揭穿金融資產證券化之面紗－二檔民國95年後發行金融資產證券化受益證券架構之分析

To Uncover the Guise of Securitization: Analysis of Two Securitized Notes Issued After 2006

10.6985/TBFQ.201006.0069

王慧綾(Hui-Ling Wang)

金融資產證券化 ； 創始機構 ； 真實出售 ； 要物契約 ； Securitization ； true sale ； originator ； real contract

台灣金融財務季刊

11卷2期（2010 / 06 / 01）

69 - 98

繁體中文

民國94年後，金融主管機關為處理結構債問題，開放外國債券得作為金融資產證券化之資產。當時常見之包裝模式乃資產池由50%新台幣債券搭配50%外國債券組成之「雞尾酒療法」受益證券。本文以二件「雞尾酒療法」資產證券化架構之設計為例，說明其共同特徵：一是創始機構未曾持有資產，尤其外國債券之移轉非由創始機構現實交付，創始機構亦不收取對價，因此創始機構恐屬借名交易之名義人。至於實質創始機構是誰，經由比對信託契約、金融資產證券化受益證券公開說明書及外國債權公開說明書，可發現：對於資產池中之新台幣債券，實質創始機構通常是名義上創始機構之前手「新台幣債券原始出賣人」；對於資產池中之外國債券，則無實質創始機構。蓋受託機構將受益證券投資人之資金交付外國債券發行人；外國債券發行人將債券直接交付受託機構，款券交割均不經創始機構之手。在此安排下，創始機構之「金融資產證券化」恐變質為投資人之投資信託基金。尤其金融資產證券化恐被用以規避證券投資信託之資訊揭露之相關規範。

During the period between 2005 and 2007 emerged a ”cocktail” model of financial asset securitization: half of asset pools were NTD denominated structured notes and the other half USD denominated securitized notes or principal protected notes. The ”cocktail” structures had these characteristics in common. First, originators were not asset owners. Second, securitized notes were issued on or even several days before the USD denominated notes, part of the asset pool, came into existence. Third, the USD denominated notes were transferred by foreign issuers to trustees in Taiwan without any actual delivery by the originators and the latter received no consideration, either. We may wonder who the real originators were and whether the asset transfers in such a structure complied with the rule of True Sale. Through a careful study of trust agreements, the prospectus of the securitized notes issued pursuant to Financial Asset Securitization Act and the prospectus of USD denominated notes, it is found that the ”original seller” in the securitization structure could be the real originator with regard to NTD denominated structured notes. However, no real originator was found in respect of USD denominated notes: they were transferred to the trustees, once issued, to raise fund in Taiwan. Many of ”cocktail”-type securitized notes incurred significant loss as the Foreign Notes in their asset pools were in default and some lessons should be learned. In particular, originators who are not asset owners have no motivation to care for asset quality. If such nominal originators are allowed, moral hazard would increase and securitized notes would become risky instruments. Moreover, the ”cocktail” models of securitization structure could serve law evasion. Whether they are deceitful or misleading would be interesting test cases.

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