The Valuation and Analysis of Credit Card Securitization

• Main Authors: Wang Chia-Wei, 王嘉瑋
• Other Authors: Shen Da-Bai
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/11482228034037113657

碩士 === 東吳大學 === 會計學系 === 92 === Securitization was first developed by the U.S. in 1970s. Securitization can be defined as a process of package into a security or securities, and enhancing their credit status or rating to further their sale to third-party investors. The characteristic of credit card receivables is unsecured revolving debt obligations. Credit card asset-backed securities were introduced into the public market in 1987 to diversify sources of bank funding. Securitization fulfilled the need and continues to serve the purpose while providing funding diversification as bank regulators treat securitization as a sale of assets. Financial market has gotten more deregulated and globalize since 1980s, and Taiwan government also reforms many policies. One of the most important acts is the Financial Asset Securitization Law. The purposes of this study are as follows: 1. Simulating the credit card asset-backed securities of sample bank. 2. Discussing the feasibility analysis of credit card asset-backed securities in Taiwan form different sights. 3. Make key variables perform sensitivity analysis. The results of this study are as follows: 1. Pick up 1,399 credit card accounts in sample bank, and separate these accounts into three sections, including A certificate, B certificate, and sellers equity. 2. The feasibility analysis of credit card asset-backed securities in Taiwan is going to be feasible in long term. 3. The result of sensitivity analysis of portfolio yield, charge-offs, and monthly payment rate is as follows: as of the three key performance variables make improvements, both of the value of securitization and no securitization will be up.