合成型中小企業債權證券化在台灣發展前景之研究

Abstract

民國91年6月21日立法院三讀通過「金融資產證券化條例」，為我國資產證券化市場奠定法源基礎，也帶領台灣資產證券化進入一個新紀元。中小企業為台灣經濟發展之磐石，對於社會安定和諧、國家進步與人民安居樂業有著舉足輕重的影響。可是銀行對中小企業的財務狀況存在嚴重資訊不對稱的情況，在籌募資金不易與資金成本偏高的環境下，使得中小企業的健全發展存在負面影響。台灣資產證券化市場逐漸發展，標的物也趨向多元化，中小企業債權也可以成為資產證券化之標的物。然而中小企業放款由許多債權所組合，每筆違約率彼此並不完全獨立。如果按照我國傳統現金型債權證券化方式，發行中小企業債權證券化商品，效果可能不佳而且也難以符合創始機構的需求。合成型中小企業債權證券化為發起銀行將其中小企業債權匯集包裝，並與特殊目的機構簽訂合約，定期支付權利金如同支付保費以取得保險。此種方式銀行所擁有的中小企業債權並未出售，仍然存在於資產負債表上面，卻大幅降低銀行信用風險。此外，合成型中小企業債權證券化也具有交易架構簡單、維持中小企業主選擇往來銀行的忠誠度、符合新巴賽爾協定之要求等優點。然而我國法令至今並無對合成型中小企業債權證券化的相關規定，可是在歐美先進國家信用衍生性金融商品，包含信用違約交換、信用風險連結證券、合成型債權證券化等方式之發行量，佔整體金融證券化的比重越來越高。若我國仍對於合成型資產證券化商品做出限制，恐怕阻礙資產證券化市場發展也無法與世界金融市場接軌。建議政府機關修改法令，對於信用衍生資產證券化商品的原則做規範，但是對於發行方式保留其彈性，以方便合成型中小企業債權證券化或是未來更多信用衍生型商品發行。

On 21st June, 2002, securitization act for financial assets was enacted by the Legislative Yuan; furthermore, this debuted regulation set the cornerstone in forming the Taiwan securitization market and also broke through the existing circumstances into a new era. Small and Median enterprises (SMEs) are the foundation of Taiwan economic growth and have influential power with respect to the social stability and harmony, the national progress and the welfare and prosperous habitable environment. But the bank carries serious asymmetric information to the financial status of SMEs; thus, restricted in difficulty of raising fund and higher funding cost, SMEs endure the negative impact on their business development. Followed by a variety of asset categories for doing securitization and gradually developed securitization market , SMEs also can be treated as an asset-typed securitization target. Yet SMEs loan portfolios are composed by a number of loans; among these loan portfolios, the default rate of the loan is not entirely independent with the others. The result may not be affirmative nor satisfied in accordance with the requirement of originator if it is securitized by a traditional cash-typed collateralized loan obligation (CLOs). A synthetic CLOs is originated by the originator by means of packaging its underlined SMEs loan portfolios and pays premium periodically similar to purchase an insurance in order to receive a protection through a trust agreement with a Special Purpose Trust (SPT). Originator can still remain the underlined SMEs loan portfolios in its balance sheet but decrease its lending risk significantly via risk transfer. Additionally, with a simple deal structure, a synthetic SMEs CLOs is apt to retain the loyalty of SMEs’ owners in banking relationship and in accordance with the requirement of BASEL II. Thus far, there is no related regulation to guide synthetic SMEs CLOs in Taiwan. In contrast, the percentage of the issuing volume of credit derivatives products including Credit Default Swap, Credit Linked Notes and synthetic securitization accounts increasingly in total financial assets securitization market in developed countries. If Taiwan can not deregulate the rules of synthetic securitization, the development of securitization may not be grown nor connect to the international financial markets. Suggest government authority to amend the relevant regulations, especially in the general principle of credit derivatives securitization. Moreover, remain the flexible in issuing terms and conditions in order to encourage the issues of synthetic SMEs CLOs or more issues of credit derivatives securitization in near future.