한계신용등급 건설회사의 PF대출 신용위험에 관한 연구
A Study on the Credit Risk of Project Finance Loans Backed by Non-Investment Grade Construction Companies' Guarantees
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The purpose of this study is to analyze the credit risk factors of the real estate project finance loans(REPFLs) backed by non-investment grade construction companies' guarantees and compare the result with those of previous studies on REPFLs thus seek any missing credit risk factors in literature. Research data come from the listed REPFLs in 4 major commercial banks at the end of May, 2009. From the raw, our study screened 275 loans guaranteed by the non-investment grade construction companies with the credit ratings of BBB- and lower. The analytical results from Model 1, concerning the ex-ante project information before the first draw-down, show that interest rates on the signing dates, a proxy variable measuring the capital market condition, and construction firms' credit ratings are the most significant credit risk factors. REPFLs for residential complex development seem more riskier than those for other use ones: the study reasoned that it is all because of higher leverage ratios for the former. Also, we find that the loan guarantees by these risky companies are less credible to hedge the credit risk of REPFLS than those by the investment-grade corporations. Through Model 2, regarding the ex-post loan information after the first drawdown, the delay of project schedule, the rapid and severe financial unstability of construction firms and borrowers' breach of loan agreement are the main factors to threat the loan safety. We suggest that developers' more equity contribution on project as well as lenders' more careful corporate analysis on construction firms with efficient force maseure in the event of default are very beneficial ways to hedge the credit risk of REPFLs in the domestic financing system.
Abstract
The purpose of this study is to analyze the credit risk factors of the real estate project finance loans(REPFLs) backed by non-investment grade construction companies' guarantees and compare the result with those of previous studies on REPFLs thus seek any missing credit risk factors in literature. Research data come from the listed REPFLs in 4 major commercial banks at the end of May, 2009. From the raw, our study screened 275 loans guaranteed by the non-investment grade construction companies with the credit ratings of BBB- and lower. The analytical results from Model 1, concerning the ex-ante project information before the first draw-down, show that interest rates on the signing dates, a proxy variable measuring the capital market condition, and construction firms' credit ratings are the most significant credit risk factors. REPFLs for residential complex development seem more riskier than those for other use ones: the study reasoned that it is all because of higher leverage ratios for the former. Also, we find that the loan guarantees by these risky companies are less credible to hedge the credit risk of REPFLS than those by the investment-grade corporations. Through Model 2, regarding the ex-post loan information after the first drawdown, the delay of project schedule, the rapid and severe financial unstability of construction firms and borrowers' breach of loan agreement are the main factors to threat the loan safety. We suggest that developers' more equity contribution on project as well as lenders' more careful corporate analysis on construction firms with efficient force maseure in the event of default are very beneficial ways to hedge the credit risk of REPFLs in the domestic financing system.
참고문헌 (17)
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