JOURNAL OF ACCOUNTING RESEARCH, VERSION OF RECORD ONLINE:15, DEC 2017

公司贷款证券化与金融契约标准化

作者：ZAHN BOZANIC (The Ohio State University)

MARIA LOUMIOTI (University of Texas)

FLORIN P.VASVARI (London Business School)

摘要：本文研究通过抵押贷款债务（CLOs）证券化的联合贷款是否拥有更规范的财务契约。本文使用合约定义的文本相似性来代表契约的标准化。本文发现证券化贷款与非证券化机构贷款相比，具有更高的契约标准化。此外，本文还表明，拥有更多元化或更频繁调整投资组合的CLOs更有可能通过标准化契约购买贷款，这可能是因为标准化降低了与贷款监控和筛选相关的信息处理成本。本文还发现，信用评级机构的契约标准化会带来更高的贷款和CLO票据评级协议，进一步支持低信息成本和契约标准化之间的关系。总的来说，我们的研究提供了证据证明贷款证券化与标准化金融契约的设计有关。

关键词： 证券化，标准化，抵押贷款债务（CLO），财务契约，联合贷款

Corporate Loan Securitization and the Standardization of Financial Covenants

ZAHN BOZANIC (The Ohio State University), MARIA LOUMIOTI (University of Texas), FLORIN P.VASVARI (London Business School)

ABSTRACT

We examine whether syndicated loans securitized through collateralized loan obligations (CLOs) have more standardized financial covenants. We proxy for the standardization of covenants using the textual similarity of their contractual definitions. We find that securitized loans are associated with higher covenant standardization than nonsecuritized institutional loans. In addition, we show that CLOs with more diverse or frequently rebalanced portfolios are more likely to purchase loans with standardized covenants, potentially because standardization alleviates information processing costs related to loan monitoring and screening. We also document that covenant standardization is associated with greater loan and CLO note rating agreement between credit rating agencies, further supporting the relation between lower information costs and covenant standardization. Overall, our study provides evidence that loan securitization is related to the design of standardized financial covenants.

Keywords: Securitization, Standardization, Collateralized Loan Obligations(CLO), Fnancial Covenants, Syndicated Loans

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12186/full

翻译：王秭越