信用衍生性金融商品市場交易及規範之探討

Abstract

信用衍生性金融商品源於1990年代。二十一世紀初期，各國政府在鼓勵金融創新之政策下，未對信用衍生性金融商品市場及交易制定嚴格之法令規範，此政策使得信用衍生性金融商品可以迅速發展，也使得金融市場蓬勃發展。斯時，信用衍生性金融商品之交易多依市場參與者所組成或設立之國際性協會或組織所訂定之規則或制度進行。 信用衍生性金融商品之主要目的為分散信用風險，其基本類型有信用違約交換、總報酬交換、信用價差商品、擔保債權憑證及信用連結債券，各基本類型又可單層或多層地架構在相同或不同的基本類型之上，而形成更複雜之商品。本文以信用衍生性金融商品之構成要素，說明信用保障之買方及信用保障之賣方從事信用衍生性金融商品交易之動機，及信用衍生性金融商品在櫃檯市場及集中市場交易之情形。 大部分之信用衍生性金融商品乃於櫃檯市場交易，而不於集中交易市場交易。櫃檯市場係由交易雙方達成共識後作成交易，依雙方所簽署之契約作為行使權利、負擔義務之基礎，外界難以窺探個別交易之詳情，對於整體信用衍生性金融商品之交易情形，亦難知梗概。因此，2008年金融風暴發生後，各國政府均認有對信用衍生性金融商品之市場交易秩序加以規範之必要，故針對信用衍生性金融商品為人詬病之交易不透明、資訊不對稱、交易相對人之信用風險及信用評等品質不佳等情形，討論改善方式。 准此，美國政府修正1934年證券交易法（Securities Exchange Act of 1934），要求信用評等機構揭露對結構型金融商品之評等方式，將完整及正確之重大資訊揭露與市場參與者，作為市場參與者從事交易之依據；另制訂暫時條例允許中間機構之設置，鼓勵市場參與者透過中間機構進行交易，以降低交易相對人之信用風險，更可進一步使交易資訊透明化。美國政府於2010年7月21日由總統正式簽署華爾街改革及消費者保護法（Dodd-Frank Wall Street Reform and Consumer Protection Act），首次對於櫃檯買賣之衍生性金融商品交易加以法律規範，並加強對信用評等機構及以資產為基礎之證券化商品之規範。新制定之法律是否可解決上述信用衍生性金融商品市場交易不透明等問題，同時又可維持金融市場之創新與進步，尚待市場考驗。此外，新法勢將影響市場參與者之既有獲利來源，如何使大多數之市場參與者欣然透過新的交易制度揭露相關交易資訊，將是執事者努力之目標。本文亦將介紹新修正法律之內容，並探討新法施行後可能對於信用衍生性金融商品市場造成之影響。

The history of credit derivatives can be traced back to as early as the 1990s. At the outset of the 21st century, the credit derivatives market flourished as a result of the policy of encouraging financial innovation and the absence of stringent regulations. At that time, all derivatives transactions were conducted in accordance with the rules and protocols of international associations, which were dominated by major market players. Credit derivatives, which were created to diffuse credit risks, include credit default swaps, total return swaps, credit spread products, collateralized debt obligations and credit-linked notes. One type of credit derivatives may, in a single or multiple layers, be embedded in the same or other types of derivatives to create complex financial products. This article addresses the motives behind the transactions and the trading conditions on the over-the-counter (OTC) and listed markets. Most credit derivatives transactions are conducted on the OTC market rather than the listed market. OTC transactions are characterized by the agreement between the parties to each transaction. As a result, the public is unaware of the terms and conditions of each transaction or the actual market condition. The 2008 financial crisis triggered the necessity of tightening the regulations on credit derivatives market in order to overcome the drawbacks of low transparency, asymmetric information, credit risks and poor quality of credit rating data. In 2009, the United States (US) amended the Securities Exchange Act of 1934, thereby requiring credit rating agencies to disclose to investors material and complete information on the procedures and methodologies for valuating structured financial products. In addition, temporary regulations were announced in order to encourage investors to trade through the central counterparties thereby reducing the counterparties’ default risk and facilitating the transparency of trading information. On July 21, 2010, the US president signed the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Act”), which is the first piece of legislation that regulates OTC derivatives transactions, and imposes further restrictions on credit rating agencies and asset-backed securities. It remains to be seen as to whether the Act could help to resolve the above-mentioned drawbacks of credit derivatives transactions and facilitate financial innovation simultaneously. As the new laws may affect the profit margins of traders, it is critical to identify ways to convince traders to disclose relevant trading information via the new trading system. This article explains the new legislations and explores their potential impact on the market.