Credit risk and off-balance-sheet contractual obligations: Disclosures under Rule FR-67.

详细信息   

• 作者：Zhao ; Sha.
• 学历：Ph.D.
• 年：2013
• 导师：Ghosh, Aloke,eadvisorDarrough, Masakoecommittee memberHazarika, Sonaliecommittee memberHuang, Rongecommittee memberMashruwala, Christinaecommittee member
• 毕业院校：City University of New York
• Department：Business
• ISBN：9781303288609
• CBH：3589788
• Country：USA
• 语种：English
• FileSize：3396269
• Pages：85

文摘

To increase transparency in financial reporting and to promote a better understanding of companies' off-balance sheet obligations, the Securities and Exchange Commission issued Final Rule No. 67 (FR-67) to mandate a tabular disclosure of all known on- and off-balance sheet contractual obligations in a single location within the Management's Discussion and Analysis (MD&；A) from 2003. Using a sample of S&；P 1500 companies, I examine whether the disclosures under Rule FR-67 influence the assessment of credit risk by credit rating agencies, public bond holders, and private loan lenders. I find that all four credit risk measures (i.e., credit ratings, negative credit watch, bond spreads, and the number of covenants in private loan contracts) significantly increase with off-balance sheet obligations when the firms report the tabular disclosures of contractual obligations for the first time. My results also suggest that the three major debt-market participants view purchase obligations at least as relevant as operating leases and other types of off-balance sheet obligations in explaining firms' credit risk. This evidence should be of interest to regulators, investors, and creditors in addressing the present debate about to what extent off-balance sheet items should be recognized on the balance sheet.