本研究首先了解證券化的定義與演進的過程以了解金融資產證券化對於銀行業的影響與銀行業從事金融資產證券化的誘因,同時點出證券化資訊揭露的重要性。第三章探討美國及台灣對於金融資產證券化會計處理及揭露的規定,以及新巴塞爾協定有關證券化資訊揭露之最新規定。第四章與第五章觀察與彙總美國各大銀行金融融資產移轉交易採用美國FASB140號公報的實際揭露情形,以找出目前會計規範有否疏露的地方。最後站在投資人的角度上來思考,對我國國內銀行及目前財務會計準則三十三號公報提出建議以及未來改進的方向。本研究對於金融資產證券化資訊揭露未來的發展建議如下: 1、 證券化相關項目: (1) 量化信用增強等金額 (2) 與特殊目的個體現金流量依債權分類且以表格呈現 (3) 出售損益與已證券化資產跨年比較且以表格呈現。 2、 保留權利: (1) 鼓勵揭露靜態預期損失 (2) 主要假設與敏感性分析依保留權利分類且以表格呈現 (3) 揭露管理資產之平均餘額。 3、 服務權利與資產: (1) 揭露服務資產主要假設與敏感性分析 (2) 量化各債權風險分層 (3) 服務資產變動數與備抵變動數以表格呈現。 4、 資訊表達方式 (1) 將證券化揭露資訊放在特定項目中揭露 (2) 多用表格方式呈現證券化資訊 (3) 建議公報規範揭露的順序 (4) 鼓勵主要揭露項目必須以標題說明 (5) 建議公報設立揭露與否之重大性標準
The purpose of this study is to examine the detailed disclosures for financial assets securitization in the annual reports of the U.S. banking industry. First, this study introduces briefly the background of assets securitizations, including the definition and evolution of securitizations, the motivations of bank securitizations, the new Basel capital Accord, and the issues involved with disclosure of financial assets securitizations. The main statements of financial accounting standards being examined in this study are FASB No. 140, “Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities” and the ROC Statement of Financial Accounting Standards No.33. Secondly, this study observes and summarizes the results of the 66 biggest banks in USA about the disclosure of assets securitizations using FASB No. 140. Finally, from the investors’ perspectives, some suggestions about existing accounting standards and banking industry are proposed: 1. Disclosures of Securitizations a. Quantifying credit enhancement b. Disclosing the cash flows between the transferor and special-purpose entity by major asset type and by formats is required. c. Disclosing gains or losses on sales and financial assets securitized across years and by formats is suggested. 2. Disclosures of Retained Earnings a. Encouraging banks to disclose expected credit loss. b. Disclosing key assumptions and sensitivity analysis by retained interests and formats. c. Disclosing average amounts of managed loans. 3. Disclosures of Servicing Assets a. Disclosing key assumptions and sensitivity analysis about servicing rights. b. Quantifying the risks. c. Encouraging banks to use formats about the changes of valuation allowances and servicing assets. 4. Methods of Disclosures a. Putting securitization disclosures under the same item of financial reports. b. Encouraging banks to use easy-to-use and easy-to-understand formats. c. Regulating the sequence of the disclosures about securitizations. d. Encouraging enterprises to use subtitle about important items. e. Setting up materiality standards.
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