究對象，討探此項金融商品的特色，並進行評價分析，以期提供投資人從事投資時之參考。 由於汽車抵押貸款證券具有提前清償穩定、證券平均生命週期短而穩定的特性，因此，本研究採用固定提前清償比率描述借款人的提前清償行為，同時利用BDT模型及Z-spread架構利率路徑，評估評轉付結構、層級轉手結構的汽車抵押貸款證券的價格。 此外，本研究以模型參數之敏感度分析，探討市場環境改變對於汽車抵押貸款證券投資之衝擊；研究結果發現：汽車抵押貸款證券的價格與市場利率呈反向關係；折價發行的價格與提前清償速度呈正向關係，溢價發行的價格與提前清償速度呈反向關係。

This study attempts to provide a more accurate method to evaluate auto loan-backed securities (auto ABS) and to investigate its features as well. In this study, a constant prepayment measure is employed to describe the pattern of auto-loan prepayments due to specific characteristics of stable prepayment and short average-life of instruments. Besides, to simulate interest rate path, this study chooses BDT (Black-Toy-Derman) interest rate model together with Z-spreads on auto issues. Based on the valuation model conducted, this goal of this study is to price not only for auto-loan pass-though structure but also for auto-loan tranched structure. More importantly, a sensitivity analysis is designed to further investigate as to how the price changes as market conditions and macroeconomic environments vary. The results evidence that there exists a negative relationship between the price of an auto ABS and the market interest rate. Meanwhile, the price of an auto ABS exhibits a positive (negative) relationship with prepayment measure when it is issued at a discount (premium).