Asset Pricing

ABS

Asset-Backed Securities(ABS)

  • Special Purpose Company (SPC) or a trust company are assigned on securitization assets from the asset holders and create(issue) securitized securities
  • Any asset that can reasonably predict cash flows can be an underlying asset of ABS, depending on the type of underlying asset ABS can be classified CBO(Collateralized Bond Obligation), CLO(Collateralized Loan Obligation), MBS(Mortgage Backed Securities) and etc.
inform of Asset-Backed Securities(ABS)

Types of Underlying Asset

inform of Type, Description
Type Description
Cell Phone Loan Cell Phone device loan payment
Auto loan Car loan payment
PF Loan Real-estate or SOC related loans
Savings Deposit The specific money trust contract by bank and the expected tax refund amount
Private Loan/Bond Loans, Bonds, and Bonds with warrant
CBO Collateralized Bond Obligation
Account Receivables Future and Current Receivables from Corporations
NPL None performing loans

Product Structure

  • ABS issued in the market consists of several trenches
  • Trench refers to bonds issued with varying maturities, coupons and notional amount in accordance with the preference of the issuer when issuing the securitized securities may be divided into senior / mezzanine/ equity according to the repayment risk.
Issue of Asset Backed Securities
inform of Issue of Asset Backed Securities

Pricing Method

  • Except that the repayment is generated from the cash flow of underlying assets, ABS are evaluated using same methodology as KRW straight bonds.
  • The present value of ABS is calculated by using YTM Curve Pricing