Publication: Pasado y presente de la titulización en el sector financiero internacional
Loading...
Files
Official URL
Full text at PDC
Publication Date
2016-12-21
Authors
Advisors (or tutors)
García Jara, Elisa
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad Complutense de Madrid
Citations
Exportar
Abstract
Uno de los ámbitos menos estudiado y que afectaría al incentivo que las entidades financieras tienen para originar operaciones de titulización es el marco contable aplicado a los derechos de crédito utilizados como subyacente en el momento de su cesión. El trabajo de investigación que se ha realizado para esta tesis doctoral tiene como objetivo demostrar la existencia de diferencias significativas en el tratamiento de la baja contable de los activos titulizados dentro de los marcos contables aplicados a los países que conforman la Unión Europea y los Estados Unidos, esto es, las Normas Internacionales de Información Financiera (NIIF) y las Financial Accounting Standards (FAS), respectivamente. Nuestro análisis sugiere que esas diferencias han tenido un impacto material en las entidades de crédito originadoras de este tipo de operaciones en términos, principalmente, de cesión de riesgo de crédito o transferencia de activos a terceros, aunque de diferente signo en función de que estuviesen a un lado u otro del Atlántico. Tanto en el pasado como actualmente, los activos titulizados bajo el marco normativo estadounidense han conseguido la baja contable en mayor proporción que los titulizados bajo el marco contable europeo. Ese tratamiento diferenciado de los activos involucrados en operaciones de titulización ha tenido, además, repercusiones en la rentabilidad económica que las entidades originadoras pueden obtener a partir de estas operaciones, en los indicadores de la fortaleza financiera de las mismas y, en último término en la actividad crediticia de los bancos. Este estudio aporta evidencias que sugieren la necesidad de una mayor convergencia entre los dos sistemas contables IASB y FASB, fundamentalmente en la conceptualización de la transferencia de activo sobre la base del mismo criterio, bien sea la transmisión de riesgos y beneficios asociados al mismo como ocurre en las NIIF o a la transmisión del control sobre dicho activo como ocurre en las FAS.
The implications of the accountant framework for securitised assets at the moment of its transfer to the securitisation vehicle is one of the least researched and documented aspects of securitisation. The research carried out for this doctoral thesis will focus on the accounting systems of two important economic areas such as the European Union and the United States; the International Financial Reporting Standards (IFRS) and the Financial Accounting Standards (FAS), respectively. The research will show significant differences in both accounting systems during the last years, and their impact in terms of risk transfer and capital efficiency for the securitisation originators. This study concludes that banks under FAS could have had more incentives to securitise than European banks because the first one allows for a greater proportion of securitised assets to be treated as derecognised than the second one. This divergence has had a number of consequences for originators, derived from the accounting standards in force at any time, mostly in terms of credit risk transfer or asset sales to third parties, and indirectly, in their economics returns, capital requirements savings, compliance with prudential ratios and, ultimately, in their credit activity. This study provides evidence that suggests the need for further convergence between the IFRS and the FAS, mainly with regard to the securitised asset transfer criteria, either as the IFRS method, based on the risks and rewards transfer or as the FAS’s, focused on the asset control transfer.
The implications of the accountant framework for securitised assets at the moment of its transfer to the securitisation vehicle is one of the least researched and documented aspects of securitisation. The research carried out for this doctoral thesis will focus on the accounting systems of two important economic areas such as the European Union and the United States; the International Financial Reporting Standards (IFRS) and the Financial Accounting Standards (FAS), respectively. The research will show significant differences in both accounting systems during the last years, and their impact in terms of risk transfer and capital efficiency for the securitisation originators. This study concludes that banks under FAS could have had more incentives to securitise than European banks because the first one allows for a greater proportion of securitised assets to be treated as derecognised than the second one. This divergence has had a number of consequences for originators, derived from the accounting standards in force at any time, mostly in terms of credit risk transfer or asset sales to third parties, and indirectly, in their economics returns, capital requirements savings, compliance with prudential ratios and, ultimately, in their credit activity. This study provides evidence that suggests the need for further convergence between the IFRS and the FAS, mainly with regard to the securitised asset transfer criteria, either as the IFRS method, based on the risks and rewards transfer or as the FAS’s, focused on the asset control transfer.
Description
Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad II, leída el 26/01/2016
UCM subjects
Contabilidad (Economía), Finanzas
Unesco subjects
5303 Contabilidad Económica