증권시장 레버리지 비율 규제와 유동성 리스크 = Leverage Ratio Regulation in the Securities Market

다국어 초록 (Multilingual Abstract)

This study empirically analyzes the impact of derivative-linked securities andderivative-linked bonds on the liquidity of securities firms. To this end, a Panel Vector ErrorCorrection Model (PVECM) is estimated using quarterly data from 22 securities companiesthat issued derivative-linked products between the first quarter of 2021 and the secondquarter of 2025.
The empirical results show that as the funding structure of securities firms shifts fromderivative-linked securities to derivative-linked bonds, the latter has emerged as the keydeterminant of liquidity conditions. This implies that, in the event of a major shock in thefinancial market, securities firms with substantial exposure to derivative-linked bonds mayface heightened liquidity deterioration, potentially leading to direct risks for both the industryand consumers.
Accordingly, derivative-linked bonds should be subject to the same add-on ratio to totalassets as derivative-linked securities when calculating the leverage ratio. Furthermore,structural reforms are needed to reduce the industry’s excessive reliance on derivative-linkedproducts as a primary funding source. Supervisory authorities should also strengthen proactivemonitoring and management of securities firms whose market funding access may becomeconstrained due to worsening financing conditions.