我国资产证券化之架构设计与

場次：B1-2TheStructuralDesignofAssetSecuritizationTaiwan,andthePriceandPrepaymentRiskAnalysisofAsset-BackedSecurities－MortgageSecuritizationasanExample我國資產證券化之架構設計與相關證券價格及提前清償風險之分析研究---以不動產抵押權證券化為例TsoyuCalvinLin*（林左裕）AbstractKeyWords:MortgageSecuritization,Mortgage-BackedSecurity(MBS),CapitalAdequacyRatio(CAR),PrepaymentRisk,StrippedMBS,ConvexityThisstudyfirstlyexplorestheeffectofmortgagesecuritizationoncapitaladequacyratioandcurrentratioofthebankingindustryinTaiwan.Secondly,thepricemovementofmortgagesecuritiesinrelationtoprepaymentspeedisstudiedthroughnumericalsimulation.Finally,thestructuraldesignofmortgagesecuritizationsystemanddifferentschemesforissuingMBSsareproposed.ResultsshowthatmortgagesecuritizationcansignificantlyreducetheoperationrisksofthebankingindustryinTaiwan.Further,astheinterestratedeclines,thepricemovementoftheMBSisdifferentfromthatofcallablebonds,duetothepartialprepaymentofmortgagors.Thehighertheprepaymentspeedis,theclosertheMBSpricingbehaviortocallablebonds.*Assc.Professor,Dept.ofFinance,ChaoYangUniversityofTechnology,朝陽科技大學財金所副教授。Add.:#168,Gi-FengE.Rd.,Wu-Feng,Taichung,Taiwan,中縣霧峰鄉吉峰東路168號Tel:886-4-2332-3000x4212or7092,Fax:[phone]E-mail:[e-mail]-ChunLinforthedatacollectionofthebankingindustries,andMr.Tseng-ChiTsengforthesimulationanalysis.TheStructuralDesignofAssetSecuritizationTaiwan,andthePriceandPrepaymentRiskAnalysisofAsset-BackedSecurities---MortgageSecuritizationasanExample1.IntroductionAstherealestatemarketinTaiwanslumpedsince1992,banks’non-performingloan(NPL)ratioroseaccordingly.Thestabilityoffinancialsystemhasencounteredunprecedentedchallenge.Banks’averageNPLratioinTaiwanhasdramaticallyrisenfrom1%in1993to7%in20011.Astheexpectationtowardoveralleconomicgrowthstillremainspessimistic,thebankingindustryinTaiwanhasstartedtoharshlyscrutinizelendingprocessinordertoavoidanyriskyloanandkeepupthecapitaladequacyratio(CAR)requiredbytheBankforInternationalSettlement(BIS).However,harshscrutinyoftheloanrequisiteshasnotonlyblockedthecapitalinflowofnormallyoperatedcompanies,causingthembankruptcy,butalsoputthedecreasingpressuretothecurrentlowinterestratesduetooversupplyofthecapital.Thismighteventuallyleadtothesimilar“liquiditytrap”situationencounteredinJapanduringthe1990s.ThefinancialdisorderencounteredinTaiwanislikeJapan,called“domesticfinancialdebacle”,whichiscausedbytheprevioushigheconomicgrowthandtheresultingassetpriceinflation.Astheassetpricebubbleburst,thebankingindustrywhichoriginatedtheloansandfacilitatedtheinflationofthebubblehascontractedthelendingactivitiestopreventthedeclineofthecapitaladequacyratio.Thecontractingbehaviorhasinevitablyjeopardizedtheoveralleconomygrowthandfinancialstability.ThedecreaseofinvestmentandtheresultingsloweconomygrowthinthelongtermmightcauseeconomicrecessionthathashappenedinJapan.Oneofthesolutionstopreventthelendingcontractionandtheconsequentialrecessionisassetsecuritization.Asthebankingindustryisabletoselltheloansintheformofsecuritiestothecapitalmarkets,bankscanthustransfertherisksoflendingtothesecuritiesinvestors,andconsequentlyalleviatethepressureofthelendingcontractionbehavior.Normally-runcompanieswillthenbeabletooperatethroughtheplannedcapitalstructuringwithoutunexpecteddisturbance.Theeconomycanthuscontinuetogrowwiththeliquidityofcapital.AstheexampleoftheUnitedStates,themortgagesecuritizationinthe1960shadsuccessfullybailedoutthetroubledS&Ls.Bytheendof2001,over80%ofthesingle-familymortgagessecuritizedandsoldtothecapitalmarkets,andtheoutstandingtradedvolumeofMBShaveoutnumbered2500billions.Otherasset-backedsecurities(ABSs)wereover700billions.ThetotalamountofMBSsandotherABSshaveaccountedforover20%oftheoverallbondmarkets(Coles,1999;Kuhn,1990).Onthecontrary,Japan’sbankingindustryhasbeentrappedbytheNPLssinceearly1990s.ThespeedoffinancialinnovationsysteminJapanwasmuchslowerthantheslowdownoftheeconomy,missingthegoldenopportunityoffinancialinnovationandconsequentlyleadingtoliquiditytrapandlong-runrecession.Theoutstandingmortgageloansbytheendof2001inTaiwanwasoverNT2600billiondollars(1USD=33NTDin2001).If70%oftheofthemortgagescanbesecuritizedandsoldtocapitalmarketfrombanks’assets,aroundNT1800billiondollarswillbecomeliquidinthebankingsystemthroughsecuritization,equivalentto20%oftheGNPinTaiwanin2001.Therefore,assetsecuritizationwillbeoneofthemajordirectionstosolvethemalfunctionofthefinancialmarketsinTaiwan.Shouldthesecondarymortgagemarketsbesuccessfullydeveloped,andtheliquidityanddefaultrisksofmortgagesbereducedthroughgovernmentguaranteeorinsurancecompanies,thecapitalsupplyofmortgageloanswillconsequentlybesufficient.LendingrisksoriginallyassumedbythebankingindustrycanthusbetransferredtoMBSinvestors.Nomoretemporarysubsidizedlow-ratemortgagesprovidedbythegovernmentwillbenecessaryinordertobailoutthebankingindustryforthesakeoffinancialstability,mostlyduetothelargeamountofilliquidandnon-performingmortgageloansintheassetsofthebankingindustry.Thisstudyfirstlyexplorestheeffectofmortgagesecuritizationoncapitalade