金融资产证券化外文翻译

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资产证券化(ABS)简单介绍

资产证券化（ABS）是指将缺乏流动性但又能够产生可预期的稳定现金流的资产汇集起来，通过一定的结构安排对资产中风险与收益要素进行分离与重组，再配以相应的信用担保和升级，将其转变成可以在金融市场上出售和流通证券的过程。

这些资产都具有质量和信用可被准确评估、有担保、能产生可预见的现金流等必备特征。

资产证券化作为一种优点突出的新兴工具，已经引起了理论界的广泛关注，这其中被争论得较多的是关于资产证券化的切入点的选择，即应该从哪一类资产开始进行证券化。

我国的资产证券化业务，应该以基础设施收费项目证券化为切入点。

一、证券化的标的资产的四大要求要讨论从哪一类资产开始进行资产证券化，首先要明确进行证券化的资产的要求。

从国外资产证券化的实践看，通常对证券化的标的资产有四个基本要求：1.该类资产必须有一定的存量规模，这样才能形成具有相似条件的资产组群，才能有效构建资产池进行信用担保和信用升级。

2.必须有可预期的稳定的现金流的资产。

当ABS的现金流出为既定时，若其现金流入不稳定甚至“断流”，那么ABS的发行人或担保机构就不可避免地面临支付风险甚至支付危机。

3.资产必须具有可重组性。

资产证券化的本质要求组合中的各种资产的期限、风险、收益水平等基本相近。

4.资产的信用等级要十分明确，即必须有明确的担保支持。

二、住房抵押贷款证券化还不能成为资产证券化的切入点目前占据主流观点和实践得最多的是住房抵押贷款证券化。

不可否认，住房抵押贷款由于其收益流稳定、风险相对较小、发展潜力大等一些自身的特点存在着优势，但它同样存在着一些不可忽视的限制条件，这些限制条件的改善还需要一定时间，将之作为我国实行资产证券化的切入点，为时过早。

（一）我国住房抵押贷款的存量规模限制了进行证券化的可能性一类资产要进行证券化，第一个基本条件就是该项资产要有一定的规模。

而我国的住房抵押贷款市场虽然在迅速发展中，但是目前市场仍然较为狭小。

在我国，截止2000年末，各商业银行个人住房抵押贷款余额为3212亿元人民币，仅占当年各项贷款余额的3.23％，其差距可见一斑。

证券市场行为金融中英文对照外文翻译文献

中英文对照外文翻译文献中英文对照外文翻译文献(文档含英文原文和中文翻译)外文翻译：Behavioral Finance1. IntroductionBehavioral finance is the paradigm where financial markets are studied using models that are less narrow than those based on Von Neumann–Morgenstern expected utility theory and arbitrage assumptions. Specifically, behavioral finance has two building blocks: cognitive psychology and the limits to arbitrage. Cognitive refers to how people think. There is a huge psychology literature documenting that people make systematic errors in the way that they think: They are overconfident, they put too much weight on recent experience, etc. Their preferences may also create distortions. Behavioral finance uses this body of knowledge rather than taking the arrogant approach that it should be ignored. Limits to arbitrage refers to predicting in what circumstances arbitrage forces will be effective, and when they will not be.Behavioral finance uses models in which some agents are not fully rational, either because of preferences or because of mistaken beliefs. An example of an assumption about preferences is that people are loss averse—a $2 gain might make people feel better by as much as a $1 loss makes them feel worse. Mistaken beliefs arise because people are bad Bayesians. Modern finance has as a building block the Efficient Markets Hypothesis (EMH). The EMH argues that competition between investors seeking abnormal profits drives prices to their “correct” value. The EMH does not assume that all investors are rational, but it does assume that markets are rational. The EMH does not assume that markets can foresee the future, but it does assume that markets make unbiased forecasts of the future. In contrast, behavioral finance assumes that, in some circumstances, financial markets are informationally inefficient.Not all misvaluations are caused by psychological biases, however. Some are just due to temporary supply and demand imbalances. For example, the tyranny of indexing can lead to demand shifts that are unrelated to the future cash flows of the firm. When Yahoo was added to the S&P 500 in December 1999, index fund managers had to buy the stock even though it had a limited public float. This extra demand drove up the price by over 50% in a week and over 100% in a month. Eighteen months later, the stock price was down by over 90% from where it was shortly after being added to the S&P.If it is easy to take positions (shorting overvalued stocks or buying undervalued stocks) and these misvaluations are certain to be corrected over a short period, then “arbitrageurs” will take positions and eliminate these mispricings before they become large. However, if it is difficult to take these positions, due to short sales constraints, for instance, or if there is no guarantee that the mispricing will be corrected within a reasonable timeframe, then arbitrage will fail to correct themispricing.1 Indeed, arbitrageurs may even choose to avoid the markets where the mispricing is most severe, because the risks are too great. This is especially true when one is dealing with a large market, such as the Japanese stock market in the late 1980s or the US market for technology stocks in the late 1990s. Arbitrageurs that attempted to short Japanese stocks in mid-1987 and hedge by going long in US stocks were right in the long run, but they lost huge amounts of money in October 1987 when the US market crashed by more than the Japanese market (because of Japanese government intervention). If the arbitrageurs have limited funds, they would be forced to cover their positions just when the relative misvaluations were greatest, resulting in additional buying pressure for Japanese stocks just when they were most overvalued!5. ConclusionsThis brief introduction to behavioral finance has only touched on a few points. More extensive analysis can be found in Barberis and Thaler (2003), Hirshleifer (2001), Shefrin (2000), and Shiller (2000).It is very difficult to find trading strategies that reliably make money. This does not imply that financial markets are informationally efficient, however. Low-frequency misvaluations may be large, without presenting any opportunity to reliably make money. As an example, individuals or institutions who shorted Japanese stocks in 1987–1988 when they were substantially overvalued, or Taiwanese stocks in early 1989 when they were substantially overvalued, or TMT stocks in the US, Europe, and Hong Kong in early 1999 when they were substantially overvalued, all lost enormous amounts of money as these stocks became even more overvalued. Most of these shortsellers, who were right in the long run, were wiped out before the misvaluations started to disappear. Thus, the forces of arbitrage, which work well for high-frequency events, work very poorly for low-frequency eventsBehavioral finance is, relatively speaking, in its infancy. It is not a separate discipline, but instead will increasingly be part of mainstream finance.行为金融1.引言行为金融学就是用来研究金融市场的一种新型的模型。

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献(文档含英文原文和中文翻译)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 mainlyfrom 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 securities-the notes-which 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 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 relatedto 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 mainFinancial objectives:1.Replacement of the assets in the balance sheet, therebyimproving ROE and allowing ( if the originator is a bank)a more flexible keeping of the asset/liability compositionconstraints imposed by the control authorities (i.e. the Central Bank).2.Diversification of fund sources. Althrough the originatormay be low rated, its notes usually get a higher rating(e.g. AAA) due to the presence of banks and insurancecompanies which guarantee the whole operation .This implies that such notes can be dealt on the main financialmarkets 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 thusare 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 which 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 pay an additional 100 basis points to get credit warranties 1 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 dellaPrevidenza 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 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 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 modeling 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-worldcase, Mansini in [11] and then Mansini and Speranza in [12] have studied the problem of optimally selecting the assets to refund the loan. In other 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 unique date can be modeled 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 0-1 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) thecustomers 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 for 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 aim to provide analysis of an alternative amortization rule available in practices 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 invisualizing 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 moreprofitable 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 that the originator got from its customers (e.g. the lessees) and the lower percent interest rate 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. Given the rate B payed for the notes it frequently happens that B is close to zero and may also be negative involving a loss for the originator. This justifies the interest in minimizing thegap 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 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 arehanded 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 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 geometrically 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, 2008(29), P147-171翻译: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。

CFA考试固定收益：资产证券化

CFA考试固定收益：资产证券化考点解析对于很多想参加CFA考试的同学来说，对于CFA的考试内容还不是很了解。

我就为大家分享一下CFA考试的考试科目：1、道德与职业行为标准(Ethics and Professional Standards)2、定量分析(Quantitative)3、经济学(Economics)4、财务报表分析(Financial Statement Analysis)5、公司理财(Corporate Finance)6、权益投资(Equity Investments)7、固定收益投资(Fixed Income)8、衍生工具(Derivatives)9、其他类投资（Alternative Investments）10、投资组合管理(Portfolio Management)固定收益投资考试中，资产证券化（securitization）是难点和重点。

资产证券化，就是指以基础资产未来所产生的现金流为偿付支持，通过结构化设计进行信用增级，在此基础上发行资产支持证券（Asset-backed Securities, ABS）的过程。

资产证券化流程一次完整的证券化融资的基本流程是：发起人（originator）将证券化资产出售给一家特殊目的机构（Special Purpose Vehicle, SPV），或者由SPV主动购买可证券化的资产，然后SPV将这些资产汇集成资产池（assets pool），再以该资产池所产生的现金流为支撑在金融市场上发行有价证券融资，最后用资产池产生的现金流来清偿所发行的有价证券。

可证券化的资产最大的特点是可以产生持续稳定的现金流，包括：居民住房抵押贷款、商业住房抵押贷款、汽车贷款、应收账款等等。

资产支持证券的投资者可以获得持续稳定的现金流，所以资产支持证券本质上就是一种结构化的债券。

居民住房抵押贷款居民住房抵押贷款（residential mortgage loans）是资产支持证券中最常见的一种基础资产，所以这里先来介绍一下居民住房抵押贷款的一些知识。

金融资产证券化中英文对照外文翻译文献

金融资产证券化中英文对照外文翻译文献Financial Asset nAsset-Backed n (ABS) ___ ns。

typically commercial banks。

to remove unmarketable assets。

such as lease assets。

mortgage assets。

or commercial papers。

from their balance sheets in exchange for a long-term loan that can be ___。

the financial assets are transformed into bonds。

known as notes。

and the proceeds from their market issuance e a long-term loan for the asset owner。

also known as the originator。

This article will primarily focus on the n of ABS.ABS nThe ABS ___:1.___ a pool of financial assets that it intends to securitize.2.___ of the assets to a special purpose vehicle (SPV)。

which is created for the sole purpose of holding the assets and issuing the notes.3.The SPV issues the notes。

which are backed by the cash flows generated by the underlying assets.4.The notes are sold to investors in the capital markets。

金融资产证券化【外文翻译】

eriuqca ot tsoc lab olg eht neht ,gni tar rehgih htiw seton gniussi yb deniatbo gnivas
yap ot dewolla era suht dna stnem tsevni elbailer erom era seton detar rehgiH .3
01 sulp robiL fo tsoc eht ta AAA gnitar htiw seton eussi ot elba eb dna 1sei tnarraw na hcuS .stni op sisab 051 sulp )etar gnireff o knabretni nodnoL( robiL sa hcus etar tiderc teg ot stni op sisab 001 lan oi tidda na yap ot ediced yam ,rotanigiro sa ,noituti tsni
.)EOR( y tiuqe no nruter eht sevorpmi stessa
sti secuder s uht dna stessa sti f o elas thgirtuo elbissopmi na f o melborp eht sessapyb
eht pu ei t hcihw stcartnoc egagtrom ro esael ,ecnatsni roF .meht ot erusopxe llarevo
sisab 04 fo setar tseretni no gnivas a ecudorp lliw SBA na esac siht nI .stniop sisab
a ta yenom teg nac gnitar BB a htiw noituti tsni na taht emussa su teL .sesaerced sdnuf

资产证券化融资

资产证券化融资（简称ABS融资）简介资产证券化（Asset Backed- Securitization简称ABS）通常就是指将一组流动性较差的资产经过一定的组合，使这组资产能产生可预计且稳定的现金流收益，再通过一定的中介机构的信用加强，把这些资产的收益权转变为可在金融市场上流动的，信用等级较高的债券型证券的过程。

其实质是融资者将被证券化的资产的未来现金收益权转让给投资者，而资产的所有权则不一定转让。

它具有以下的特点：以资产收入为导向，表外融资，融资成本较低。

资产证券化自１９７０年创新以来迅速发展。

在美国资产证券化市场上占主导地位的房地产贷款支持证券(MBS)从1990 年到2003年底，发行量的年平均增长率达到43.7%，MBS市场已成为仅次于联邦债市的第二大市场，2003年底达3.14万亿美元。

在欧洲1986、1987两年发行的资产支持证券(ABS)总量仅为17亿美元，2002年则达到792亿欧元。

在亚洲地区，资产证券化于1995年兴起，之后在香港、日本、韩国等地区迅速发展。

据标准普尔最近估计，今后几年内该地区的市场潜力将以25％的速度增长。

同时，这种信用体制也逐渐在全球范围内确立起来，正在改变全球的金融结构和信用配置格局。

一、资产证券化的基本程序1、确定要证券化的资产，组成资产池。

企业要首先分析自身的融资需求，根据融资需求确定证券化的目标。

2、组建特设机构，实现真实出售。

一般由这些资产的原始权益人设立一个独立的实体--特设机构SPV，然后将资产池中的资产（这些资产本身具有很高的投资价值，但是由于各种客观条件限制，无法通过证券化途径在资本市场筹集资金），以真实出售的方式卖给这个特设机构。

将项目资产的未来收入权利转让给SPV的目的，是将项目公司本身的风险与项目资产隔断，从而实现“破产隔离”，以利于SPV机构获得权威性资信评估机构授予较高资信等级（AAA或AA级）。

组建SPV是ABS成功运作的基本条件和关键因素3、完善交易结构，进行预先评级。

资产证券化的基本操作原理论文

资产证券化的基本操作原理论文资产证券化（Asset Securitization）是一种金融工具，通过将特定的资产转换成可以交易的证券，从而实现风险分散、融资和投资目的的一种金融创新。

资产证券化的基本操作原理包括资产的选择和池化、证券化结构设计、信用增级和流通安排等。

首先，资产证券化的过程始于资产选择和池化。

资产是指具有经济价值和收益潜力的权益或现金流，包括抵押贷款、消费信贷、债务债权等。

在进行资产证券化时，首先需要选择合适的资产作为证券化对象，然后对这些资产进行池化，即将它们集中在一起形成一个资产池。

资产池通常是多样化的，以降低投资者面临的风险，提高投资品种的流动性和吸引力。

其次，资产证券化需要进行证券化结构设计。

证券化结构是指将资产池分割为不同的证券层次，以满足不同投资者的需求和风险偏好。

常用的证券化结构包括头寸证券（Tranches）、优先级证券（Senior）、次级证券（Subordinated）、残余证券（Residual）等。

头寸证券按照优先级分为不同级别，每个级别享有不同的权益和风险分担。

这种结构化设计能够分散风险，提高证券的流动性和定价效率。

第三，资产证券化涉及信用增级。

信用增级是指通过引入额外的信用参与方，提高投资品种的信用质量和吸引力。

常见的信用增级手段包括担保、保险、信用增级证券等。

担保是指由第三方提供担保或保证，以保证资产的还款能力。

保险是指采用保险产品对投资品种进行保险，一旦投资品种违约，保险公司将赔付相应的损失。

信用增级证券则是通过发行具有不同优先级的证券，使高级证券享有优先受偿的权益，降低投资风险。

最后，资产证券化还涉及流通安排。

流通安排是指将经过证券化和信用增级的证券进行发行和交易的安排。

一般而言，资产证券化后的证券可以在证券交易所上市交易，投资者可以通过购买这些证券来参与资产证券化所代表的资产。

此外，资产证券化还可以通过私募交易进行，以满足特定投资者的需求。

综上所述，资产证券化的基本操作原理包括资产选择和池化、证券化结构设计、信用增级和流通安排等。

金融资产证券化外文文献资料及翻译(可编辑)

金融资产证券化外文文献资料及翻译（可编辑）金融资产证券化外文文献资料及翻译Securitization of Financial assetsAsset-Backed Securitization ABS is a financial tool which allows financial institutions usually commercial banks to move unmarketable assets //.se 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 initself .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 securities-the notes-which are collateralized by the assets. Note that the assets transfer is atrue sale. Thus , if the originator becomes insolvent or is involved inbankruptcy the transferred financial assets will not be part of the 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 reducesits 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 mainFinancial objectives: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.Diversification of fund sources. Althrough the originator may be low rated, its notes usually get a higher rating e.g. AAA due to the presenceof banks and insurance companies which guarantee the wholeoperation .This implies that such notes can be dealt on the main financial markets allowing the originator to reach markets which wouldotherwise be unaccessible for him since attended only by more established companies.Higher rated notes are more reliable investments and thus areallowed to pay lower interest rates to holders. If the cost to get a higher rating is lower than the saving obtained by issuing notes which 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 pay an additional 100 basis points to get credit warranties 1 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. theIstituto 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 financialoperation 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 institution in charge of the management of the socialsecurity 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 modeling 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 other 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 unique date can be modeled 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 authorsalso 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 0-1 knapsack problem KP, which isrelatively easy to handle cf.[8,9,14]. See [10] for a generalintroduction 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 ofall 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 alternativeand possibly more effective formulations for the problem of asset selection in ABS to achieve a better utilization for the long term loan. Secondly, we analyze the frequently encountered practical case in which the assets lease or mortgage contracts are paid back by constantperiodic principal installments Italian amortization rule. In this way the paper aim to provide analysis of an alternative amortization rule available in practices as well as the development of better tools forthe institutions responsible for the planning and management of ABSBeforedefining 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 thenotes and hold them until maturity subject to the availability of acceptable short-term financing. The procee ds 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 whichis 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 imize 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 that the originator got from its customers e.g. the lessees and the lower percent interest rate 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 originatorgets funds from its customers in advance with respect to the deadline at which it should pay the capital installment to the SPV. Such funds haveto be reinvested in some predefined type of investments indicated in the ABS agreement. These investments last for a brief period from the datein which they are available to the following date of reimbursement forthe main loan and usually yield a very low interest rate. Given the rateB payed for the notes it frequently happens that B 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 principals of the assetsand 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 cardreceivables this prepayment is unusual. However, leasing-like assetsdo face the risk of interest-rate based prepayment. Since prepayment events are non-predictable they cannot be taken explicitly into accountin 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 periodEach 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 principalHence, the outline of the outstanding principal of the loan has as many installments stepsas the number of notes with different maturity issued on the market The main source of payment of interest and principalon 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 periodicinstallment 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 geometrically 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 2b , 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, 200829, P147-171附录B:中文翻译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。

银行从业资格考试《风险管理》知识点：资产证券化

银行从业资格考试《风险管理》知识点：资产证券化1.资产证券化（Securitization）广义的资产证券化是指某一资产或资产组合采取证券资产这一价值形态的资产运营方式，包括以下四类：（1）信贷资产证券化，即狭义的资产证券化，是指将缺乏流动性但能够产生可预计的未来现金流的资产（如银行的贷款、企业的应收账款等），通过一定的结构安排，对资产中的风险与收益要素进行分离、重新组合、打包，进而转换成为在金融市场上可以出售并流通的证券的过程。

（2）实体资产证券化，即实体资产向证券资产的转换，是以实物资产和无形资产为基础发行证券并上市的过程。

（3）证券资产证券化，即证券资产的再证券化过程，就是将证券或证券组合作为基础资产，再以其产生的现金流或与现金流相关的变量为基础发行证券的过程。

（4）现金资产证券化，是指现金的持有者通过投资将现金转化成证券的过程。

商业银行利用资产证券化，有助于：（1）通过证券化的真实出售和破产隔离功能，可以将不具有流动性的中长期贷款置于资产负债表之外，优化资产负债结构，及时获取高流动性的现金资产，从而有效缓解商业银行的流动性压力。

（2）通过对贷款进行证券化而非持有到期，可以改善资本状况，以最小的成本增强流动性和提高资本充足率，有利于商业银行资本管理。

（3）通过资产证券化将不良资产成批量、快速转换为可流通的金融产品，盘活部分资产的流动性，将银行资产潜在的风险转移、分散，有利于化解不良资产，降低不良贷款率。

（4）增强盈利能力，改善商业银行收入结构，如贷款银行在出售基础资产的同时可以获得手续费、管理费等收入。

此外，还可以为其他银行资产证券化提供担保及发行服务，并赚取收益。

2.信用衍生产品（Credit Derivatives）信用衍生产品是用来从基础资产上分离和转移信用风险的各种工具和技术的统称，最大特点是能将信用风险从市场风险中分离出来并提供风险转移机制。

在信用衍生产品出现之前，信用风险和市场风险往往结合在一起，信用衍生产品使得信用风险管理具有了专门的金融工具，能单独对信用风险的敞口头寸进行计量和对冲，提高了金融机构管理信用风险的能力。

证券化术语

证券化术语（Terminology）Asset-backed Commercial Paper （ABCP）（资产支持商业票据）是一种短期资产支持证券品种，基础资产一般为贸易应收款，发行的证券的期限为90天到180天，证券的偿付来源是被聚合的应收款。

深圳中集集团的应收款证券化就是典型的资产支持票据（ABCP）案例。

Asset Backed Securities –资产支持证券按照美国的习惯，这类证券通常是指不同于按揭支持证券（MBS）的其他类证券化产品，资产类型包括汽车贷款、信用卡应收款、学生贷款、贸易应收款等；而在其他地区，则可能泛指包括MBS在内的所有证券化产品。

Agency –政府机构或政府机构证券证券化中指专为促进按揭二级市场（证券化）发展而设立的三大政府机构或由这些机构发行的支持证券。

三大机构包括联邦住房贷款按揭公司（the Federal Home Loan Mortgage Corporation，FHLMC or Freddie Mac）,联邦国民按揭协会（ the Federal National Mortgage Association ，FNMA or Fannie Mae）, 政府国民按揭协会（the Government National Mortgage Association，GNMA or Ginnie Mae）.Agency securities- 机构证券在美国专指由三大机构发行的按揭证券。

Asset-based financing –资产为基础的融资一般指所有以资产基础的融资方式，如抵押贷款和资产证券化。

而资产证券化以资产为主要偿付来源的融资方式，又称资产支持融资（asset-backed financing）。

Assignment –转让就证券化而言，指在法律意义上应收款从一方转移至另一方的转让行为。

Back-up servicer- 备用服务人证券化中通常由原始权益人继续行使对原资产的管理服务，如收款管理等；同时，SPV也有权在某种条件下替换服务人，这种被用于替换现有服务人的服务人就是备用服务人。

商业银行不良贷款证券化外文文献翻译

外文文献翻译原文+译文原文The study on the securitization of non-performance loans of commercial banksAhmad WAbstractCommercial Banks non-performing assets is to point to in a good operating state, not normal brings to the commercial bank interest income in time even can't take back the principal bank assets in a timely manner. The essence of the non-performing assets is an additional commercial Banks operating costs. The seriousness of the problem, however, far from it, because the bank in the special position in social economic life and the important role of non-performing assets in which could lead to an increase in commercial Banks operating costs at the same time, also implies a higher social costs. Throughout the history of the world, all previous banking crises, financial crisis and the outbreak of the global economic crisis, with Banks non-performing assets. Unwind the bad assets, and eliminate the root causes of bad assets are imperative. Keywords: Non-performing loans; Asset securitization; Commercial Banks1 IntroductionNon-performing assets disposal of the most common method is operated Banks, specific include: collection, debt restructuring, on the basis of repay the principal reduction, litigation and court execution, loan interest cancel after verification, etc. Among them, the collection, a debt restructuring and reduction method of interest is the premise of the borrower has certain repayment sincerity and reimbursement ability. Action to perform, loans verification method is suitable for borrowing the lack of sincerity reimbursement or reimbursement ability. Many reasons for the formation of non-performing assets of commercial Banks, credit conditions are an important reason. Credit system is imperfect, bilk not directly caused a large number of enterprises also phenomenon. Many private enterprises and unable to repay bank loans, its legal representative or the shareholders itself will not be affected by any; moreover, they can through the prior registered a new company to continue to run their business. It is because of bad credit environment, led to made the borrower's subjective repaymentwillingness is not strong, lack of credit consciousness, so the collection way to deal with the effect of bad assets always is not very good, a lot of the time can only play the role of interrupt litigation efficiency., with some success, of course, but generally this borrowing has full mortgage or guarantee. Debt restructuring, breaks the interest is the bank to the borrower has certain repayment willingness, but a kind of measures taken by the reimbursement ability is insufficient. Such treatment clause contains both the preferential policies of the bank to the borrower, and the limitation of the bank. Debt restructuring is mainly for the duration of the loan, mortgage, guarantee, loan, make changes to form new loans, to reduce risk. Reduction of interest by a certain amount of relief, recover all loan principal. These two approaches in the bank received a lot of use. Litigation and court execution way has always been one of the important ways of bad assets disposal, bad credit environment, concentrated in many borrowers bilk not also, the bank must take compulsory means of recovery of the loans. As Banks and borrowers are format contract signed, the guarantor, so the problem of loans made to basically guaranteed. But the problem is the execution phase, if the lack of sufficient assets available for execution, the loans are still hard to fully recover, sometimes even the action to perform advancements cannot take back. Even so, as a result of litigation compulsory execution, these ways of disposal gradually become one of the most main way. Finally, on the premise of any loan, it will not be repaid, Banks into bad debt verification procedures. Visible, the non-performing assets of commercial Banks have formed a set of business process, according to the customer's specific repayment willingness and repayment capacity, formulate the corresponding disposal measures, and the process is in the process of improving.2 The affect factors of the non-performing loan recovery2.1 Loan timeIn theory, the loan last failed to repay the longer, may also produce bad debt loss, the greater the non-performing loans of borrowing the earlier time, time will be long overdue, and recovery rate is generally low. Countries to borrow after transfer, a large number of non-performing loans to appear, but state-owned enterprises did not returnthe bank loans as a must, the idea has not changed, also think that is a country in support, and the commercial bank reform has not yet started, have to bear the certain function of finance. Appear in this phase of the non-performing loan is a big difficulty, in their evaluations, to especially pay attention to this stage of the lent loans, in has been calculated based on the assessment of the value should be lowered accordingly.2.2 Loan sectorDifferent industry development direction, development potential, payment is also different. But more important is the nature of industry difference also means different organic composition, the different proportion of tangible and intangible assets, can be used for the assets of a mortgage. Enterprises of different industries in the face of the repayment pressure or liquidation, creditors can perform an asset and its degree, and thus to creditors have different ability of guarantee. The real estate, construction even if there will be a lot of bad debts occur to pay off the building and construction materials, realizable ability, such as financial services when bad debts occur or bankruptcy is available to sell anything.2.3 The enterprise ownershipNon-performing loan ratio highest is state-owned enterprises and collective enterprises, and foreign enterprises and individual enterprises is generally lower. According to incomplete statistics of non-performing loans of state-owned enterprises and collective enterprises accounted for the big four Banks non-performing loans is about 75% of the total. For a long time, the main commercial Banks is a state of absolute holding, so its loan direction mainly in the face of state-owned enterprises and collective enterprises, in the process of loan, sometimes under the intervention of the government, the bank will be for some, redundant construction, low management level of the product unsalable make loans to the state-owned enterprises, such loans are usually difficult to recover. And many of the state-owned enterprises in the business at the same time also in bear the heavy burden on society, such companies can once cannot reimbursement is not bankruptcy liquidation, because it will affect the stability of the local society to a certain extent. The state-owned enterprises and local government relations are complex, is likely to encounter in the process ofrecovery of loans the government. So we can expect, state-owned enterprises non-performing loan recovery rate is relatively low.2.4 Loan purposesThe purpose of the enterprise loans directly affect the loans become non-performing loans after its recovery, loans for infrastructure construction such as highway, hydropower station, even out of business, but has invested assets can still corresponding cash. As for working capital turnover or to repay debt, once enterprises shut down at this moment, it will be difficult to get a loan.2.5 Enterprise operating conditionsEnterprise only keep operating, will speed up the turnover of assets and value-added, its assets only in continuous operation at the same time, will be to the value of its future cash flow measurement. If the enterprise is unable to maintain normal operation, under the period of shut down or even bankruptcy, on the one hand, the source of enterprises to raise funds dried up, room for turnover decreases, and on the other hand, itself can no longer produce inflows, on the degree of guarantee creditors will decline.3 Theory of asset securitization and the process3.1 DefinitionsOf future earnings of the asset securitization is simply the assets transferred to investors in the form of securities issuance, its low cost, high rate of financing characteristics have drawn the attention of the governments and financial institutions. Since the United States created the beginning of asset securitization, in just a few decades the development has begun to take shape, more developed in many areas, asset securitization has become a of non-performing assets of Banks and other financial institutions to solve the important means. Law fare that asset securitization is savers and borrowers by financial markets to some or all of the matching process and tools, under the arrangement, the development of the market credit replaced by Banks or other financial institutions to provide closed market credibility. American Yale set professor argues that "asset securitization can be broadly defined as a process, through this process will have a common characteristic of loans, consumer installmentcontracts, leases, accounts receivable and other illiquid assets into market-oriented investment characteristics of interest-bearing securities. "Visible, the meaning of asset securitization, which consists of a series of financial asset through restructuring, the construction of asset pool, in order to get more stable cash flow, and then through a variety of credit enhancement, in order to achieve the standard of securities issuance, so as to issue securities, and based on the payment of securities of the asset pool cash flow.3.2 The theory analysisBasic operation principle of asset securitization together is the securitizations of assets, the restructuring its cash flow and handed it to investors. Because our country banking non-performing loans is not completely get rid of the constraint, staying in more than two system, formed the situation of non-performing loans is basically equivalent to default loans. Therefore, for single non-performing loans, because the borrower has defaulted, difficult to timely recovery of the loans in the future through the normal way, so its cash flow is uncertain, extreme without any occurrence of cash flow is possible. So, expect the cash flow of non-performing assets of Banks is a very difficult thing, this factor has become a part of the opposition of non-performing assets securitization of scholars is a major reason.But, in fact, for a group of loans, even though the cash flow is the combination of the combination of each loan sum of cash flows, but because of the role of the law of large Numbers, the combination of the cash flow may present a certain regularity, the premise is the number of borrowers in loan portfolio enough, correlation between small enough, industry and region, the loan scale widely enough and so on. So the individual loans often large deviation, but can the whole portfolio cash flow has credible estimates. On this basis, it can be bad assets together, structural reorganization, and divided the resale market for securities investors. Bad assets the damage to the financial sector and the whole regional economy is self-evident, bad assets for the financial system is always a great safety hidden trouble, while asset securitization is the most common especially in some developed areas in the world of the methods to solve the problem of non-performing assets. This section is to analyzethe necessity and feasibility of securitization of non-performing assets.文献出处：Ahmad W. The study on the securitization of non-performance loans of commercial banks [J]. Journal f Basic and Applied Scientific Research, 2016, 4(3): 241-250.译文商业银行不良贷款证券化研究Ahmad W摘要商业银行不良资产是指处于非良好经营状态，不能及时给商业银行带来正常利息收入甚至不能及时收回本金的银行资产。

资产证券化

资产证券化中的金融衍生品
CDO (collateral debt obligation)，即债务抵押证券，以抵押债务信用为基础，基于各种资产证券化技术，对债券、贷款等资产进行结构重组，重新分割投资回报和风险，以满足不同投资者的需要的创新性衍生证券产品。投资银行对其购买的房贷进行风险划分，做成不同等级的CDO。由于合成型CDO资产池中的资产高度分散，利率风险和违约风险分离，且没有提前偿付风险，因而安全性更高，受到市场的广泛欢迎。1996年，全球现金流CDO发行量不到300亿美元。到2006年，合成型CDO发行量高达66.5万亿美元，创历史新高。
资产证券化中的金融衍生品
资产证券化中的金融衍生品
MBS (Mortgage Backed Security)即抵押支持债券，基本结构是把贷出的住房抵押贷款中符合一定条件的贷款集中起来，形成一个抵押贷款的集合体，利用贷款集合体定期发生的本金及利息的现金流入发行证券，并由政府机构或政府背景的金融机构对该证券进行担保。从下图可以从上个世纪90年代末MBS规模已超越美国国债，2003年更是超过3万亿美元。
资产证券化中的金融衍生品
CDS（Credit Default Swap），即信用违约互换，在信用违约互换交易中，违约互换购买者将定期向违约互换出售者支付一定费用(称为信用违约互换点差)，而一旦出现信用类事件(主要指债券主体无法偿付)，违约互换购买者将有权利将债券以面值递送给违约互换出售者，从而有效规避信用风险。因为CDS制度的存在，信用保险机构为这些风险巨大的融资活动提供担保，若融资方出现资金问题，由提供保险的机构赔付。但是，在没有发生违约行为时，保险机构除了得到风险补偿外，还可将CDS在市场公开出售。由此形成一个超过33万亿美元的巨大规模的CDS市场的出现，在规避局部风险的同时却增大金融整体风险，使分散的可控制的违约风险向信用保险机构集中，变成高度集中的不可控制的风险。

金融资产证券化【外文翻译】

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 securities—the notes—which 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 thecapital 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 mainfinancial 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 allover 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 0–1 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 toprevious 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 α) that the originator got from its cus tomers (e.g. the lessees) and the lower percentinterest rate (say β) 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 (sayγ> 0). Given the rate β payed for the notes it frequentl y happens that γ - β 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 collectivelyreferred 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 putational Optimization and Applications,2004(29), P147–171.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）。

资产证券化成功的事例3个

资产证券化成功的事例3个资产证券化介绍：资产证券化是以特定资产组合或特定现金流为支持，发行可交易证券的一种融资形式。

传统的证券发行是以企业为基础，而资产证券化则是以特定的资产池为基础发行证券。

在资产证券化过程中发行的以资产池为基础的证券就称为证券化产品。

资产证券化asset-backed securitization是指将缺乏流动性的资产，转换为在金融市场上可以自由买卖的证券的行为，使其具有流动性。

资产指的是任何公司、机构和个人拥有的任何具有商业或交换价值的东西。

资产的分类很多，如流动资产、固定资产、有形资产、无形资产、不动产等。

[3]广义定义资产证券化广义的资产证券化是指某一资产或资产组合采取证券资产这一价值形态的资产运营方式，它包括以下四类：1、实体资产证券化：即实体资产向证券资产的转换，是以实物资产和无形资产为基础发行证券并上市的过程。

2、信贷资产证券化：就是将一组流动性较差信贷资产，如银行的贷款、企业的应收账款，经过重组形成资产池，使这组资产所产生的现金流收益比较稳定并且预计今后仍将稳定，在配以相应的信用担保，在此基础上把这组资产所产生的未来现金流的收益权转变为可以在金融市场上流动、信用等级较高的债券型证券进行发行的过程。

3、证券资产证券化：即证券资产的再证券化过程，就是将证券或证券组合作为基础资产，再以其产生的现金流或与现金流相关的变量为基础发行证券。

4、现金资产证券化：是指现金的持有者通过投资将现金转化成证券的过程。

狭义定义狭义的资产证券化是指信贷资产证券化。

按照被证券化资产种类的不同，信贷资产证券化可分为住房抵押贷款支持的证券化Mortgage-Backed Securitization,MBS 和资产支持的证券化Asset-Backed Securitization, ABS 。

资产证券化成功的事例1：目前，我国在商业地产专题阅读资产证券化专题阅读领域已开展了一些探索。

在已有案例中，大致可分为三类：一是标准REITs，如开元REITs和春泉REITs，均在香港上市;二是准REITs，以中信启航专项资产管理计划和高和资本的中华企业大厦案例为代表;三是其他通过专项资产管理计划形式实现的资产证券化，如欢乐谷主题公园入园凭证收入专项资管计划、海印股份专项资管计划等。

金融英语abs资产担保证券(assetbackedse.doc

金融英语ABS 资产担保证券（Asset Backed Securities的英文缩写）Accelerated depreciation 加速折旧Acceptor 承兑人；受票人；接受人Accommodation paper 融通票据；担保借据Accounts payable 应付帐款Accounts receivable 应收帐款Accrual basis 应计制；权责发生制Accrued interest 应计利息Accredited Investors 合资格投资者；受信投资人指符合美国证券交易委员(SEC)条例，可参与一般美国非公开(私募)发行的部份机构和高净值个人投资者Accredit value 自然增长值Accrediting 本金增值适用于多种工具，指名义本金在工具（如上限合约、上下限合约、掉期和互换期权）的期限内连续增长。

ACE 美国商品交易所Acid Test Ratio 酸性测验比率；速动比率Across the board 全面一致；全盘的Acting in concert 一致行动；合谋Active assets 活动资产；有收益资产Active capital 活动资本Actual market 现货市场Actuary 精算师；保险统计专家ADB 亚洲开发银行ADR 美国存股证；美国预托收据；美国存托凭证[股市]指由负责保管所存托外国股票的存托银行所发行一种表明持有人拥有多少外国股票(即存托股份)的收据。

ADR一般以美元计价和进行交易，及被视为美国证券。

对很多美国投资者而言，买卖ADR 比买卖ADR所代表的股票更加方便、更流动、成本较低和容易。

大部份预托收据为ADR；但也可以指全球预托收(GDR)，欧洲预托收据(EDR)或国际预托收据(IDR)。

从法律和行政立场而言，所有预托收据具有同样的意义。

ADS 美国存托股份Ad valorem 从价；按值Affiliated company 关联公司；联营公司After date 发票后，出票后After-market 后市[股市]指某只新发行股票在定价和配置后的交易市场。

资产证券化的基本操作原理(一)

资产证券化的基本操作原理(一)资产证券化（AssetSecuritization）是指金融企业通过向市场发行资产支持证券（Asset-BackedSecurities），将贷款资产进行处理与交易，把缺乏流动性的信贷资产转换为证券，并通过发行这种证券以融通资金，从而达到改善资产负债结构的目的。

资产证券化是近几十年来世界金融领域的最重大创新之一。

这种金融创新工具的推出，改变了商业银行传统的“资金出借者”的角色，使银行同时具有了“资产出售者”的职能，对商业银行的竞争与发展起到了非常重要的作用。

资产证券化可以使贷款成为具有流动性的证券，有利于盘活金融资产，缓解初始贷款人的流动性风险压力，改善资产质量，降低融资成本，提高金融系统的安全性和抵御金融风险的能力。

一、资产证券化的起源和发展资产证券化起源于60年代末美国的住宅抵押贷款市场。

当时承担美国大部分住宅抵押贷款业务的储蓄金融机构，主要是储贷协会和储蓄银行，在投资银行和共同基金的冲击下，其储蓄资金被大量提取，利差收入日益减少，而使其竞争实力下降，经营状况恶化。

为了摆脱这一困难局面，政府决定启动并搞活住宅抵押贷款二级市场，以缓解储蓄金融机构资产流动性不足的问题。

1968年，政府国民抵押协会首次公开发行“过手证券”，从此开全球资产证券化之先河。

80年代以来，随着世界经济的飞速发展，资产证券化的内含和外延也发生了变化。

资产证券化的概念按以下顺序扩展：住宅抵押贷款证券化→银行信用证券化→资产证券化。

所谓住宅抵押贷款证券化，是指住宅抵押贷款的发放机构将其所持有的抵押贷款资产，汇集重组成抵押贷款组群，经过担保或信用增级，以证券的形式出售给投资者的融资过程。

通过证券化这种方式，住宅抵押贷款的原始发放者将其贷款资产从资产负债表上消除（因为发行的是无追索权的债券），同时得到了现金或其它流动性较强的资产。

相比而言，银行信用证券化的范围比住宅抵押贷款证券化要广得多，它包括汽车贷款、信用41经济导刊1999年第2期购买价格真实交易余款退回卡应收账款、计算机贷款和其它商业贷款等银行资产，均可作为证券化的对象。

资产证券化GinnieMae保证机制运作模式(doc 16)

资产证券化GinnieMae保证机制运作模式(doc 16)资产证券化－Ginnie Mae保证机制运作模式浅论一、前言所謂資產證券化(asset securitization)，泛指金融機構將若干流動性低之貸款彙總成為一個債權群組或貸款組合，並經過適當的內部與外部信用增強後，將此債權群組或貸款組合劃分為證券發行標準單位，再於資本市場出售。

一般來說，常見資產證券化之類型，包括房地產、汽車貸款、助學貸款、信用卡應收帳款、設備租賃等。

資產證券化除了提升金融機構債權資產之流動性，增加金融機構資產負債管理之靈活度，並提高資金管理運用效率外，同時也與資本市場直接金融相結合，並提供投資大眾另種長期投資工具。

資產證券化改變了金融市場傳統融資機制，可謂是金融創新之一環。

以商業銀行、儲蓄機構或保險公司等金融中介機構為例，其所從事傳統金融活動包括：創始貸款；將該項貸款資產作為機構資產組合，並同時承擔由該項貸款所衍生之風險；與該貸款有關之事務性服務，如辦理借款人繳款通知、或提供借款人有關稅賦或其他資訊等；向投資大眾籌措資金，以承作放款業務等。

然資產證券化過程，所涉及之金融機構將不止一家。

就不動產抵押貸款證券化來說，其涉及層面如下：(1)由商業銀行或儲蓄機構創始不動產抵押貸款。

(2)該商業銀行或儲蓄機構可將此不動產抵押售予投資銀行，而投資銀行可利用此不動產抵押貸款群組作為證券發行之擔保品。

(3)該投資銀行為這些不動產抵押貸款群組，向私人保險公司投保信用風險。

(4)投資銀行可將辦理不動產抵押貸款事務性服務之權利，售予以服務不動產抵押貸款為專長之商業銀行或儲蓄機構。

(5)投資銀行可將以此類不動產抵押貸款群組作為擔保品，據以發行證券，售予投資大眾與機構投資人。

由此觀之，在資產證券化過程中，除原貸款創始商業銀行或儲蓄機構外，參與者尚有投資銀行、保險公司、其他商業銀行或儲蓄機構、投資大眾及機構投資人等。

換言之，銀行與儲蓄機構在資產證券化過程中，無須全部獨自承受不動產抵押貸款所衍生之信用或倒帳等投資風險，更無須提供可貸資金和處理貸款相關事務。