Determinants and Risk Implications of Financial Asset Securitization Activities Engaged by Originators: Evidence from U.S. Bank Holding Companies

作為金融資產證券化之創始發展國家，美國自1970年發行第一件房貸抵押證券後，由於此一金融商品的結構化設計對各方參與機構帶來之效益，因此市場蓬勃發展。然而，擁有龐大金融資產之銀行面對擔任創始機構自證券化市場所能獲得之潛在利益，其相關考量為何，過去研究並無深入的討論。因此本文以兩部分分別探討美國金融控股公司作為創始機構從事資產證券化活動之誘因以及對其風險之影響。 對於銀行而言，過去介於借款者與投資人間之垂直整合經營模式以及以利息收入為主的獲利來源，受到證券化之創新架構與交易安排的巨大衝擊，因此證券化活動的從事與否成為銀行重要的管理決策。本文從資本規範、公司規模、資金流動、證券化效益、資金成本與風險管理六大方向，探討銀行作為創始機構從事證券化活動的決定因素。實證結果發現，從事證券化之創始銀行與未從事此一活動的銀行間存在不同之財務特性，此財務特性包括資本適足率、公司規模、貸款比率、存款比率以及證券化利益。 此外，創始銀行在證券化過程中，因金融資產的出售而移轉經濟資源，然而經濟風險是否伴隨資源而加以移轉，近來已成為管制機構高度關切的問題。為了解創始機構從事資產證券化所產生的風險影響，可由資產結構因資源移轉加以重新配置所能降低之風險，以及創始銀行因提供信用增強功能與道德追索權所產生的風險提升兩方面予以探究，實證結果發現，資產證券化對於創始銀行的總風險與系統風險確有提升之影響。Financial asset securitization in the U.S. has been expanding in tremendous pace since its inception in 1970. The creation of innovative structures of securitization provides banks with a new avenue to operate businesses by breaking the vertically integrated intermediation process into distinct steps. In contrast to their traditional role as intermediaries between borrowers and investors, banks can evaluate which steps in the securitization process they possess the competitive advantage and focus on a limited number of roles. For exploring the originating banks’ behavior on securitization, this study investigates two related issues – determinants and risk implications of securitization activities – by using a sample of U.S. bank holding companies from 2001 to 2004. First, in view of the current and potential growth of securitization, whether to engage in securitization and on what extent have been becoming the important policy choices faced by banks. A number of key factors are examined for the determinants of banks’ securitization decision. Results from tobit estimations reveal that capital constraints, scale economies, funding and liquidity, and enhanced income drive banks’ use of securitization. Second, a net risk transfer occurs when a securitization transfers more risk than economic resources. To investigate the impact of securitization on next quarter’s bank risk, this study performs total risk and priced risk tests. Regression results show that both risks are increased after securitization. Thus, risk decreases from diversified asset portfolio are outweighed by risk increases from credit enhancement and moral recourse provided by originating banks. Net risk transfer does not occur even economic resources are transferred off the originators’ books.Abstract Determinants of Financial Asset Securitization Activities Engaged by Originators: Evidence from U.S. Bank Holding Companies 1.Introduction…………………………………………………… 1 2.Institutional Background…………………………………… 6 2.1 The Origins and Development of U.S. Securitization Market ……………………………………………………… 6 2.2 The Mechanics of Securitization……………………… 9 2.2.1 The Process of Securitization……………………… 9 2.2.2 The Structures of Securitization…………………… 12 2.3 Accounting for Securitization………………………… 13 3.Literature Review…………………………………………… 15 4.Hypotheses Development……………………………………… 19 5.Research Design……………………………………………… 28 5.1 Research Model……………………………………………… 28 5.2 Sample Selection and Data……………………………… 29 6.Empirical Analyses…………………………………………… 32 6.1 Data Description…………………………………………… 32 6.2 Empirical Results……………………………………………34 6.2.1 Exclusion of Lagged Dependent Variable…………… 34 6.2.2 Inclusion of Lagged Dependent ……………………… 36 6.3.1 Alternative Subsamples………………………………… 37 6.3.2 Securitization Dummy…………………………………… 37 6.3.3 Securitization Changes………………………………… 37 6.3.4 Capitalization Dummy…………………………………… 38 6.3.5 Financial Condition………………………………………39 6.3.6 Alternative Deflator…………………………………… 39 7.Conclusions………………………………………………………48 References………………………………………………………… 49 Risk Implications of Financial Asset Securitization Activities Engaged by Originators: Evidence from U.S. Bank Holding Companies 1.Introduction…………………………………………………… 53 2.Regulations for Securitization Activities……………… 58 2.1 Accounting Standard……………………………………… 58 2.2 Banks’Risk Regulation…………………………………… 60 3.Literature Review…………………………………………… 64 3.1 Association between Market Risk and Accounting Risk 64 3.2 Relationship between Capital Ratio and Risk………… 64 3.3 Risk Implications of Off-Balance Sheet Activities… 65 3.4 Risk Exposure to Securitization Activities for Originators…………………………………………………… 65 4.Hypotheses Development…………………………………………68 4.1 Risk Decreases…………………………………………………68 4.2 Risk Increases…………………………………………………69 4.3 The Predictive Power of Securitization on Bank Risk 70 5.Research Design………………………………………………… 73 5.1 Research Model…………………………………………………73 5.2 Sample Selection and Data………………………………… 76 6.Empirical Analyses………………………………………………78 6.1 Data Description………………………………………………78 6.2 Variability of Daily Returns………………………………79 6.2.1 Exclusion of Lagged Dependent Variable………………80 6.2.2 Inclusion of Lagged Dependent Variable………………80 6.3 Beta………………………………………………………………81 6.3.1 Exclusion of Lagged Dependent Variable………………81 6.3.2 Inclusion of Lagged Dependent Variable………………82 6.4 Sensitivity Analyses…………………………………………82 6.4.1 Alternative Subsamples……………………………………83 6.4.2 Contemporaneous Association Test………………………83 6.4.3 Securitization Dummy………………………………………83 6.4.4 Change Specifications…………………………………… 84 6.4.5 Growth Rate………………………………………………… 84 6.4.6 Other Proxies for Priced Risk………………………… 85 7.Conclusions……………………………………………………… 95 References……………………………………………………………9

The Fair Value Option as an Accounting Policy on Income Smoothing: Evidence from Risk-Related Incentives in Executive Compensation

Because risk-related incentives urge managers to make riskier investment decisions, leading to unexpected earnings volatility, managers tend to smooth income by avoiding unanticipated economic consequences. Statement of Financial Accounting Standards (SFAS) No. 159 allows firms to measure financial instruments at fair value and effectively reduces earnings volatility. This study provides evidence that the risk-related incentive motivates bank managers to elect the fair value option as an income-smoothing accounting policy even though managers do consider characteristics of financial instruments when selecting specific instruments. Empirical findings imply that banks conform to SFAS 159’s intention when they choose an accounting policy.</p