Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/141665
|
| Title: | 論我國附條件交易之市場發展與問題探析
A Study of Developments and Obstacles in Repo Market of Taiwan |
| Authors: | 張惠婷
Chang, Hui-Ting |
| Contributors: | 馮震宇
張惠婷
Chang, Hui-Ting |
| Keywords: | 附條件交易
附買回
附賣回
債券
影子銀行
金融海嘯
前手息案
買賣說
融資說
款券同步交割
保管條
債券存摺
擔保品管理
collateral management
repurchase Agreement(Repo, RP)
reverse repurchase agreement (RS)
bond
shadow banking
financial crisis
legal issue with tax application for bond yield derivative
financing method of Repo
outright trading method of Repo
DVP settlement
Repo Receipt |
| Date: | 2022 |
| Issue Date: | 2022-09-02 15:10:33 (UTC+8) |
| Abstract: | 附條件交易橫跨資本市場及貨幣市場，是我國債票券之重要次級市場交易工具，市場參與者可透過該交易進行資金之融通與貸放；附條件交易亦是央行調節貨幣市場流動性之主要手段，讓央行有效地宣示市場利率目標，故附條件交易同時為市場貨幣政策之重要機制。因此，建立健全的附條件市場機制，不僅有利於資本市場的活絡，亦可達到穩定市場資金流動及利率水位之目標，對於我國整體金融市場之發展，扮演重要的角色。
附條件交易源於歐美市場，並隨著時代發展演進，該交易型態結合了證劵出借、槓桿投資基金融資及借劵、交易商間附買回交易、以及附買回交易融資，已建立完整而複雜且各型態互相串聯之市場運作模式，因此也被列名為影子銀行(或稱影子金融)體系的一環，並迅速發展。2008年金融海嘯爆發，附條件交易被視為造成風暴的主要交易工具，世界各國之金融監理單位改以高度監理的態度，規範附條件交易市場，希望達到保護投資人並兼顧市場效率及穩定，以防止金融危機再度產生。
根據本研究發現，健全之附條件交易市場架構，應具備五個要素，包括完整的法令規範、明確的會計處理原則、款券同步交割DVP體系、擔保品價值重估機制以及搭配保證金制度。然而，我國之附條件交易因僅限於債券與票券為交易標的，市場規模較小，除了曾經發生楊瑞仁國票案之重大違約事件外，目前僅有附條件交易之標的債券孳息衍生之前手息案，曾引發國內就附條件交易之法律性質探討，惟市場未對於我國附條件交易之作業架構及未來發展性，進行進一步檢討分析。本研究針對我國附條件交易實務提出兩大議題：(一)探討國內未走向全面款券同步交割DVP體系之原因與障礙、(二)探討保管條(債券存摺)取代標的證券交付所產生之擔保性不足以及無法落實擔保品管理之發展。
本研究認為我國附條件交易在國內體制下運行已多年，市場應已更宏觀的角度去思考附條件交易之未來發展，以及藉由附條件交易之活絡促進債券市場發展的可能性。藉由分析國外附條件交易制度與市場管理規範作為他山之石，並檢視我國票券市場之作業經驗，主管機關應協助市場進行以下改造升級：首先，應將附條件交易導入款券同步之交割模式，以建立健全且透明的交割作業，促使證券商之金流管理更為嚴謹，進而提升附條件交易之多元性，走向不同交易型態之串接；其次，搭配前項款券交割之精神，以及債券已全面無實體發行之良好基礎，回歸附條件交易之標的證券交付應採用買賣斷而非保管條(債券存摺)，以落實對附條件交易買方之保障；最後，研議發展附條件交易之標的證券擔保品管理機制，借鏡國外第三方擔保品管理之發展經驗，促使我國債券市場落實擔保品管理的服務機制，亦可進一步活絡我國債券市場發行。
我國附條件交易倘能透過上述之升級改造，將更趨健全完整、與國際交易市場接軌，並在債券擔保品發展成熟後，亦可再更進一步探討與國外擔保品掛牌交易機制之串接，使得我國金融市場之發展腳步，能不斷精進，與國際市場共同成長。
Repurchase agreement (Repo) is well performing in the capital market and money market. It is an important trading instrument in Taiwan’s secondary market for bonds and notes, through which market participants can finance and lend funds. Repo is also an important mechanism for money market that it is used for balancing the liquidity of money market, and used by Central Bank to deliver its target rate of Funds. Therefore, the establishment of a sound Repo market facility not only benefits the capital market, but stabilized the liquidity and interest rate level of the market.
Repo originated in Europe and America, and it has combined securities lending segment, leverage investment fund financing and securities borrowing segment, inter-dealer repo segment, and repo financing segment. Those segments are linked and the transaction flows are interact with each other, thus Repo in general was categorized into the shadow banking system. For the financial crisis in 2008, repo was regarded as the key trading instrument that took all the blames. The monetary regulators around the world changed their attitude to regulate the Repo market with a high degree of supervision, hoping to achieve investor protection, to manage the market efficiency and stability, and also to prevent the financial crisis from happening again.
According to the findings of this study, a sound market structure for Repo market should have five key elements, including comprehensive regulations, clear accounting principles, DVP system for settlement, collateral management, including margin call mechanism. However, Repo in Taiwan is limited to bonds and notes market which is relatively small, and except for the scandal of International Bills Finance Corporation in 1994, there is only one legal issue with tax application for bond yield derivative that brought up market discussion for Repo’s legal condition. Therefore, this study proposes two major discussions in Repo market of Taiwan: (1) to explore the reasons and obstacles for not moving towards DVP settlement system; and (2) to discover the legal risk of the Repo receipt and how it disable the development of collateral management in bond market of Taiwan.
In this study, we believe that Repo in Taiwan has been operating for many decades but not moving forward, and it’s time for the market to consider the future development of Repo Market with a broaden perspectives, and by doing this, it might help the development of bond market at the same time. By analyzing the Repo mechanism in foreign market and reviewing the operation experience of Taiwan`s Notes market, our regulatory authorities should lead and encourage the market to make the following improvements and upgrades of Repo market: First, to make the DVP settlement as mandatory to establish a sound and transparent delivery model, which will direct securities dealers to enhance their cash flow management by escalating its control of insufficient fund. Secondly, to equally protect the buyers, Repo should make the delivery of underlying securities instead of using the Repo Receipts. Lastly, to create the collateral management mechanism subject to Repo Financing by leveraging the experience of third-party collateral management from foreign market.
With above transformation for Repo in Taiwan, our Repo Market will become more sound, and be in line with the international market. Additionally, when the collateral management with bond market is mature, we can further explore the connection with the foreign collateral listing and trading mechanism, so that the development of our financial market can be continuously improving and growing together with the world. |
| Reference: | 謝在全，民法物權論(上冊)，第七版，2020年9月。
王澤鑑，債法原理—基本理論、債之發生、契約、無因管理，2021年3月。
留敬中，附買回交易之法律關係及違約效果—以貨幣市場交易為中心，私立東吳大學法律研究所碩士論文，2000年6月。
劉韋廷，我國金融商品稅負之探索，國立政治大學會計系碩士論文，2009年6月。
李燕鈴，債券附條件交易課稅之探討，私立中原大學財經法律研究所碩士論文，2004年，6月。
梅文欣，影子銀行法律問題之研究，東吳大學法學院法律學系碩士班，2013年7月。
李岳庭，證券借貸與公司治理，國立台北大學法律學系碩士論文，2018年7月。
陳慧明譯，附買回市場對中央銀行的啟示，國際金融參考資料第四十七輯，2002年。
黃寶霞、邱至平，公債附買回交易實務–「2011年PIMCO Institute and Central Bank Week中央銀行出國報告」，2011年12月。
俞明德、張嘉倩、楊智元，中華民國證券商同業公會委託專題研究「開放股票附買回/附賣回交易之可行性研究，2016年1月。
曹素燕、王銘祥、陶幼卓、劉珮瑩、江慧賢、李克恭、劉應寬，固定收益商品附條件交易交易結算交割制度之研究，集保結算所，2009年12月。
屠美亞、岳夢蘭，機構投資人運用跨境擔保品管理服務探討，集保結算所，2020年。
李賢源、陳業寧，台灣公債OSRS式保證金交易之最適契約，中國財務學刊，第5卷(2)，1997年10月。
李桐豪，債券市場發展對貨幣政策之影響，中央銀行季刊，第23卷第1期，2000年。
封昌宏，債券附條件交易課稅新論，稅務旬刊，第1845期，2002年12月。
王煦棋、留敬中，從美國案例探討我國附買回交易之違約效果，存款保險資訊季刊，第17卷第1期，2003年，9月。
朱麗雯，債票券附買回交易買賣說與融資說，證券暨期貨月刊，第24卷第9期，2006年9月。
許溪南、王家美，2008全球金融海嘯之起因、影響與教訓，證劵櫃檯，No. 144，2009年。
林劭杰，台灣地區銀行業抗循環資本初探，金融聯合徵信雙月刊，第十七期，2011年。
張文毅，有價證券借貸的演進、現況及建議，證劵服務期刊，第615期，2013年7月。
莊萱如、甘雯綺譯，認識影子銀行的固有風險：入門與實務經驗，國際金融參考資料，第六十六輯，2014年，4月。
張文毅譯，全球證劵借貸與附買回交易市場概況，證劵服務期刊，第628期，2014年8月。
林主恩，美國Dodd-Frank法及Fed總體審慎措施，央行研究報告，2014年。
于永寧，我國影子銀行監管法律制度的反思及重構—美國的經驗及其借鑒，法商研究，第四期，2015年。
Gilmore v. State Board of Administration of Florida, 382 So. 2d 861 (Fla. 1st DVA 1980)
In re Lombard-Wall Inc., 48 B.R 986, United States District Court, S.D. New York. (1985)
SEC v. Drysdale Securities Corp., 606 F. Supp. 295 (S.D.N.Y. 1985), rev’d, 785 F 2d 38 (2d Cir.) cert. Denied, 106 S. Ct. 2894 (1986).
Tobias Adrian, Adam B. Ashcraft, Shadow Banking Regulation, Federal Reserve Bank of New York Staff Reports, no. 559 (2012)
Financial Stability Board, Securities Lending and Repos: Market Overview and Financial Stability Issues—Interim Report of the FSB Workstream on Securities Lending and Repos, April 27 (2012)
Peter Alfredo DiMatteo, Dodd-Frank and Repo: The Mandate to Nowhere, 10 Rutgers Business Law Review, Vol 10, no 1. p.102-122 (2013)
Iris H-Y Chiu, Transcending Regulatory Fragmentation and the Construction of an Economy-Society Discourse: Implications for Regulatory Policy Derived from a Functional Approach to Understanding Shadow Banking, Journal of Corporation Law, Vol 42 . p327-358 (2016)
Philipp Paech, Repo and Derivatives Portfolios Between Insolvency Law and Regulation, LSE Law, Society and Economy Working Papers, London School of Economics and Political Science Law Department (2017)
Thomas Keijser, Financial Collateral Arrangements in the European Union: Current State and the Way Forward, Uniform Law Review, Vol 22, no 1, p258-300 (2017).
Paolo Saguato, The Liquidity Dilemma and the Repo Market: A Two-Step Policy Option to Address the Regulatory Void, Stanford Journal of Law, Business & Finance, Vol 22, no. 1, p85-146 (2017)
Songjiwen Wu, Hossein Nabilou, Repo Markets Across the Atlantic: Similar but unalike, SSRN Electronic Journal (2018)
Clearstream Banking S.A., Cmax product guide (2018)
Jeremy C. Kress, Patricia A. McCoy & Daniel Schwarcz, Regulating Entities and Activities: Complementary Approaches to Nonbank Systemic Risk, Vol 92, no. 6, p1455-1528 (2019)
Dalit Flaiszhaker, Dissonance in Global Financial Law , Deakin Law Review, Volume 24, p61-100 (2019) |
| Description: | 碩士
國立政治大學
法學院碩士在職專班
104961001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104961001 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201349 |
| Appears in Collections: | [法學院碩士在職專班] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 100101.pdf | | 3209Kb | Adobe PDF2 | 121 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
