The Study of Collateralized Debt Asset Securitization- The Product Design and Pricing Combining Both Credit and Commodity Price Risk

[[abstract]]摘 要 近年信用風險大行其道，且國際商品市場情況持續樂觀。因此，在看好商 品市場未來的價格趨勢下，將現貨商品的優勢導入信用商品中必能創造出一個 更吸引券商和投資者之證券化商品，本文稱之為「擔保債權商品憑證 (The Collateralized Debt-Commodity Obligation ; CDCO)」。此商品不僅提供投資人分 散標的資產的好處，亦可提供發行人規避信用和商品價格之風險。 本研究發現CDCO 各分券的價格和Synthetic CDO 的差異決定於價格風險 和分散標的風險間的抵換關係。模擬顯示大多數CDCO 權益分券的價格較 Synthetic CDO 為高。然而，次償分券的結果不一，而先償分券的價格相對 Synthetic CDO 為低，可見CDCO 的先償分券提供投資人分散標的資產的利益， 讓投資人在報酬固定的形式下能夠同時進入債券和商品市場的機會。[[abstract]]Abstract In recent years the credit risks propagate its belief on a large scale and the international commodity market situation is optimistic continuously Thus with an optimistic view of the upward price trend in the future of commodity market the securitization products combining both the commodity risk and the credit risk can attract issuers and investors even more and it is defined as “The Collateralized Debt-Commodity Obligation (CDCO)” in this paper This commodity not only offers the investors the benefit by diversifying reference assets but offers the issuers to escape from the price risk of commodity This study discovers that the difference price between all tranches of CDCO and the Synthetic CDO depends on the trade-off between price risk and diversified reference risk Further the numerical results demonstrate that the value for equity tranche of CDCO is higher than the value of Synthetic CDO But the trend of the value for mezzanine tranche is not the same and the price of senior tranche is lower than Synthetic CDO Consequently senior tranche of CDCO provide investors the iii benefit by diversifying reference assets and meanwhile investors can get the opportunity of entering both bond and commodity market under the constant return of rat