聯合投信事件後對台灣債券共同基金報酬與結構之影響

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Title:	聯合投信事件後對台灣債券共同基金報酬與結構之影響
Other Titles:	The consequences of the United Securities Investment Trust Co. event on the returns and structure of the Taiwanese fixed income funds 聯合投信事件後對臺灣債券共同基金報酬與結構之影響
Authors:	莊秋智;Chuang, Chiu-chih
Contributors:	淡江大學財務金融學系碩士在職專班林允永;Lin, Yun-yung
Keywords:	債券型基金;報酬;績效;Bond Funds;Return;Performance
Date:	2007
Issue Date:	2010-01-11 00:46:55 (UTC+8)
Abstract:	於2004年6月下旬爆發博達、衛道等公司財務周轉不靈事件，致使聯合投信為調整債券型基金債券投資部位，造成債券型基金淨值下跌，引爆整體債券型基金市場的恐慌性贖回，形成債券型基金流動性風險，也挑起長久以來隱藏在債券型基金「掛帳」、「作價」之弊端，並觸動結構式債券所產生的利率性風險。主管機關主動介入，提出「三評制度」、「七道防線」防止債券型基金規模全面潰堤以避免流動性風險，鼓勵業者「拆解結構式債券」化解流動性風險、強制「分流制度」導正為貨幣市場基金，一連串的動作順利化解可能發生的金融風暴。聯合投信事件後，債券基金投資報酬率呈現下跌情況，主要原因有幾點：一、債券型基金遭受投資人大量贖回，債券基金為支付投資人贖回款，及維持基金流動性，拋售債券投資部位，造成債券型基金債息收入短收所致。二、債券基金持有反浮動債券與結構式債券，當市場利率上揚時，連結標的利率亦上揚，其債券收益呈現下跌；於2004年6月FED升息，帶動LIBOR利率上揚，債券型基金持有之結構式債券收益下跌，債券價格下跌。三、債券型基金「作價」後遺症，債券投資部位實際收益已提前實現，在聯合投信事件發生後，已嚴禁「作價」。四、主管機關順勢（聯合投信事件）導正債券基金長久以來不當的行徑（掛帳、分券、作價…），主導債券評價制度、基金分流制度等等。綜合而言，聯合投信事件不僅影響債券基金投資報酬率，更深遠徹底改變債券基金的結構、導正整體債券基金，促使債券型基金良性發展，並徹底改變投信業未來的生態，對國內投信業影響深遠。 In July of 2006, the United Securities Investment Trust Co. was forced to adjust their bond positions ；generating a series of negative effects starting from an immediate raise in redemptions, a big decline in bond fund prices and at the same time exposing to the public many questionable trading, accounting and pricing processes. Domestic authorities intervened in this crisis ending up with a solution based on “three analysis processes and seven defensive barriers’, to prevent the liquidation of bond funds and minimize the liquidity risks. The authorities encouraged the market to clear the positions in structured notes and forced the bond funds to turn into money market to diminish the liquidity risks. After the United Securities Investment Trust Co. scandal, the bond fund returns declined because of the following reasons: 1.High amount of redemptions caused the sell off of the bonds, limiting the income from interests. 2.The bond funds at that time held structure notes and reverse floaters, where in an increasing rate situation caused loss of the price of the positions. 3.Many bond prices were not registered at market prices, reflecting a questionable trading and accounting processes. 4.The authorities determined that the scandal was caused by a series of irregular practices of trading, account splitting, accounting, pricing and others. The United Securities Investment Trust Co. scandal not only affected the bond funds performance, but deepened the changes of the structure of bond funds in Taiwan, leading the domestic bond market into a healthier path and improving the management of the fixed income funds.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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