Credit Card Receivables Securitization Transaction Structure And Pricing Research

Credit Card ABS has become an important securitization products which is only second to MBS in Europe and the United States, but in China, the regulations on ABS was released until2005. Thereafter, China had not yet publicly issued Credit Card ABS products before the global financial crisis. Today, although the financial crisis has not gone far, domestic commercial banks credit card business has developed rapidly. As a result, Credit Card ABS become increasingly urgent.This paper reviews the theory on financial asset backed securitization and Credit Card ABS, the history of credit asset ABS in US, and the affection of subprime mortgage crisis, and then, analyzes the credit card market and the feasibility of Credit Card ABS in China, finally focuses on the structure of Credit Card ABS, including promoter institution, asset pool, SPV, income certificate, cash flow structure, credit enhancement and credit rating. The most important is this paper analyzes the pricing model of Credit Card ABS, in combination with the CAPM.The approaches in this paper includes method of comparative study, qualitative method combining qualitative method, statistical method. Basing on analyzing the credit card market and the feasibility of Credit Card ABS, this paper proposes the structure and pricing model of Credit Card ABS.