證卷化誘因機制之問題與改革

The Issues and Reforms of Incentive Mechanism in Securitization

10.6543/JMC.2016.0101.05

邱天一(Tien-I Chiu)

證券化 ； 誘因機制 ； 信用評等 ； 風險保留 ； 創始機構 ； Securitization ； Incentive Mechanism ； Credit Rating ； Risk Retention ； Originator

管理與法遵

1卷1期（2016 / 01 / 01）

91 - 131

繁體中文

2007 年下半年開始，美國因房市泡沫發生次貸危機，隨後延燒到全球金融市場，導致2008 全球金融海嘯。次貸危機、金融危機形成的原因眾多，包括利率反轉、房市泡沫、資產減損、不當風險管理等，其中證券化被視為美國次貸危機演變為全球金融海嘯的主因，縱使如此，國際監理組織與主管機關並未否定證券化之價值，而是對其缺陷提出檢討，其中，銀行從傳統「創始並持有」的作業模式，演變為「創始並銷售」，將信用風險移轉給投資人，引發不當誘因問題，廣為各界認為是證券化將來改進的核心問題。金融危機後，美國、歐盟二大證券化市場，分別提出證券化法制的改革，導正誘因機制為主要的改革重點，另巴賽爾銀行監理委員會、國際證券管理組織、國際清算銀行等國際金融、證券及保險等組織，於2011 年7 月，以「共同論壇」的名義，發表「證券化誘因報告」，詳述危機前證券化的不當誘因問題，以及危機後各國檢討與改進方向，並提出政策建議，供各國監理機構參考。本文即以證券化的誘因機制為議題，介紹國際間關於誘因機制之相關分析與討論，並就我國證券化關於誘因機制問題之法制與實務提出檢討與改進。

Starting in the second half of 2007, the U.S. subprime mortgage crisis sparked and triggered widespread disruption of the global financial system in 2008. The subprime mortgage crisis and global financial crisis can be attributed to a number of causes, including the reversal of interest rate, the burst of real estate bubble, the impairment of assets, improper risk management and among others, securitization. Securitization was blamed for the main cause of subprime mortgage crisis turning into global financial crisis. Notwithstanding, instead of denying the value of securitization, the international monitory organizations and government authorities examined the deficits of securitization. One of these deficits was that the business model of bank system changed from traditional ＂Originate-to-Hold＂ to ＂Originate-to-Distribute,＂ caused the credit risk transferring to the investors and invoked the issues of misaligned incentive. The misaligned incentive in securitization was considered the core issue for the reform of securitization in the future. After the financial crisis, the U.S. and European authorities made securitization legislative reforms respectively, the key point of reforms was the alignment of incentive in securitization. In July 2011, Basel Committee on Banking Supervision (BCBS), International Organization of Securities Commissions (IOSCO), Bank for International Settlement (BIS) and International Association of Insurance Supervisors (IAIS), in the name of ＂Joint Forum＂, published ＂Report on Asset Securitization Incentives,＂ specifying the problems of misaligned incentive in securitization before the crisis and the reforms in the worldwide after the crisis, and provided policy recommendations. This essay is focus on the issues of incentive mechanism in securitization, introducing the analysis and discussions relating to the incentive mechanism in the worldwide, then examining securitization incentive mechanism in Taiwan and providing recommendations.

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