金融資產證券化之研究

A Study of Financial Assets Securitization

李俊昇(CHUN-SHENG LEE)

指導教授 ： 楊朝成

國立臺灣大學/管理學院/財務金融組/碩士(2006年)

https://doi.org/10.6342/NTU.2006.01658

摘要

摘 要

本論文係以文獻資料分析、實例及金融資產證券化條例之規範為探討基礎、並延伸至銀行金融資產證券化相關問題之探討。
金融資產證券化之主要架構為特殊目的機構，創始機構將資產信託予受託機構或出售予特殊目的公司，再由特殊目的機構發行受益證券或資產基礎證券，出售予一般投資人。資產移轉予特殊目的機構之主要目的在隔絕創始機構之破產風險，使資產池所產生之現金流量能用以支付所發行證券之利息及本金，不受創始機構破產之影響，以確保投資人之權益。並可使證券之信用評等等級高於創始機構之信評等級，使證券之發行易為投資人所接受。
我國銀行目前仍以傳統之存放款為主要業務，其主要之獲利來源為存放款之利差。由於放款為最主要之資產，此項資產之信用風險於借款人償還貸款前完全由銀行承擔，因此信用風險之管理攸關銀行之營運績效，管理不當可能造成銀行倒閉。
信用風險之管理，固可藉由貸放前之徵信及貸放後之期中管理加以控管，惟貸放後如將貸款債權加以證券化，透過受益證券或資產基礎證券之發行，將信用風險移轉予其他投資人，並由銀行擔任服務機構，收取服務費，可降低信用風險並改變獲利來源，此應為我國銀行資產負債管理之重要方法。
銀行能否藉由不良債權之證券化，降低逾放比率，為銀行業普遍關切之問題。銀行之不良債權因其未來產生之現金流量不穩定，如資產池內全為不良資產，恐發行之證券難被投資人所接受。參酌國外之經驗，不良債權證券化時，如於資產池內加入相當比率之正常貸款，以支撐現金流量，亦可將不良債權證券化。

關鍵字

金融資產證券化 ； 特殊目的機構

並列摘要

ABSTRCT
GRADUATE INSTITUTE OF FINANCE
NATIONAL TAIWAN UNIVERSITY
Name：CHUN-SHENG LEE JANUARY, 2006
Adviser：Professor Chau-Chen Yang, Ph. D.
Title： A Study of Financial Assets Securitization

This thesis , based on analysis of related literature, practical cases and pertinent laws and acts, is a research into relevant issues on financial asset securitization.

The framework of financial asset securitization mainly comprises Special Purpose Vehicles. Originators transfer assets to Special Purpose Vehicles, which issue Beneficiary Securities or asset-based securities and in turn sell them to investors. One of the purposes of transferring the assets is to isolate the risk of bankruptcy of the Originator so that the cash flow derived from the asset pool to pay principals and interests is not affected, thereby ensuring the rights of investors. It also makes the credit rating of the securities higher than that of the Originator, thus rendering them more appealing to the investors.

The core business of the banking sector in this country is traditional savings and loans, and differentials in interest rates between them are the major source of profits. Since loans are the principal assets, the onus of credit risk is entirely on the banks before obligators retire the debts. The ability to control credit risk is critical to performance. Mismanagement can lead to bankruptcy of banks.

Sufficient credit investigation before lending and close scrutiny after lending can control credit risk to some extent. However, securitization of financial assets in the forms of beneficiary securities and asset-based securities is widely practiced in that banks can not only transfer risk to investors but also collect fees and transform the structure of profits into a fee-based source. Asset-based securitization should be integral to the method of Assets & Liabilities management in the banking sector.

The question of whether banks can lower the ratio of NPL through securitization of loans is widely concerned in the banking sector. The asset pool which consists entirely of NPLs is prone to instability of cash flow and makes its securitization unappealing to investors. Experience from other countries demonstrates that asset pool with a certain proportion of normal loans can support cash flow, therefore making it more possible to succeed in securitization projects.

並列關鍵字

financial asset securitization ； Special Purpose Vehicles

參考文獻

9.李同龢、鄭治明，自供需面探討資產證券化中信用評等與信用增強角色，台灣金融財務季利，第三輯第四期，2002年12月

11.蔡鐘慶，從比較法之觀點探討我國私募制度之法律佈局，中原大學碩士論文，2003年1月

19.王志誠，日本金融資產證券化之法制架構，該文係民國90年3月29日應財政部金融局邀請所為之簡報資料

1. Cohn, Michael J. Asset Securitization: How Remote is Bankruptcy Remote ？ 26 HOFSTRA L REV（1998）

2. Committee on Bankyuptcy and Corporate Reorganization of the Association of the Bar of the City of New York, Structured Financing Techniques, 50 THE BUS. LAW.（1995）