金融资产证券化外文文献

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