Bachelor-Arbeit Univ. St. Gallen, 2006.

No description available.

Mortgage-backed securities (MBS) are similar to traditional fixed-income securities in that they are exposed to interest rate risk. Interest rate risk involves potential losses in value stemming from unfavorable movements of interest rates. There are standard practices that allow investors to measure interest rate exposure and manage this risk by hedging, or reducing the risk, with positions in financial derivative securities. Interest rate hedges do not always work perfectly because of basis risk. Basis risk arises because the movement in an asset's price (MBS) is not perfectly correlated with the movement of the price of the derivatives (Treasury futures) used to hedge interest rate risk. The paper hypothesizes that despite the presence of basis risk, a dynamic hedging strategy using US Treasury futures makes a good hedge for MBS price fluctuations caused by interest rates. Empirical tests reject this hypothesis.

This dissertation examines several research questions relating to securitization by non-financial firms. Finance theories suggest securitization is most beneficial when there is high demand for liquidity. On the other hand, empirical studies have shown that firms engage in securitization to manage earnings. I find that liquidity demand, not the incentive for earnings management motivates securitization transactions by non-financial firms. I also evaluate whether earnings management in securitization is indeed undesirable from a shareholder's perspective by examining the economic consequences of the practice. Because securitization creates a large infusion of cash, one way to evaluate the economic consequences of earnings management is to examine whether securitization proceeds encourage overinvestment. I find that earnings management in securitization (i.e., recording non-zero securitization income) is unrelated to firms' suboptimal) overinvestment in the post-securitization period. Thus, it appears that earning management in securitization has no negative economic consequence in terms of generating excess securitization proceeds that encourage overinvestment. I also examine the market's valuation of securitizable assets in the accrual components of earnings and the use of securitization proceeds. Because securitizable assets can be converted into cash through securitization, I test whether the market valuation reflects the source of liquidity in securitizable assets that is similar to the cash component of earnings. I find that, for securitization firms, the market valuation of securitizable assets is similar to that of the cash component of earnings. / Lastly, I find some evidence supporting the assertion that firms' liquidity prior to securitization influences the market valuation on securitization proceeds retained on the balance sheet, in that the market assigns a discount to retained proceeds for firms with excess liquidity prior to securitiaztion. / by Qianyun Huang. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

Zhang Xixi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 90-91). / Abstracts in English and Chinese. / Chapter I. --- Introduction --- p.6 / Chapter II. --- Literature Review --- p.10 / Chapter III. --- Hypotheses and Design of the Tests --- p.22 / Chapter IV. --- Data and Findings --- p.34 / Chapter A. --- Data Source --- p.34 / Chapter B. --- Selection of Sample BHCs --- p.35 / Chapter C. --- BHC Size and Description Securitization --- p.38 / Chapter 1). --- Description of BHC Size --- p.38 / Chapter 2). --- Types of Securitization --- p.43 / Chapter V. --- Results --- p.46 / Chapter A. --- Differences Between Securitizing and Non-securitizing BHC Characteristics --- p.46 / Chapter 1). --- Univariate Test between Securitizing and Non-securitizing banks Characteristics --- p.47 / Chapter 2). --- Joint Test of Difference between Mean Values of the Characteristics --- p.61 / Chapter B. --- Correlations among Variables --- p.62 / Chapter 1). --- Correlation within Same Characteristics Class --- p.63 / Chapter 2). --- Correlation among Different Characteristics --- p.65 / Chapter C. --- To Explain Decision on Securitization --- p.67 / Chapter D. --- Linear Regression to Explain the Degree of Securitizing Among Securitizing Banks --- p.75 / Chapter V. --- Conclusion and Insights for Future Research --- p.82 / Chapter A. --- Conclusion --- p.82 / Chapter B. --- Future Research --- p.87 / Chapter VI. --- References --- p.90 / Chapter VII. --- Appendix --- p.92

University of Macau / Faculty of Law

Thesis (doctoral)--Universität Hamburg, 2008. / Includes bibliographical references and index.

Zugl.: Dresden, Techn. Universiẗat, Diss., 2008.

Mortgage Backed Securities (MBS) are a type of security backed by mortgages as the underlying asset. This is achieved through a process called securitization, where specific mortgages are grouped together and separated from the bank’s other assets, and then sold to investors. One of the risks for investors in MBS is mortgage prepayments made by the borrowers of the underlying mortgages. This risk arises due to the uncertainty of the expected cash flows to be distributed among the investors. There is a correlation between falling market interest rates and an increase in prepayments. When market interest rates fall, borrowers have an incentive to refinance their mortgages at lower interest rates, leading to higher prepayment rates. The Public Securities Association (PSA) model is recognized as a standard benchmark for estimating prepayment rates in MBS. In this paper, we have introduced models to generate time points for prepayments and compare how well these models match with the PSA model. Some of these models determine the timing of each prepayment event using an exponentially distributed Poisson process, while one model employs the Gamma distribution. Additionally, we introduce a strategy where prepayment is strategically triggered by whether the market rate falls below the contract rate. In that strategy, we investigate when it is most beneficial to make a prepayment. The results show that among the models employing random generation of prepayment events, the Gamma distribution best aligns with the PSA rule. Regarding the strategic prepayment strategy, our findings suggest that it is most advantageous to make prepayments early in the mortgage term, aligning with the most rational behavior as well.

Thesis (MBA)--Stellenbosch University, 2002. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Enormous growth has been experienced in the South African securitisation environment due to the lack of Government bond issues. There is little doubt that securitisation is still in its early stages in South Africa, but it is here to stay. Asset securitisation can be described as the process of pooling and repackaging non tradable assets secured by relatively uniform, small value assets into liquid securities. The original form of asset securitisation is mortgage backed securities. The success achieved in the securitisation of mortgage loans globally resulted in the securitisation of other types of asset backed securities. Auto loans, credit card receivables and synthetic securitisation have attracted substantial interest in South Africa in the recent past. Synthetic securitisation is becoming an increasingly important topic following the focus of financial institutions to manage regulatory and risk capital. Each securitisation transaction can be structured in such a way to demonstrate specific cash flow characteristics, risk profiles or average life parameters. Securitisation structures include several entities, with each playing a distinct role. The originator is the entity which creates the underlying asset pool. The asset pool is then sold to a SPV, which is a bankruptcy remote vehicle through which the securitisation transaction is facilitated. The SPV will sell securities backed by the asset pool to investors. The proceeds of the issue are used to finance the purchase of the asset pool from the originator. The SPV appoints a servicer that administers the asset pool on behalf of the issuer in return for a fee. The South African legal and tax environment is currently undergoing a transformation in order to accommodate the growing interest in securitisation. Precedents regarding the taxation of securitisation structures are still lacking in South Africa. Both legal and taxation issues around securitisation transactions are likely to change over the coming years. The South African securitisation market still needs to be improved significantly ahead of being classified as world class. The lack of familiarity among investors involved in securitisation is keeping the market from growing to its full potential. Investor education and the documentation of deal information are crucial. The growth of securitisation issues is necessary to increase volumes and in turn enhance liquidity. Knowledge, volumes and regulations regarding securitisation are certainly lacking in South Africa, and though this may slow growth, it will most definitely not prevent the business from rapidly expanding. / AFRIKAANSE OPSOMMING: Die tekort aan staatseffekte in Suid Afrika is een van die redes wat gelei het tot die groei van die Suid Afrikaanse bate effekte mark. Alhoewel bate effektering nog 'n nuwe konsep in Suid Afrika is, het die finansiele markte in Suid Afrika effektering aanvaar en groot belangstelling word getoon deur beide finansiele instellings en beleggers. Bate effektering kan beskryf word as die proses waar onverhandelbare bates saam gegroepeer word en omskep word in likiede sekuriteite wat in die ope mark verhandel kan word. Bate effektering het sy oorsprong in die Verenigde State van Amerika gehad, waar verbandlenings ge-effekteer is. Groot suksesse is behaal en ander vorme van bates is vinnig ge-effekteer en aan die mark gebied. In Suid Afrika is verskillende vorme van effektering al aangetref, die nuutste en mees opwindenste is egter sintetiese effektering. Effektering sluit verskillende entiteite in, en elkeen speel 'n baie spesifieke rol. Kortliks is die proses soos hierna beskryf. Die bates word deur die oorspronklike eienaar aan 'n spesiale doel voertuig verkoop. Die spesiale doel voertuig is heeltemal onafhanklik van ander eenhede in die effekteringsstruktuur en finansiele probleme in die struktuur het geen effek op die kredietwaardigheid van die spesiale doel voertuig nie. Die spesiale doel voetuig verkoop effekte aan beleggers, en die inkomste ontvang van beleggers befonds die aankoop van die poel bates van die oorspronklike eienaar. Die spesiale doel voertuig word gediens en onderhou deur 'n diens verskaffer in ruil vir 'n kontraktuele vergoeding. Die Suid Akrikaanse finansiële markte is tans besig om 'n transformasie proses te ondergaan om effektering te akkomodeer, die fokus is veral op wetlike en belasting aspekte. Alhoewel baie veranderinge al plaasgevind het, sal daar nog baie gedoen moet word voor die Suid Afrikaanse mark as wereld-klas geklassifiseer kan word. Ongelukkig is beleggers nog onbekend met effektering en daarom weerhou dit die mark van vinnige ontwikkeling. Kortom, kennis, volumes en duideliker regulasies wat betrekking het op effektering is definitief nodig in Suid Afrika, en alhoewel dit groei verstadig, sal dit definitief nie die nuwe finansiële instrument keer om tot een van Suid Afrika se vooraanstaande finansiële instrumente te ontwikkel nie.