金融资产证券化外文文献.doc

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1、SecuritizationofFinancialassetsAsset-BackedSecuritization(ABS)isafinancialtoolwhichallowsfinancialinstitutions(usuallycommercialbanks)tomoveunmarketableassets(e.g.leaseassetsmortgageassetsorcommercialpapers)fromtheirbalancesheetsinexchangeforalongtermloanwhichcanbeplo

2、ughedbackintomoreprofitableinvestments.Moreprecisely,thefinancialassetsareconvertedintobonds(socallednotes)andtheproceedsoftheirmarketissuancebecomealongtermloanfortheassetsowner(theoriginator).WewilllookattheABSoperationmainlyfromthepointofviewofthisfinancialinstitut

3、ion.OuranalysiswillconcentrateonthecriticalphaseoftheABSoperationavoidingtodescribeindetailtheroleofsomeoftheparticipatingoperators,suchasbanksandinsurancecompanies,whichprovidethecreditprotection(riskhedging)oftheoperation.Itshouldbenotedthattheissueofcreditprotectio

4、nisaninterestingresearchtopicinitself.However,thecorrespondingfeaturessuchascreditguaranteesandcashflowriskinessarebeyondthescopeofthispaper.InanABS,theassetsaresoldbytheoriginatortoaspecialpurposevehicle(SPV),aninstitutioncreatedsolelyforthatpurpose.TheSPVfundsthepur

5、chasethroughissuingdebtsecurities-thenotes-whicharecollateralizedbytheassets.Notethattheassetstransferisatruesale.Thus,iftheoriginatorbecomesinsolventorisinvolvedinbankruptcythetransferredfinancialassetswillnotbepartofthebankruptcythetransferredfinancialassetswillnotb

6、epartofthebankruptcyassets.Thismakesthenotesaninterestinginvestmentopportunity.Inapassthroughpaymentschemethefinalinvestorswhobuythesenotesreceiveperiodicinflows(interestsontheirinvestments).Thesearedirectlyrelatedtotheperiodicinstallmentspaidbytheholdersoftheassets(e

7、.g.lesseesormortgageholders)totheoriginator(e.g.thelessor).UsingtheABSstructuretheoriginatorbypassestheproblemofanimpossibleoutrightsaleofitsassetsandthusreducesitsoverallexposuretothem.Forinstance,leaseormortgagecontractswhichtieupthecapitalofleasingcompaniescanbemov

8、edintonotes.Thisreplacementofilliquidassetsimprovesthereturnonequity(ROE).Fromthepointofviewoftheoriginator,anABSallowstheac