金融資產(chǎn)證券化外文翻譯

1、<p><b>　　中文3325字</b></p><p><b>　　2125單詞</b></p><p>　　本科畢業(yè)論文（設(shè)計(jì)）</p><p>　　外 文 翻 譯</p><p><b>　　原文：</b></p><p>　　S

2、ecuritization of Financial Assets</p><p>　　Asset-Backed Securitization (ABS) is a financial tool which allows financial institutions (usually commercial banks) to move unmarketable assets (e.g. lease assets,

3、 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

4、 (so called notes) and the proceeds of their market issuance become a long term loan for the assets owner (the origi</p><p>　　Our analysis will concentrate on the critical phase of the ABS operation avoiding

5、 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 cre

6、dit 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.</p><p>　　In an ABS, the as

7、sets 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 ass

8、ets. 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 a

9、n interesting investment opportunity. In ap</p><p>　　From the point of view of the originator, an ABS allows the achievement of three main </p><p>　　financial objectives: </p><p>　　

10、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 authoritie

11、s (i.e. the Central Bank). </p><p>　　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

12、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

13、 only by more established companies. </p><p>　　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 tha

14、n 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 offer

15、ing rate) plus 150 basis points. Such an institution, as originator, may decide to pay an additional 100 basis points to</p><p>　　The interest in this financial operation drastically increased in the last ye

16、ars all over Europe. In Italy, one of the most recent and relevant ABS has been performed by the public institu- tion in charge of the management of the social security system, i.e. the Istituto Nazionale della Previdenz

17、a 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. </p><p>　　Many

18、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 Man

19、sini 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]. </p><p>　　In particular, motivated by

20、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, alth

21、ough 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 resul

22、ting problem of selecting assets</p><p>　　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 asse

23、ts 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 t

24、erm loan. Secondly, we analyze the frequently encountered practical case in which the assets (lease or mortgage con</p><p>　　Before defining the new model we should give a more detailed sketch of the ABS pro

25、cess. 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

26、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</p><p>　

27、　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 ou

28、tstanding 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 th

29、e outstanding principal of the selected assets over all point</p><p>　　Actually, the area of the main outstanding principal covered by the sum of outstanding principals of the handed-over assets yields a ret

30、urn 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 customers (e.g. the lessees) and the lower percent interest rate (s

31、ay β) paid to the note holders. If the sum of the outstanding principals of the selected assets has a global reimbursement profile which decreas</p><p>　　Another important aspect in an ABS process is the ris

32、k 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 decrease

33、s 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.</p><p>　

34、　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-predict

35、able 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 pa

36、ybacks is particularly high, a re-optimization of the whole A</p><p>　　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 (

37、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 closi

38、ng date and thereafter at the settlement dates are collectively referred to as the initial and subsequent portfolios , respectively. Issued note</p><p>　　The reimbursement to the holders of the principals of

39、 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

40、notes with different maturity issued on the market. </p><p>　　The main source of payment of interest and principal on notes are recoveries arising out of the assets. In particular, the cash-flow deriving fro

41、m 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. </p><p>　　As mentioned above, two d

42、ifferent rules mainly appear in practice. In the first rule, usually known as French amortization, the general periodic installment (sum of periodic interests and principal installment) is constant over time. In this cas

43、e 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 pr

44、incipal can be approximated by a co</p><p>　　Source：D. Bertsimas and R. Demir.Securitization of Financial Assets: Approximation in Theory and Practice.Computational Optimization and Applications, 2004(29), P

45、147–171.</p><p><b>　　譯文：</b></p><p><b>　　金融資產(chǎn)證券化</b></p><p>　　資產(chǎn)證券化(ABS)是一種金融工具,它可以讓金融機(jī)構(gòu)(通常是商業(yè)銀行)的流動(dòng)資產(chǎn)(如租賃資產(chǎn)滯銷,抵押資產(chǎn)或商業(yè)證件)在他們的資產(chǎn)負(fù)債表中轉(zhuǎn)換為長期貸款（可以把利潤再投資進(jìn)入更有利可圖的投資

46、）。更確切地說,金融資產(chǎn)轉(zhuǎn)換為證券(也稱為紙幣)之后，發(fā)行證券的收益就成為各項(xiàng)資產(chǎn)所有者的長期貸款。我們主要從金融機(jī)構(gòu)的角度來看資產(chǎn)支持型證券的經(jīng)營情況。</p><p>　　我們的分析將集中在關(guān)鍵階段ABS的操作上，避免去詳細(xì)描述參與經(jīng)營者的角色，如銀行和保險(xiǎn)公司提供信用保護(hù)(風(fēng)險(xiǎn)規(guī)避)的經(jīng)營情況。它應(yīng)該是在自身范圍內(nèi)指出信用保護(hù)問題研究的熱點(diǎn)。然而, 相應(yīng)地,信用擔(dān)保和現(xiàn)金流都超出了本文風(fēng)險(xiǎn)的范圍。</

47、p><p>　　在ABS項(xiàng)目中，發(fā)起機(jī)構(gòu)把資產(chǎn)出售給特設(shè)載體(SPV),它是一個(gè)專為達(dá)到這一目的而創(chuàng)造的機(jī)構(gòu)。SPV可以通過發(fā)行資產(chǎn)抵押證券來資助這一購買。值得注意的是，資產(chǎn)轉(zhuǎn)移是一個(gè)真實(shí)的銷售。因此,如果發(fā)起人破產(chǎn)或參與破產(chǎn)了，他所轉(zhuǎn)的金融資產(chǎn)將不能列入破產(chǎn)財(cái)產(chǎn)。這使得債券成為一個(gè)有趣的投資機(jī)會(huì)。投資者通過付款計(jì)劃在買了這些債券后收到他們的定期投資流入(利益)。這會(huì)直接關(guān)系到分期付款的持有者(例如承租人的資產(chǎn)抵押貸

48、款持有者)支付利潤給發(fā)起人(例如出租人)。采用ABS結(jié)構(gòu)的發(fā)起人容易忽略一個(gè)問題，那就是這些資產(chǎn)不可能直接出售,從而降低了它對他們的整體暴露。例如，租賃公司出租、抵押的合同中占著的資本可能會(huì)轉(zhuǎn)換成債券。這個(gè)替代的非流動(dòng)性資產(chǎn)可以提高資產(chǎn)收益率。</p><p>　　從發(fā)起人的角度來看，一個(gè)ABS允許的三個(gè)主要財(cái)務(wù)目標(biāo)成就如下：</p><p>　　1、更換資產(chǎn)在資產(chǎn)負(fù)債表中的比例,從而提高

49、股本回報(bào)率,并允許(如果發(fā)起人是銀行)一個(gè)更靈活的資產(chǎn)負(fù)債組成比例，但這由管理機(jī)關(guān)限制(如中央銀行)；</p><p>　　2、基金來源的多元化。雖然發(fā)起人得到很低的價(jià)錢,但它的債券通常有更高的等級(例如AAA)。這意味著這些票據(jù)可以在主要的金融市場上運(yùn)行，并允許發(fā)起人進(jìn)入金融市場。然而這個(gè)市場只有通過更多的知名企業(yè)否則會(huì)達(dá)不到這一目的；</p><p>　　3、更高額定票據(jù)是更可靠的投資

50、。它可以支付較少的利息給債券持有人。如果通過發(fā)行高定額票據(jù)，獲得更高等級債券的成本比儲蓄獲得的利息還要低，那么獲取資金的總成本將會(huì)減少。讓我們假定一個(gè)BB評級機(jī)構(gòu)可以按一定利率(倫敦同業(yè)銀行間拆借利率)獲得利息,再加上150基點(diǎn)。這樣的發(fā)起機(jī)構(gòu)可以決定支付額外的100個(gè)基點(diǎn),獲得信貸擔(dān)保,并且能夠發(fā)行AAA等級票據(jù)并以銀行利率為代價(jià)外加10個(gè)基點(diǎn)。在這種情況下，一個(gè)ABS將會(huì)節(jié)約40個(gè)基點(diǎn)的銀行利率。如果將這種情況應(yīng)用于實(shí)踐中, 對于基

51、本資產(chǎn)來說并沒有有效的市場。然而這一金融的運(yùn)行在過去兩年中大幅度加快了整個(gè)歐洲的發(fā)展。在意大利最近幾年，最重大的相關(guān)資產(chǎn)支持型證券是由公共事業(yè)聲譽(yù)管理機(jī)構(gòu)（社會(huì)保障體系INPS)管理的。該操作允許INPS將債務(wù)從它的資產(chǎn)負(fù)債表中移出。而其他這種類型的交易發(fā)生在該地區(qū)的公有住房機(jī)構(gòu)中。</p><p>　　在最后幾年，整個(gè)歐洲的金融運(yùn)行大大加強(qiáng)。最近在意大利，相關(guān)ABS項(xiàng)目已進(jìn)行公眾收集社會(huì)保障制度的管理費(fèi)。此操作

52、使得社會(huì)保障局提出將拖欠的資產(chǎn)從它的資產(chǎn)負(fù)債表中移出。其他這種類型的交易發(fā)生在該地區(qū)的地方公共住房機(jī)構(gòu)。</p><p>　　從造型上看ABS的交易出現(xiàn)在很多論文中。在此我們將只提康有為和再尼奧斯[6，7]和斯珀蘭薩[12，13] 其中給出的參考。為了更好地了解復(fù)雜的問題，我們將建議參考教科書[3，5，15]。</p><p>　　這里我們來參考下斯珀蘭薩[12]研究的優(yōu)選資產(chǎn)的問題。雖然

53、很多其他資產(chǎn)類型具有相同的基本特征，但在他們的情況下，只有租賃資產(chǎn)被認(rèn)為是貸款。他們在未償還本金資產(chǎn)計(jì)算的基礎(chǔ)上不斷分期付款（即所謂的攤銷），產(chǎn)生的資產(chǎn)在唯一的日期問題上可以建模作為一個(gè)d維背包問題，這是很難馴服的，但通過精確算法可以有建設(shè)性的解決方法（如見[1，16]）或啟發(fā)靈感（例如，見[2，4]）。作者還表明，在特殊情況下，所有租賃資產(chǎn)與財(cái)政的所有特征（攤銷規(guī)則，內(nèi)部利率和期限）相同。但這一約束是多余的，因此模型減少到經(jīng)典0-1背

54、包問題（KP），這是比較容易處理的（參見[8，9，14]）。其實(shí)他們的工作并沒有考慮到資產(chǎn)攤銷的不同規(guī)則。在許多實(shí)際應(yīng)用中，出租（和抵押合同）客戶選擇資產(chǎn)通過不斷的分期付款來償還其債務(wù)（該規(guī)則是意大利著名攤銷）。注冊到了現(xiàn)在，這個(gè)共同的規(guī)則已被完全忽略了，而成為了模型的形式化。</p><p>　　這篇文章的目的是雙重的。首先我們通過引入一種通用的模型來選擇金融資產(chǎn)。這是按照實(shí)際需要找到替代品并且盡可能有效地進(jìn)行

55、資產(chǎn)問題選擇且實(shí)現(xiàn)較好的長期貸款。其次，我們分析了實(shí)際經(jīng)常遇到的通過不斷定期分期付款來償還的資產(chǎn)案件 (出租、抵押合約條款)，主要形式是分期攤銷(意大利規(guī)則)。本文提供了一種攤銷規(guī)則，并提供了在實(shí)際應(yīng)用中可行的方法以及更好的負(fù)責(zé)ABS計(jì)劃和管理的工具機(jī)構(gòu)。</p><p>　　定義新模型之前,我們應(yīng)該給出一份更加詳細(xì)的草圖ABS過程，幫助讀者在肉眼上更好地理解和觀察資產(chǎn)支持型證券的組成過程。交易機(jī)構(gòu)從金融市場機(jī)構(gòu)

56、的投資者那領(lǐng)取資金購買票據(jù)，并把他們到期限的供應(yīng)問題轉(zhuǎn)變?yōu)槎唐谌谫Y問題。發(fā)行票據(jù)所獲得的收益將用于交易機(jī)構(gòu)從原創(chuàng)者那購買未分級的資產(chǎn)。后者收到了長期貸款后則完全由資產(chǎn)付款（特別是發(fā)起人選擇資產(chǎn)交付貸款的還款方式），這些資產(chǎn)就“轉(zhuǎn)換”為交易機(jī)構(gòu)發(fā)行的票據(jù)。</p><p>　　ABS過程包括資產(chǎn)已被選中的方式，這樣他們的本金總和在任何時(shí)間點(diǎn)都不會(huì)超過（未償還本金從現(xiàn)在開始）所收到的貸款未償還本金?，F(xiàn)在，為了最大限度

57、地提高操作，關(guān)鍵問題在于盡量減少所有時(shí)間點(diǎn)之間的主要未償還本金和選定的資產(chǎn)（主要包括財(cái)政收益）的差距，這種差距構(gòu)成了利潤損失。由于缺少較高的收益率，所以這是一個(gè)更有利可圖的投資。</p><p>　　其實(shí)，這里的ABS過程主要以資產(chǎn)收益率為發(fā)端，由每年百分之幾的息差而定（如出租人）。.該地區(qū)未償還的本金包括以資產(chǎn)收益率（如α）為發(fā)端和每年百分之幾（如β）的利息來決定的移交資產(chǎn)的返回本金和，然后用低利率百分之幾支付

58、給票據(jù)持有人（如出租人）。如果所選擇的資產(chǎn)的本金償還金額有一個(gè)全局配置文件從而會(huì)降低速度，如果超過了主要未償還本金，那么發(fā)端提前得到的資金與客戶在最后期限應(yīng)繳納的資金都分期付款給SPV。這些資金必須投資在一些預(yù)定義的協(xié)議（如在ABS類型的再投資）中。這些投資將會(huì)持續(xù)一段短暫的時(shí)間（他們提供給償還貸款的主要日期）并通常給以非常低的利率（sayγ&gt; 0）。鑒于利率β為票據(jù)利率，γ - β接近于零，也可能是負(fù)的，也就是發(fā)端的損失

59、。這一實(shí)例證明減少了兩者之間的鴻溝，并強(qiáng)調(diào)了其重要性。</p><p>　　ABS過程中的另一個(gè)重要方面就是ABS有一個(gè)資產(chǎn)預(yù)付款項(xiàng)（參見施瓦茨Torous [18]）的風(fēng)險(xiǎn)問題。在利率下降的情況下可能會(huì)導(dǎo)致所需償還的早期未償還本金部分由承租人承擔(dān)。顯然，這樣的預(yù)付款降低了資產(chǎn)的本金總和，因此占有自主未償還本金將會(huì)增加在時(shí)間間隔上目標(biāo)函數(shù)值的負(fù)面影響。</p><p>　　對于汽車貸款或信

60、用卡應(yīng)收款的資產(chǎn)類型，這筆預(yù)付是不尋常的。然而，租賃類資產(chǎn)面臨著利率的提前還款風(fēng)險(xiǎn)。由于預(yù)付事件是不可預(yù)測的，他們并不能明確采取確定性離線優(yōu)化模型（這是假設(shè)所有資產(chǎn)有相同概率的預(yù)付款）。在所有情況下，早期的贏利回報(bào)風(fēng)險(xiǎn)是相當(dāng)高的，所以重新優(yōu)化是ABS的強(qiáng)烈推薦。</p><p>　　關(guān)于時(shí)間線的問題，我們是規(guī)定在資產(chǎn)移交結(jié)束后，從購買的截止日期（貸款初始日期）起，SPV在一個(gè)固定的基礎(chǔ)上。此后，在每一個(gè)日期發(fā)生購

61、買被稱為結(jié)算日，移交的截止日期（即發(fā)端及資產(chǎn)其后的結(jié)算日）被統(tǒng)稱為初期，這就是循環(huán)周期。隨后的投資組合分為發(fā)行債券的收益率基礎(chǔ)上的定期利息（通常季刊）和不同的最終到期日贖回的日期?；谶@個(gè)原因，票據(jù)付款期限有不同的特點(diǎn)。 </p><p>　　票據(jù)持有人償還本金是對應(yīng)一個(gè)主要的未償還本金進(jìn)行分期償還。因此，未償還的貸款本金以分期付款（步驟）作為付款編號在市場上發(fā)行不同到期票據(jù)。支付利息及債券本金的主要來源是回收資

62、產(chǎn)，特別是使用特殊交易機(jī)構(gòu)的資產(chǎn)所產(chǎn)生的現(xiàn)金流來滿足其義務(wù)的票據(jù)持有人。</p><p>　　當(dāng)然，資產(chǎn)的未償還本金的攤銷取決于所使用的規(guī)則。如上所述，兩個(gè)不同的規(guī)則主要表現(xiàn)在實(shí)踐中。在第一個(gè)規(guī)則中，通常正如攤銷，一般已知的周期分期（定期利益的總和和主要配置）不隨時(shí)間變動(dòng)。在這種情況下，誰持有客戶資產(chǎn)（抵押或租賃合同）就必須在每個(gè)規(guī)定的期限內(nèi)支付相同的數(shù)額。隨著主要分期付款隨時(shí)間幾何地增加（見圖2（b）項(xiàng)），未償