金融資產證券化之研究-「以A銀行CLO為例」

The Study of Taiwan Financial Asset Securitization -Case study of A Bank’s Collateralized Loan Obligation(CLO)

曾睦雯(Mu-Wen Tseng)

指導教授 ： 沈仰斌

元智大學/管理學院/管理研究所/碩士(2007年)

摘要

傳統間接金融型態指金融機構以吸收存款、同業拆借、發行可轉讓定存單或金融債券等方法，向資金過剩單位籌措或匯集資金後，再透過徵授信審查，以放款等方式提供至資金不足單位，而發揮金融仲介功能；雖說銀行是金融仲介機構，但另一方面，間接金融機構業者如銀行，其實是資金的買賣斷者，銀行承擔一切的資金風險，銀行實際上是以風險來換取利潤。一旦銀行對風險的管理不當，或資金環境變化太快，銀行無力應變，便會引發重大的金融問題。諸觀先進國家廣為採納之金融資產證券化，或稱組合式金融等創新作法，由創始機構對其擁有得產生現金流量之資產進行組群、包裝及重組為單位化、小額化之證券形式，以向投資人銷售之過程，使得創始機構無需於債權資產清償期之屆至，而先行收回資金，並降低持有資產之風險。故透過金融資產證券化之妥善運用，可協助金融機構改善資產負債管理、分散降低資產風險、提高自有資本比率及經營績效，並增加金融機構籌措資金管道等功能，適為我國當前金融發展所需。
金融資產證券化的實行對創始人而言，除了可增加資產的流動性、獲利性及增加經營彈性外，最主要的是可以降低金融機構的風險，有鑑於此，本研究乃就金融資產證券化之重要概念、商品種類、功能、運作流程、效益及風險、個案操作縱效加以闡明，以供後續發行者之參考。

關鍵字

金融資產證券化

並列摘要

In the financial industry, typical indirect-financial institution attracts deposit, inter-bank loan, or issuing negotiable certificate of time deposit and bonds. After collecting money from excess capital units through auditing procedure then loan to the needed parties as a financial intermediary in the market. The roles of financial institutions such as banks are acting as a financial intermediary by providing buy-sell funding to enterprises or individuals. Those banks actually take whole funding liquidity risk to exchange main resource of bank’s profitability. Once failure in managing risk or facing dynamically financial environment changing, bank may engage in difficulty and cause serious financial crisis.
The originators pool and reorganize those assets, which could create cash flow into small-amount unit security and sell to the investors. By this way originator don’t have to wait till maturity and buyback those securities. That is why by using financial asset securitization will help financial institution to improve asset/liability management, spread asset risk and increase the ratio of equity to assets. At the same time, this will improve the effect and efficiency of finance institution’s operating and open up the funding market. Mortgage securitization can raise banks’ capital adequacy and current ratio. By way of asset securitization, the originators enjoy higher asset liquidity, lower funding cost, and improved capital ratio, while investors can use mortgage-backed securities to diversity their portfolios, improve liquidity and enhance yields. For originators, securitization is not only lower the cost of capital, increase the net profit but also enhances the liquidity of cash and balance the assets’ structure.
Because of these current issues of the products not being fully understood, in this thesis we aim at clarifying the key concepts of the securitization, the classification of the products and motivations for the classification, the procedure of securitization, and the advantages and disadvantages of securitization. In the meantime, we survey the recent development in securitization and point out the weakness of current products and offer some suggestions for further improvement.

並列關鍵字

Financial Asset Securitization

參考文獻

6.陳明哲，2004年，金融資產證券化條例之研究-以特殊目的為信託及其實務問題為

13.陳萬金，2002年，「金融資產證券化對整體金融市場之影響」，台灣金融財務季刊，第三輯第三期，頁46~50。

1.儲蓉，2001年9月，金融資產證券化之探討(上)，台灣金融財務季 刊，頁76。

一、中文部份

2.儲蓉，2004年，金融資產證券理論與案例分析，初版，台灣金融研訓院，頁4、27、28、35、36。