| 摘要: | 論文摘要 抵押債權證券化(Collateralized Debt Obligation)是指以創始機構之債權為基礎，經過重新包裝而發行、分割成小單位受益憑證，用以籌募資金的金融商品，依照標的物資產的不同可分為貸款為主的抵押貸款受益憑證CLO(Collateralized Loan obligation))以及以債券為主的抵押債券受益憑證CBO(Collateralized Bond obligation)。 本論文研究的目的在於介紹國外以行之多年發展成熟的新金融商品—抵押債權受益憑證，透過信用評等機構、創始機構以及投資者角度等全方位探討本商品之結構與特性，最後並討論在過內法制下引進之可行性及建議，以促進國內金融市場更加蓬勃發展。 其內容包含CDO市場的發展現況、趨勢及介紹CDO的基本架構及市場主要參與人--創始機構、特殊目的機構、評等機構以及投資者所扮演的角色，並介紹目前市場上所採用的三種評價方法，分別為重新評等法、市場價值法及現金流量法。 爾後，透過PIM資產管理公司於2002年發行的CDO-- Prudential Leveraged Loan CDO 2002-II為例，檢視受益憑證實際運作的情況，透過重新評等法中的二向式分配法，重新評價優償債券之預期損失及相對應信用評等。 另外透過Prudential Leveraged CDO 2002-II案例，進行參數模擬分析，分別就違約機率、分散因子及回復率三因子的改變，模擬優償債券受益憑證預期損失以及信用評等的變化情況，並得到以下的結果﹔當違約機率提高時其他條件不變下預期損失將增加，信用評等下降；就分散因子而言，當分散因子提高其他條件不變下，預期損失將下降，信用評等提高；最後，對於回復率之模擬中得到，回復率與預期損失成反比，與信用評等成正比。 最後本論文第五章透過市場面分析，了解目前台灣何種資產類型適合證券化，並透過法令、會計及稅務面的探討，提出未來我國推動抵押債權憑證可能面臨挑戰。 法律問題如：1.債權移轉時是否需個別通知或公告為之即可，2.實買賣認定標準、相關處理原則；在會計處理上，金融資產移轉之會計處理，尚缺乏一般公認會計準則可以遵循，故為了推動金融資產證券化，國內應該擬定會計準則以供遵循；另外在稅務上債權移轉登記是否該徵收規費、手續費，以及就源扣繳稅之徵收可能使國外投資者意願降低，轉向不需課徵就源扣繳之國家等問題；以及當資產發生違約事件時，如何快速對不良債權作處理，以取得繼續支付受益憑證之現金流量，為受益憑證是否成左滬垠n關鍵之一。本論文將於第五章將針對以上相關議題進行探討。 Abstract The purpose of this dissertation is to introduce collateralized debt obligation issued by companies outside of Taiwan that have extensive experience in this type of transactions. We also extensively discussed the issuance of this CDO through perspectives of the issuers, the collateral managers, and the investors. We then discussed the feasibility of issuing these CDOs through our current legal system in Taiwan, and made recommendations regarding the way these CDOs should be issued in order to improve our financial market. Content includes the current development and trend of the CDO market. It also includes a careful look at CDO's basic structure and the market's main participants -- original institution, special purpose vehicle, rating agency, and investors. In addition, it contains detailed discussion of the three pricing methods that are used in the current market, ie. re-rating methodology, market value methodology, and cash flow methodology. Furthermore, through the CDO issued in 2002 by PIM asset management company – Prudential Leveraged Loan CDO 2002-II -- we examine the obligation's actual operation.Using the binomial expansion method, we re-evaluate senior bond's expected loss and equivalent . we also simulated the various changes in the expected loss and rating by varying default rate, diversity score, and recovery rate. Finally, through careful evaluation of our current legal, accounting, and taxation system, we made recommendations with regards to the different challenges our market may face when we begin issuing CDO. |
