1、中文 3325 字 2125 单词 本科毕业论文（设计） 外 文 翻 译 原文： Securitization of Financial Assets Asset-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 sh
2、eets 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
3、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 prot
4、ection (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 o
5、riginator to a special purpose vehicle (SPV), an institution created solely for that purpose. The SPV funds the purchase through issuing debt securitiesthe noteswhich are collateralized by the assets. Note that the assets transfer is a true sale. Thus, if the originator becomes insolvent or is invol
6、ved 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 direc
7、tly 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. F
8、or instance, lease or mortgage contracts which tie up the capital of leasing companies can be moved into notes. This replacement of illiquid assets improves the return on equity (ROE). From the point of view of the originator, an ABS allows the achievement of three main financial objectives: 1. Repl
9、acement 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
10、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 unacc
11、essible 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 globa
12、l 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 ab
13、le 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 dras
14、tically 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 t
15、o 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 perf
16、ormed 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
17、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 referen
18、ces 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 th
19、e 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 sele
20、cting 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
21、 share the same financial characteristics (amortization rule, internal interest rate and term) all but one constraint turn out to be redundant and hence the model reduces to a classical 01 knapsack problem (KP), which is relatively easy to handle (cf. 8, 9, 14). See 10 for a general introduction to knapsack problems. Their work does not take into account the occurrence of a
