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금융자산 유동화의 매각거래 판단기준: FAS 140 및 자산유동화법과 기업회계기준의 비교
유상열 ( Sang Lyul Ryu ) 한국회계학회 2006 회계저널 Vol.15 No.특별
본 연구는 FAS 140 및 우리나라의 자산유동화법과 기업회계기준에서 정하고 있는 진정한 매매(true sales)의 요건을 비교·분석함으로써 관련된 회계기준의 개정방향을 제시하기 위해서 수행되었다. 주요 연구결과를 요약하면 다음과 같다. 첫째, 자산보유자가 유동화증권에 대해서 직접보증을 제공하거나 후순위증권을 인수하는 구조에서는 일정수준 이상의 보증제공이나 후순위증권 인수비율에 대해서는 매각거래를 배제하여야 한다. 둘째, 도산위험 절연의 범위를 자산보유자 뿐만 아니라 자산보유자의 연결대상 관계회사까지 확대하여야 한다. 셋째, FAS 140의 적격SPE를 도입하게 되면 매매거래와 연결대상 SPE를 판단하는데 현재보다 명확한 기준을 제시할 수 있다. 넷째, 자산보유자가 유동화 금융자산에 대한 신용위험을 부담하거나 하자담보책임을 지는 경우에는 SPE에게 구상권을 부여하는 것과 동일한 효과가 있으므로, 자산보유자가 부담하는 신용위험이나 하자담보책임의 한도를 정할 필요가 있다. In this paper, the guidelines of improvement on Korean GAAP are proposed through comparison and analysis of the sales criteria that FAS 140, Securitization Law, and US GAAP regulate. Main results of this paper are as follows. First, under the circumstances where the originator provides direct guarantees on ABS, or buys subordinated ABS, it cannot be regarded as a sale if the amount of guaranteed ABS, or subordinated ABS bought exceeds a certain percentage. Second, the originator as well as it`s consolidated affiliates should be included in the remoteness of bankruptcy risk. Third, with the adoption of qualifying SPE in FAS 140, the criteria which transfer is a sale, or which SPE is consolidated could be more clear. Fourth, under the circumstances where the originator provides direct guarantee on ABS, SPE has recourse to the originator, thus, it is necessary that the amount of guarantee provided by the originator limits to a certain level.
유상열 ( Sang Lyul Ryu ) 한국회계학회 2007 會計學硏究 Vol.32 No.1
본 연구는 1999년부터 2005년까지 우리나라의 은행(시중은행과 지방은행)을 대상으로 예상이익이 적거나(이익조정가설), BIS자기자본비율이 낮은 경우(자본적정성비율관리가설), 또는 부채비율이 높은 경우(부채비율가설)에 후순위증권인수비율이 높은지를 검증하였다. 단일변량분석에서는 이익조정가설은 채택되지 않았으나 자본적정성비율관리가설과 부채비율가설은 채택되었다. 대손충당금적립비율과 후순위증권감액손실비율을 통제하고 회귀분석(OLS)을 실시한 결과에서는 부채비율가설만이 채택되었다. 즉, 비기대이익률(또는, 자기자본이익률)과 BIS자기자본비율은 후순위증권인수비율에 영향을 미치지 않았으나 부채비율이 높을수록 후순위증권인수비율은 높은 것으로 추정되었다. 본 연구의 결과는 은행의 대출채권 및 후순위증권의 회계처리에 대한 규제방향을 설정하거나, 감독기관의 정책입안에 도움을 줄 수 있다. Securitization is the process of transferring illiquid assets such as loans, mortgages, and leases to third parties. Banks use securitization as not only a source of funding but also a tool for regulatory and other purposes such as meeting analysts` earnings forecasts, regulatory capital, or debt covenants. Bank loans are transferred to a special purpose company (SPC) which issues multiple classes of asset backed securities (ABS) on the cash flows from the transferred loans. The senior ABS are sold to investors. The most subordinated ABS (SABS) are retained by the banks and they are usually large enough to insulate investors from all kinds of losses from the transferred loans. Figure 1 illustrates the basic structure of securitization. According to current accounting standards, securitization transactions can be accounted for as sales or secured borrowings. A transfer of loans in which the transferor surrenders control over transferred assets is considered a sale. In a sale, a bank removes those loans from the balance sheet. Securitizations that are accounted for as sales may be used to manage earnings, regulatory capital, and debt covenants. Bank executives have incentives to manage earnings using securitizations to affect contracts that rely on reported financial numbers. Under the Korean Banking Act, when a bank is in severe violation of capital requirement(such as the Bank for International Settlements (BIS) capital adequacy ratio), regulators can close the bank. Regulatory capital requirements have widely been proposed as a main motivation for securitization. Also, banks must maintain an adequate liquidity level and debt ratio to prevent a moral hazard problem caused by deposit insurance and other government`s guarantees. The purpose of this study is to investigate under what environments banks acquire SABS through securitizations. It is hypothesized that the portion of SABS to total securitization (SABS ratio) is negatively correlated with unexpected earnings and BIS capital adequacy ratio, but positively correlated with debt ratio The sample consists of 65 commercial and local banks between 1999 and 2005 (Table 2). In my research models, the dependent variable is SABS ratio, and the independent variables are unexpected earnings, BIS capital adequacy ratio, and debt ratio. The descriptive statistics are presented in Table 3. Table 4 shows the results of univariate tests. Even though earnings manage- ment hypothesis is statistically rejected, regulatory capital hypothesis and debt ratio hypothesis are accepted. In other words, the less the BIS capital adequacy ratio is, or the higher debt ratio is, the more SABS are found to be acquired. Furthermore, unexpected earnings are found not to be related with SABS ratio. Table 6 indicates the estimated results of the research models. This multivariate analysis supports the debt ratio hypothesis, but does not support the earnings management hypothesis and regulatory capital hypothesis. The insights gleaned from this paper can be helpful when regulatory authorities establish policies on banks` loan and SABS accounting practice.