金融不良資產證券化之研究

A study of financial NPA with securitization

鍾湘君(Hsiang-Chun Chung)

指導教授 ： 馮震宇

中原大學/商學院/財經法律研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900039

摘要

摘 要

隨著全球化時代的來臨，國內金融市場面臨前所未有的挑戰，銀行勢必以國際化、資訊化、大型化的方向邁進。但因資金環境變化迅速，產業結構轉型，銀行間過度競爭等因素，我國的不良放款問題存於各銀行間，耗弱銀行競爭力。而其他國家，自80年代以來，無論是已開發抑或是開發中國家，亦曾為嚴重的銀行不良資產問題所苦，1997年亞洲金融風暴更突顯問題的嚴重性，積極尋求不良資產的解決之道，是各國金融機構的重要課題。

我國的一般金融機構處理不良債權主要方式為自行催收、出售、拍賣不良資產或轉售予資產管理公司。而對問題銀行，政府則設置金融重建基金為解決。但自1977年，第一筆資產證券化交易出現在美國後，歐美國家迅速發展以證券化處理資產，並應用在解決不良資產上。亞洲金融風暴後，日韓泰馬等國亦學習此一創新的金融工具，讓不良資產獲得有效解決。而我們能否以證券化處理不良資產？另覓一個有別於傳統方式的途徑，即為本研究之動機。

本研究所述之不良資產，以金融資產為範圍，不及於企業之不良資產。 茲首先探討不良金融資產形成的原因及處理途徑，而政府以金融重建基金的方式吸收壞帳的妥適性；如以資產證券化處理不良金融資產，在新巴塞爾資本協定下應有何架構，並論述證券化流程：創始機構對能產生現金流量的資產進行群組、包裝為小額化的證券形式，特殊目的機購、受託機構、服務機構、信用增強機構、評等機構之參與，最後向投資人銷售的過程。此過程使創始機構不需等待債權清償期屆至，即得收回資金，改善資產負債，提高自有資本比率，增加資產的流動性。

次第分析美、日、韓以資產證券化的方式處理不良資產的成功案例，探討為何證券化已成為國際上普遍解決不良資產的有效途徑，瞭解其邏輯與法制運作上，從中汲取優點，建構出我國金融不良資產應有之模式。

本論文蒐集相關法令與案例，採用比較研究法，借鏡他國的經驗，以縮短我國的學習曲線。研究後提出建議：政府處理台灣金融體系的不良債權時，應避免直接補助個別銀行，以免產生不公平之情形及道德危險之後果。將台灣金聯資產管理公司(TAMCO)及金融重建基金(RTC)二者結合，由TAMCO執行證券化的工作，而RTC則扮演國家級政府信用增強及保證機制的角色。此外，亦可參考韓國之贖回機制，當資產群組中有倒閉情況，則由原出售之金融機構就某一比例補足損失等等方法，以誘發投資人購買證券化商品的信心，而有效去化不良資產。本文期能作為我國解決金融不良資產問題時之參考。

關鍵字

金融不良資產 ； 金融重建基金 ； 資產管理公司 ； 證券化 ； 不良放款 ； 群組 ； 架構式金融 ； 真實出售 ； 資產隔離 ； 受託機構 ； 特殊目的機購 ； 創始機構 ； 服務機構 ； 信用增強機構 ； 信用評等機構

並列摘要

Abstract
With the advent of the era of globalization, domestic financial markets are facing an unprecedented challenge, is bound by international banks, information technology, large-scale direction. But the rapidly changing financial environment, industrial restructuring, excessive competition among banks, and other factors, Taiwan's bad loan problem at all inter-bank deposit, consumption weak banks competitiveness. While other countries, since the beginning of the 1980's, whether developed or developing countries, have for the serious problem of non-performing assets of banks by the hardship and 1997 Asian financial crisis highlighted the seriousness of the problem more actively seek a solution to the non-performing assets, all financial institutions is an important subject.

Taiwan's general handling non-performing loans of financial institutions as the main form their own dunning, sale, or auction of bad assets sold to asset management companies. The Bank of the problem, the Government set up to resolve the financial reconstruction fund. However, since 1977, the first asset securitization transactions in the United States, Europe and the United States to the rapid development of the securities processing assets, and in resolving the application of non-performing assets. After the Asian financial crisis, countries such as Japan, South Korea, Thailand, Malaysia also learning this innovative financial instruments, let non-performing assets to be effectively resolved. Do we have the ability to handle non-performing assets of the securities it？ To find a way different from the traditional approach, this is the motivation of the study.

This thesis described in the non-performing assets to financial assets are limited, does not include enterprises of the non-performing assets. So first study non-performing financial assets of the causes and treatment of channels, and the financial reconstruction fund to absorb bad debts of the appropriate way; like to deal with non-performing asset securitization of financial assets, in the new Basel Capital Accord should be under the framework, and on NPL(Non-performing Loans) securitization of the process: originator to be able to generate cash flow of assets to the pooling, packaging for small form of securities, special purpose vehicle( SPV), trustee , servicer, enhance the credit agencies, credit rating agencies involved in the role , and the last person to investment sales process. This process so that originator need not wait for the founding of the settlement of claims to that in the recovery of funds, improve the assets and liabilities, raising equity capital ratio and increase the liquidity of assets.

Further analysis of the United States, Japan and South Korea to NPL securitization approach in handling non-performing assets of the success stories of the securities has become the international community to resolve non-performing assets generally an effective way to understand its logic and the rule of law operation, to learn advantages to construct Taiwan's non-performing financial assets should be the model.

This collection of papers and relevant case law, a comparative study, learn from the experience of other countries, so as to shorten our learning curve. After suggestions: Government's handling of Taiwan's financial system of non-performing loans, should avoid direct subsidies to individual banks, so as to avoid unfair situation and the consequences of moral hazard. Of the Taiwan Asset Management Company (TAMCO) and financial reconstruction fund (RTC) a combination of both, by TAMCO implementation of the securities, while the RTC played the national government credit guarantee mechanism and enhance the role. In addition, South Korea could also make reference to the redemption mechanism, when the assets of the group in the collapse of the case, the original sale of the financial institutions make up for losses on a certain percentage, to induce investors interest and confidence, for effective solution in non-performing assets. Hope that this thesis can be as non-performing assets in Taiwan to solve the financial problems of reference.

並列關鍵字

Special purpose vehicle( SPV) ； Originator ； Credit rating agencies ； Financial reconstruction fund ； RTC ； Asset Management Company (AMC) ； Non-performing Loans(NPL) ； Financial non-performing assets(NPA) ； Structured Finance ； Pooling ； Trustee ； Securitization ； Isolation of assets ； Servicer ； Enhance the credit agencies

參考文獻

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