Securitization and Special Purpose Vehicles in an International Setting: a Systemic View

The present work tries to display a comprehensive and comparative study of the different legal and regulatory problems involved in international securitization transactions. First, an introduction to securitization is provided, with the basic elements of the transaction, followed by the different varieties of it, including dynamic securitization and synthetic securitization structures. Together with this introduction to the intricacies of the structure, a insight into the influence of securitization in the financial and economic crisis of 2007-2009 is provided too; as well as an overview of the process of regulatory competition and cooperation that constitutes the framework for the international aspects of securitization. The next Chapter focuses on the aspects that constitute the foundations of structured finance: the inception of the vehicle, and the transfer of risks associated to the securitized assets, with particular emphasis on the validity of those elements, and how a securitization transaction could be threatened at its root. In this sense, special importance is given to the validity of the trust as an instrument of finance, to the assignment of future receivables or receivables in block, and to the importance of formalities for the validity of corporations, trusts, assignments, etc., and the interaction of such formalities contained in general corporate, trust and assignment law with those contemplated under specific securitization regulations. Then, the next Chapter (III) focuses on creditor protection aspects. As such, we provide some insights on the debate on the capital structure of the firm, and its inadequacy to assess the financial soundness problems inherent to securitization. Then, we proceed to analyze the importance of rules on creditor protection in the context of securitization. The corollary is in the rules in case of insolvency. In this sense, we divide the cases where a party involved in the transaction goes bankrupt, from those where the transaction itself collapses. Finally, we focus on the scenario where a substance over form analysis may compromise some of the elements of the structure (notably the limited liability of the sponsor, and/or the transfer of assets) by means of veil piercing, substantive consolidation, or recharacterization theories. Once these elements have been covered, the next Chapters focus on the regulatory aspects involved in the transaction. Chapter IV is more referred to “market” regulations, i.e. those concerned with information disclosure and other rules (appointment of the indenture trustee, and elaboration of a rating by a rating agency) concerning the offering of asset-backed securities to the public. Chapter V, on the other hand, focuses on “prudential” regulation of the entity entrusted with securitizing assets (the so-called Special Purpose vehicle), and other entities involved in the process. Regarding the SPV, a reference is made to licensing requirements, restriction of activities and governance structures to prevent abuses. Regarding the sponsor of the transaction, a focus is made on provisions on sound originating practices, and the servicing function. Finally, we study accounting and banking regulations, including the Basel I and Basel II Frameworks, which determine the consolidation of the SPV, and the de-recognition of the securitized asset from the originating company’s balance-sheet, as well as the posterior treatment of those assets, in particular by banks. Chapters VI-IX are concerned with liability matters. Chapter VI is an introduction to the different sources of liability. Chapter VII focuses on the liability by the SPV and its management for the information supplied to investors, the management of the asset pool, and the breach of loyalty (or fiduciary) duties. Chapter VIII rather refers to the liability of the originator as a result of such information and statements, but also as a result of inadequate and reckless originating or servicing practices. Chapter IX finally focuses on third parties entrusted with the soundness of the transaction towards the market, the so-called gatekeepers. In this respect, we make special emphasis on the liability of indenture trustees, underwriters and rating agencies. Chapters X and XI focus on the international aspects of securitization. Chapter X contains a conflicts of laws analysis of the different aspects of structured finance. In this respect, a study is made of the laws applicable to the vehicle, to the transfer of risks (either by assignment or by means of derivatives contracts), to liability issues; and a study is also made of the competent jurisdiction (and applicable law) in bankruptcy cases; as well as in cases where a substance-over-form is performed. Then, special attention is also devoted to the role of financial and securities regulations; as well as to their territorial limits, and extraterritoriality problems involved. Chapter XI supplements the prior Chapter, for it analyzes the limits to the States’ exercise of regulatory power by the personal and “market” freedoms included in the US Constitution or the EU Treaties. A reference is also made to the (still insufficient) rules from the WTO Framework, and their significance to the States’ recognition and regulation of securitization transactions.

Modelli non lineari statici e dinamici su dati microeconomici: analisi delle condizioni finanziarie delle famiglie italiane

The thesis studies the economic and financial conditions of Italian households, by using microeconomic data of the Survey on Household Income and Wealth (SHIW) over the period 1998-2006. It develops along two lines of enquiry. First it studies the determinants of households holdings of assets and liabilities and estimates their correlation degree. After a review of the literature, it estimates two non-linear multivariate models on the interactions between assets and liabilities with repeated cross-sections. Second, it analyses households financial difficulties. It defines a quantitative measure of financial distress and tests, by means of non-linear dynamic probit models, whether the probability of experiencing financial difficulties is persistent over time. Chapter 1 provides a critical review of the theoretical and empirical literature on the estimation of assets and liabilities holdings, on their interactions and on households net wealth. The review stresses the fact that a large part of the literature explain households debt holdings as a function, among others, of net wealth, an assumption that runs into possible endogeneity problems. Chapter 2 defines two non-linear multivariate models to study the interactions between assets and liabilities held by Italian households. Estimation refers to a pooling of cross-sections of SHIW. The first model is a bivariate tobit that estimates factors affecting assets and liabilities and their degree of correlation with results coherent with theoretical expectations. To tackle the presence of non normality and heteroskedasticity in the error term, generating non consistent tobit estimators, semi-parametric estimates are provided that confirm the results of the tobit model. The second model is a quadrivariate probit on three different assets (safe, risky and real) and total liabilities; the results show the expected patterns of interdependence suggested by theoretical considerations. Chapter 3 reviews the methodologies for estimating non-linear dynamic panel data models, drawing attention to the problems to be dealt with to obtain consistent estimators. Specific attention is given to the initial condition problem raised by the inclusion of the lagged dependent variable in the set of explanatory variables. The advantage of using dynamic panel data models lies in the fact that they allow to simultaneously account for true state dependence, via the lagged variable, and unobserved heterogeneity via individual effects specification. Chapter 4 applies the models reviewed in Chapter 3 to analyse financial difficulties of Italian households, by using information on net wealth as provided in the panel component of the SHIW. The aim is to test whether households persistently experience financial difficulties over time. A thorough discussion is provided of the alternative approaches proposed by the literature (subjective/qualitative indicators versus quantitative indexes) to identify households in financial distress. Households in financial difficulties are identified as those holding amounts of net wealth lower than the value corresponding to the first quartile of net wealth distribution. Estimation is conducted via four different methods: the pooled probit model, the random effects probit model with exogenous initial conditions, the Heckman model and the recently developed Wooldridge model. Results obtained from all estimators accept the null hypothesis of true state dependence and show that, according with the literature, less sophisticated models, namely the pooled and exogenous models, over-estimate such persistence.

Patrimonio e patrimoni: Alla ricerca dei confini attuali della responsabilita' patrimoniale

Il presente lavoro di tesi mira a ricostruire lo scenario evolutivo della responsabilità patrimoniale del debitore, a partire dai principi generali sanciti dall'art. 2740 c.c. sino al diffondersi, sempre più dilagante negli anni più recenti, del fenomeno dei patrimoni separati, il quale ha contribuito a quella che è stata definita da autorevole dottrina l’“erosione” del carattere universale della responsabilità patrimoniale. In questa prospettiva, la ricerca condotta dall'autore si propone il duplice obiettivo di dimostrare, da un lato, l’ormai sostanziale ribaltamento del rapporto regola(garanzia generica)–eccezione(separazione patrimoniale) previsto dalla norma succitata, e, dall’altro, il ridimensionamento del valore della riserva di legge imposta dal secondo comma dell’art. 2740 c.c. con riguardo all’individuazione e alla disciplina dei patrimoni separati, dovuto all’affermarsi di forme di segregazione di carattere generale e flessibile ed al conseguente potenziamento del ruolo assunto dall’autonomia privata nel campo della separazione patrimoniale. Al perseguimento di tale obiettivo si aggiunge, inoltre, una valutazione dei nuovi orizzonti del fenomeno della separazione patrimoniale e, in particolare, dei segnali di apertura del nostro ordinamento all’adozione di una regolamentazione interna del trust, i cui vantaggi e la cui compatibilità con il nostro sistema giuridico vengono dimostrati attraverso il confronto con la disciplina dell'istituto in esame nell’ordinamento inglese.

Asset management of wastewater networks

Asset Management (AM) is a set of procedures operable at the strategic-tacticaloperational level, for the management of the physical asset’s performance, associated risks and costs within its whole life-cycle. AM combines the engineering, managerial and informatics points of view. In addition to internal drivers, AM is driven by the demands of customers (social pull) and regulators (environmental mandates and economic considerations). AM can follow either a top-down or a bottom-up approach. Considering rehabilitation planning at the bottom-up level, the main issue would be to rehabilitate the right pipe at the right time with the right technique. Finding the right pipe may be possible and practicable, but determining the timeliness of the rehabilitation and the choice of the techniques adopted to rehabilitate is a bit abstruse. It is a truism that rehabilitating an asset too early is unwise, just as doing it late may have entailed extra expenses en route, in addition to the cost of the exercise of rehabilitation per se. One is confronted with a typical ‘Hamlet-isque dilemma’ – ‘to repair or not to repair’; or put in another way, ‘to replace or not to replace’. The decision in this case is governed by three factors, not necessarily interrelated – quality of customer service, costs and budget in the life cycle of the asset in question. The goal of replacement planning is to find the juncture in the asset’s life cycle where the cost of replacement is balanced by the rising maintenance costs and the declining level of service. System maintenance aims at improving performance and maintaining the asset in good working condition for as long as possible. Effective planning is used to target maintenance activities to meet these goals and minimize costly exigencies. The main objective of this dissertation is to develop a process-model for asset replacement planning. The aim of the model is to determine the optimal pipe replacement year by comparing, temporally, the annual operating and maintenance costs of the existing asset and the annuity of the investment in a new equivalent pipe, at the best market price. It is proposed that risk cost provide an appropriate framework to decide the balance between investment for replacing or operational expenditures for maintaining an asset. The model describes a practical approach to estimate when an asset should be replaced. A comprehensive list of criteria to be considered is outlined, the main criteria being a visà- vis between maintenance and replacement expenditures. The costs to maintain the assets should be described by a cost function related to the asset type, the risks to the safety of people and property owing to declining condition of asset, and the predicted frequency of failures. The cost functions reflect the condition of the existing asset at the time the decision to maintain or replace is taken: age, level of deterioration, risk of failure. The process model is applied in the wastewater network of Oslo, the capital city of Norway, and uses available real-world information to forecast life-cycle costs of maintenance and rehabilitation strategies and support infrastructure management decisions. The case study provides an insight into the various definitions of ‘asset lifetime’ – service life, economic life and physical life. The results recommend that one common value for lifetime should not be applied to the all the pipelines in the stock for investment planning in the long-term period; rather it would be wiser to define different values for different cohorts of pipelines to reduce the uncertainties associated with generalisations for simplification. It is envisaged that more criteria the municipality is able to include, to estimate maintenance costs for the existing assets, the more precise will the estimation of the expected service life be. The ability to include social costs enables to compute the asset life, not only based on its physical characterisation, but also on the sensitivity of network areas to social impact of failures. The type of economic analysis is very sensitive to model parameters that are difficult to determine accurately. The main value of this approach is the effort to demonstrate that it is possible to include, in decision-making, factors as the cost of the risk associated with a decline in level of performance, the level of this deterioration and the asset’s depreciation rate, without looking at age as the sole criterion for making decisions regarding replacements.

The topological trigger system of the TOF detector for the ALICE experiment at the LHC

The ALICE experiment at the LHC has been designed to cope with the experimental conditions and observables of a Quark Gluon Plasma reaction. One of the main assets of the ALICE experiment with respect to the other LHC experiments is the particle identification. The large Time-Of-Flight (TOF) detector is the main particle identification detector of the ALICE experiment. The overall time resolution, better that 80 ps, allows the particle identification over a large momentum range (up to 2.5 GeV/c for pi/K and 4 GeV/c for K/p). The TOF makes use of the Multi-gap Resistive Plate Chamber (MRPC), a detector with high efficiency, fast response and intrinsic time resoltion better than 40 ps. The TOF detector embeds a highly-segmented trigger system that exploits the fast rise time and the relatively low noise of the MRPC strips, in order to identify several event topologies. This work aims to provide detailed description of the TOF trigger system. The results achieved in the 2009 cosmic-ray run at CERN are presented to show the performances and readiness of TOF trigger system. The proposed trigger configuration for the proton-proton and Pb-Pb beams are detailed as well with estimates of the efficiencies and purity samples.

Bridging innovation, nature and tradition: assessment of strategies for rural tourism development in Maramureş (Romania)

In the frame of EU rural policy, always more oriented towards environmental concerns and green livelihoods, Romania stands out for the predominance of rural areas and high nature value farming. The country has to face the challenge of joining the modernization process of rural farming systems with the valorization of local assets. Tourism has emerged as one of the main drivers of change and contributors for a sustainable exploitation of local resources. Rural tourism (RT) can foster the enhancement of the territorial capital (TC), the preservation of public goods (PGs) and the promotion of a more environmental oriented livelihood. The research focuses on a case study area, two valleys from Maramureş, where environmental approaches as diversification strategies are partially explored. The work investigates the role of tourism initiatives for the promotion of green oriented practices. The first part of the work is based on a literature review and interdisciplinary analysis of secondary data to identify the key issues: from rural development policy, to the concept of TC, of PGs and RT. The Romanian development programmes and related strategies are investigated; afterwards the characteristics of the County and the role of RT as diversification and valorisation policies is considered. The second part is based on the collection of primary data through interviews to different local stakeholders (farmers owners of rural guesthouses, local administrators, networks and artisans). The main frequencies are analyzed, a cluster analysis is computed to evaluate the similarities within the most representative groups and a comparative analysis is carried out between the two Valleys. The frame of the analysis is based on a set of indicators following the dimensions of the TC, to assess the characteristics of the local stakeholders and to outline the perception about the local PGs and on the adopted strategies to manage the territory. Final considerations are elaborated and few scenarios are outlined, giving relevance to the importance of improving awareness and creating embeddedness among public-private local stakeholders and resources as a tool for a socio-economic and environmental development of the area.

A journey through the capital structure of the banking sector: Empirical evidence for Europe from 2008 to 2012

Systemic risk is the protagonist of the recent financial crisis. This thesis proposes a definition and a propagation mechanism for systemic risk. Risk management has a direct linkage with capital management, when addressing the question that the risk handled by a financial institution is compatible with the amount of equity available. This thesis proposes a risk management of liquid market variables, which compose the assets of a bank, based on the statistical tool of PCA. The principal component analysis will define the PCR, or Principal Components of Risk. Such definition of Risk will be adopted to test if the risk represented by PCR is explanatory of the movements of equity and/or debt for the banks included in the in the index Itraxx financial senior: the results of these regressions will be compared with a formal Capital Adequacy test in order to assess the financial soundness of the main financial European institutions.

Effect of different management intensities on natural and human-induced carbon fluxes in a golf course in northern Italy

Turfgrasses are ubiquitous in urban landscape and their role on carbon (C) cycle is increasing important also due to the considerable footprint related to their management practices. It is crucial to understand the mechanisms driving the C assimilation potential of these terrestrial ecosystems Several approaches have been proposed to assess C dynamics: micro-meteorological methods, small-chamber enclosure system (SC), chrono-sequence approach and various models. Natural and human-induced variables influence turfgrasses C fluxes. Species composition, environmental conditions, site characteristics, former land use and agronomic management are the most important factors considered in literature driving C sequestration potential. At the same time different approaches seem to influence C budget estimates. In order to study the effect of different management intensities on turfgrass, we estimated net ecosystem exchange (NEE) through a SC approach in a hole of a golf course in the province of Verona (Italy) for one year. The SC approach presented several advantages but also limits related to the measurement frequency, timing and duration overtime, and to the methodological errors connected to the measuring system. Daily CO2 fluxes changed according to the intensity of maintenance, likely due to different inputs and disturbances affecting biogeochemical cycles, combined also to the different leaf area index (LAI). The annual cumulative NEE decreased with the increase of the intensity of management. NEE was related to the seasonality of turfgrass, following temperatures and physiological activity. Generally on the growing season CO2 fluxes towards atmosphere exceeded C sequestered. The cumulative NEE showed a system near to a steady state for C dynamics. In the final part greenhouse gases (GHGs) emissions due to fossil fuel consumption for turfgrass upkeep were estimated, pinpointing that turfgrass may result a considerable C source. The C potential of trees and shrubs needs to be considered to obtain a complete budget.

Rural governance and livelihoods systems diversification in the Western Balkans: comparative case studies of Bosnia and Herzegovina, Montenegro and Serbia

Agriculture is still important for socio-economic development in rural areas of Bosnia, Montenegro and Serbia (BMS). However, for sustainable rural development rural economies should be diversified so attention should be paid also to off-farm and non-farm income-generating activities. Agricultural and rural development (ARD) processes and farm activity diversification initiatives should be well governed. The ultimate objective of this work is to explore linkages between ARD governance and rural livelihoods diversification in BMS. The thesis is based on an extended secondary data analysis and surveys. Questionnaires for ARD governance and coordination were sent via email to public, civil society and international organizations. Concerning rural livelihood diversification, the field questionnaire surveys were carried out in three rural regions of BMS. Results show that local rural livelihoods are increasingly diversified but a significant share of households are still engaged in agriculture. Diversification strategies have a chance to succeed taking into consideration the three rural regions’ assets. However, rural households have to tackle many problems for developing new income-generating activities such as the lack of financial resources. Weak business skills are also a limiting factor. Fully exploiting rural economy diversification potential in BMS requires many interventions including improving rural governance, enhancing service delivery in rural areas, upgrading rural people’s human capital, strengthening rural social capital and improving physical capital, access of the rural population to finance as well as creating a favourable and enabling legal and legislative environment fostering diversification. Governance and coordination of ARD policy design, implementation and evaluation is still challenging in the three Balkan countries and this has repercussions also on the pace of rural livelihoods diversification. Therefore, there is a strong and urgent need for mobilization of all rural stakeholders and actors through appropriate governance arrangements in order to foster rural livelihoods diversification and quality of life improvement.