应收账款证券化【外文翻译】

应收账款证券化【外文翻译】 本科毕业论文(设计) 文 翻 译 外 原文: Securitizing Accounts Receivable Abstract. This paper provides an optimal contracting framework to determine the equilibrium structure of receivables securitization in the presence of moral hazard. An incentive compatible contract is designed where the seller monitors at an efficient level and retains an equity interest in a portion of the receivable to be sold. The seller retains the riskier tranches and sells the safer ones. The equilibrium proportion of the receivable sold will be increasing with the seller’s cost of internal funding. Moreover, for sellers with sufficiently high ex-ante probabilities of solvency, the equilibrium proportion of the receivable sold will be decreasing with the seller’s probability of solvency. Although firms have been factoring their individual accounts receivable for over two thousand years, it is only recently that firms have begun to securitize and sell off the cash flows from their accounts receivable pools. The securitization industry and the factoring industry differ in two important ways. First, receivables securitization allows firms to sell a portion of the payoffs to any given receivable, while factoring typically constrains firms to sell the entire receivable. Second, the buyer in a receivables securitization arrangement commonly does not have the facilities to perform on-going monitoring of the underlying receivable, and instead must rely upon the seller to perform the monitoring functions. In contrast, factoring companies have highly developed credit management departments and may often be better than the seller at monitoring the underlying receivable credit quality. Since for many firms, such as hospitals and credit card companies, the securitization of accounts receivables has become an important financing tool, a better understanding of the structure of securitization contracts is important. This paper examines the decision to securitize accounts receivable in a setting where there is moral hazard. As discussed above, in the typical receivables securitization contract, the buyer usually does not the ability to perform ongoing monitoring of the purchased receivable, and instead relies upon the seller to perform the monitoring functions. Since the seller’s monitoring efforts are unobservable to the buyer, a moral hazard problem can develop. As will be demonstrated, this moral hazard problem has an important impact upon the structure of the optimal receivables securitization contract. The contract is derived in a one-period model that extends the technology that has been used in the loan sales and factoring literature. Accounts receivable can be sold either with or without recourse. If the receivable is sold without recourse, then the seller will not be liable for any delinquency in the payment of the underlying receivable.2 If the receivable is sold with recourse, then the seller may be responsible for a portion or even all of the uncollected amount depending upon the terms of the securitization agreement. The recourse guarantee is similar to a put option, where the strike price is the face value of the receivable. The buyer will be able to put the delinquent receivable back to the seller if the realized payoff is less than the promised amount. This paper demonstrates that the optimal receivable securitization contract is characterized by the seller monitoring at an efficient level and retaining an equity interest in a portion of the receivable to be sold. The model’s implications are observationally identical to what occurs in practice, where it is common for sellers to decompose the payoff to their receivables pool into different tranches. The seller typically retains the riskier tranches and sells the safer ones. In addition, the equilibrium proportion of the receivable sold will be increasing with the seller’s cost of internal funding. Further, for sellers with sufficiently high ex-ante probabilities of solvency, the equilibrium proportion of receivables sold will be decreasing with the seller’s probability of solvency. This paper is organized as follows. Section I provides a review of the literature. Section II outlines the model which will be employed throughout the paper. Section III provides a general form for the firm’s profit function. Section IV examines the firm’s decision to securitize its receivables, and Section V concludes the paper. I. Literature review Lewellen and Edmister (1973) examine and discuss the shortcomings of alternative accounts receivable management policies, but provide no specific information on the sale of accounts receivable. Mian and Smith (1992, 1994), provide a thorough exploration of the determinants of accounts receivables policy, but due to a lack of observations, they provide only tangential evidence regarding the determinants of firm’s decision to sell or factor its accounts receivable. Smith and Schnucker (1994), document that factoring is much more likely to occur when sellers have little “specialized” investment in their clients and when their respective cost of monitoring is relatively high. The authors also demonstrate that the factoring of accounts receivable is much less likely to occur when the seller is a wholesaler rather than a retailer. Sopranzetti (1998) examines the optimal factoring contract and finds that the propensity for the factor to require recourse (relative to no recourse) is governed by three factors: the credit quality of the seller’s accounts receivables, the seller’s solvency, and the seller’s reputation. Khaled (2002) also examines the factoring industry and finds that a factoring company’s decision to buy accounts receivable also determined by the product market wherein the seller operates. Although the literature has extensively examined the factoring industry, it has not yet examined the increasingly important area of receivables securitization. II. Assumptions The model extends the framework used in Sopranzetti (1998) to examine the optimal factoring contract. The primary difference is that in Sopranzetti (1998) the seller was constrained to factor the entire receivable, while in this manuscript, the seller is allowed the flexibility to securitize the receivable, i.e., should the seller wish, he can sell only a portion of it. Assumption 1. Arisk neutral seller (for example a hospital or a credit card company) intends to provide a service to its client for a promised payment of $L. The cost to provide the service is $1, and the seller will finance this at its cost internal cost of capital, ri. The buyer’s cost of internal capital is rf. Sopranzetti (1997) demonstrates, and we assume, that the seller of an account receivable usually has a higher financing cost than the buyer because of costs attributable to financial distress, tax issues, or underinvestment. Assumption 2. In order for an account receivable to be generated, the seller must extend trade credit to its client, so that on the delivery date, the seller will provide the service, but will not be compensated by the buyer until the end of the trade credit period, which for the purpose of the model is assumed to be τ periods. Assumption 3. The level of effort that the seller expends monitoring the quality of the underlying receivable is given by c, where c ? [0,?). A larger c implies more monitoring. The cost of doing the monitoring is u times c, where u > 0. The monitoring cost, u, occurs at the end of the period. Assumption 4. The seller’s probability of solvency is given by p. Assumption 5. Both the buyer and the seller can perfectly observe the distribution of ?x, the random variable that describes the receivables actual payoff. The distribution of ?x is an increasing function of both the receivable’s credit quality α, where α ? [1,?), and the level of credit monitoring, c. The distribution for ?x must satisfy a strict convexity of distribution function constraint with respect to the level of credit monitoring and the level of receivable credit quality. This implies that the distribution function F(x, α, c) satisfies the following: F(x, α, λc + (1 ? λ)c’) < λF(x, α, c) + (1 ? λ)F(x, α, c’) and F(x, λα + (1 ? λ)α’, c) < λF(x, α, c) + (1 ? λ)F(x, α’, c) Consequently, the expected payoff to ?x will be strictly concave in both the level of credit monitoring and the level of receivable credit quality, i.e., there are strictly decreasing returns to scale in both of these technologies. Assumption 6. The market for the sale of receivables is competitive and the seller can sell some fraction b of the receivable to a buyer who is risk neutral. The receivables credit quality, α, can be costless observed by both parties prior to the sale, however the buyer cannot observe, c, the seller’s level of credit monitoring. Proof: Take the derivative of the equilibrium proportion sold with respect to p. In order to sign the derivative, it is necessary to invoke the functional form for the receivables expected payoff. It is then easy to demonstrate that when p > 0.5 the derivative is less than zero. Sopranzetti (1998) examines the factoring industry and documents that there is a three tiered structure to factoring contracts: only the highest quality receivables are factored without recourse, intermediate quality receivables are factored with recourse, and low quality receivables are not factored. Notice that, our result, unlike that of Sopranzetti (1998) the breakpoint for the credit quality of salable receivables is not an issue. This is because the seller now has the flexibility to retain some of the credit risk by keeping a portion of the receivables payoff. In this manner every receivable can be made salable by simply varying the equilibrium proportion that will be retained. The poorer the credit quality, the greater the proportion of the receivable (and the credit risk) that will be retained by the seller. In reality, it is common for a seller to sell strips or tranches of the payoffs to its receivable pool. Typically the seller will sell tranches that are comprised of the less risky cash flows and retain the tranches that comprise the riskier cash flows. The securitization with recourse contract closely approximates this second best equilibrium contract where the seller retains a junior claim while the buyer owns a senior claim to the receivables payoff. By offering recourse, the seller will bear the brunt of the receivables credit risk, just as if he had retained the risky tranches of the receivables cash flow; furthermore, the payoffs and the level of monitoring effort will also be identical under both contracts. IV. The seller’s decision to securitize its receivables It is common in the case of receivables securitization that the seller performs all of the credit management functions after the receivable is sold. The seller must do the monitoring, because the buyer typically is unable to perform ongoing credit monitoring of the underlying receivable. So, a moral hazard problem will develop if the buyer is unable to observe the seller’s level of credit management. Because the seller’s level of credit monitoring is unobservable to the buyer, a moral hazard problem can develop. V. Conclusion This paper provides an optimal contracting framework to determine the equilibrium structure of receivables securitization when the seller is susceptible to moral hazard. An incentive compatible contract is designed where the seller monitors at an efficient level and retains an equity interest in a portion of the receivable to be sold. The model’s implications are observationally similar to what is happening in practice, where it is common for sellers to decompose the payoff to their receivables pool into different tranches. The seller typically retains the riskier tranches and sells the safer ones. In addition, the model predicts that that the equilibrium proportion of the receivable sold will be increasing with the seller’s cost of internal funding. Moreover, for sellers with sufficiently high ex-ante probabilities of solvency, the equilibrium proportion of the receivable sold will be decreasing with the seller’s probability of solvency. Future research might examine that motivation behind a firm’s decision to choose between factoring its accounts receivable, securitizing them, or using them as collateral for a collateralized loan. Each of these three financing choices will generate cash for the firm, however the question of determining which is optimal has yet to be sufficiently answered. Moreover, it would be interesting to learn if some types of financial institutions possess monitoring advantages over others. If so, then the equilibrium proportion of the receivable to be sold might be increased substantially. Source: Darius Palia and Ben J. Sopranzetti.2004."Securitizing Accounts Receivable". Review of Quantitative Finance and Accounting. Springer.vol.22(1).pp. 29-38. 译文: 应收账款证券化 摘要:本文提供了一个框架，以确定最优承包中的道德风险存在的应收款证券化的平衡结构。合同是一种激励相容的设计，即卖方在有效监控水平，保留了对应收款的部分股权出售。卖方保留了高风险部分，出售安全部分。所出售的应收账款均衡比例将随着卖方的内部资金成本的增加而增加。此外，在预计偿付能力足够高的的卖家面前，所出售的应收账款平衡的比例将随着卖方的偿付能力的减少而减少。 虽然公司保理个别应收账款因素已经超过两千年，但只是在最近，公司才开始把资产证券化，从他们的应收账款池中廉价出售现金流。证券业和保理业在两个重要方面有所不同。第一，应收账款证券化使公司出售一部分收益变成任意部分应收账款，而保理公司通常强制公司出售全部的应收账款。第二，买方在应收账款证券化的安排不具有普遍的设施进行基础应收账款的持续监测，而是必须依赖于卖方履行监督职能。与此相反，保理公司有高度发达的信用管理部门，往往可能比卖方更好地监测基础应收款的信用质量。因为许多公司，如医院和信用卡公司，应收账款的证券化已成为一个重要的融资工具，更好地理解应收账款合同的结构这一点是很重要的。 本文考察了在道德风险存在的情况下，应收账款证券化的决策。如上所述，在典型的应收账款证券化的合同中，买方通常不能够进行其收购的应收账款的持续监测，而是依赖于卖方履行监督职能。由于卖方的监测工作无法观察到买方，道德风险问题就产生了。正如将要证明的，这种道德风险问题对最佳的应收账款证券化合同的结构产生了重要影响。该合同是根据在第一阶段模型衍生而来，它已经扩展运用到了已销售的贷款及贴现文献中。 应收账款可以被出售，无论是否有追索权。如果是无追索权的应收账款出售，则卖方不承担任何在基础应收账款的存在的过失。如果有追索权的出售，那么卖方根据应收账款证券化协议的条件，可能需要对一部份、甚至全部无法收回的责任数额负责，支付拖欠的应收账款。追索担保类似于看跌期权，执行价格是应收账款的票面价值。买方可以向卖方追索到期未支付的应收账款，如果实际的收益低于承诺的数额。 本文表明，应收账款证券化的最优合同的特点是由卖方有能力监测，在出售部分应收账款的股份中保持公平的利益。该模型的含义是在相同的观测上重现实践中，卖家从他们的应收账款池里将受益划分成不同部分的共同点。卖方保留了典型的高风险部分，出售安全的部分。此外，所出售的应收账款的均衡比例将随着卖方内部资金成本的增长而增长。而且，对于具有足够高的事前偿付能力概率卖家来说，应收款的均衡比例将随着卖方的偿付能力的降低而降低。 本文组织如下。第一节提供了文献回顾。第二节概述了整个文章运用的模型。第三节提供了一个企业的利润函数的一般形式。第四节审查了公司的决定，其应收款账款的证券化，第五节总结全文。 一、文献回顾 卢埃林和埃德米斯特(1973)讨论研究了其他应收账款管理政策的缺点，但没有提供关于应收账款转让的具体信息。绵和史密斯(1992，1994)，提供了应收账款政策的决定性因素的深入探索，但由于缺乏观察值，他们能提供只有关于公司决定出售其应收账款或保理其应收账款的决定因素的间接证据。史密斯和Schnucker(1994)，证明了保理更可能发生在没有什么“专业” 投资在他们的客户的卖方中，他们各自的监管成本相对较高。作者还表明，应收账款保理不太可能发生在一个批发商而不是零售商的卖方中。 Sopranzetti(1998)考察了最优保理合同，发现了一种倾向，保理需要诉诸(相对于无追索权)是由三个因素决定:卖方的应收账款，卖方的偿付能力信贷质量，卖家的信誉。哈立德(2002)也考察了保理业，并认为，保理公司决定购买应收账款也由产品经营市场中的卖方决定。虽然文献中曾广泛探讨保理业，还没有研究过应收账款证券化这个日益重要的领域。 二、假设 该模型扩展了Sopranzetti(1998)使用的研究最佳的保理合同的框架。主要的区别是，在Sopranzetti(1998)中，卖方在保理整个应收账款中是被强迫的。而在这个手稿中，卖方允许灵活地将应收账款证券化。也就是说，如果卖方愿意，他可以只出售应收账款的一部分。 假设1。 Arisk中性卖家(例如医院或信用卡公司)拟提供一项报酬是L美元的服务给客户。这项成本提供服务是1美元，而卖方将内部融资，资本成本 为ri。买方的内部资本成本是rf。Sopranzetti(1997)表明，我们假设，因为财政窘迫，税务问题，或投资不足问题，应收账款的卖方通常拥有比买方更高的融资成本。 假设2。应收账款的次序产生，卖方必将对客户扩大贸易信贷，这样对交货日期，卖方将提供服务，直到信用期结束不会从买方得到报酬，该模型的目的是假设τ时期。 假设3。卖方花费监测基础应收账款质量水平结果的等级设为C，其中C?[0，?)。一个更大的ç意味着更多的监控。该做的监测费用为u倍C，其中ü>0。监测成本，u，发生在期末。 假设4。卖方的偿付能力设为p。 假设5。无论是买方和卖方能很好地观察到x的分布，x是描述应收款实际收益的随机变量。x的分布随着应收账款信用质量α和信用监测水平c的增加而增加，其中α?[1，?)。 X的分布必须满足有关的信贷监管水平和应收账款信用质量水平的严格凸函数约束的分布。这意味着，分布函数F(x，α，三)符合下列各项: F(x, α, λc + (1 ? λ)c’) < λF(x, α, c) + (1 ? λ)F(x, α, c’) 和 F(x, λα + (1 ? λ)α’, c) < λF(x, α, c) + (1 ? λ)F(x, α’, c) 因此，预期收益为?x，因为应收账款信用质量和信用监测水平形成凹形，也就是说，这两种技术有严格规模报酬递减等级。 假设6。代售应收账款的市场竞争激烈，卖方可以出售b部分应收账款给危险中性的买方。应收账款的信用质量，α，可以无成本地出售之前被卖方观察到，但买方无法观察，c，卖方的信用监管水平。 证明:设被出售的平衡比例导数为p，为了标记导数，它需要使用应收账款的预期收益函数形式。它容易证明当p>0.5，导数小于零。 Sopranzetti(1998)考察了保理业，证明有三层结构的保理合同:只有最优质的应收账款无追索权保理，中等质量的应收账款有追索权保理，低质量的应收账款无法被保理。请注意，我们的结果，不像Sopranzetti(1998)那样，价格适合的应收款项的信用质量的极限不是一个问题。这是因为卖方现在拥有保持 应收账款的收益部分的信用风险部分的弹性。在这种方式下，通过简单的保持均衡比例就能使每一份应收账款可以变得适于销售。信贷质量越差，应收账款(和信用风险)的比例就越大，此比例将由卖方保持。 在现实中，卖方出售本息可剥离债券或付应收账款池中的报酬是很常见的。通常情况下，卖方出售的部分由低风险的现金流组成，保留的部分由高风险现金流组成。有追索权的证券化合同接近于第二个最好的平衡合同，即卖方保留了初级索赔权，而买家拥有应收款回报的高级索赔权。通过提供追索权，卖方将承担应收账款信用风险的冲击，就好像他保留了应收款的现金流风险份额。此外，收益和监测工作水平也将根据双方的合同而确定。 四、应收账款证券化的卖方决定 在应收账款证券化的情况中常见的情况是卖方在应收账款出售后履行信用管理职能。卖方必须进行监测，因为买方通常无法持续执行基础应收账款的信贷监督。所以，如果买方不能观察卖方的信贷管理水平，道德风险问题就会产生。由于卖方的信贷监控水平是无法由买方观察到，道德风险问题才会发生。 五、结论 本文提供了一个框架，在卖方容易受到道德风险时，确定最优承包应收款证券化的平衡结构。一种激励相容的合同应在卖方在保持有效监控水平，保留了应收账款的部分股权出售的基础上设计。该模型的含义是类似观测性的实践中会发生什么，卖家根据他们应收账款池中不同部分分解报酬的共同点是什么。卖方保留了典型的高风险部分和出售低风险部分。此外，该模型预测，该出售应收平衡的比重将与卖方的内部融资成本增加。此外，在足够高的事前偿付能力的卖家面前，所出售的应收账款平衡的比例将随着卖方的偿付能力的减少而减少。 未来的研究可能会研究公司选择其应收账款保理，还是应收账款证券化，或是用它们作为抵押品进行抵押决定背后的动机。这三种融资选择均会对公司的现金流产生影响，无论如何，决定问题的最佳答案仍然是证券化。此外，如果某些类型的金融机构拥有的检测优于其他机构，这将是有趣的学习。如果是这样，那么将要出售的应收账款平衡比例将大幅增加。 出处:Darius Palia和Ben J. Sopranzetti.应收账款证券化(《财务和会计计 量回顾》,第22卷(2004(1):29-38.