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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
