1、 外文翻译 原文 Securitization of Financial Assets: Approximationin Theory and Practice Material Source:http: Computational Optimization and Applications， 2004 Auther: Renata Mansini and Ulrich Pferschy 1. Introducing ABS and amortization variants Asset-Backed Securitization (ABS) is a financial tool which
2、 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
3、 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 t
4、he 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 itse
5、lf. 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 issuin
6、g 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 inves
7、tment opportunity. In a pass 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.
8、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 il
9、liquid 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 o
10、f 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 guarante
11、e the whole operation. This implies that such notes can be dealt on the main financial markets allowing the originator to reach markets whichwould otherwise be unaccessible for him since attended only by more established companies. 3. Higher rated notes are more reliable investments and thus are all
12、owed 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 int
13、erbank 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
14、 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 public
15、institutionin 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 agencie
16、s. 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
17、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 onl
18、y 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
19、 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 financia
20、l characteristics (amortization rule, internal interest rate and term) all but one constraint turn out to be redundant and hence the model reduces to a classical 01 knapsack problem (KP), which is relatively easy to handle (cf. 8, 9, 14). See 10 for a general introduction to knapsack problems. Their
21、 work does not take into account the occurrence of a different rule for the asset amortization. In many practical applications (both for lease and mortgage contracts) the customers receiving the assets choose to pay back their debt by constant periodic principal installments (the rule is known as It
22、alian amortization). Up to now this common rule has been totally ignored in models formalization. The objective of this paper is twofold. First of all we innovate with respect to previous modeling approaches by introducing a general model to select financial assets at multiple dates. The motivation
23、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 contr
24、acts) 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 m
25、anagement of ABSs. Before defining the newmodel 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 following description is summarized in figure 1. The SPV issues notes on the financial market receiv
26、ing 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
27、 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
28、 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 theoriginator consists of min
29、imizing the gap between the main outstanding principal and theoutstanding principal of the selected assets over all points in time. This gap constitutes aloss of profit due to missing more profitable investments with higher yields. Actually, the area of the main outstanding principal covered by the
30、sum of outstandingprincipals 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 originatorgot from its customers (e.g. the lessees) and the lower percent interest rate (say )paid to the
31、note holders. If the sum of the outstanding principals of the selected assets has aglobal reimbursement profile which decreases more rapidly than that of the main outstandingprincipal, then the originator gets funds from its customers in advance with respect tothe deadline at which it should pay the
32、 capital installment to the SPV. Such funds have to bereinvested in some predefined type of investments indicated in the ABS agreement. Theseinvestments last for a brief period (from the date in which they are available to the followingdate of reimbursement for the main loan) and usually yield a ver
33、y low interest rate (say 0). Given the rate payed for the notes it frequently happens that is close tozero and may also be negative involving a loss for the originator. This justifies the interestin minimizing the gap between the two profiles and stresses the importance of studyingalternative shapes
34、 for the outstanding principals which allow the sum of the outstandingprincipals of the assets to better fit the main outstanding principal. Another important aspect in an ABS process is the risk of assets prepayment (cf. Schwartzand Torous 18). A decline in interest rates may cause an earlier repay
35、ment of the outstandingprincipal to the originator by some of the lessees. Clearly, such a prepayment decreasesthe sum of the outstanding principals of the assets and hence has a negative effect onthe value of the objective function over time since the gap towards the main outstandingprincipal incre
36、ases. 译文 资产证券化 资料来源 : Computational Optimization and Applications， 2004 作者： Renata Mansini and Ulrich Pferschy 资产证券化（ ABS）是一种金融工具， 它 允许金融机构（ 通常是商业银行）交易不动 资产（如租赁资产，资产抵押或商业票据），以换取他们的资产负债表的长期贷款，可以 得 到更有利可图的投资。 更确切地说，金融资产将被转换成债券（即所谓的债券）及发行的市场成为一个长期收益的资产所有者（发起人）长期贷款。我们将着眼于 ABS的业务主要由该金融机构的观点。 我们的分析将集中在避免的
37、 ABS，详细描述了各参与部分经营者的作用，如银行和保险公司，提供了信用保障的操作（风险对冲），运作的关键阶段。应当指出的是，信用保障的问题本身就是一个有趣的研究课题。 然而，诸如信贷担保和现金流量的风险相 应的功能超出了本文的范围。 在汽车 ABS，资产出售由发端到一个 特殊目的载体（ SPV的），为此目的而设立的一个机构。 SPV的资金 是由资产抵押 通过发行债券购票据 。 要 注意，资产转让是一个真正的销售。因此，如果发起人破产或破产涉及的转移金融资产不会成为破产资产的一部分。 这使得 我们 注意到一个有趣的投资机会。在通过缴款计划通过 所接受的 （他们的投资利益）定期流入最终投资者。这
38、些直接关系到由资产（如承租人或抵押贷款持有人）的创始人（如出租人）的持有人定期支付的分期付款。 ABS结构 能够 绕过一个不可能直接出售其资产的问题 ，从而 为他们 降低整体风险。例如，出租或抵押合约租赁公司的资本可以移动到票据科目中 。这种流动性不足的资产置换提高了在权益（ ROE）的回报。从 发起人 的角度来看，汽车 ABS允许三个主要成就 。 财务目标： 1.处置 资产负债表的资产，从而提高净资产收益率，并允许（如果来源是银行）更灵活的资产 与 负债 的 组成 受到 控制 主体 （即中央银行）的制约。 2.多样化的资金来源。 由于银行和保险公司 ， 虽然 发起人的 评级 可能很低 ，但是
39、 其票据通常可以得到较高的评价（如 AAA级），保证整个 环节可以进行 。这意味着，这些纸币可以在 被授予 的 发起人 ， 发放到 市场 当中。 3.高额定 票据 更可靠的投资，从而 持有人 被允许支付较低的利率。如果成本获得 比发行 的时候更 高的评价，那么 整个 获取 的 资金的成本降低 并且 票 据取得的储蓄 也 低。让我们假设一个 BB评级机构，如伦敦银行同业拆借利率（伦敦银行同业拆息）加 150个基点的钱。 这样一个机构，作为发起人，可以额外支付 100个基点，以获得信贷 指数 ，并能发行的 伦敦银行 同业拆借利率 加 10个基点的成本与等级 AAA相等 。 在这种情况下产生的 AB
40、S将在 40个基点，利率储蓄。 由于没有对基础资产的有效市场 ， 这种情况适用于在实践中 。 最近几年 整个欧洲 对 金融 运作的 兴趣大大增加。在意大利，在最近和最相关的 ABS的人受到的社会保障制度管理的公众 机构 负责执行，即德拉的 伊斯特诺 大街的保护的国家社会保障局。此 措施令 社会 从拖欠其资产负债表 中得到利益 。 这种类型的其他交易发生在公共住房机构地区发生。 在过去几年出现了许多 从结构 上 讨论 ABS的交易 的 论文 。由于广 义 的审查超出了本文的范围，我们将只提及康尼奥斯和斯珀兰萨的文件， 这 是指他在其中 的 引用。对于在证券化复杂的问题更好地了解我们建议的教科书。
41、 特别是，由一个真实的案例分析动机，斯珀兰萨研究了优选的资产退还贷款的问 题。 对于他们来说 ， 虽然许多其他类型的资产具有相同的基本特征 但是只有租赁资产被认 可 。 他们 在 对资产的未偿还本金计算不变的基础上（即所谓的法国摊销） 进行 分期 付款。 他们选择 在一个独特的资产产生的日期问题可以建模为一个 d维 背包问题，这是很难精确的算法 。 但 是 通常解决的 是 建设性启发式或启发式 。作者还表明，在特殊情况下，所有租赁资产共享相同的财务特征（摊销规则，内部利率和期限），但一个约束 变量 是多余的，因此该模型简化为一个经典的 0-1背包问题（ KP）的，这是比较容易处理 的 。见一般
42、介绍背包问题 10。他们的工作并没有考虑到 的资产摊销为不同的规则发生。在许多实际应用（包括租赁和抵押合同）接受客户的资产 中 选择通过不断的定期偿还本金分期偿还债务（该规则是意大利著名摊销）。这个 已被完全忽略 的 共同的规 则模型 已经变得 形式化。 本文的目的是双重的。首先我们就以前建模方法创新，引入一个通用模型在多个日期来选择金融资产。这动机源于找到了在 ABS的资产选择问题，实现对更好地利用长期贷款可能更有效的替代性和配方的实际需要。其次，我们分析了经常遇到的实际案例中的资产（租赁或抵押合同）支付的固定周期（意大利摊销规则）主要分期付款 返还 。这样的文件旨在提 供一种替代摊销规则在
43、实践中分析，以及提供更好的工具的机构的资产担保证券的规划和管理工作的发展。 在定义的 新模式下 我们应该给予更多的 ABS媒介 .为了 帮助 其 可视化，更好地了解汽车 ABS过程的结构 。 SPV的问题说明对金融收到谁购买票据和持有至到期他们受到可接受的短期融资市场提供资金的机构投资者。由票据，发行所得的收益使用的特殊目 的公司利用从 发起人 购买的未评级资产 进行 周转。后者获得长期贷款的资产支付。特别是，发 起 人 偿还 了选择的 资产交给的贷款。这些资产 是 转换成 的特殊目的公司发行的债券 。 在每年的汽车 ABS过程 包括资产已被选中的方式，他们的本金总和不会超过（简主未偿还本金从
44、现在开始）所收到的贷款未偿还本金在任何 时间 .现在 为了最大限度地提高操作的关键问题 是受托人 尽量减少在所有的时间点之间的主要未偿还本金和 受托人 选定的资产主要包括财政收益的差距。这种差距构成 由于缺少具有较高的收益率更有利可图的投资 的 利润 差额。 其实， 这 主要由优秀的移交，对资产收益率为发 起 于每年百分之之间的利率（例如 ）的差异而定（如出租人）返回 最大限额 总结主要涉及的领域，该发起人 从它的客户（如承租人）和低利率百分之（比如 ）支付给票据持有人。如果所选 择的资产的本金偿还金额剖面，有一个 局部性 的下降 并且其 速度超过主要 最大限额 的话，那么 发起人将 提前得到
45、资金方面的最后期限，在它应缴纳的资本分期到其客户特殊目的公司。 在 ABS类型 被重新注入资本时， 这些资金必须投资在一些预定义的协议表明。 重新投资对于 一个短暂的时期（从日期中，他们提供给偿还贷款的主要 截至日期 ），通常产生一个非常低的利率（ 0）上。鉴于率 为 票据日常发生率 ， - 接近 0，也可能是负面的，涉及为发端的损失。这证明了 中介方 减少两个剖面之间的差距，并强调了其中允许资产的总和，以更好地适应 最大限额 主 要未决本金 形状的重要性。 过程中的另一个重要方面的 ABS是资产预付款项 的风险。 利率的下降可能会导致早期的 限额 偿还的部分由承租人的鼻祖。 显然，这样的提前还款的资产本金 减少 总和，因此有一个目标函数的负面影响超过以来对主要 最大限额 增加间隔时间的价值 。
