Market Valuation of Banks' Loan Securitizations Disclosures

Abstract

由於美國財務會計準則公報第140號以控制權移轉作為證券化資產之出售會計的處理依據，本研究旨在探討資本市場對於證券化資產之評價是否與企業遵循會計準則之表達一致。自銀行申報主管機關之合併報表揭露資訊中，本文實證結果發現：(1)不論從事證券化活動之銀行是否持有具高風險之保留權益，投資人對於銀行以出售會計而除列於資產負債表之證券化放款以表上資產予以相似評價；(2)當銀行從事證券化活動而持有高信用風險之係留權益時，市場將視銀行保有之風險程度而於股價部分反應之；(3)放款特性隱含之不同信用風險的外部可驗證性亦將影響投資人將證券化放款視為表上資產之評價程度。本研究除發現表外活動之訊息有用性外，為提供投資人透明與攸關資訊，準則單位應在原則式準則的修訂方向中審慎思考適當之會計處理以反映交易之經濟實質。

This study aims at investigating how the capital market prices securitized loans, as they are accounted for as off-balance sheet assets under Statement of Financial Accounting Standards No. 140. From the regulatory reports of bank holding companies, this study provides evidence in three aspects: (1) investors perceive banks' securitized loans with similar value to other on-balance sheet assets, (2) riskiness of contractual interests residing with the securitizing banks partially affects market pricing on transferred loans, and (3) characteristics of loans implying differential levels of external verification of credit risk have a great impact on investors' perception of loan securitizations as secured borrowings. Findings of this study address the usefulness of off-balance sheet activities disclosures. Moreover, how to properly account for transactions, such as securitizations, to reflect their economic reality is important as standard setters adopt the principle-based concept in revising accounting standards for providing transparent and relevant information to investors.