信用卡債權證券評價與分析

Abstract

本研究整理信用卡債權證券發行流程及機制，整合信用卡債權證券還本方式及信託架構，設計整付、定額還本、單一信託轉付、總合信託轉付四種證券發行結構，以現金流量分析法，搭配CIR利率模型模擬動態利率及蒙地卡羅模擬法評定信用卡債權證券價格。透過利率情境分析三種利率走勢證券結構間價格差異，歸納不同情境最適證券發行結構，並納入債權群組因素進行證券結構間價格差異動態觀察，分析證券結構優勢持續性。最後將評價模型導入台灣市場，以台灣信用卡債權及利率市場實際狀況設計台灣信用卡債權證券，透過實證資料與CIR利率模型建構台灣未來利率，再以蒙地卡羅法模擬台灣信用卡債權證券合理價格，並提供台灣信用卡債權證券發行價格及最適發行結構建議。

The credit card market has grown fast and significantly in the last few years. As this market continues to expand, the credit card issuing institution has to broaden funding source via issuing credit card security to increase the liquidity. Based on this need, the purpose of this study is to introduce the flow chart and mechanism of issuing credit card security and to further value the price of credit card security under four different amortization structures, including pass-through (single and master trusts), controlled-amortization, and bullet-payment structures. The valuation model is comprised of a CIR stochastic interest rate process, monthly payment rate, and portfolio yield, all of which jointly determines the future cash flows and the rate to discount these cash flows for each of the above four structures. More importantly, a sensitivity analysis is conducted to investigate the price of a credit card security changes when the market conditions and pooling factors are allowed to vary. Within this study, the optimal pricing structure of the credit card security could be found. Furthermore, this study also applies the same pricing techniques to the case of Taiwan. The implication of this work is potentially useful for credit card originators who are also the issuer of the credit card security.