美國次級房貸風暴對台灣金融資產證券化及 投資者之啟示Lessons of the Subprime Mortgage Crisis in the U.S. for the Development of Asset Securitization and Investors in Taiwan

美國於2004年起數度調高利率後，影響長期走高的房價，也引發了先前勉強購屋借款人之次級房貸的違約潮。在美國不動產抵押債權證券化將相關證券商品發售至全球後，美國國內單純的次級房貸危機竟波及至全世界之金融市場，相關的骨牌效應引起各國矚目。本研究先探究次級房貸風暴發生之原因，乃證券化架構使得放款銀行或貸款創始機構得以藉證券化機制移轉放款風險，而無需審慎查核貸款所導致之「道德風險」。其次針對我國「金融資產證券化條例」之架構進行探討與建議，包括要求放款金融機構在進行資產證券化時，應購回並持有部分具風險等級之證券，以避免道德風險之發生；以及放款查核之標準宜維持一致性，以避免因誤判趨勢而導致未來嚴重的違約損失等。所提建議對於未來推行金融資產證券化可有效防範類似風暴之發生。
關鍵詞：次級房貸、資產證券化、不動產抵押權證券、債權抵押擔保債券、道德風險

The subprime mortgage crisis that occurred in the U.S. in 2004 resulted in turbulence in worldwide financial markets. Subprime mortgages are risky mortgages with both high loan-tovalue and debt payment-to-income ratios, and low credit scores. The U.S. has experienced a long-term period of low interest rates since 1980. Low interest rates encouraged homebuyers to acquire risky mortgages, and pushed up the prices of real estate and mortgage-related securities. To cope with the rising inflation in 2003, the U.S. government thus drastically raised interest rates, consequently leading to the default peak of subprime mortgages and affecting the stability of global financial markets.This study points out that the subprime mortgage crisis was caused by the structural weakness of the mortgage securitization, namely, originating mortgages without holding them, and thus losing the motivation of due diligence. The author finally proposes a remedy to prevent similar crises from taking place, such as regulations requiring that mortgage originators hold some portions of risky securitized vehicles, and then maintaining consistency when screening mortgage applications. The suggestions proposed in this study may effectively improve the structural mechanism of asset securitization in Taiwan.
Key words: subprime mortgage, asset securitization, mortgage-backed security (MBS),
collateralized-debt obligation (CDO), moral hazard