金融資產證券化在籌融資管道上之運用—以科學園區作業基金為例

Abstract

「科學園區作業基金」為一非營利性質之作業基金，主要針對各科學園區的財務狀況進行調度與協調，使其達到收支平衡。作業基金之資金來源為政府年度國庫增資以及園區內營運收入。近年來全力推動各科學園區之建設，以致作業基金除自身投入龐大資本支出外，尚需向中長期資金融通來補足資金缺口，至民國92年底，作業基金負債額度已達新台幣515億元，在新園區擴建工程持續進行下，預估至民國99年負債餘額將達新台幣1,000億元。面對收支嚴重失衡的情況，作業基金必須重新探討財務規劃，研擬由其他管道進行融資之方式，解決當前之財務負擔，並加強流動性與安全性管理，提升營運績效。 本研究針對作業基金透過資產證券化方式融資進行探討，首先估計民國93年至99年之營運收入，以其為標的資產發行受益憑證；以Cox, Ingersoll and Ross (1985) 所提出之 CIR 利率模型模擬各期無風險利率，並參考國內外證券化案例後決定最終資金成本；利用蒙地卡羅模擬法，將未來營運現金流量折現，求得可籌措資金之理論價值；並針對模型中參數變動進行敏感性分析，使理論價值在變動範圍內更具參考性。 在求得可籌措資金之理論價值後，本研究將作業基金進行證券化融資前後，對作業基金現金流量之影響進行試算，得到以下結果： 1.作業基金進行證券化融資後，不論在資金成本、負債額度的減少及利息費用的節省方面，其財務效果均較證券化前（以中長期資金融通）為佳。 2.由於第一次進行證券化融資（民國93年至99年）之效果並不明顯，因此在相同假設條件下進行第二次證券化融資（民國100年至106年），結果發現其對於改善作業基金之財務效果明顯增加。 3.若作業基金能藉由增加證券化標的資產及次數，則可籌措更多之金額，不但可作為再融資之用途，甚至可以完全支應年度資本支出，對於改善財務狀況的效果更大，加快改善營運績效之速度。

The main goal of “The Science Park Proprietary Fund”, a non-profit operation fund, is to carry on the dispatch and coordination in view of the financial condition of each science park to achieve the goal of balance. The proprietary fund generates its working capital from government yearly budget as well as operation income of each science park. Due to the development of new science parks in recent years, the proprietary fund has invested a huge amount of capital outlay. Under the circumstance that the proprietary fund’s operation income couldn’t cover completely the capital outlay, the “long-term funding” was applied to make up the fund gap. As a consequence, the proprietary fund gets into serious debt crisis. In the end of 2003, the debt amount reached NT 51.5 billion dollars, and it is estimated to reach NT 100 billion dollars in 2010. This tough financial unbalance situation forces the proprietary fund to revise its finance plan and work out other ways to raise capital. It is also necessary to solve the financial burden and promote the operation performance. This research discusses the issues of asset-backed securitization financing to be employed by the proprietary fund to solve the capital shortage problem. Taking the operation income of each science park as target asset of securitization; the CIR interest rate model is adopted to simulate various risk-free interest rates. The Monte Carlo approach is applied to obtain the capital value via securitization. The results of the proprietary fund cash flow outcomes before and after securitization are compared. The main results are as follows: First, securitization financing improves that the financial effect of the proprietary fund cost of capital, total debt amount and interest expenses are all reduced. Second, the effect of financial improvement is ever larger if the securitization is rolling over again. Finally, the speed and improvement effect to balance the proprietary fund’s income and expenses would be faster and larger if the amount of target asset increase, and the frequency of securitization is more intensive.