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 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 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 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 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.
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 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 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 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-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 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 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 ABSBefore
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 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 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 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 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 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 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 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 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 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。

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])。

作者还表明,在特殊情况下,所有租赁资产与财政的所有特征(摊销规则, 内部利率和期限)相同。

但这一约束是多余的,因此模型减少到经典0-1 背包问题(KP),这是比较容易处理的(参见[8,9,14])。

其实他们的工作并没有考虑
到资产摊销的不同规则。

在许多实际应用中,出租(和抵押合同)客户选择资产
通过不断的分期付款来偿还其债务(该规则是意大利著名摊销)。

注册到了现在, 这个共同的规则已被完全忽略了,而成为了模型的形式化。

这篇文章的目的是双重的。

首先我们通过引入一种通用的模型来选择金融
资产。

这是按照实际需要找到替代品并且尽可能有效地进行资产问题选择且实
现
较好的长期贷款。

其次,我们分析了实际经常遇到的通过不断定期分期付款来
偿
还的资产案件出租、抵押合约条款,主要形式是分期摊销意大利规则。

本
文提供了一种摊销规则,并提供了在实际应用中可行的方法以及更好的负责ABS 计划和管理的工具机构。

定义新模型之前,我们应该给出一份更加详细的草图ABS 过程,帮助读者在
肉眼上更好地理解和观察资产支持型证券的组成过程。

交易机构从金融市场机
构
的投资者那领取资金购买票据,并把他们到期限的供应问题转变为短期融资问
题。

发行票据所获得的收益将用于交易机构从原创者那购买未分级的资产。

后
者
收到了长期贷款后则完全由资产付款(特别是发起人选择资产交付贷款的还款
方
式),这些资产就“转换”为交易机构发行的票据。

ABS 过程包括资产已被选中的方式,这样他们的本金总和在任何时间点都不会超过(未偿还本金从现在开始)所收到的贷款未偿还本金。

现在,为了最大限度地提高操作,关键问题在于尽量减少所有时间点之间的主要未偿还本金和选定
的资产(主要包括财政收益)的差距,这种差距构成了利润损失。

由于缺少较高的收益率,所以这是一个更有利可图的投资。

其实,这里的ABS 过程主要以资产收益率为发端,由每年百分之几的息差而定(如出租人)。

.该地区未偿还的本金包括以资产收益率(如α )为发端和每年百分之几(如β )的利息来决定的移交资产的返回本金和,然后用低利率百分之几支付给票据持有人(如出租人)。

如果所选择的资产的本金偿还金额有一个全局配置文件从而会降低速度,如果超过了主要未偿还本金,那么发端提前得到的资金与客户在最后期限应缴纳的资金都分期付款给SPV。

这些资金必须投资在
一些预定义的协议(如在ABS 类型的再投资)中。

这些投资将会持续一段短暂的时间(他们提供给偿还贷款的主要日期)并通常给以非常低的利率(sayγ >
0)。

鉴于利率β 为票据利率,γ - β 接近于零,也可能是负的,也就是发端
的损失。

这一实例证明减少了两者之间的鸿沟,并强调了其重要性。

ABS 过程中的另一个重要方面就是ABS 有一个资产预付款项(参见施瓦茨
Torous [18])的风险问题。

在利率下降的情况下可能会导致所需偿还的早期未偿还本金部分由承租人承担。

显然,这样的预付款降低了资产的本金总和,因此占有自主未偿还本金将会增加在时间间隔上目标函数值的负面影响。

对于汽车贷款或信用卡应收款的资产类型,这笔预付是不寻常的。

然而,租
赁类资产面临着利率的提前还款风险。

由于预付事件是不可预测的,他们并不能
明确采取确定性离线优化模型(这是假设所有资产有相同概率的预付款)。

在所有情况下,早期的赢利回报风险是相当高的,所以重新优化是ABS 的强烈推荐。

关于时间线的问题,我们是规定在资产移交结束后,从购买的截止日期(贷
款初始日期)起,SPV 在一个固定的基础上。

此后,在每一个日期发生购买被称为结算日,移交的截止日期(即发端及资产其后的结算日)被统称为初期,这就是循环周期。

随后的投资组合分为发行债券的收益率基础上的定期利息(通常季
刊)和不同的最终到期日赎回的日期。

基于这个原因,票据付款期限有不同的特点。

票据持有人偿还本金是对应一个主要的未偿还本金进行分期偿还。

因此,未偿还的贷款本金以分期付款(步骤)作为付款编号在市场上发行不同到期票据。

支付利息及债券本金的主要来源是回收资产,特别是使用特殊交易机构的资产所
产生的现金流来满足其义务的票据持有人。

当然,资产的未偿还本金的摊销取决于所使用的规则。

如上所述,两个不同
的规则主要表现在实践中。

在第一个规则中,通常正如摊销,一般已知的周期分期(定期利益的总和和主要配置)不随时间变动。

在这种情况下,谁持有客户资产(抵押或租赁合同)就必须在每个规定的期限内支付相同的数额。

随着主要分期付款随时间几何地增加(见图2(b)项),未偿还本金可以近似于一个凹分段线性函数。

出处??D. Bertsimas 和R.德米尔.《金融资产证券化??理论与实践的接近》.《计
算的优化与应用》,2004(29):P147-171.。