新巴塞爾協定對資產證券化之衝擊
Date Issued
2004
Date
2004
Author(s)
鄭篆箋
DOI
zh-TW
Abstract
The New Basel Accord (Basel II ) will be carried out by the end of 2006. As the release of the New Basel Accord, numerous domestic papers and periodicals have discussed related issues, however, most of the discussions were concentrated on the main frame of the New Basel Accord—three pillars, and few were related to the capital treatment of securitization under the New Basel Accord and the impact of the New Basel Accord on financial industries with securitization positions. Besides, the development of securitization market in our country is on the initial stage, therefore the impact of the New Basel Accord on our securitization market is worthy of deeper research in order to improve the competency of our financial industries and management ability of supervisors.
The definition of the securitization activities in New Basel Accord is stricter and it is more difficult for originators to achieve the objective of off-balance sheet, and it may increase operational cost as well. Furthermore, the differences in treatment of securitization exposures held by originators and investors will cause “capital arbitrage”. Moreover, there is still a gap for domestic financial institutions to use the internal ratings-based approach (IRB approach) to charge the capital requirements of securitization exposures for the lack of historical database of risk assets, and it may influence the ability of financial institutions of our country to compete with foreign ones and even squeeze the survival space of small domestic banks.
The impact of the New Basel Accord on the motives of originators which securitize their risk assets are as follows: First, the capital requirements of originators will increase and affect the motives of balance sheet management. Second, more complicated regulations of the New Basel Accord will raise the cost of securitization raise. In addition, higher-risk-sensitive capital treatment on securitization positions under the New Basel Accord will enhance the incentive for financial institutions to invest in securitization positions with high credit ratings and reduce the incentive to invest in those with low ratings. Finally, we will provide some suggestions for domestic financial industries and supervisors.
Subjects
資產證券化市場
新巴塞爾協定
Assets Backed Securitization
Basel II
New Basel Accord
Type
thesis
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