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다국어 초록 (Multilingual Abstract)

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.

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참고문헌 (Reference)

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