信用違約交換金融商品應有規範之比較研究

信用違約交換（Credit Default Swap）係用以規避授信相對人違約風險之金融商品，然市場充斥眾多套利者利用信用違約交換進行套利行為，如此商品泡沫最終幻滅，成為2008年金融風暴之重要元兇。雖該金融工具有引發系統性危機之虞，招致嚴重的金融風暴；但其存在亦有其正面功能，除可幫助市場發現價格，亦可促使投資人進行避險佈局，故仍難以否定其存在意義，不能也不應全面予以禁止。面對此情，本文認為我國應就該金融工具擬定更佳的規範模式，使其能適當的發揮效用，又不致造成金融市場之系統性風險。我國就信用違約交換係以場外交易之方式交易，定位為衍生性金融商品，然卻不受現行相關法令規範。為能成就上述目標，本文首先釐清信用違約交換之性質，其次建立起我國對於信用違約交換之定性，將其定位為有價證券，受我國證交法之管制，使從事交易者須符合證交法之要求。再者以美國法作為借鏡，探究信用違約交換所衍生之議題、以及規範內容及模式，俾使我國法參考。最後對於我國體制提出建議，認為除信用違約交換應納入證交法管制外，也應對於從事交易者的交易數量、監理模式選擇、建立結算處所、強化商品市場透明化及資訊揭露，避免該商品產生更大規模的系統性風險及資訊不對稱狀況為目標。

關鍵字

信用違約交換；結算處所；櫃檯買賣；信用風險；系統性風險； 2010年金融改革法；資訊不對稱

並列摘要

Credit Default Swap (CDS) is a financial product used to hedge the default risk of credit counterparties. However, the market was flooded with arbitrageurs using CDS to carry out arbitrage, which eventually led to the collapse of the commodity bubble and became a major culprit of the financial crisis in 2008. CDS has the risk of triggering a systemic crisis and causing a serious financial storm; however, its existence also has its positive function. In addition to helping the market find the price, it can also promote investors to hedge the layout. Therefore, it is still difficult to deny its significance and should not be banned comprehensively. Faced with this dilemma, this thesis argues that Taiwan should also develop a better normative model for CDS so that such financial instruments can function properly without causing systemic risks in the financial market. CDS is traded in the form of over-the-counter (OTC), which is positioned as a financial derivative but is not regulated by existing laws and regulations, but it is not regulated by the current relevant laws and regulations. In order to achieve the above objectives, this thesis firstly clarifies the nature of credit default swaps. In the second part, this thesis would analyze CDS, determine the nature of this financial instrument, and argue it should be regulated under Securities Exchange Act. In the third part, this thesis describes CDS regulation of U.S.A., which could be introduced to Taiwan. Finally, this thesis suggests that, CDS is regulated by the Securities and Exchange Act; in addition, the number of traders involved, the choice of a supervision model, the establishment of a clearinghouse, and the enhancement of transparency and information disclosure in the market should also be targeted to avoid systemic risks and information asymmetries on a larger scale.

並列關鍵字

Credit Default Swap (CDS) ； Clearinghouse ； Over-the-Counter (OTC) ； Credit Risk ； Systemic Risk ； Dodd-Frank Act of 2010 ； Information Asymmetry

參考文獻

陳肇鴻（2007），〈由美國次級房貸市場風暴論信用衍生性商品及信用證券化產品之使用及管制〉，《律師雜誌》，338期，頁77-89。https://doi.org/10.7030/TBJ.200711.0077

Admati, A. R., & Hellwig, M. F. (2018). Bank Leverage, Welfare, and Regulation (Rock Center for Corporate Governance at Stanford University Working Paper No. 235). https://doi.org/10.2139/ssrn.3257957

Allen, H. J. (2022). DeFi: Shadow Banking 2.0? William & Mary Law Review, 64(3), 919-968. https://doi.org/10.2139/ssrn.4038788

Chen, K., Fleming, M., Jackson, J., Li, A., & Sarkar, A. (2011). An Analysis of CDS Transactions: Implication for Public Reporting (Staff Report No. 517). Federal Reserve Bank of New York. https://doi.org/10.2139/ssrn.1938414

Dickinson, E. (2008). Credit Default Swap: So Dear to Us, So Dangerous (Fordham University-School of Law Working Paper Series). https://doi.org/10.2139/ssrn.1315535

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