| 摘要: | 資產交換交易早期是由國外引進來國內的一種信用衍生性金融商品,當時國內宥於對衍生性商品的知識不足, 主管機關亦因法令的不週延而不敢開放銀行承作相關的商品交易, 因此, 造成金融機構利用國際金融部(Offshore Banking Unit, 簡稱OBU) 的名義偷偷與外商機構承作, 結果下場大都是慘不忍睹。 美其名, 是銀行主動替政府做了經濟外交, 實際上是當了冤大頭。 本研究的目的主要是探討實務上資產交換交易的損益分析與風險控管, 以期產官學界都能對該金融商品有進一步的了解 。 本文中所介紹的題材, 主要是以實務上曾發生過的交易為參考依據, 資料的來源係收集許多金融機構所承作的國內外案例, 經過篩選後擷取不同的交易型態為探討之依據。 有些金融機構將資產交換當作是有價證券投資, 有些是當授信案件處理; 雖然資產交換是屬於資本市場的交易產品, 但基本上, 其性質就是一種放款結合利率交換與選擇權的交易, 只是其損益的評估與風險較一般的放款或投資業務來得複雜, 同時必須具備有相當程度的專業知識才能對該部位的風險掌握得宜。 也因為如此, 在新巴塞爾資本協定中(Basel II), 對於資產交換相關的交易產品在資本計提方面之要求有特別的規範, 顯示該項產品的重要性是全球公認的。 In the early years, Asset Swaps was a type of Credit Derivatives introduced to Taiwan by foreign financial institutions, at the time Taiwan financial market participants has insufficient know-how of the Credit Derivatives market hence the regulatory sited due to lack of legal binding regulations the door is shut for banks whom wish to conduct trading of such instrument. Later, financial institutions utilize Offshore Banking Unit – OBU, in the organization and traded under the table with foreign institutions, the result was a catastrophe. To sugar coat it, the banks initiated economic diplomacy on the behalf of the government free of charge, but in reality the banks were the loser. This research’s objective is to discuss practical issues concerning Asset Swaps profit and lost analysis and risk management, and enables industry, regulators and academia further understanding of the financial product in question. The material of this research paper is base on real incident that actually occur in trading scenarios. The source of the information and data were collected from various foreign and local financial institutions that had done the trading. After careful screening and selection, variations of trading samples will be use to compare and contrast. Some financial institutions sees Asset Swaps as a marketable securities investment, others utilize it as a loan or lending instrument. Although Asset Swaps belong to one of capital market transactions, but in principal, its characteristics consist a loan plus interest rate swap and option. The difference is the profit and lost analysis and risk is extra sophisticated than a loan or investment, at the same time one must posses substantial professional knowledge to manage the position and risk. The new Basel Accord (Basel II) stipulates that Asset Swaps related instruments in capital requirement or charge has specific terms and condition. This is evident that this product’s imperativeness is globally recognized. |
