金融资产证券化外文文献

Securitization of Financial assets

Asset-Backed Securitization (ABS) is a financial tool which allows financial institutions (usually commercial banks) to move unmarketable assets (e.g.lease assets mortgage assets or commercial papers) from their balance sheets in exchange for a long term loan which can be ploughed back into more profitable investments. More precisely ,the financial assets are converted into bonds (so called notes ) and the proceeds of their market issuance become a long term loan for the assets owner (the originator ).We will look at the ABS operation mainly from the point of view of this financial institution.

Our analysis will concentrate on the critical phase of the ABS operation avoiding to describe in detail the role of some of the participating operators, such as banks and insurance companies, which provide the credit protection (risk hedging) of the operation .It should be noted that the issue of credit protection is an interesting research topic in itself .However ,the corresponding features such as credit guarantees and cash flow riskiness are beyond the scope of this paper .

In an ABS, the assets are sold by the originator to a special purpose vehicle (SPV), an institution created solely for that purpose .The SPV funds the purchase through issuing debt securities-the notes-which are collateralized by the assets. Note that the assets transfer is a true sale. Thus , if the originator becomes insolvent or is involved in bankruptcy

the transferred financial assets will not be part of the bankruptcy the transferred financial assets will not be part of the bankruptcy assets. This makes the notes an interesting investment opportunity .In apass through payment scheme the final investors who buy these notes receive periodic inflows (interests on their investments). These are directly related to the periodic installments paid by the holders of the assets (e.g. lessees or mortgage holders) to the originator (e.g. the lessor ). Using the ABS structure the originator bypasses the problem of an impossible outright sale of its assets and thus reduces its overall exposure to them. For instance ,lease or mortgage contracts which tie up the capital of leasing companies can be moved into notes. This replacement of illiquid assets improves the return on equity (ROE).

From the point of view of the originator, an ABS allows the achievement of three main

Financial objectives:

1. Replacement of the assets in the balance sheet, thereby improving ROE and allowing ( if the originator is a bank) a more flexible keeping of the asset/liability composition constraints imposed by the control authorities (i.e. the Central Bank).

2. Diversification of fund sources. Althrough the originator may be low rated, its notes usually get a higher rating (e.g. AAA) due to the

presence of banks and insurance companies which guarantee the whole operation .This implies that such notes can be dealt on the main financial markets allowing the originator to reach markets which would otherwise be unaccessible for him since attended only by more established companies.

3. Higher rated notes are more reliable investments and thus are allowed to pay lower interest rates to holders. If the cost to get a higher rating is lower than the saving obtained by issuing notes which higher rating, then the global cost to acquire funds decreases. Let us assume that an institution with a BB rating can get money at a rate such as Libor (London interbank offering rate) plus 150 basis points. Such an institution, as originator, may decide pay an additional 100 basis points to get credit warranties 1 and be able to issue notes with rating AAA at the cost of Libor plus 10 basis points. In this case an ABS will produce a saving on interest rates of 40 basis points. This situation applies in practice, since there is no efficient market for the underlying assets. The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the pulic institution in charge of the management of the social security system, i.e. the Istituto Nazionale della Previdenza Sociale (INPS).This operation has allowed INPS to

move delinquent contributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies.

The interest in this financial operation drastically increased in the last years all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the public institution in charge of the management of the social security system, i.e. the Istituto Nazionale della Previdenza Sociale (INPS). This operation has allowed INPS to move delinquent con-tributions from its balance sheet. Other transactions of this type took place in the area of public housing agencies.

Many papers dealing with ABS from a modeling point of view have appeared in the last few years. Since an extensive review is beyond the scope of this paper we will only mention the papers by Kang and Zenios [6,7] and by Mansini and Speranza [12,13] and refer to the references given therein. For a better insight in the complex problem of securitization we suggest the textbooks

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