Credit Enhancement And Risk Prevention Of Retail Auto Mortgage Loan Securitization

Using the experience of developed countries for reference,selecting the appropriate level of credit enhancement is not only conducive to the better development of China’s auto finance industry,but also crucial for protecting the rights and interests of investors and maintaining the stability of the financial market.From the perspective of investors,this paper aims to explore whether the current credit enhancement design of Auto ABS products of Ford Motor finance company can effectively prevent credit risk under the background of declining excess interest margin,so as to provide suggestions and reference for the future development of asset securitization of China’s auto finance companies.This paper analyzes the credit risk,early redemption risk and interest rate risk faced by the 11 issues of "Fuyuan series" auto loan asset securitization products issued by Ford Motor finance company from 2014 to 2020.Sorts out and analyzes the issuance data over the years through statistical methods,Based on the characteristics of the underlying asset pool of the product and the credit situation of the duration loan as the analysis basis,the project design of the Fuyuan series of products is deeply analyzed,and on this basis,the degree of credit enhancement of the Fuyuan series of products and the risk prevention effect are analyzed.The results show that: Generally speaking,the credit enhancement level of "Fuyuan series" personal auto loan asset-backed securities products is abundant,and the risk is basically controllable.The main way of credit enhancement is internal credit enhancement.The hierarchical structure design of bonds and excess mortgage are the two main ways of credit enhancement.For priority A-level securities,the hierarchical structure design of bonds bears the main role of risk dilution,while the risk prevention and control ability of liquidity reserve account and mixed reserve account is relatively limited.In the future,we should consider the introduction of circular purchase mechanism to resist the risk of early redemption,ensure the level of major credit enhancement mechanisms,and increase external credit enhancement measures at all.