The Valuation of Auto Loan-backed Securities
|關鍵字:||汽車抵押貸款證券;auto loan-backed securities|
|摘要:||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。
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).