銀行金融資產移轉與法定資本之關聯性研究

A Study of Loan Transfers and Regulatory Capital in the Banking Industry

顏嘉亮(Chia-Liang Yen)

指導教授 ： 吳琮璠

國立臺灣大學/管理學院/會計學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10143

摘要

本研究旨在探討銀行從事金融資產移轉之行為，包括出售不良債權及金融資產證券化，與法定資本管理及盈餘平滑之關聯性。由於銀行出售不良債權能更專注於本業效率，並紓解逾放壓力；金融資產證券化則可改善資產負債管理，並增加籌資管道，因此銀行進行金融資產移轉，可能肇因於法定資本管理、盈餘管理、風險管理與募集資金等動機。

本論文參考Karaoglu（2005）之研究方法與架構，以我國2003年至2007年之本國銀行為研究對象，實證結果顯示，金融資產移轉損益與本期認列移轉損益前之資本適足率呈現顯著負相關，調整移轉損益之資產報酬率變動亦與金融資產移轉損益呈現顯著負向變動，代表認列金融資產損益前之資本適足率越高之銀行，或調整金融資產移轉損益之資產報酬率變動越大之銀行，其金融資產移轉之交易越少。另外，金融資產移轉損益與負向變動之調整移轉損益後資產報酬率變動呈現顯著負相關，顯示銀行使用金融資產移轉以遞延損失。故研究結果支持，銀行有使用金融資產移轉以管理法定資本或平滑盈餘之行為。

關鍵字

金融資產移轉 ； 不良債權 ； 證券化 ； 法定資本管理 ； 盈餘平滑

並列摘要

The purpose of this study is to explore the relationship between loan transfers, including loan sales and securitizations, regulatory capital management and earning smoothing in the banking industry. Banks can focus on their core competencies and release the pressures by selling non-performing loans to AMC. Securitizing their loans can banks improve the structures of their assets and liabilities, as well as increase the methods of funding. Therefore, banks may transfer loans in the motivation of regulatory capital management, earning management, risk management, and funding.
Referring to the method mentioned in Karaoglu (2005), this study conducts a research in the banking industry of Taiwan from 2003 to 2007. The empirical research shows that the gains or losses from loan transfers are significantly negatively associated with the regulatory capital ratio before the effect of gains or losses. Also, the gains or losses from loan transfers are significantly negatively associated with the change of return on assets ratios. These conditions represent that the more the regulatory capital ratios or the change of return on assets (before the effect of gains or losses) ratios are, the less the loan transfers gains or losses are. In addition, the shortfalls from last year’s income are significantly negatively associated with gains or losses from loan transfers. Consequently, it is supported that banks use gains or losses from loan transfers to manage regulatory capital and to smooth earnings.

並列關鍵字

loan transfers ； Non-performing loans ； Securitization ； Regulatory Capital Management ； Earnings Smoothing.

參考文獻

王文宇（2000），「資產管理公司政策與法制問題研究」，台灣金融財務季刊，第一輯第二期，頁13-33。

汪志勇、劉維琪（2003），「次順位債券與間接金融監督」，風險管理學報，第五卷第三期，頁411-427。

李俊昇（2006），「金融資產證券化之研究」，國立台灣大學財務金融碩士論文。

林志吉（2002），金融資產證券化及其法律機制之探討，台灣金融財務季刊，第三輯第三期，頁1-18。

黃金澤（2003），「金融資產證券化之會計處理」，台灣金融財務季刊，第四輯第四期，頁59-73。