金融资产证券化外文文献.docx

金融资产证券化外文文献.docx

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金融资产证券化外文文献

SecuritizationofFinancialassets

Asset-BackedSecuritization（ABS）isafinancialtoolwhichallowsfinancialinstitutions（usuallycommercialbanks）tomoveunmarketableassets（e.g.leaseassetsmortgageassetsorcommercialpapers）fromtheirbalancesheetsinexchangeforalongtermloanwhichcanbeploughedbackintomoreprofitableinvestments.Moreprecisely,thefinancialassetsareconvertedintobonds（socallednotes）andtheproceedsoftheirmarketissuancebecomealongtermloanfortheassetsowner（theoriginator）.WewilllookattheABSoperationmainlyfromthepointofviewofthisfinancialinstitution.

OuranalysiswillconcentrateonthecriticalphaseoftheABSoperationavoidingtodescribeindetailtheroleofsomeoftheparticipatingoperators,suchasbanksandinsurancecompanies,whichprovidethecreditprotection（riskhedging）oftheoperation.Itshouldbenotedthattheissueofcreditprotectionisaninterestingresearchtopicinitself.However,thecorrespondingfeaturessuchascreditguaranteesandcashflowriskinessarebeyondthescopeofthispaper.

InanABS,theassetsaresoldbytheoriginatortoaspecialpurposevehicle（SPV）,aninstitutioncreatedsolelyforthatpurpose.TheSPVfundsthepurchasethroughissuingdebtsecurities-thenotes-whicharecollateralizedbytheassets.Notethattheassetstransferisatruesale.Thus,iftheoriginatorbecomesinsolventorisinvolvedinbankruptcythetransferredfinancialassetswillnotbepartofthebankruptcythetransferredfinancialassetswillnotbepartofthebankruptcyassets.Thismakesthenotesaninterestinginvestmentopportunity.Inapassthroughpaymentschemethefinalinvestorswhobuythesenotesreceiveperiodicinflows（interestsontheirinvestments）.Thesearedirectlyrelatedtotheperiodicinstallmentspaidbytheholdersoftheassets（e.g.lesseesormortgageholders）totheoriginator（e.g.thelessor）.UsingtheABSstructuretheoriginatorbypassestheproblemofanimpossibleoutrightsaleofitsassetsandthusreducesitsoverallexposuretothem.Forinstance,leaseormortgagecontractswhichtieupthecapitalofleasingcompaniescanbemovedintonotes.Thisreplacementofilliquidassetsimprovesthereturnonequity（ROE）.

Fromthepointofviewoftheoriginator,anABSallowstheachievementofthreemain

Financialobjectives:

1.Replacementoftheassetsinthebalancesheet,therebyimprovingROEandallowing（iftheoriginatorisabank）amoreflexiblekeepingoftheasset/liabilitycompositionconstraintsimposedbythecontrolauthorities（i.e.theCentralBank）.

2.Diversificationoffundsources.Althroughtheoriginatormaybelowrated,itsnotesusuallygetahigherrating（e.g.AAA）duetothepresenceofbanksandinsurancecompanieswhichguaranteethewholeoperation.Thisimpliesthatsuchnotescanbedealtonthemainfinancialmarketsallowingtheoriginatortoreachmarketswhichwouldotherwisebeunaccessibleforhimsinceattendedonlybymoreestablishedcompanies.

3.Higherratednotesaremorereliableinvestmentsandthusareallowedtopaylowerinterestratestoholders.Ifthecosttogetahigherratingislowerthanthesavingobtainedbyissuingnoteswhichhigherrating,thentheglobalcosttoacquirefundsdecreases.LetusassumethataninstitutionwithaBBratingcangetmoneyataratesuchasLibor（Londoninterbankofferingrate）plus150basispoints.Suchaninstitution,asoriginator,maydecidepayanadditional100basispointstogetcreditwarranties1andbeabletoissuenoteswithratingAAAatthecostofLiborplus10basispoints.InthiscaseanABSwillproduceasavingoninterestratesof40basispoints.Thissituationappliesinpractice,sincethereisnoefficientmarketfortheunderlyingassets.TheinterestinthisfinancialoperationdrasticallyincreasedinthelastyearsalloverEurope.InItaly,oneofthemostrecentandrelevantABShasbeenperformedbythepulicinstitutioninchargeofthemanagementofthesocialsecuritysystem,i.e.theIstitutoNazionaledellaPrevidenzaSociale（INPS）.ThisoperationhasallowedINPStomovedelinquentcontributionsfromitsbalancesheet.Othertransactionsofthistypetookplaceintheareaofpublichousingagencies.

TheinterestinthisfinancialoperationdrasticallyincreasedinthelastyearsalloverEurope.InItaly,oneofthemostrecentandrelevantABShasbeenperformedbythepublicinstitutioninchargeofthemanagementofthesocialsecuritysystem,i.e.theIstitutoNazionaledellaPrevidenzaSociale（INPS）.ThisoperationhasallowedINPStomovedelinquentcon-tributionsfromitsbalancesheet.Othertransactionsofthistypetookplaceintheareaofpublichousingagencies.

ManypapersdealingwithABSfromamodelingpointofviewhaveappearedinthelastfewyears.Sinceanextensive