有鑒於新巴塞爾資本協定的實施對銀行業之營運有重大的影響，本文依Basel II對金融資產證券化的規範為基礎，以國內金融資產證券化個案進行分析。研究主要發現為：創始機構在資產證券化的發行架構之下，常保留未評等或順位較低的證券化券次，以作為優先順位的內部信用增強機制，但在新資本協定實際後，創始銀行必須提列更多的資本，降低銀行資本的運用效率及獲利，因而影響金融機構資本計提與發行意願；國內金融機構因為自行建置內部模型的能力不足，使得金融資產證券化的成本提高，對國內金融機構在國際金融市場上的競爭有不利的影響。準此，本文提出的建議為：國內金融機構可透過共同機構建立風險資料庫，以降低建置成本，提升金融機構風險管理能力及資產證券化的意願；解決證券化的扭曲誘因，應從修改法令強制將部分風險最高的證券化資產不得透過資產負債表外化的方式列帳，以降低創始機構證券化業者將高風險性資產表外化規避資本的計提；針對同時提供合格流動性融資額度並投資該證券化商品的銀行，降低資本計提，以提高金融機構參與證券化市場的意願。 / In June 2004 The Basel Committee on Banking Supervision announced to enforce the New Capital Accord (Basel II,), which revised the requirements upon securitization of financial assets. The Basel II requires financial institutions to allocate more paid-in capital for trading of securitized products. The revision of the Basel II will impact seriously the banking business. It really is a worth topic to study for banking industry.
In view of a great effect upon banking operation caused by the Basel II, this paper deeply analyzes the issue of securitization of financial assets under the basis of the Basel II regulations. The results show that under current framework, the initial issuers of securitized products may hold the unrated or low-grade tranches to be as credit enforcement tools. But under the new regulations of the Basel II, if the initial issuers hold the low-grade tranches purposely, they should allocate more paid-in capital for the holding, which should decrease the efficiency of capital utilization and deteriorate the performance of business operations.
According to the research, We have the following suggestions : (a) The data warehouse which collects risk factors of default events should be set up by local financial institutions together. All it’s sponsors can share the abundant information in the warehouse, that will move up local banks’ ability to control their credit risk and reduce the cost of risk control operations. (b) The revision of regulations upon securitization of financial assets should be put into action, to prohibit the initial issuers from cutting off the low-grade tranches into off-balance sheet securities, that would compel the initial issuers to maintain their regulatory capital enough. (c) Financial institutions which invest in securitized products or to be suppliers of credit lines in securitized products trading, should be allowed to keep lower capital adequacy ratio to encourage them to participate in securitization market.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0093921041 |
| Creators | 洪綜信 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0028 seconds