국내은행의 매도가능금융상품을 이용한 영업이익 및 규제자본 관리행태 연구

IAS 39 specifies that AFS securities be measured at fair value, with changes in fair value recognized in other comprehensive income, not earnings. The capital requirements under Basel Ⅱ exclude such unrealized gains and losses from regulatory capital. Therefore, realizing unrealized gains or losses largely determines when the gains or losses are included in regulatory capital as well as earnings, which gives banks incentives to manage earnings and regulatory capital by selectively realizing securities gains and losses. Based on bank-quarter observations for 13 Korean banks over the period during which IAS 39 is applied, this study finds that Korean banks have managed the amount of realized gains and losses from selling AFS securities (RGL) to smooth annual operating income in the fiscal year and avoid the reporting of annual operating income decreases. However, the study finds that none of the capital regulation variables affect RGL, which implies that Korean banks have not selectively realized securities gains and losses to manage regulatory capital. This results hold not only for Basel Ⅲ period during which no filter is applied to unrealized gains and losses, but also for Basel Ⅱ period. These results can be attributed to the facts that all Korean banks have maintained capital ratios far exceeding the required minimum level and have never been faced with regulatory capital constraints since global financial crisis and that unrealized gains was only partially filtered and no filter was applied to unrealized losses during Basel Ⅱ period in Korea. Under IFRS 9 which is mandatory from 2018, changes in fair value cannot be recycled from OCI to profit or loss on sale of equity instruments measured at fair value through other comprehensive income (FVOCI). This requirement limits the opportunity to selectively realize securities gains and losses to manage earnings. Empirical results show that RGL recognized from FVOCI securities under IFRS 9 securities are significantly less than RGL from AFS securities under IAS 39. The study also finds weak evidence that selective selling behavior to smooth operating income have weakened after IFRS 9 application.