Characteristics of Securitizations that Determine Issuers' Retention of the Risks of the Securitized Assets

• 成果类型: Article
• 署名作者: Chen, Weitzu; Liu, Chi-Chun; Ryan, Stephen G.
• 署名单位: National Taiwan University; New York University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.2008.83.5.1181
• 发表日期: 2008
• 页码: 1181-1215
• 关键词: deposit insurance; association; banking

摘要

We hypothesize and provide evidence that characteristics of banks' loan securitizations accounted for as sales determine the extent to which banks retain the risks of the securitized loans. We show that banks retain more risk when: (1) the types of loans have higher and/or less externally verifiable credit risk, (2) the loans are closed-ended and banks retain larger contractual interests in the loans, and (3) the loans are closed-ended and banks retain types of contractual interests that more strongly concentrate the risk of the securitized loans. We show that the magnitude and type of retained contractual interests are not risk-relevant in revolving loan securitizations, because banks have more incentive and ability to provide implicit recourse, a non-contractual interest.