信用卡資產證券化—市場，結構，與商品設計

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姓名

謝宛芝(Tiffany Hsieh) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

信用卡資產證券化—市場，結構，與商品設計
(Credit Card Asset-Backed Securities—Market, Structure, and Product Design)

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摘要(中)

資產基礎證券的發行始於1986年。在具有自資本市場直接融資、降低籌資成本、分散籌資來源、提高資本適足率等誘因之下，逐漸受到銀行以及其他企業的重視，並發展成為固定收益證券市場中比重相當大的一環。其中，信用卡資產證券化不只是發展最早的商品之一，其龐大之發行量與良好之流通性亦為現今證券化類商品之首。在美國，發行信用卡基礎證券已成為大型發卡銀行最主要的營運資金來源。本研究首先介紹資產證券化以及信用卡資產基礎證券在美國市場之歷史發展經驗，以及實際發行之商品結構，包括資產群組、信用加強、信用評等、證券發行…等。並以一商品實例，進行商品結構之探討與歷史績效之比較。為因應本國擬於近期立法通過金融資產證券化條例，在本研究之最終章，將探討信用卡資產證券化業務於本國市場發行之可行性，並依據本國之法令規範與市場現況，設計一可行之商品結構，提供所有在未來可能參與資產證券化相關業務之機構做為參考。

摘要(英)

After the first public deal was introduced into the market in 1986, the asset-backed securities have comprised one of the largest sectors in the US fixed-income market. Credit cards, as one of the first sectors to develop in the ABS market, are among the most liquid products. Securitization provides an opportunity for banks to trim their balance sheet and boost capital without relinquishing control of the underlying accounts or customer relationships. Today, securitization is the primary funding source for specialized credit card banks in the US. The purples of this study is to introduce the development and expansion of securitization and credit card ABS in the US market, explore how they are structured and work commendably in the financial market. We also introduce a real case called BAMT 1999-C and compare its structure, counterparty relationships, and historical performance data with other 8 US credit card ABS issuing banks. At the end of this study, we will analysis the practicable of establishing those products in Taiwan market.

關鍵字(中)

★ 證券化
★ 結構
★ 信用卡
★ 資產基礎證券

關鍵字(英)

★ Structured Finance
★ Securitization
★ Credit Card
★ Asset-Backed Security

論文目次

Chapter I . Introduction
Chapter II . Securitization
2.1 Asset-Backed Securities
2.2 Structure
Chapter III . Credit Card Asset-Backed Securities
3.1 Master Trust
3.2 Transaction Structure
3.3 Rating Methodology
Chapter IV . Case Study
Chapter V . Feasibility of Credit Card ABS in Taiwan Market
5.1 Product Design
5.2 Market Prospects
Chapter VI . Conclusions
References

參考文獻

1.Anthony Thompson, 1996, Investing in Subordinated ABS, Goldman Sachs.
2.Anthony Thompson, 1996, Understanding ABS Redemption Features, Goldman Sachs.
3.Anthony Thompson, 1997, Emerging Markets Securitization: An Opportunity for Bond Investors, Goldman Sachs.
4.Anthony Thompson, 1998, Credit Card Securitization - Ten Years Old and Still Going Strong, Goldman Sachs.
5.Anthony Thompson, Jenine Carollo, Lori Bilker, 2000, Asset-Backed Securities - Introduction to the Market and Its Structures, Goldman Sachs.
6.Anthony Thompson, 2000, A Glossary of ABS Terms and Concepts, Goldman Sachs.
7.Anthony Thompson, Jenine Carollo, 2000, How Securitization is Shaping Financial Markets: The Next 1,000 Years, Goldman Sachs.
8.Anthony Thompson, Jenine Carollo, 2000, Viewing and Charting ABS Spread Data, Goldman Sachs.
9.Bank of America, 1999, BA Master Credit Card Trust Series 1999-C Prospectus Supplement.
10.Ben McCarthy, 2002, Global Securitization Quarterly, Fitch Ratings.
11.Frank J. Fabozzi, 1997, The Handbook of Fixed Income Securities, McGraw-Hill.
12.Frank J. Fabozzi, 1997, The Handbook of Structured Products, McGraw-Hill.
13.Frank J. Fabozzi, 1998, Issuer Perspectives on Securitization, McGraw-Hill.
14.Ian Giddy, 1999, Case Study: Hong Kong Master Trust, New York University.
15.Jean Dornhofer, Christophe de Noaillat, 2001, Diners Card Finance PLC. International Structured Finance Pre-Sale Report, Moody’s.
16.Jeffery Salmon, 2000, US Investment Grade Research - Credit Card ABS Tracker, Barclays Investment Research.
17.Leon T. Kendall and Michael J. Fishman, 1996, A primer on Securitization, McGraw-Hill.
18.Leo C. O’Neill, 1999, Structured Finance – Credit Card Criteria, Standard & Poor’s Rating Service.
19.Mary E. Kane, Peter DiMartino, Salomon Smith Barney, 2000, A Fresh Look at Credit Card Subordinate Classes.
20.Mary E. Kane, Peter DiMartino, 2001, A Primer on Autos and Credit Cards – The Pillars of the ABS Market, Salomon Smith Barney.
21.Matthew Murphy, Michael R. Dean, 2000, ABCs of Credit Card ABS, Fitch Ratings.
22.Michael R. Dean, 2000, Credit Card Movers and Shakers, Fitch Ratings.
23.Michael R. Dean, 2002, ABS Developments and Outlooks in the Credit Card, Auto and Aircraft Sectors, Fitch Ratings.
24.Nancy Stroker, 2000, The Rating Process, Fitch Ratings.
25.Peter Mack, 2002, Securitization in Asia, Citibank.

指導教授

史綱(Gang Shyy)

審核日期

2002-7-16

推文