金融資產(chǎn)證券化【外文翻譯】

1、本科畢業(yè)論文（設(shè)計(jì)）外 文 翻 譯原文：securitization of financial assetsasset-backed securitization (abs) is a financial tool which allows financial institutions (usually commercial banks) to move unmarketable assets (e.g. lease assets, mortgage assets or commercial papers) from their balance sheets in exchange for a

2、 long term loan which can be ploughed back into more profitable investments. more precisely, the financial assets are converted into bonds (so called notes) and the proceeds of their market issuance become a long term loan for the assets owner (the originator). we will look at the abs operation main

3、ly from the point of view of this financial institution. our analysis will concentrate on the critical phase of the abs operation avoiding to describe in detail the role of some of the participating operators, such as banks and insurance companies, which provide the credit protection (risk hedging)

4、of the operation. it should be noted that the issue of credit protection is an interesting research topic in itself. however, the corresponding features such as credit guarantees and cash flow riskiness are beyond the scope of this paper.in an abs, the assets are sold by the originator to a special

5、purpose vehicle (spv), an institution created solely for that purpose. the spv funds the purchase through issuing debt securitiesthe noteswhich are collateralized by the assets. note that the assets transfer is a true sale. thus, if the originator becomes insolvent or is involved in bankruptcy the t

6、ransferred financial assets will not be part of the bankruptcy assets. this makes the notes an interesting investment opportunity. in apass through payment scheme the final investors who buy these notes receive periodic inflows (interests on their investments). these are directly related to the peri

7、odic installments paid by the holders of the assets (e.g. lessees or mortgage holders) to the originator (e.g. the lessor). using the abs structure the originator bypasses the problem of an impossible outright sale of its assets and thus reduces its overall exposure to them. for instance, lease or m

8、ortgage contracts which tie up the capital of leasing companies can be moved into notes. this replacement of illiquid assets improves the return on equity (roe).from the point of view of the originator, an abs allows the achievement of three main financial objectives: 1. replacement of the assets in

9、 the balance sheet, thereby improving roe and allowing (if the originator is a bank) a more flexible keeping of the asset/liability composition constraints imposed by the control authorities (i.e. the central bank). 2. diversification of fund sources. although the originator may be low rated, its no

10、tes usually get a higher rating (e.g. aaa) due to the presence of banks and insurance companies which guarantee the whole operation. this implies that such notes can be dealt on the main financial markets allowing the originator to reach markets which would otherwise be unaccessible for him since at

11、tended only by more established companies. 3. higher rated notes are more reliable investments and thus are allowed to pay lower interest rates to holders. if the cost to get a higher rating is lower than the saving obtained by issuing notes with higher rating, then the global cost to acquire funds

12、decreases. let us assume that an institution with a bb rating can get money at a rate such as libor (london interbank offering rate) plus 150 basis points. such an institution, as originator, may decide to pay an additional 100 basis points to get credit warranties1 and be able to issue notes with r

13、ating aaa at the cost of libor plus 10 basis points. in this case an abs will produce a saving on interest rates of 40 basis points. this situation applies in practice, since there is no efficient market for the underlying assets. the interest in this financial operation drastically increased in the

14、 last years all over europe. in italy, one of the most recent and relevant abs has been performed by the pulic institution in charge of the management of the social security system, i.e. the istituto nazionale della previdenza sociale (inps). this operation has allowed inps to move delinquent contri

15、butions from its balance sheet. other transactions of this type took place in the area of public housing agencies. the interest in this financial operation drastically increased in the last years all over europe. in italy, one of the most recent and relevant abs has been performed by the public inst

16、itu- tion in charge of the management of the social security system, i.e. the istituto nazionale della previdenza sociale (inps). this operation has allowed inps to move delinquent con- tributions from its balance sheet. other transactions of this type took place in the area of public housing agenci

17、es. many papers dealing with abs from a modelling point of view have appeared in the last few years. since an extensive review is beyond the scope of this paper we will only mention the papers by kang and zenios 6, 7 and by mansini and speranza 12, 13 and refer to the references given therein. for a

18、 better insight in the complex problem of securitization we suggest the textbooks 3, 5, 15. in particular, motivated by the analysis of a real-world case, mansini in 11 and then mansini and speranza in 12 have studied the problem of optimally selecting the assets to refund the loan. in their case on

19、ly lease assets are considered, although many other types of assets have the same basic characteristics. in their paper the outstanding principal of the assets is computed based on constant general installments (the so called french amortization).the resulting problem of selecting assets at a unique

20、 date can be modelled as a d-dimensional knapsack problem, which is hardly tractable by exact algorithms but is typically solved by constructive heuristics (see e.g. 1, 16) or metaheuristics (see e.g. 2, 4).the authors also show that in the special case where all lease assets share the same financia

21、l characteristics (amortization rule, internal interest rate and term) all but one constraint turn out to be redundant and hence the model reduces to a classical 01 knapsack problem (kp), which is relatively easy to handle (cf. 8, 9, 14). see 10 for a general introduction to knapsack problems. their

22、 work does not take into account the occurrence of a different rule for the asset amortization. in many practical applications (both for lease and mortgage contracts) the customers receiving the assets choose to pay back their debt by constant periodic principal installments (the rule is known as it

23、alian amortization). up to now this common rule has been totally ignored in models formalization.the objective of this paper is twofold. first of all we innovate with respect to previous modeling approaches by introducing a general model to select financial assets at multiple dates. the motivation d

24、erives from the practical need of finding alternative and possibly more effective formulations for the problem of asset selection in abs to achieve a better utilization of the long term loan. secondly, we analyze the frequently encountered practical case in which the assets (lease or mortgage contra

25、cts) are paid back by constant periodic principal installments (italian amortization rule). in this way the paper aims to provide the analysis of an alternative amortization rule available in practice as well as the development of better tools for the institutions responsible for the planning and ma

26、nagement of abs.before defining the new model we should give a more detailed sketch of the abs process. to help the reader in visualizing and better understanding the structure of an abs process. the spv issues notes on the financial market receiving funds from institutional investors who purchase t

27、he notes and hold them until maturity subject to the availability of acceptable short-term financing. the proceeds obtained by the notes issuance are used by the spv to make revolving purchases of the unrated assets from the originator. the latter receives a long term loan which is payable solely by

28、 assets. in particular, the originator has to select the assets to be handed over for the loan reimbursement. these assets are “converted into” the notes issued by the spv.the assets which are included in an abs process have to be selected in a way such that the sum of their outstanding principals n

29、ever exceeds the outstanding principal of the received loan (from now on simply the main outstanding principal) at any point in time. now in order to maximize the financial gain of the operation the critical problem for the originator consists of minimizing the gap between the main outstanding princ

30、ipal and the outstanding principal of the selected assets over all points in time. this gap constitutes a loss of profit due to missing more profitable investments with higher yields. actually, the area of the main outstanding principal covered by the sum of outstanding principals of the handed-over

31、 assets yields a return for the originator (e.g. the lessor) depending on the difference between the percent interest rate per year (say ) that the originator got from its customers (e.g. the lessees) and the lower percent interest rate (say ) paid to the note holders. if the sum of the outstanding

32、principals of the selected assets has a global reimbursement profile which decreases more rapidly than that of the main outstanding principal, then the originator gets funds from its customers in advance with respect to the deadline at which it should pay the capital installment to the spv. such fun

33、ds have to be reinvested in some predefined type of investments indicated in the abs agreement. these investments last for a brief period (from the date in which they are available to the following date of reimbursement for the main loan) and usually yield a very low interest rate (say 0). given the

34、 rate payed for the notes it frequently happens that - is close to zero and may also be negative involving a loss for the originator. this justifies the interest in minimizing the gap between the two profiles and stresses the importance of studying alternative shapes for the outstanding principals.a

35、nother important aspect in an abs process is the risk of assets prepayment (cf. schwartz and torous 18). a decline in interest rates may cause an earlier repayment of the outstanding principal to the originator by some of the lessees. clearly, such a prepayment decreases the sum of the outstanding p

36、rincipals of the assets and hence has a negative effect on the value of the objective function over time since the gap towards the main outstanding principal increases.for some types of assets such as auto loans or credit card receivables this prepayment is unusual. however, leasing-like assets do f

37、ace the risk of interest-rate based prepayment. since prepayment events are non-predictable they cannot be taken explicitly into account in a deterministic off-line optimization model. implicitly, it is assumed that all assets have the same probability of prepayment. in all cases where the risk of e

38、arly paybacks is particularly high, a re-optimization of the whole abs process at a later point in time is strongly recommended.concerning the time line, in our case the assets are handed over by the originator and purchased by the spv starting at a closing date (initial date for the loan) and on a

39、fixed basis thereafter during the so called revolving period. each date at which a purchase takes place is called settlement date. the assets handed over by the originator at the closing date and thereafter at the settlement dates are collectively referred to as the initial and subsequent portfolios

40、 , respectively. issued notes yield an interest payable on periodic bases (usually quarterly) and are redeemed at different final maturity dates. for this reason, notes are divided into tranches characterized by different deadlines. the reimbursement to the holders of the principals of a tranche of

41、notes corresponds to a reimbursement installment of the main outstanding principal. hence, the outline of the outstanding principal of the loan has as many installments (steps) as the number of tranches of notes with different maturity issued on the market. the main source of payment of interest and

42、 principal on notes are recoveries arising out of the assets. in particular, the cash-flow deriving from assets is used by the spv to satisfy its obligations to the holders of notes. naturally, the outstanding principal of an asset depends on the rule used for amortization. as mentioned above, two d

43、ifferent rules mainly appear in practice. in the first rule, usually known as french amortization, the general periodic installment (sum of periodic interests and principal installment) is constant over time. in this case the customers who hold assets (mortgage or lease contracts) have to pay the sa

44、me constant amount at each deadline. since the principal installments increase geometrically over time (see figure 2(b), the outstanding principal can be approximated by a concave piece-wise linear function.source：d. bertsimas and r. demir.securitization of financial assets: approximation in theory

45、and practice.computational optimization and applications, 2004(29), p147171.譯文：金融資產(chǎn)證券化資產(chǎn)證券化(abs)是一種金融工具,它可以讓金融機(jī)構(gòu)(通常是商業(yè)銀行)的流動(dòng)資產(chǎn)(如租賃資產(chǎn)滯銷,抵押資產(chǎn)或商業(yè)證件)在他們的資產(chǎn)負(fù)債表中轉(zhuǎn)換為長(zhǎng)期貸款（可以把利潤(rùn)再投資進(jìn)入更有利可圖的投資）。更確切地說,金融資產(chǎn)轉(zhuǎn)換為證券(也稱為紙幣)之后，發(fā)行證券的收益就成為各項(xiàng)資產(chǎn)所有者的長(zhǎng)期貸款。我們主要從金融機(jī)構(gòu)的角度來看資產(chǎn)支持型證券的經(jīng)營(yíng)情況。我們的分析將集中在關(guān)鍵階段abs的操作上，避免去詳細(xì)描述參與經(jīng)營(yíng)者的角色，如銀行和保

46、險(xiǎn)公司提供信用保護(hù)(風(fēng)險(xiǎn)規(guī)避)的經(jīng)營(yíng)情況。它應(yīng)該是在自身范圍內(nèi)指出信用保護(hù)問題研究的熱點(diǎn)。然而, 相應(yīng)地,信用擔(dān)保和現(xiàn)金流都超出了本文風(fēng)險(xiǎn)的范圍。在abs項(xiàng)目中，發(fā)起機(jī)構(gòu)把資產(chǎn)出售給特設(shè)載體(spv),它是一個(gè)專為達(dá)到這一目的而創(chuàng)造的機(jī)構(gòu)。spv可以通過發(fā)行資產(chǎn)抵押證券來資助這一購(gòu)買。值得注意的是，資產(chǎn)轉(zhuǎn)移是一個(gè)真實(shí)的銷售。因此,如果發(fā)起人破產(chǎn)或參與破產(chǎn)了，他所轉(zhuǎn)的金融資產(chǎn)將不能列入破產(chǎn)財(cái)產(chǎn)。這使得債券成為一個(gè)有趣的投資機(jī)會(huì)。投資者通過付款計(jì)劃在買了這些債券后收到他們的定期投資流入(利益)。這會(huì)直接關(guān)系到分期付款的持有者(例如承租人的資產(chǎn)抵押貸款持有者)支付利潤(rùn)給發(fā)起人(例如出租人)。采用ab

47、s結(jié)構(gòu)的發(fā)起人容易忽略一個(gè)問題，那就是這些資產(chǎn)不可能直接出售,從而降低了它對(duì)他們的整體暴露。例如，租賃公司出租、抵押的合同中占著的資本可能會(huì)轉(zhuǎn)換成債券。這個(gè)替代的非流動(dòng)性資產(chǎn)可以提高資產(chǎn)收益率。從發(fā)起人的角度來看，一個(gè)abs允許的三個(gè)主要財(cái)務(wù)目標(biāo)成就如下：1、更換資產(chǎn)在資產(chǎn)負(fù)債表中的比例,從而提高股本回報(bào)率,并允許(如果發(fā)起人是銀行)一個(gè)更靈活的資產(chǎn)負(fù)債組成比例，但這由管理機(jī)關(guān)限制(如中央銀行)；2、基金來源的多元化。雖然發(fā)起人得到很低的價(jià)錢,但它的債券通常有更高的等級(jí)(例如aaa)。這意味著這些票據(jù)可以在主要的金融市場(chǎng)上運(yùn)行，并允許發(fā)起人進(jìn)入金融市場(chǎng)。然而這個(gè)市場(chǎng)只有通過更多的知名企業(yè)否則會(huì)

48、達(dá)不到這一目的；3、更高額定票據(jù)是更可靠的投資。它可以支付較少的利息給債券持有人。如果通過發(fā)行高定額票據(jù)，獲得更高等級(jí)債券的成本比儲(chǔ)蓄獲得的利息還要低，那么獲取資金的總成本將會(huì)減少。讓我們假定一個(gè)bb評(píng)級(jí)機(jī)構(gòu)可以按一定利率(倫敦同業(yè)銀行間拆借利率)獲得利息,再加上150基點(diǎn)。這樣的發(fā)起機(jī)構(gòu)可以決定支付額外的100個(gè)基點(diǎn),獲得信貸擔(dān)保,并且能夠發(fā)行aaa等級(jí)票據(jù)并以銀行利率為代價(jià)外加10個(gè)基點(diǎn)。在這種情況下，一個(gè)abs將會(huì)節(jié)約40個(gè)基點(diǎn)的銀行利率。如果將這種情況應(yīng)用于實(shí)踐中, 對(duì)于基本資產(chǎn)來說并沒有有效的市場(chǎng)。然而這一金融的運(yùn)行在過去兩年中大幅度加快了整個(gè)歐洲的發(fā)展。在意大利最近幾年，最重大的相

49、關(guān)資產(chǎn)支持型證券是由公共事業(yè)聲譽(yù)管理機(jī)構(gòu)（社會(huì)保障體系inps)管理的。該操作允許inps將債務(wù)從它的資產(chǎn)負(fù)債表中移出。而其他這種類型的交易發(fā)生在該地區(qū)的公有住房機(jī)構(gòu)中。在最后幾年，整個(gè)歐洲的金融運(yùn)行大大加強(qiáng)。最近在意大利，相關(guān)abs項(xiàng)目已進(jìn)行公眾收集社會(huì)保障制度的管理費(fèi)。此操作使得社會(huì)保障局提出將拖欠的資產(chǎn)從它的資產(chǎn)負(fù)債表中移出。其他這種類型的交易發(fā)生在該地區(qū)的地方公共住房機(jī)構(gòu)。從造型上看abs的交易出現(xiàn)在很多論文中。在此我們將只提康有為和再尼奧斯6，7和斯珀蘭薩12，13 其中給出的參考。為了更好地了解復(fù)雜的問題，我們將建議參考教科書3，5，15。這里我們來參考下斯珀蘭薩12研究的優(yōu)選資產(chǎn)

50、的問題。雖然很多其他資產(chǎn)類型具有相同的基本特征，但在他們的情況下，只有租賃資產(chǎn)被認(rèn)為是貸款。他們?cè)谖磧斶€本金資產(chǎn)計(jì)算的基礎(chǔ)上不斷分期付款（即所謂的攤銷），產(chǎn)生的資產(chǎn)在唯一的日期問題上可以建模作為一個(gè)d維背包問題，這是很難馴服的，但通過精確算法可以有建設(shè)性的解決方法（如見1，16）或啟發(fā)靈感（例如，見2，4）。作者還表明，在特殊情況下，所有租賃資產(chǎn)與財(cái)政的所有特征（攤銷規(guī)則，內(nèi)部利率和期限）相同。但這一約束是多余的，因此模型減少到經(jīng)典0-1背包問題（kp），這是比較容易處理的（參見8，9，14）。其實(shí)他們的工作并沒有考慮到資產(chǎn)攤銷的不同規(guī)則。在許多實(shí)際應(yīng)用中，出租（和抵押合同）客戶選擇資產(chǎn)通過不斷的分期付款來償還其債務(wù)（該規(guī)則是意大利著名攤銷）。注冊(cè)到了現(xiàn)在，這個(gè)共同的規(guī)則已被完全忽略了，而成為了模型的形式化。這篇文章的目的是雙重的。首先我們通過引入一種通用的模型來選擇