金融资产证券化【外文翻译】 .doc

本科毕业论文（设计）外 文 翻 译原文：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 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 mainly 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) 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 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 transferred 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 periodic 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 mortgage 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 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 notes 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 attended 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 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 rating 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 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 contributions 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 institu- 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 agencies. 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 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 only 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 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 financial 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 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 Italian 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 derives 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 contracts) 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 management 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 the 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 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 never 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 principal 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 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 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 funds 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 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.Another 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 principals 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 face 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 early 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 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 , 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 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 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 different 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 same 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 and Practice.Computational Optimization and Applications, 2004(29), P147171.译文：金融资产证券化资产证券化(ABS)是一种金融工具,它可以让金融机构(通常是商业银行)的流动资产(如租赁资产滞销,抵押资产或商业证件)在他们的资产负债表中转换为长期贷款（可以把利润再投资进入更有利可图的投资）。更确切地说,金融资产转换为证券(也称为纸币)之后，发行证券的收益就成为各项资产所有者的长期贷款。我们主要从金融机构的角度来看资产支持型证券的经营情况。我们的分析将集中在关键阶段ABS的操作上，避免去详细描述参与经营者的角色，如银行和保险公司提供信用保护(风险规避)的经营情况。它应该是在自身范围内指出信用保护问题研究的热点。然而, 相应地,信用担保和现金流都超出了本文风险的范围。在ABS项目中，发起机构把资产出售给特设载体(SPV),它是一个专为达到这一目的而创造的机构。SPV可以通过发行资产抵押证券来资助这一购买。值得注意的是，资产转移是一个真实的销售。因此,如果发起人破产或参与破产了，他所转的金融资产将不能列入破产财产。这使得债券成为一个有趣的投资机会。投资者通过付款计划在买了这些债券后收到他们的定期投资流入(利益)。这会直接关系到分期付款的持有者(例如承租人的资产抵押贷款持有者)支付利润给发起人(例如出租人)。采用ABS结构的发起人容易忽略一个问题，那就是这些资产不可能直接出售,从而降低了它对他们的整体暴露。例如，租赁公司出租、抵押的合同中占着的资本可能会转换成债券。这个替代的非流动性资产可以提高资产收益率。从发起人的角度来看，一个ABS允许的三个主要财务目标成就如下：1、更换资产在资产负债表中的比例,从而提高股本回报率,并允许(如果发起人是银行)一个更灵活的资产负债组成比例，但这由管理机关限制(如中央银行)；2、基金来源的多元化。虽然发起人得到很低的价钱,但它的债券通常有更高的等级(例如AAA)。这意味着这些票据可以在主要的金融市场上运行，并允许发起人进入金融市场。然而这个市场只有通过更多的知名企业否则会达不到这一目的；3、更高额定票据是更可靠的投资。它可以支付较少的利息给债券持有人。如果通过发行高定额票据，获得更高等级债券的成本比储蓄获得的利息还要低，那么获取资金的总成本将会减少。让我们假定一个BB评级机构可以按一定利率(伦敦同业银行间拆借利率)获得利息,再加上150基点。这样的发起机构可以决定支付额外的100个基点,获得信贷担保,并且能够发行AAA等级票据并以银行利率为代价外加10个基点。在这种情况下，一个ABS将会节约40个基点的银行利率。如果将这种情况应用于实践中, 对于基本资产来说并没有有效的市场。然而这一金融的运行在过去两年中大幅度加快了整个欧洲的发展。在意大利最近几年，最重大的相关资产支持型证券是由公共事业声誉管理机构（社会保障体系INPS)管理的。该操作允许INPS将债务从它的资产负债表中移出。而其他这种类型的交易发生在该地区的公有住房机构中。在最后几年，整个欧洲的金融运行大大加强。最近在意大利，相关ABS项目已进行公众收集社会保障制度的管理费。此操作使得社会保障局提出将拖欠的资产从它的资产负债表中移出。其他这种类型的交易发生在该地区的地方公共住房机构。从造型上看ABS的交易出现在很多论文中。在此我们将只提康有为和再尼奥斯6，7和斯珀兰萨12，13 其中给出的参考。为了更好地了解复杂的问题，我们将建议参考教科书3，5，15。这里我们来参考下斯珀兰萨12研究的优选资产的问题。虽然很多其他资产类型具有相同的基本特征，但在他们的情况下，只有租赁资产被认为是贷款。他们在未偿还本金资产计算的基础上不断分期付款（即所谓的摊销），产生的资产在唯一的日期问题上可以建模作为一个d维背包问题，这是很难驯服的，但通过精确算法可以有建设性的解决方法（如见1，16）或启发灵感（例如，见2，4）。