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.

Hybrid Methods for Resource Allocation and Scheduling Problems in Deterministic and Stochastic Environments

This work presents exact, hybrid algorithms for mixed resource Allocation and Scheduling problems; in general terms, those consist into assigning over time finite capacity resources to a set of precedence connected activities. The proposed methods have broad applicability, but are mainly motivated by applications in the field of Embedded System Design. In particular, high-performance embedded computing recently witnessed the shift from single CPU platforms with application-specific accelerators to programmable Multi Processor Systems-on-Chip (MPSoCs). Those allow higher flexibility, real time performance and low energy consumption, but the programmer must be able to effectively exploit the platform parallelism. This raises interest in the development of algorithmic techniques to be embedded in CAD tools; in particular, given a specific application and platform, the objective if to perform optimal allocation of hardware resources and to compute an execution schedule. On this regard, since embedded systems tend to run the same set of applications for their entire lifetime, off-line, exact optimization approaches are particularly appealing. Quite surprisingly, the use of exact algorithms has not been well investigated so far; this is in part motivated by the complexity of integrated allocation and scheduling, setting tough challenges for ``pure'' combinatorial methods. The use of hybrid CP/OR approaches presents the opportunity to exploit mutual advantages of different methods, while compensating for their weaknesses. In this work, we consider in first instance an Allocation and Scheduling problem over the Cell BE processor by Sony, IBM and Toshiba; we propose three different solution methods, leveraging decomposition, cut generation and heuristic guided search. Next, we face Allocation and Scheduling of so-called Conditional Task Graphs, explicitly accounting for branches with outcome not known at design time; we extend the CP scheduling framework to effectively deal with the introduced stochastic elements. Finally, we address Allocation and Scheduling with uncertain, bounded execution times, via conflict based tree search; we introduce a simple and flexible time model to take into account duration variability and provide an efficient conflict detection method. The proposed approaches achieve good results on practical size problem, thus demonstrating the use of exact approaches for system design is feasible. Furthermore, the developed techniques bring significant contributions to combinatorial optimization methods.

Inverse problems in classical and quantum physics

The subject of this thesis is in the area of Applied Mathematics known as Inverse Problems. Inverse problems are those where a set of measured data is analysed in order to get as much information as possible on a model which is assumed to represent a system in the real world. We study two inverse problems in the fields of classical and quantum physics: QCD condensates from tau-decay data and the inverse conductivity problem. Despite a concentrated effort by physicists extending over many years, an understanding of QCD from first principles continues to be elusive. Fortunately, data continues to appear which provide a rather direct probe of the inner workings of the strong interactions. We use a functional method which allows us to extract within rather general assumptions phenomenological parameters of QCD (the condensates) from a comparison of the time-like experimental data with asymptotic space-like results from theory. The price to be paid for the generality of assumptions is relatively large errors in the values of the extracted parameters. Although we do not claim that our method is superior to other approaches, we hope that our results lend additional confidence to the numerical results obtained with the help of methods based on QCD sum rules. EIT is a technology developed to image the electrical conductivity distribution of a conductive medium. The technique works by performing simultaneous measurements of direct or alternating electric currents and voltages on the boundary of an object. These are the data used by an image reconstruction algorithm to determine the electrical conductivity distribution within the object. In this thesis, two approaches of EIT image reconstruction are proposed. The first is based on reformulating the inverse problem in terms of integral equations. This method uses only a single set of measurements for the reconstruction. The second approach is an algorithm based on linearisation which uses more then one set of measurements. A promising result is that one can qualitatively reconstruct the conductivity inside the cross-section of a human chest. Even though the human volunteer is neither two-dimensional nor circular, such reconstructions can be useful in medical applications: monitoring for lung problems such as accumulating fluid or a collapsed lung and noninvasive monitoring of heart function and blood flow.

Carbon fluxes and allocation pattern in an apple orchard

Carbon fluxes and allocation pattern, and their relationship with the main environmental and physiological parameters, were studied in an apple orchard for one year (2010). I combined three widely used methods: eddy covariance, soil respiration and biometric measurements, and I applied a measurement protocol allowing a cross-check between C fluxes estimated using different methods. I attributed NPP components to standing biomass increment, detritus cycle and lateral export. The influence of environmental and physiological parameters on NEE, GPP and Reco was analyzed with a multiple regression model approach. I found that both NEP and GPP of the apple orchard were of similar magnitude to those of forests growing in similar climate conditions, while large differences occurred in the allocation pattern and in the fate of produced biomass. Apple production accounted for 49% of annual NPP, organic material (leaves, fine root litter, pruned wood and early fruit drop) contributing to detritus cycle was 46%, and only 5% went to standing biomass increment. The carbon use efficiency (CUE), with an annual average of 0.68 ± 0.10, was higher than the previously suggested constant values of 0.47-0.50. Light and leaf area index had the strongest influence on both NEE and GPP. On a diurnal basis, NEE and GPP reached their peak approximately at noon, while they appeared to be limited by high values of VPD and air temperature in the afternoon. The proposed models can be used to explain and simulate current relations between carbon fluxes and environmental parameters at daily and yearly time scale. On average, the annual NEP balanced the carbon annually exported with the harvested apples. These data support the hypothesis of a minimal or null impact of the apple orchard ecosystem on net C emission to the atmosphere.

Factorization method and inclusions of mixed type in an inverse elliptic boundary value problem

In various imaging problems the task is to use the Cauchy data of the solutions to an elliptic boundary value problem to reconstruct the coefficients of the corresponding partial differential equation. Often the examined object has known background properties but is contaminated by inhomogeneities that cause perturbations of the coefficient functions. The factorization method of Kirsch provides a tool for locating such inclusions. In this paper, the factorization technique is studied in the framework of coercive elliptic partial differential equations of the divergence type: Earlier it has been demonstrated that the factorization algorithm can reconstruct the support of a strictly positive (or negative) definite perturbation of the leading order coefficient, or if that remains unperturbed, the support of a strictly positive (or negative) perturbation of the zeroth order coefficient. In this work we show that these two types of inhomogeneities can, in fact, be located simultaneously. Unlike in the earlier articles on the factorization method, our inclusions may have disconnected complements and we also weaken some other a priori assumptions of the method. Our theoretical findings are complemented by two-dimensional numerical experiments that are presented in the framework of the diffusion approximation of optical tomography.

High-resolution reconstruction of Holocene climate variability and environmental changes in the North Pacific using bivalve shells

Bivalve mollusk shells are useful tools for multi-species and multi-proxy paleoenvironmental reconstructions with a high temporal and spatial resolution. Past environmental conditions can be reconstructed from shell growth and stable oxygen and carbon isotope ratios, which present an archive for temperature, freshwater fluxes and primary productivity. The purpose of this thesis is the reconstruction of Holocene climate and environmental variations in the North Pacific with a high spatial and temporal resolution using marine bivalve shells. This thesis focuses on several different Holocene time periods and multiple regions in the North Pacific, including: Japan, Alaska (AK), British Columbia (BC) and Washington State, which are affected by the monsoon, Pacific Decadal Oscillation (PDO) and El Niño/Southern Oscillation (ENSO). Such high-resolution proxy data from the marine realm of mid- and high-latitudes are still rare. Therefore, this study contributes to the optimization and verification of climate models. However, before using bivalves for environmental reconstructions and seasonality studies, life history traits must be well studied to temporally align and interpret the geochemical record. These calibration studies are essential to ascertain the usefulness of selected bivalve species as paleoclimate proxy archives. This work focuses on two bivalve species, the short-lived Saxidomus gigantea and the long-lived Panopea abrupta. Sclerochronology and oxygen isotope ratios of different shell layers of P. abrupta were studied in order to test the reliability of this species as a climate archive. The annual increments are clearly discernable in umbonal shell portions and the increments widths should be measured in these shell portions. A reliable reconstruction of paleotemperatures may only be achieved by exclusively sampling the outer shell layer of multiple contemporaneous specimens. Life history traits (e.g., timing of growth line formation, duration of the growing season and growth rates) and stable isotope ratios of recent S. gigantea from AK and BC were analyzed in detail. Furthermore, a growth-temperature model based on S. gigantea shells from Alaska was established, which provides a better understanding of the hydrological changes related to the Alaska Coastal Current (ACC). This approach allows the independent measurement of water temperature and salinity from variations in the width of lunar daily growth increments of S. gigantea. Temperature explains 70% of the variability in shell growth. The model was calibrated and tested with modern shells and then applied to archaeological specimens. The time period between 988 and 1447 cal yrs BP was characterized by colder (~1-2°C) and much drier (2-5 PSU) summers, and a likely much slower flowing ACC than at present. In contrast, the summers during the time interval of 599-1014 cal yrs BP were colder (up to 3°C) and fresher (1-2 PSU) than today. The Aleutian Low may have been stronger and the ACC was probably flowing faster during this time.

Higher order Sobolev Spaces and polyharmonic boundary value problems in Carnot Groups

The main task of this work is to present a concise survey on the theory of certain function spaces in the contexts of Hörmander vector fields and Carnot Groups, and to discuss briefly an application to some polyharmonic boundary value problems on Carnot Groups of step 2.

Problems in functioning from the patient perspective using the International Classification of Functioning, Disability and Health (ICF) as a reference

We conducted a qualitative, multicenter study using a focus group design to explore the lived experiences of persons with any kind of primary sleep disorder with regard to functioning and contextual factors using six open-ended questions related to the International Classification of Functioning, Disability and Health (ICF) components. We classified the results using the ICF as a frame of reference. We identified the meaningful concepts within the transcribed data and then linked them to ICF categories according to established linking rules. The six focus groups with 27 participants yielded a total of 6986 relevant concepts, which were linked to a total of 168 different second-level ICF categories. From the patient perspective, the ICF components: (1) Body Functions; (2) Activities & Participation; and (3) Environmental Factors were equally represented; while (4) Body Structures appeared poignantly less frequently. Out of the total number of concepts, 1843 concepts (26%) were assigned to the ICF component Personal Factors, which is not yet classified but could indicate important aspects of resource management and strategy development of those who have a sleep disorder. Therefore, treatment of patients with sleep disorders must not be limited to anatomical and (patho-)physiological changes, but should also consider a more comprehensive view that includes patient's demands, strategies and resources in daily life and the contextual circumstances surrounding the individual.

Atypical presentation of a hormonally active adrenocortical tumor in an adolescent leading to delayed diagnosis

Adrenocortical tumors are rare in children and present with variable signs depending on the type of hormone excess. We herein describe the unusual presentation of a child with adrenocortical tumor and introduce the concept of in vitro chemosensitivity testing. CASE REPORT: A 10.5-year-old girl presented with hypertrichosis/hirsutism and weight loss. The weight loss and behavioral problems, associated with halted puberty and growth, led to the initial diagnosis of anorexia nervosa. However, subsequent weight gain but persisting arrest in growth and puberty and the appearance of central fat distribution prompted further evaluation. RESULTS AND FOLLOW-UP: 24h-urine free cortisol was elevated. Morning plasma ACTH was undetectable, while cortisol was elevated and circadian rhythmicity was absent. Thus a hormonally active adrenal cortical tumor (ACT) was suspected. On magnetic resonance imaging (MRI) a unilateral, encapsulated tumor was found which was subsequently removed surgically. Tissue was investigated histologically and for chemosensitivity in primary cell cultures. Although there were some risk factors for malignancy, the tumor was found to be a typical adenoma. Despite this histology, tumor cells survived in culture and were sensitive to cisplatin in combination with gemcitabine or paclitaxel. At surgery, the patient was started on hydrocortisone replacement which was unsuccessfully tapered over 3 months. Full recovery of the hypothalamus-pituitary-adrenal axis occurred only after 3 years. CONCLUSIONS: The diagnosis of a hormonally active adrenocortical tumor is often delayed because of atypical presentation. Cortisol replacement following unilateral tumor excision is mandatory and may be required for months or years. Individualized chemosensitivity studies carried out on primary cultures established from the tumor tissue itself may provide a tool in evaluating the effectiveness of chemotherapeutic drugs in the event that the adrenocortical tumor may prove to be carcinoma.

Segregation analysis of overweight body condition in an experimental cat population

The goal of this study was to analyze the mode of inheritance of an overweight body condition in an experimental cat population. The cat population consisted of 95 cats of which 81 cats could be clearly classified into lean or overweight using the body condition scoring system according to Laflamme. The lean or overweight classification was then used for segregation analyses. Complex segregation analyses were employed to test for the significance of one environmental and 4 genetic models (general, mixed inheritance, major gene, and polygene). The general genetic model fit the data significantly better than the environmental model (P ined the segregation of the overweight phenotype best. This is the first study in which a genetic component could be shown to be responsible for the development of overweight in cats.

Acute health problems in African refugees: ten years' experience in a Swiss emergency department

Over the last two decades, the total number of applications from Africans for asylum in the countries of the European Union has increased from 578,000 to more than 2.9 million. About 20 % (7,196/36,100) of the asylum seekers in Switzerland originate from Africa. The disease profile of African asylum seekers is remarkably different from that of the native population in the country of application. We have therefore conducted an analysis of African asylum seekers presenting themselves to our emergency department.

[Investigation of abortions and other animal health problems in relation to vaccination against Bluetongue virus in 2009]

By the distribution of a questionnaire between all Swiss cattle practitioners it was possible to investigate abortions and other animal health problems related to Bluetongue vaccination 2009. The questionnaire helped to obtain plausibility and timely relation of the reported disorders. 58 abortions in cattle and different herd health problems could be examined. Because there is no possibility to show that a vaccination itself leads to an abortion the results of proven causes of abortions prior and after Bluetongue vaccination were compared regarding their diagnosis. Due to the fact that diagnosis and solving rate of abortions did not differ before and after vaccination, the vaccination itself cannot be responsible for the abortions. Evaluation of different herd health problems showed that Bluetongue vaccination was not responsible for these disorders which often existed already prior to vaccination. Herd health problems generally have multifactorial causes what makes it difficult to asses the effect of Bluetongue vaccination in some cases.

[Overview of helminth problems in domestic ruminants in Switzerland]

Potent anthelmintics were introduced into the Swiss market several decades ago. Despite this, gastrointestinal nematodes (GIN), lungworms and the large liver fluke (Fasciola hepatica) can successfully inhabit Swiss ruminant farms. This is mainly due to a high reproductive capacity as well as very efficient survival strategies. In addition some species readily develop anthelmintic resistance. GIN-infections in young cattle are under comparatively good control. However, prophylactic measures are compromised where adult stock is also affected due to incomplete development of immune protection. Under these circumstances control measures must include all age groups. This results in fewer helminths in refugia thus may accelerate the development of anthelmintic resistance. This review aims to present a synopsis of the significance of the major helminth infections obtained on pasture by large and small ruminants in Switzerland. Currently available strategies for strategic helminth control are summarized and an outlook is given on new developments which might expand the spectrum of control measures relevant for veterinary practice in the future.