預購憑證之金融商品設計─以汽車產業為例

Abstract

在現行預購制度下，支付訂金為達成預購交易的保證，因此當買方在無法履約情形下，訂金為懲罰買方發生違約而歸為賣方所有。本研究設計的預購憑證來替代預購訂金制度，其支付的權利金相當於訂金，並在金融市場交易制度下，預購者可以買進預購權證至到期履約或是交易賣出。

本研究設計預購憑證有兩個貢獻，分別為「契約設計」與「制度設計」：

1.契約設計 預購憑證如同預購促的預購訂金，只要付預購憑證之權利金金額，就有行使購買標的物履約的權利；而預購憑證的權利金基礎建立在標的物價格波動，因此建立標的物價格指數提供買賣預購憑證的價格準則。 2.制度設計 發行公司透過證券市場之承銷商辦理預購憑證於初級市場公開申購，並在預購交易者申購期間結束後，開始在證券集中交易所之次級市場交易流通，提供預購交易者轉讓契約的環境市場。

最後，以汽車商品為例，利用蒙地卡羅模擬汽車的到期價格，並在最低履約條件機率和汽車利潤下，提供發行者決策適當的預購憑證權利金與汽車履約價格。

Payment deposit is for achieving pre-order trading guarantee in the present pre-order system. When buyer couldn’t execute the order in the future, the deposit belongs to seller who penalties for buyer defaulting. This research design pre-order security to substitute deposit in pre-order system. Payment premium is equal to deposit, and pre-order player could buy pre-order security to execute order to due date or sell during contract period in financial market.

1.Contract Design Pre-order security is the same deposit of pre-order promotion, and paying a little premium, has exercises the right to purchase underlying asset. Premium is calculated by underlying asset’s volatility so underlying asset price index could be established to provide for buying or selling pre-order security criterion. 2.System Design Issued company issue pre-order security business through underwriter opening subscription in primary market. After opening subscription period, pre-order security can be traded in secondary market to provide for transferring contract.

Finally, take the automobile as the case, simulates due auto’s price with Monte Carlo method. To decide suitable premium and auto’s exercise price for issuer in the lowest exercise probability and auto’s profit.