资产证券化之发展趋势与台湾市场发展(1)

1資產證券化之發展趨勢與台灣市場發展廖咸興臺灣大學財務金融系/所2內容大綱前言國際資產證券化的趨勢國內資產證券化的啟示3前言總體環境之有利與不利因素不利因素：•經濟不景氣，利率低，金融機構資金充沛•融資動機減弱•證券收益率低投資動機減弱•證券化目的主要在know-how及bemarketleader•市場現象：量少種類，成長有限有利因素：國內金融機構結構債流動性危機•CBO，ABCP(bond)約50％4國際資產證券化的趨勢（1）被動管理(passive)進取管理(Aggressive)•金融資產證券化：•BalancepurposeArbitragePurpose•不動產證券化•外部管理內部管理•維持穩定追求成長（1990以後）•嚴格管制經營開放經營彈性（2001）5國際資產證券化的趨勢（2）均質性資產組合異質性資產組合依Truststructure•Self-liquidatingTrustv.s.RevolvingTrust•Stand-aloneTrustv.s.MasterTrust依風險暴露•Cash-funded•SyntheticMaturitymis-matchbetweenAssetandABS6國內資產證券化的啟示進取管理市場紀律與政策思考異質性資產組合信用風險技術的發展信託架構的進步立法與足夠的市場支持合成型產品衍生性商品市場的展7CDOIssuancebyPurpose23,157.539,715.538,207.745,917.841,965.051,230.148,624.969,617.980,934.975,382.81,825.03,146.13,878.81,569.95,851.49,399.92,358.620,270.56,596.914,129.4-10,000.020,000.030,000.040,000.050,000.060,000.070,000.080,000.090,000.02004-Q12004-Q22004-Q32004-Q42005-Q12005-Q22005-Q32005-Q42006-Q12006-Q2$MMArbitrageB.S81999.12美國總統柯林頓簽署成為正式法律新法從2001.1.1開始生效，迄今已經實施4年立法重點設立得成為課稅對象的子公司、擴展業務性質及範圍、適用特定限制子公司（taxableREITsubsidiary,TRS）使REIT在不危急法律地位下，透過完全持股的子公司提供承租人或其他人更具價值的服務。擴展業務範圍REIT可以提供特別服務、子公司得與他人從事合資企業適用特定限制TRS股份不得超過REIT總資產的20%、REIT與TRS間借貸及租賃交易的限制、並對其非常規交易課徵稅賦不動產投資信託現代化法案(2001)9Out.Bal.\Year959697989920002001200220032004200506Q2AUTO-ABS59.571.477.086.9114.1133.1187.9221.7234.5232.1219.7215.3CBO/CDO1.21.419.047.684.6124.5167.1234.5250.9264.9289.5291.6HELABS33.151.690.2124.2141.9151.5178.1286.5346.0454551.1564.7Cred.CardABS153.1180.7214.5236.7257.9306.3361.9397.9401.9390.7356.7354.459.571.477.086.9114.1133.1187.9221.7234.5232.1219.7215.31.21.419.047.684.6124.5167.1234.5250.9264.9289.5291.633.151.690.2124.2141.9151.5178.1286.5346.0454551.1564.7153.1180.7214.5236.7257.9306.3361.9397.9401.9390.7356.7354.40.0100.0200.0300.0400.0500.0600.0959697989920002001200220032004200506Q2AUTO-ABSCBO/CDOHELABSCred.CardABS10CDOIssuancebyStructureType18,807.825,786.736,106.938,829.940,759.651,152.645,316.770,548.077,776.276,215.46,174.717,074.95,329.78,657.97,056.79,247.45,666.918,950.39,755.612,124.3--650.0--230.0-390.1-1,172.5-10,000.020,000.030,000.040,000.050,000.060,000.070,000.080,000.090,000.02004-Q12004-Q22004-Q32004-Q42005-Q12005-Q22005-Q32005-Q42006-Q12006-Q2$MMCashFlowSyntheticM.V.11CDOIssuanceByMaturity20,495.129,611.434,023.938,771.443,381.354,223.147,632.779,916.473,514.387,052.54,487.413,250.28,062.78,716.44,435.06,406.93,350.99,971.914,017.52,459.7-10,000.020,000.030,000.040,000.050,000.060,000.070,000.080,000.090,000.0100,000.02004-Q12004-Q22004-Q32004-Q42005-Q12005-Q22005-Q32005-Q42006-Q12006-Q2$MMLong-termShort-term