Date of Publication

4-18-2020

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas S. Tiu

Defense Panel Chair

Alfredo M. Santoyo

Defense Panel Member

Edralin C. Lim
Vivian Y. Eleazar

Abstract/Summary

The study aims to analyze new funding options of Financing companies in the Philippines by using the Asset Backed Securities. For 15 years after the passage of the Philippine Securitization Act, only those in the mortgage financing and credit card receivables had been able to use this type of securitization. Companies with assets that are illiquid have constrained growth. They are limited to the available funds. This study is aimed to test how the product will be modeled, two tranches or three tranches. This study used the consumer receivables as the product to be pooled under Special Purpose Vehicle. This study aimed to test the viability of the ABS for private companies as an alternative source of funding through sale of non-traded financial assets (Cowley, A., & Cummins, J.D., 2017). The study developed an Asset Backed Securities using the consumer receivables as the under lying asset as a publicly issued debt security. The researcher used different types of consumer receivables, maturity and coupon rate as basis for grouping the homogenous products into different tranches. The researcher used a five-step analysis method for valuation of the ABS using the Monte Carlo Simulation with Option-Adjusted Spread. This study will benefit private companies, banks, investors, and end users to diversify their portfolio. This study hopes to convey the risks and benefits that the Asset Backed Securities will provide in the Philippines. This study tested the number of tranches to develop a security for funding of private companies. The average yield of the models ranges from 1.50% to 7.50% depending on the concentration of the maturity of the receivables. The CVAR ranges from 1.40% to 2.95% of the outstanding principal balance. Its main findings conclude that the product can utilize either a two-tranches or a three-tranches with significant changes on the yield based on the composition of the maturity of the receivables.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Asset-backed financing—Philippines; Accounts receivable—Philippines

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Embargo Period

8-10-2022

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