創始機構從事金融資產證券化活動之決定因素與風險意涵：以美國金融控股公司為例

Abstract

作為金融資產證券化之創始發展國家，美國自1970年發行第一件房貸抵押證券後，由於此一金融商品的結構化設計對各方參與機構帶來之效益，因此市場蓬勃發展。然而，擁有龐大金融資產之銀行面對擔任創始機構自證券化市場所能獲得之潛在利益，其相關考量為何，過去研究並無深入的討論。因此本文以兩部分分別探討美國金融控股公司作為創始機構從事資產證券化活動之誘因以及對其風險之影響。 對於銀行而言，過去介於借款者與投資人間之垂直整合經營模式以及以利息收入為主的獲利來源，受到證券化之創新架構與交易安排的巨大衝擊，因此證券化活動的從事與否成為銀行重要的管理決策。本文從資本規範、公司規模、資金流動、證券化效益、資金成本與風險管理六大方向，探討銀行作為創始機構從事證券化活動的決定因素。實證結果發現，從事證券化之創始銀行與未從事此一活動的銀行間存在不同之財務特性，此財務特性包括資本適足率、公司規模、貸款比率、存款比率以及證券化利益。 此外，創始銀行在證券化過程中，因金融資產的出售而移轉經濟資源，然而經濟風險是否伴隨資源而加以移轉，近來已成為管制機構高度關切的問題。為了解創始機構從事資產證券化所產生的風險影響，可由資產結構因資源移轉加以重新配置所能降低之風險，以及創始銀行因提供信用增強功能與道德追索權所產生的風險提升兩方面予以探究，實證結果發現，資產證券化對於創始銀行的總風險與系統風險確有提升之影響。

Financial asset securitization in the U.S. has been expanding in tremendous pace since its inception in 1970. The creation of innovative structures of securitization provides banks with a new avenue to operate businesses by breaking the vertically integrated intermediation process into distinct steps. In contrast to their traditional role as intermediaries between borrowers and investors, banks can evaluate which steps in the securitization process they possess the competitive advantage and focus on a limited number of roles. For exploring the originating banks’ behavior on securitization, this study investigates two related issues – determinants and risk implications of securitization activities – by using a sample of U.S. bank holding companies from 2001 to 2004.

First, in view of the current and potential growth of securitization, whether to engage in securitization and on what extent have been becoming the important policy choices faced by banks. A number of key factors are examined for the determinants of banks’ securitization decision. Results from tobit estimations reveal that capital constraints, scale economies, funding and liquidity, and enhanced income drive banks’ use of securitization. Second, a net risk transfer occurs when a securitization transfers more risk than economic resources. To investigate the impact of securitization on next quarter’s bank risk, this study performs total risk and priced risk tests. Regression results show that both risks are increased after securitization. Thus, risk decreases from diversified asset portfolio are outweighed by risk increases from credit enhancement and moral recourse provided by originating banks. Net risk transfer does not occur even economic resources are transferred off the originators’ books.