امنیت سازی کارت اعتباری و مراجعه ضمنی: کلاهبرداری منجر به چه ضرر و زیان هایی می شود؟

In this paper, we develop and test a model of implicit recourse in asset-backed securitizations. Fraud losses on securitized assets are generally incurred by the bank and do not affect the performance of securitization trusts, while credit losses do affect the trust’s performance and are potentially borne by the owner of the securitized assets. Thus, the classification of losses as either fraud or credit losses provides a potential avenue of implicit recourse to manipulate the performance of securitization trusts. Using annual data from 2001 to 2006, we find that the performance of the credit card securitization portfolio is negatively related to fraud losses reported by the bank. We examine these results in light of the proposed Basel II capital rules and argue that a bank’s incentive to provide implicit recourse will increase under the anticipated regime.

In credit card asset-backed security (CC-ABS) deals, credit losses are borne by the trust (and thus potentially borne by investors), while fraud losses are borne by the originating bank. Thus the (mis)classification of losses as either credit or fraud losses affects trust performance. Banks could use this distinction to provide implicit recourse in CC-ABS markets. By nature, implicit recourse can be difficult to see and quantify. However, by developing empirical tests to analyze the classification of credit losses and fraud losses in the US CC-ABS market, we can examine whether banks use a particular type of implicit recourse to protect securitized credit card receivables. We focus on CC-ABS because, on average, fraud losses are far higher for credit cards than other types of lending. The expectation that banks may provide implicit recourse is common in the industry. For example, Gregory (2002) reported that in response to poor performance on the Chase Credit Card Master Trust, a Barclays Capital analyst said, “It would behoove them to do whatever they have to do to keep the deals going”. The academic literature has also noted the existence of implicit recourse in CC-ABS markets. In the two papers most closely related to this work, Higgins and Mason (2004) document several well-defined instances of implicit recourse in CC-ABS deals and analyze the market’s reaction to these events. Gorton and Souleles (2007) provide an indirect test of implicit recourse by showing that market prices of CC-ABS reflect an originator’s ability to provide recourse. The market for CC-ABS has expanded and developed in banks and other lending institutions since the first deals were introduced in the early 1980s. As reported in the first column of Table 1, there was over $361 billion in securitized credit card receivables outstanding in US commercial banks as of year-end 2006. This amount is concentrated in a few very large banks. Table 1. Credit card securitizations in 2006 for selected large financial institutions Institution Credit card securitizations (mil. $) Credit card securitizations as % of managed credit card portfolio Tier 1 capital ratio (%) Tier 1 capital ratio if credit card securitizations were put back on-balance sheet (%) Citigroup 101,434 57.5 8.6 7.8 Bank of America Corp. 98,306 57.6 8.6 7.9 JPMorgan Chase & Co. 66,950 45.5 8.7 8.1 Capital One FC 42,785 66.7 10.2 7.5 American Express Centurion Bank 13,842 43.8 9.6 6.1 All Insured Commercial Banks 361,100 48.2 N/A N/A Table options Our study contributes to the academic literature in several ways. We are the first to specify a process and test for implicit recourse directly. Further, this paper examines the proposed treatment of securitized assets under the proposed Basel II bank capital rules. We argue that a bank’s incentive to provide implicit recourse will be greater under Basel II capital rules than under the current regulatory regime.

We have argued that banks face strong incentives to support the performance of their securitization deals. Previous papers have documented overt cases of implicit recourse and analyzed how these events affect a firm’s financial performance. Other papers have indirectly tested for implicit recourse. We are the first to specify and empirically test for a specific mechanism through which implicit recourse could occur across banks. Our empirical results show that (1) across all banks, banks that securitize credit card receivables are more likely to claim fraud losses than other banks; and (2) among banks that securitize credit card receivables, banks with poorly performing trusts are more likely to claim fraud losses and on average claim higher fraud losses than banks with healthy trusts. From a regulatory point of view, implicit recourse can be difficult to detect at any given institution. Deals are complicated. Ambiguities and gray areas make it difficult to prove a case against a particular bank. By statistically evaluating data across banks, we are able to find patterns that are consistent with implicit recourse across the industry. We also highlight an important policy issue in light of the proposed Basel II A-IRB capital rules. Basel II increases incentives to provide implicit recourse earlier and lowers de facto penalties for engaging in this action relative to Basel I. So, while we find that banks currently have incentives to use implicit recourse to protect their securitization portfolios, A-IRB banks may be even more likely to use implicit recourse under the new regulatory regime relative to Basel I-based rules.