債權資產證券化(CDO)在台灣的發展前景之研究

CDO是一個具有穩定現金流量的固定收益證券。其在國際ABS市場佔有比例已由1995年的不到0.4%，提昇至2005年底的15 %左右，其成長速度十分驚人，是近年來國際上證券化商品主流之一。台灣金融資產證券化在2005年的發展，成為主管當局處理債券型基金的結構債券的一個利器，而台灣CDO的發展正是在這樣的金融市場背景下開啟新頁。有鑑於此，本文的研究目的是在處理債券型基金的危機下，債券資產證券化的商品(CDO)的商機，並從國際上對CDO發行的架構與風險的評估的角度加以分析，以探討台灣目前是否有發展CDO的條件，發行機構與投資機構是否有足夠的條件來做CDO，有無發展上的困難或者有哪一些問題亟待解決，以及主管機關應該如何來協助業者發展CDO的市場，期能讓台灣在CDO的市場發展上取得一些發展良機。　我們認為可以採取借力使力的發展策略來逐漸的深化市場，讓市場的參與者可以找到發展的利基來進一步為市場開疆拓土。比如善用國際上知名的投資銀行的能力，架構一些發行面上的制度，並且提供誘因讓他們在台灣訓練一批專業人才，從事CDO的業務。另外，資產池標的應該多元化，台幣與外幣一比一的政策在債券型基金問題解決之後應該要延續下去，從國際化的角度來看，不必限定只能是台灣的公司才可以作為CDO的基礎證券，因為國際的CDO市場也是這樣的作法，這樣市場的發展彈性會大幅提升，市場的發展才會一步一步的向前推進。我們雖然認為現今台灣在發展CDO是比較困難的，但是事在人為，且主管機關在協助市場推動業務的態度上是積極的，如果採取合宜的政策來協助市場，台灣還是有機會在國際的CDO市場上佔有一席之地的。

關鍵字

債權資產證券化； CDO

並列摘要

A CDO, or collateralized debt obligation, is a form of structured financing and typically generates a fixed cash flow. It has been around for 18 years and $1.1 trillion of CDOs are now outstanding. Yet, it was only 0.4 % of ABS in 1995 and increased greatly to 15% in 2005. It has been the fastest-growing investment vehicle of the last decade. The development of ABS in Taiwan has also played an important role while the government was dealing with Bond-Fund in 2005. In the meanwhile, the CDO has started the new era in the financial market of Taiwan. The research of this paper intended to find out what the business opportunity would be for CDOs during the Bond-Fund Crisis. In order to evaluate if CDOs would work in the financial market of Taiwan, we analyzed the structures and risks of CDOs issuing in the international financial market. Besides, we discussed if the issuer or investor in Taiwan is qualified to deal with a CDO. Furthermore, we discovered some of the problems that need government to help the development of CDOs in Taiwan. We could simulate or learn from the financial firms which already have successfully issued CDOs. For example, we can invite the top global investment banks for help and support. Based on their experience, they might be able to develop a well system for issuing a CDO in Taiwan. They could also train our employees to become professional sales selling the CDO products. In addition, we could diversify the underlying assets of CDO. We do not have to limit our CDO only to the local companies. Instead, we need to globalize the underlying assets of our CDO. It would then make CDOs more flexible and efficient in the financial market. Although people nowadays think it is difficult to develop a CDO in Taiwan, the government is still very active in helping issue a CDO. Therefore if there is an appropriate policy which would cooperate well with the financial market, Taiwan’s CDOs would have its own market all over the world someday!