新巴塞爾協定對資產證券化之衝擊

近年來全球金融開放與改革之趨勢，肇致各類金融機構間之業務分隔日益模糊、大型銀行逐漸增加，若一國際性金融機構經營不善，可能引發連鎖效應，危及國際金融市場安全與運作，由此可見對銀行風險控管之重要性，因應對銀行之風險管控，巴塞爾銀行監理委員會於1988年發布「資本衡量及資本標準國際統合」報告，亦即所謂的「巴賽爾協定」，規範銀行必須維持資本適足率至少為8%之要求，而隨著銀行業務逐漸走向多角化，最低資本適足率對銀行之風險管控有所不足，因而，巴塞爾銀行監理委員會於2001年1月公佈「新版巴塞爾協定」(The New Basel Capital)，預計於2006年底全面實施，將對全球金融業造成影響。因應新巴塞爾協定未來實施可能造成之影響與衝擊，國內期刊及論文共襄盛舉紛紛發表相關之文獻，然而，大部分集中於討論新巴塞爾協定之三大支柱架構的概述，關於新巴塞爾協定對資產證券化規定及對從事資產證券化業務之金融業可能帶來的衝擊討論卻有限，而我國資產證券化之發展尚處於萌芽階段，因此當2006年新巴塞爾協定實施時可能對我國證券化市場帶來之衝擊，就更值得我們去探討，以提升我國金融機構之競爭力以及監理機關對金融機構從事證券化活動的監理能力。新巴塞爾協定對於證券化市場之整體影響為新協定對證券化之定義較嚴謹，因此要達到表外化之目的較困難，且增加證券化之作業成本。而新協定對於證券化部位之資本處理在創始銀行及投資證化商品之金融機構間存在差異性，因此仍存在資本套利空間，此外，由於國內缺乏對各種資產資訊之歷史資料庫，因此本國銀行要採取內部評等法來計提證券化風險部位之資本仍有一段差距，面臨外國金融機構其競爭力必然不足，尤以對國內中小型銀行之衝擊最大。新協定對於創始機構證券化動機之影響為：新協定可能造成創始銀行資本提列的上升，因而影響其資產負債表管理的動機，而新協定較多之限制使得銀行要達到表外化之目的較困難，且新協定亦造成銀行證券化融資成本的上升。而新協定對於金融機構購買證券化商品之影響為將提高投資評等較高之證券化部位的誘因，降低投資評等較低之證券化部位的誘因，最後根據新協定對我國證券化市場可能帶來之衝擊提供給我國金融機構及監理機關相關之建議。

關鍵字

資產證券化市場；新巴塞爾協定

並列摘要

The New Basel Accord (Basel II ) will be carried out by the end of 2006. As the release of the New Basel Accord, numerous domestic papers and periodicals have discussed related issues, however, most of the discussions were concentrated on the main frame of the New Basel Accord—three pillars, and few were related to the capital treatment of securitization under the New Basel Accord and the impact of the New Basel Accord on financial industries with securitization positions. Besides, the development of securitization market in our country is on the initial stage, therefore the impact of the New Basel Accord on our securitization market is worthy of deeper research in order to improve the competency of our financial industries and management ability of supervisors. The definition of the securitization activities in New Basel Accord is stricter and it is more difficult for originators to achieve the objective of off-balance sheet, and it may increase operational cost as well. Furthermore, the differences in treatment of securitization exposures held by originators and investors will cause “capital arbitrage”. Moreover, there is still a gap for domestic financial institutions to use the internal ratings-based approach (IRB approach) to charge the capital requirements of securitization exposures for the lack of historical database of risk assets, and it may influence the ability of financial institutions of our country to compete with foreign ones and even squeeze the survival space of small domestic banks. The impact of the New Basel Accord on the motives of originators which securitize their risk assets are as follows: First, the capital requirements of originators will increase and affect the motives of balance sheet management. Second, more complicated regulations of the New Basel Accord will raise the cost of securitization raise. In addition, higher-risk-sensitive capital treatment on securitization positions under the New Basel Accord will enhance the incentive for financial institutions to invest in securitization positions with high credit ratings and reduce the incentive to invest in those with low ratings. Finally, we will provide some suggestions for domestic financial industries and supervisors.