Página 1 dos resultados de 130 itens digitais encontrados em 0.002 segundos

Securitização de ativos e transferência de risco: evidências do mercado de capitais brasileiro; Asset securitization and risk transfer: Brazilian capital market´s evidence

Favero Junior, Osvaldo Zanetti
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 29/05/2014 Português
Relevância na Pesquisa
46.65%
Securitização de ativos tornou-se um importante instrumento de captação de recursos no mercado de capitais. Securitização de ativos é utilizada como um instrumento de redução de custos de captação para o cedente, através da eliminação dos custos relacionados à falência, tanto do cedente como da Entidade de Propósito Específico (EPE), possibilitado pelo isolamento dos ativos transferidos na EPE (contra qualquer incursão dos credores do cedente) e pelo oferecimento de mecanismos de reforço de crédito (para mitigar os problemas advindos do risco moral e seleção adversa na transferência). O oferecimento de mecanismos de reforço de crédito traz controversas e complexas questões contábeis de divulgação, relacionadas à forma de reconhecimento dessas operações. Através da estimação de modelos de regressão de dados em painel de avaliação do patrimônio líquido do cedente, o objetivo deste estudo é examinar se os participantes do mercado de capitais tratam os ativos e passivos da EPE como se fossem do cedente e se o nível de interesse subordinado retido afeta a forma de avaliação. Para a consecução desse objetivo utilizou-se uma amostra composta por Fundos de Investimento em Direitos Creditórios - FIDC em operação de 2002 a 2012...

Systematic and liquidity risk in sub-prime mortgage-backed assets

Dungey, Mardi; Dwyer, Gerald P.; Flavin, Thomas
Fonte: Instituto Politécnico de Lisboa Publicador: Instituto Politécnico de Lisboa
Tipo: Conferência ou Objeto de Conferência
Publicado em /07/2011 Português
Relevância na Pesquisa
56.34%
The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

The impact of large-scale mortgage backed security purchases

Abecasis, Maria Inês Rocha
Fonte: NSBE - UNL Publicador: NSBE - UNL
Tipo: Dissertação de Mestrado
Publicado em /01/2013 Português
Relevância na Pesquisa
56.47%
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics; I analyze the impact that large-scale Mortgage Backed Securities (MBS) purchases carried by the Federal Reserve in response to the financial crisis had in the economy and find that they were able to enhance confidence in financial markets and influence MBS pricing. Default probabilities of financial companies fell 33 basis points, which can be explained by the lower quantity of MBS in their balance sheets and the increased value of the MBS remaining in their asset side. The default risk premium of MBS decreased 66 basis points, which represents 22% of the reduction in MBS yields in the period analyzed.

Structured Finance in Latin America : Channeling Pension Funds to Housing, Infrastructure, and Small Businesses

Cheikhrouhou, Hela; Gwinner, W. Britt; Pollner, John; Salinas, Emanuel; Sirtaine, Sophie; Vittas, Dimitri
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Português
Relevância na Pesquisa
56.98%
The report covers several types of structured finance with such capital market instruments as mortgage-backed securities, structured bond issues for infrastructure financing, securitization of small and medium enterprises (SME)-related assets, and securitization of loans to SMEs. The report also covers factoring and leasing, which can be important sources of finance for SMEs and can be pooled and packaged into marketable securities and sold to pension funds. The report does not cover other types of structured finance, such as exchange trade funds, structured notes with capital protection, or structured financing outside capital markets, such as bank syndications. Chapter 1 focuses on private pension fund investment management and the role of structured bonds. Chapter 2 focuses on the increasing use of structured finance for housing in Latin American countries. Chapter 3 deals with the less developed yet promising area of structured bonds for infrastructure financing. Chapter 4 focuses on the use of structured bonds for SME finance...

Patterns of International Capital Raisings

Gozzi, Juan Carlos; Levine, Ross; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
46.79%
This paper documents several new patterns associated with firms issuing securities in foreign markets that motivate the need for and help guide future research. Besides noting that these international capital raisings grew almost four-fold from 1991 to 2005, accounting for 35 percent of all capital raised through security issuances, the paper has three main findings. First, a large and growing fraction of capital raisings, especially debt issuances, occurs in international markets, but a very small number of firms accounts for the bulk of international capital raisings, highlighting the distributional implications of financial globalization. Second, changes in firm performance following equity and debt issuances in international markets are qualitatively similar to those following domestic issuances, suggesting that capital raisings abroad are not intrinsically different from domestic ones. Third, after firms start accessing international markets, they significantly increase the amount raised in domestic markets...

South Africa - Report on Observance of Standards and Codes : Banking Supervision, Insurance Supervision, and Securities Regulation

World Bank; International Monetary Fund
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
46.55%
This assessment found South Africa s regulatory system to be fundamentally sound and compliant with international standards. Banking supervision has been effective and has helped limit the impact on the financial sector of the global financial crisis. The assessment recommended that the bank registrar s remedial powers for addressing problems in banks should be strengthened and that a specific regulation for dealing with country and transfer risk be introduced.The FSB is also undertaking a study of the OTC market. Limited progress has been made by the Department of Trade and Industry (DTI) to implement significant amendments to the Companies Act that were enacted in 2007 and in 2009. If progress continues to lag, consideration should be given to reassigning responsibility for these functions to the Financial Services Board (FSB).

Regulation of Fixed Income Securities Markets in the United States

Friedman, Felice B.
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
56.63%
The author looks at the development and regulation of the fixed income securities market in the United States. The U.S. fixed income market is one of the oldest and most developed debt markets in the world. It is also one of the most heterogeneous, with the four key market segments-government securities, the securities of government-sponsored enterprises, municipal securities, and corporate debt securities-all being relatively large and deep. The author describes the evolution of fixed income market regulation in the United States, discussing both primary and secondary market regulation. She also looks at market integrity issues and the enforcement authority of the U.S. Securities and Exchange Commission, which is broad and has played an important role in the effectiveness of regulation. The author concludes that the fact that the U.S. fixed income market flourished for many years in the absence of regulation must be seen in a broader legal and regulatory context. While the debt market itself may have been unregulated...

Mortgage Securities in Emerging Markets

Chiquier, Loïc; Hassler, Olivier; Lea, Michael
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
46.55%
Despite its recognized economic and social importance, housing finance often remains underdeveloped in emerging economies. Residential lending remains small, poorly accessible, and depository-based. Lenders remain vulnerable to significant credit, liquidity, and interest rate risks. As a result, housing finance is relatively expensive and often rationed. The importance of developing robust systems of housing finance is paramount as emerging economy governments struggle to cope with population growth, rapid urbanization, and rising expectations from a growing middle class. The capital markets in many economies can provide an attractive and potentially large source of long-term funding for housing, and solutions to better allocate part of the risks. The advent of institutional investors is creating large and rapidly growing pools of funds that may facilitate the development of mortgage-related securities. Despite such a strong appeal, there are significant barriers to the development of mortgage securities in emerging markets. Their success is dependent on many factors...

Financial Sector Assessment Program : Brazil - IOSCO Objectives and Principles of Securities Regulation

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
46.6%
The Comissao de Valores Mobiliarios - Brazil Securities Commission (CVM) has made substantial progress since the 2002 Financial Sector Assessment Program (FSAP). In 2002 the International Organization of Securities Commissions (IOSCO) assessment rated 8 principles fully implemented and 22 principles partly implemented. The 2012 assessment rates 26 principles fully implemented, 5 broadly implemented, and 6 partly implemented. Principle 38 is not rated, as a separate Report on Observance and Codes (ROSC) on systemically important payment systems was conducted as part of this FSAP update. The detailed assessment highlights significant improvements in the risk-based inspection program, adoption of an innovative issuer disclosure system, a stronger enforcement program and the adoption of International Financial Reporting Standards (IFRS). Long-standing issues on corporate governance and the protection of minority shareholders continue to be challenges. Finally, recommendations to improve prudential regulation of Collective Investment Schemes (CIS) are discussed.

India : International Organization of Securities Commission Objectives and Principles of Securities Regulation

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
56.68%
An assessment of the level of implementation of the IOSCO principles in the Indian securities market was conducted from June 15 to July 1, 2011 as part of the Financial Sector Assessment Program (FSAP) by Ana Carvajal, Monetary and capital markets department. An initial IOSCO assessment was conducted in 2000. Since then significant changes have taken place in the Indian market, in terms of market development, upgrading of market infrastructure and of the regulatory framework. The IOSCO methodology requires that assessors not only look at the legal and regulatory framework in place, but at how it has been implemented in practice. The assessor relied on: (i) a self-assessment developed by Securities Board Exchange of India (SEBI); (ii) the review of relevant laws, and other relevant documents provided by the authorities including annual reports; (iii) meetings with the Chairman of SEBI and other members of the Board, staff of SEBI as well as the RBI, and other public authorities, in particular representatives of the Ministry of Finance (MoF) and the Ministry of Corporate Affairs (MCA); as well as (iv) meetings with market participants...

The Role of Occupational Pension Funds in Mauritius

Vittas, Dimitri
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
46.78%
Mauritius belongs to a select group of developing countries where contractual savings-savings with insurance companies and pension funds-exceed 40 percent of GDP and represent a major potential force in the local financial system. Pension funds account for 75 percent of contractual savings. Contractual savings institutions invest in government securities, housing loans, corporate securities, real estate and bank deposits. They currently hold 35 percent of government securities and also account for 36 percent of total outstanding housing loans.Given their strong demand for long-duration assets, they can stimulate the issue of long-term government bonds (both inflation-linked and zero-coupon) and the development of corporate debentures, mortgage bonds, and mortgage-backed securities.Mauritius has a balanced and well-managed multipillar pension system. In addition to several public components, such as the Basic Retirement Pension, the National Pensions Fund (NPF), the National Savings Fund, and the Civil Service Pension Scheme...

Sense and Sensitivity: An Input Space Odyssey for Asset-Backed Security Ratings

DI GIROLAMO FRANCESCA; JOENSSON BENGT HENRIK BREDVAD; CAMPOLONGO Francesca; SCHOUTENS Wim
Fonte: Sciedu Press Publicador: Sciedu Press
Tipo: Articles in periodicals and books Formato: Online
Português
Relevância na Pesquisa
56.38%
The rating of asset-backed securities is partly based on quantitative models for the defaults and prepayments of the assets in the pool. This quantitative approach contains a number of assumptions and estimations of input variables whose values are affected by uncertainty. The uncertainty in these variables propagates through the model and produces uncertainty in the ratings. The objectives of this paper are twofold. Firstly, we advocate the use of uncertainty and sensitivity analysis techniques to enhance the understanding of the variability of the ratings due to the uncertainty in the inputs used in the model. Secondly, we propose a novel rating approach called global rating, that takes this uncertainty in the output into account when assigning ratings to tranches.; JRC.G.1-Scientific Support to Financial Analysis

China Capital Markets Development Report : China Securities Regulation Commission

Qi, Bin
Fonte: China Financial Publishing House Publicador: China Financial Publishing House
Tipo: Economic & Sector Work :: Foreign Trade, FDI, and Capital Flows Study; Economic & Sector Work
Português
Relevância na Pesquisa
46.86%
The 'China capital markets development report' provides a good overview of the development of China's capital markets and explores future strategies. The report starts by reviewing historical events in the evolution of China's capital markets which have grown from small and unorganized regional markets into a national market today. By summarizing lessons learned during the market evolution and analyzing major gaps between China's capital markets and more mature markets, the report tries to propose a strategic design and vision for China's capital markets development for the next decade and beyond. Since the commencement of economic reform and opening up, China has gone through significant economic and social changes, and the socialist market economic regime has been established and steadily improved. Between 1979 and 2007, China's Gross Domestic Product (GDP) has been growing above 9 percent annually on average and China has become the fourth largest economy in the World. China's capital markets emerged and developed during the same period. With joint efforts by all relevant parties...

Financial Sector Assessment Program : Malaysia - IOSCO Objectives and Principles of Securities Regulation

World Bank; International Monetary Fund
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP); Economic & Sector Work
Português
Relevância na Pesquisa
56.61%
The Securities Commission Malaysia (SC), as the supervisor of the capital markets, has developed a robust supervisory framework that exhibits high levels of implementation of the International Organization of Securities Commissions Objectives and Principles of Securities Regulation (IOSCO Principles) in most areas. The SC's independence will be buttressed by some changes to the legal provisions on removal of commission members and to protections given to the members of the commission and to its staff. The disclosure deadlines for issuers and their substantial shareholders should be adjusted to reflect international best practices. The new frameworks for oversight of credit rating agencies (CRAs) and the Federation of Investment Managers Malaysia (FIMM) should be implemented in full by carrying out on-site inspections as presently planned. At this stage in the jurisdiction's development, consideration should also be given to putting in place the pre-conditions that will enable the SC to ease up gradually on the intensity of its direct involvement in the day-to-day operations of the capital market and its participants.

IFC Annual Report 2009 : Creating Opportunity Where It's Needed Most, Volume 2. Financials, Projects, and Portfolio

International Finance Corporation
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: World Bank Annual Report
Português
Relevância na Pesquisa
46.85%
International Finance Corporation (IFC) is an international organization, established in 1956, to further economic growth in its developing member countries by promoting private sector development. IFC's principal investment products are loans and equity investments, with smaller debt securities and guarantee portfolios. IFC also plays a catalytic role in mobilizing additional funding from other investors and lenders, either through co financing or through loan participations, underwritings, and guarantees. In addition to project finance, corporate lending and resource mobilization, IFC offers an array of financial products and advisory services to private businesses in the developing world to increase their chances of success. It also advises governments on how to create an environment hospitable to the growth of private enterprise and foreign investment. IFC raises virtually all of the funds for its lending activities through the issuance of debt obligations in the international capital markets, while maintaining a small borrowing window with International Bank for Reconstruction and Development (IBRD). The management discussion and analysis contains forward looking statements which may be identified by such terms as 'anticipates...

Sukuk Markets : A Proposed Approach for Development

Kusuma, Ketut Ariadi; Caputo Silva, Anderson
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
46.63%
The issuance of sukuk, as an instrument in Islamic finance, has been growing in recent years. Many policy makers and businesses are looking at the sukuk markets as sources of long-term financing. The paper identifies key issues impeding further development of sukuk markets globally, namely, standardization of structures and practices, investor protection concerns relating to insolvency and governance regimes, and market liquidity. The paper also offers approaches in developing domestic sukuk markets and in accessing the international market. The authors suggest that, in developing domestic sukuk markets, policy makers use a framework similar to that of the development of conventional bond markets, that is, by establishing (1) well-functioning money markets, (2) efficient primary markets and securities-offering regimes, (3) a robust and diversified investor base, (4) a market infrastructure that facilitates trading, price transparency, and efficient clearing and settlement of transactions, (5) derivatives market and hedging tools to support risk management by issuers and investors...

Financing Development Through Future-Flow Securitization

Ratha, Dilip
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
Português
Relevância na Pesquisa
56.58%
Securitization of future hard currency receivables, that is, converting them into tradable securities, can allow developing country borrowers with good credit to overcome sovereign credit ceilings, and raise financing in international capital markets. The note examines the case of PEMEX, Mexico's state-owned oil and gas company, which in 1998 issued oil export-backed securities that received higher ratings from international credit rating agencies than Mexico's sovereign debt. Relative to unsecured debt, securitization lowered interest rates on PEMEX borrowing by 50-338 basis points (0.50-3.38 percentage points). Another example offered is the case of Banco de Credito in Peru, whose overseas Master Trust in the Bahamas (an offshore account) makes principal, and interest payments, forwarding excess collections to its headquarters in Peru. To increase investor confidence, the amount of future-flow receivables transferred to the trust was set at 2.5 times debt service requirements. In 1998 this transaction setup received an AAA credit rating from Standard & Poor's - higher than Peru's sovereign credit rating.

The Emerging Project Bond Market : Covenant Provisions and Credit Spreads

Dailami, Mansoor; Hauswald, Robert
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
46.64%
The emergence in the 1990s of a nascent project bond market to fund long-term infrastructure projects in developing countries merits attention. The authors compile detailed information on a sample of 105 bonds issued between January 1993 and March 2002 for financing infrastructure projects in developing countries, document their contractual covenants, and analyze their pricing determinants. They find that on average, project bonds are issued at approximately 300 basis points above U.S. Treasury securities, have a surprisingly high issue size of US$278 million, a maturity of slightly under 12 years, and are rated slightly below investment grade. In terms of geographic origin, projects in Asia and Latin America have issued more bonds than those located in other regions. Much of the recent work relating to the role of contractual covenants to the determination of bond prices has focused on the U.S. corporate bond market with its unique bankruptcy code - Chapter 11 - and well developed legal framework, recognizing the bond contract as the sole instrument of defining the rights and duties of various parties. In circumstances in which the underpinning legal and institutional frameworks governing contract formation and enforcement are not well developed...

Development Financing during a Crisis : Securitization of Future Receivables

Ketkar, Suhas; Ratha, Dilip
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
46.65%
Mexico's Telmex undertook the first future-flow securitization transaction in 1987. From then through 1999, the principal credit rating agencies rated more than 200 transactions totaling $47.3 billion. Studying several sources, the authors draw conclusions about the rationale for using this asset class, the size of its unrealized potential, and the main constraints on its growth. Typically the borrowing entity (the originator) sells its future product (receivable) directly or indirectly to an offshore special purpose vehicle (SPV), which issues the debt instrument. Designated international customers make their payments for the exports directly to an offshore collection account managed by a trustee. The collection agent makes principal and interest payments to investors and pays the rest to the originator. This transaction structure allows many investment-grade borrowers in developing countries to pierce the sovereign credit ceiling and get longer-term financing at significantly lower interest costs. The investment-grade rating attracts a wider group of investors. And establishing a credit history for the borrower makes it easier for it to access capital markets later...

A theoretical and empirical study of asset securitisation: Risk modelling, security design and market pricing.

Jobst, Andreas Alexander
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //2005 Português
Relevância na Pesquisa
46.93%
Asset securitisation represents an alternative risk management and refinancing method, which allows issues to convert classifiable cash flows from a diversified portfolio of pre-existing assets and receivables (liquidity transformation and asset diversification process) of varying maturity and quality (integration and differentiation process) into negotiable capital market paper, so-called "asset-backed securities" (ABS). Over the recent past ambivalence in the definition of capital adequacy for credit risk has particularly facilitated the development of loan securitisation as a refined "regulatory arbitrage tool". However, as impending regulatory change shifts the prime objective of securitisation to the efficient management of economic capital, procedural and substantive aspects of asset securitisation warrant closer inspection. The dissertation presents a comprehensive examination of the risk modelling, asset selection, optimal security design and competitive market pricing of asset-backed securities. We first provide an overview of the main characteristics of asset securitisation and explain its attendant benefits and drawbacks, especially as they pertain to the refinancing of illiquid asset exposures, such as SME-related payment obligations. Subsequently...