JP2006338376A - Server for issuing secondary securities, program, and control method of server for issuing secondary securities - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To enable submission of investment conditions from an investor side and also to enable adjustment of portfolios. <P>SOLUTION: A server for issuing secondary securities receives a borrowing condition from a bond issuer, an investment condition from an investor, a purchase condition from an excess securities negotiation institute; obtains target creditability of secondary securities for the investor based on the investment condition; obtains probability distribution which is an event probability for every fund collection amount; obtains creditability of a secondary securities for the excess securities negotiation institute by generating contract terms which set a dishonor boundary amount and a full redemption boundary amount for the secondary securities for excess securities negotiation institute and selecting a contract terms candidate; sets up the amount issued for secondary securities so that the expected value of difference of collection amount of funds and redemption amounts at maturity may become a predetermined value; and selects one whose amount issued of secondary security is smaller than the sum of acquisition maximum limit and the sellout amount of secondary securities to investors out of the combinations of the contract terms candidate and amount issued of secondary securities as a portfolio candidate. <P>COPYRIGHT: (C)2007,JPO&INPIT

Description

  The present invention relates to a secondary securities issuing server, a program, and a method for controlling a secondary securities issuing server that issue secondary securities backed by a receivable transferred from a bond issuer, and particularly presents investment conditions from investors. And technology that enables portfolio adjustments.

  Assets such as real estate, intellectual property rights, loan receivables, trade receivables, lease receivables and securities issued on the back of receivables are called ABS (Asset Backed Securities) and are assets that serve as collateral. The principal and interest of the ABS is paid from the cash flow generated from. Receivables issued by small and medium-sized enterprises are difficult to obtain sufficient information for assessing credit risk compared to government bonds and corporate bonds of large corporations, and tend to be shunned by investors, so it is difficult to distribute alone. However, if a large number of these receivables are collected and a statistical method is applied, cash flow prediction can be performed relatively accurately. Therefore, by issuing an ABS backed by these multiple receivables, secondary securities whose creditworthiness is evaluated more appropriately than single receivables are generated, leading to the promotion of liquidation of receivables.

  Such securitization of receivables is effective when financial institutions that hold receivables of a large number of SMEs try to off-balance their assets. In that case, the financial institution first transfers its own receivables to an SPC (Special Purpose Company). The SPC analyzes the risks of these receivables and issues a plurality of secondary securities with preferred subordination structure backed by those receivables. The risk of each secondary security is calculated from the underlying risk of the pool of receivables, and sold to investors after setting contract terms such as interest rate and redemption period.

As a technology for issuing secondary securities backed by claims, Patent Document 1 discloses securitization by analyzing the risks of claims, especially claims secured by ships, and dividing them into multiple secondary securities with a priority subordinated structure. The technology to do is described. Japanese Patent Application Laid-Open No. H10-228561 describes a technique for converting a trade receivable and a vehicle ownership of a new car into a secondary security as a similar technique.
JP 2002-207871 A JP 2004-21725 A

  What is common to these technologies is that there is a step of determining the bond first, then a step of determining the portfolio of secondary securities to be issued, and a step of selling the secondary securities to investors. . From the investor's point of view, we will choose securities with conditions close to the investment conditions such as yield, creditworthiness, redemption period, and investment amount that we want from several types of secondary securities issued. There is no mechanism for presenting such investment conditions from investors prior to the issuance of securities. As a result, there is a possibility that some of the secondary securities issued will not have a buyer, or there will be no investors with the desired conditions and investors willing to invest will miss out on the opportunity to liquidate receivables.

  Also, in these methods, even if a mechanism for accepting the presentation of investment conditions from investors is introduced, it is difficult to adjust the issuance ratio for each type of secondary securities, that is, the portfolio, according to the investment conditions. In other words, in the past, a portfolio is structured on the premise that a certain amount remains in the SPC (for example, only the fee remains) after redeeming the investor with funds collected from the issuer at maturity. The issue amount is determined in conjunction with the contract terms of the next securities. Here, the contract condition refers to the correspondence between the recovered amount and the redeemed amount, and specifically, what percentage of the face value of this secondary securities will be redeemed if the recovered amount is. So, for example, in the contract conditions, if the amount collected is 5 billion yen, the N-th bond and the secondary securities that have priority over the N-th bond will be fully redeemed and the other secondary securities will not be redeemed. Therefore, the total of the issue amount of the secondary securities with higher priority than the No. N bonds and the No. N bonds + interest will be 5 billion yen. If it is more or less than 5 billion yen, profit or damage will be caused to the SPC when the collected amount is 5 billion yen.

  When the creditworthiness or yield of each secondary security is determined, the contract terms of each secondary security are determined based on the credit risk of the receivable pool and the creditworthiness of the secondary security, and the issue amount is automatically determined accordingly. Therefore, even if the investor gathers investment conditions and knows how much credit securities should be issued and how much should be issued, the actual issue ratio of each secondary securities cannot be adjusted to that.

  It is an object of the present invention to provide a secondary securities issuing server, a program, and a secondary securities issuing server control method capable of presenting investment conditions from an investor side and capable of adjusting a portfolio. .

  The main invention of the present invention that achieves the above object is a secondary securities issuing server that issues secondary securities backed by a loan transferred from a plurality of bond issuers, and is used by the bond issuer. A bond issuer client, an investor client used by an investor who purchases the secondary securities, and a surplus securities purchasing organization that purchases secondary securities that were not sold to the investors among the issued secondary securities A borrowing condition registration unit that communicatively connects to a surplus securities purchasing institution client used by the client and receives a plurality of borrowing conditions including the borrowing amount desired by the bond issuer from the bond issuer client and stores them as bond pool data And a plurality of investment conditions including the creditworthiness and the investment amount, which are expected redemption principal amounts per unit face value of the secondary securities desired by the investor An investment condition registration unit that receives and stores from the investor client, a purchase condition registration unit that receives and stores purchase conditions including the purchase limit for the secondary securities from the surplus securities purchasing organization client, and the investment The conditions are classified into a plurality of groups, the creditworthiness of each group is obtained, and the target creditworthiness of the secondary securities for investors to be sold to the investors is determined based on the creditworthiness of each group. , Setting the issue amount of the secondary securities for each investor based on the total amount of the investment amount in the investment conditions classified into each group, and recovering funds based on the borrowing amount and a predetermined default rate A probability distribution that is the probability of occurrence for each amount is obtained, and the unboundary boundary amount, which is the maximum value of the amount of funds collected for which the redemption amount of the secondary security is 0, and the recovery of funds for which the secondary securities are fully redeemed And the full redemption boundary amount, which is the minimum value of the above, for the secondary securities for investors and secondary securities for surplus securities purchasing institutions that are secondary securities issued to the surplus securities purchasing institutions. And the full redemption boundary amount of the secondary security having a higher priority is not higher than the non-transaction boundary amount of the secondary security having a lower priority than the contract terms and A candidate for contract condition is selected that satisfies the condition that the creditworthiness of the secondary securities for investors determined by the principal redemption rate and the probability distribution of the secondary securities in the amount of funds recovered matches the target creditworthiness And determining the creditworthiness of the secondary securities for the surplus securities purchasing organization with respect to each of the contract condition candidates based on the principal redemption rate and the probability distribution of the secondary securities at each amount of funds collected, Based on the creditworthiness, the securities interest rate of the secondary securities in each contract condition candidate is obtained, and the issue amount of the secondary securities for the surplus securities purchasing organization in each contract condition candidate is set as the amount of funds collected at maturity and The expected value of the difference from the redemption amount is set to a predetermined value, and among the combinations of the contract condition candidates and the secondary securities issue amount, the secondary securities issue amount is the purchase limit amount and the investment And a portfolio determination unit that selects a portfolio candidate that is smaller than the sum of the sales amount of the secondary securities to the house.

  As described above, in the present invention, the secondary securities issuing server operated by SPC or the like does not determine the portfolio of secondary securities in advance, but the borrowing conditions including the borrowing amount from the bond issuer client are set. At the same time, it accepts investment conditions including investment amounts and yields from investor clients, and builds a portfolio that meets both conditions. For this reason, it is possible to present the investment conditions from the investor when issuing the secondary securities backed by the receivable transferred from the receivable issuer. The secondary securities issuing server of the present invention eliminates the assumption that a certain amount will remain in the SPC after maturity, and eliminates the connection between the contract terms and the issue amount, and the contract terms and issue amount of each secondary security. Are matched with those derived from a set of investment conditions. The secondary securities issuing server of the present invention issues one or more types of secondary securities in addition to the secondary securities sold to investors in order to match the expected return of the entire portfolio with the expected return of the entire receivables. The portfolio can be adjusted by purchasing the securities by surplus securities purchasing institutions.

  Another one of the main inventions of the present invention is the secondary securities issuing server, which is a guarantee used by a guarantee organization that pays off the difference between the amount of funds collected and the redemption amount at maturity. A guarantee condition registration unit that is communicably connected to an institution client and receives and stores a guarantee condition including a guarantee limit amount from the guarantee institution client, and the portfolio determination unit includes the redemption in the case of the selected optimal portfolio When the maximum value obtained by subtracting the amount of money collection from the amount is equal to or less than the guarantee limit amount, it is determined that the secondary portfolio can be issued by the optimal portfolio, and the maximum value is greater than the guarantee limit amount. If it is too large, it is determined that the secondary portfolio cannot be issued by the optimal portfolio, and the result of the determination is determined as the bond issuer client. Shall be to include matching result notification unit that transmits to the investor client.

  As described above, if the connection between the contract condition and the issue amount is lost, depending on the recovery amount, the total amount of redemption to investors may be higher or lower than the recovery amount. The secondary securities issuing server of the present invention is based on the premise that the guarantee organization absorbs excess or deficiency of funds at the time of redemption. According to the secondary securities issuing server, a guarantee is made from all portfolio candidates that satisfy the conditions. It is possible to select a more optimal portfolio by paying attention to the expected value of the loss of the institution, the maximum damage amount of the guarantee organization, and the total amount of securities purchased by the surplus securities purchasing organization.

  According to the present invention, it is possible to present investment conditions from the investor side and to adjust the portfolio.

Hereinafter, embodiments of the present invention will be described in detail with reference to the drawings.
FIG. 1A shows a hardware configuration of a secondary securities issuing system 1 described as an embodiment of the present invention. The secondary securities issuing system 1 includes computers such as a secondary securities issuing server 110, an investor client 120, a bond issuer client 130, a guarantee organization client 140, and a surplus securities purchasing organization client 150. The secondary securities issuing server 110 is communicably connected to the investor client 120, the bond issuer client 130, the guarantee institution client 140, and the surplus securities purchasing institution client 150 via the communication network 160.

The secondary securities issuing server 110 is a computer used by an SPC (special purpose company) that converts a bond into secondary securities and sells it to investors.
The investor client 120 is a computer used by an investor who purchases secondary securities. The investor client 120 transmits the secondary securities conditions desired by the investor to the secondary securities issuing server 110. Further, the investor client 120 receives from the secondary certificate issuing server 110 information on whether or not the above conditions are acceptable and information on the secondary securities to be issued.

The bond issuer client 130 is a computer used by a bond issuer such as a small business. The bond issuer client 130 transmits a borrowing condition, which is a condition of the bond that the bond issuer wants to issue, to the secondary securities issuing server 110. The bond issuer client 130 receives the result of acceptability of the borrowing condition from the secondary securities issuing server 110.
The investor client 120 and the bond issuer client 130 are not limited to one each, and there may be a plurality of each.

The guarantor client 140 is a computer that is used by a guarantor that is an organization that absorbs (receives or compensates for) an excess or deficiency in the amount of money to be redeemed to an investor at maturity. The guarantor client 140 transmits the guarantee conditions to the secondary securities issuing server 110.
The surplus securities purchasing organization client 150 is a computer used by the surplus securities purchasing organization. Surplus securities purchasing institutions are institutions that buy special secondary securities that are not for investors or buy unsold securities for investors. The surplus securities purchase institution client 150 transmits purchase conditions, which are the conditions for securities purchase, to the secondary certificate issuing server 110.

  FIG. 1B shows an example of the hardware configuration of a computer used as the secondary securities issuing server 110, the investor client 120, the bond issuer client 130, the guarantor client 140, and the surplus securities purchasing agency client 150. A computer 10 shown in FIG. 1 includes a storage device 11, a processing device 12, an input device 13, an output device 14, a communication interface 15, and a bus 60 that connects these devices so that they can communicate with each other.

  The storage device 11 is a memory or a hard disk, and stores data and programs. The processing device 12 is an MPU (Micro Processing Unit) or the like, and executes a program stored in the storage device 11. The input device 13 is a user interface such as a keyboard and a mouse that accepts an operation input by an operator. The output device 14 is a cathode ray tube display or a liquid crystal display, and displays information to the operator. The communication interface 15 includes a network interface card and the like, and communicates with other computers via the communication network 160. There are a personal computer, an office computer, a mainframe, etc. as a computer having such a configuration.

  FIG. 2 shows a software configuration of the secondary securities issuing system 1. Each unit shown in the figure is realized by executing a program stored in the storage device 11 by computer hardware used as each server or client, or by the processing device 12 of each computer.

In the secondary securities issue server 110, a guarantee condition registration unit 271, a purchase condition registration unit 272, an investment condition / borrowing condition registration unit 273, a portfolio determination unit 274, a matching result notification unit 275, a secondary securities issue amount notification unit 276, and the like. Is realized.
The secondary securities issuing server 110 operates a DBMS (DataBase Management System), and a rating information database (hereinafter referred to as DB 291) that manages information related to credit risk of each company that becomes a debtor under the DBMS in the storage device 11. ) Is working. As will be described later, the investment condition / borrowing condition registration unit 273 obtains a default rate at the time of lending from the rating information DB 291.

  The guarantee condition registration unit 271 includes data that includes a guarantee condition, which is a condition indicating how much the guarantee organization can cover when there is not enough funds to be redeemed to investors at maturity due to a shortage of collection money. The guarantee condition data 281 is received from the guarantee agency client 140 and stored in the storage device 11. FIG. 3 shows an example of the guarantee condition data 281. As shown in the figure, the guarantee condition data 281 includes a guarantee limit amount 310.

  The purchase condition registration unit 272 receives the purchase condition data 282 from the surplus securities purchasing organization client 150 and stores it in the storage device 11. FIG. 4A shows an example of purchase condition data 282. The purchase condition data 282 shown in the figure includes the types of secondary securities 410 and the purchase limit amount 420 set by the surplus securities purchasing organization for these secondary securities. Note that the purchase condition data 282 may include the purchase limit for the entire secondary security, not the purchase limit for each secondary security. Further, the purchase condition data 282 may be set with a purchase limit for each range of creditworthiness of the secondary securities. FIG. 4B shows an example of purchase condition data 282 in this case. The purchase condition data 282 shown in the figure includes purchase limit information 461 to 465. Each purchase limit information includes items of creditworthiness ranges 450 and 451. The surplus securities purchasing organization is ready to purchase secondary securities having creditworthiness within the creditworthiness range indicated by the creditworthiness range 450 up to the amount indicated by 451.

  The investment condition / borrowing condition registration unit 273 receives the amount of secondary securities desired by the investor and the creditworthiness (hereinafter referred to as “investment conditions”) transmitted from the investor client 120 and receives them as investment conditions. It is registered (stored) as data 283. Further, the investment condition / borrowing condition registration unit 273 receives borrowing condition data including at least the borrowing amount desired by the bond issuer, which is transmitted from the bond issuer client 130, and registers this as loan pool data 284 ( Remember.

  FIG. 5 shows an example of the investment condition data 283. As shown in the figure, the investment condition data 283 includes data such as the investor ID 510, the investment amount 520, and the creditworthiness 530. The investment condition / borrowing condition registration unit 273 adds a new record 540 each time one investment condition is received. At this time, the investment condition / borrowing condition registration unit 273 automatically assigns the investor ID 510 to the added record 540 by a method such as assigning serial numbers.

  FIG. 6 shows an example of the bond pool data 284. As shown in the figure, the receivable pool data 284 includes data such as company ID 610, borrowing amount 620, default rate 630, and interest rate 640. The investment condition / borrowing condition registration unit 273 adds a new record 650 every time one borrowing condition is received. At this time, the investment condition / borrowing condition registration unit 273 automatically assigns the company ID 610 to the added record 650 by a method such as assigning serial numbers. The default rate 630 is acquired from the rating information DB 291 by the investment condition / borrowing condition registration unit 273. Based on the default rate, the investment condition / borrowing condition registration unit 273 sets the interest rate 640 so that a certain amount of revenue can be expected for the SPC as the creditor.

  In this embodiment, the term “interest rate” means the ratio of the principal and interest paid to maturity with respect to the principal, and the principal multiplied by the interest rate is repaid or redeemed by maturity. Shall.

  The portfolio determination unit 274 determines an optimal portfolio based on the guarantee condition data 281, the purchase condition data 282, the investment condition data 283, and the bond pool data 284, and generates contract condition data 285 and issued secondary securities data 286.

The matching result notifying unit 275 notifies the investor and bond issuer of the result of the portfolio composition determined by the portfolio determining unit 274. For example, the matching result notification unit 275 indicates that the optimal portfolio does not exist when the total investment amount in the investment condition data 283 exceeds the total borrowing amount in the bond pool data 284, the bond issuer client 130 and the investor client 120. Send to. For example, the matching result notifying unit 275 has an optimal portfolio when the sum of the investment amount in the investment condition data 283 and the purchase limit amount in the purchase condition data 282 is less than the total borrowing amount in the bond pool data 284. A message to the effect is transmitted to the bond issuer client 130 and the investor client 120.
The secondary securities issue amount notifying unit 276 notifies the surplus securities purchasing organization of the optimum portfolio determined by the portfolio determining unit 274.

  The investor client 120 has an investment condition presentation unit 221. The investment condition presenting unit 221 transmits the investment condition including the amount and the creditworthiness to the secondary securities issuing server 110 and receives a response from the secondary securities issuing server 110 regarding whether to accept or reject the conditions.

  As another embodiment, the investment condition presenting unit 221 transmits an investment condition including an amount and a yield or an amount and an interest rate to the secondary securities issuing server 110 instead of the investment condition including the amount and the creditworthiness. You may do it. Yield means the ratio of the total interest paid by maturity to the principal. Therefore, an amount obtained by multiplying the value obtained by adding 1 to the yield and the principal is paid as the principal and interest. Yield is equal to the interest rate minus 1.

The bond issuer client 130 has a borrowing condition presentation unit 231. The borrowing condition presenting unit 231 transmits the borrowing condition including the borrowing amount to the secondary certificate issuing server 110 and receives a response from the secondary certificate issuing server 110 regarding whether to accept or reject the condition.
The guarantee institution client 140 has a guarantee condition presentation unit 241. The guarantee condition presenting unit 241 transmits guarantee condition data 281 to the secondary securities issuing server 110.

  The surplus securities purchasing organization client 150 has a purchase condition presentation unit 251. The purchase condition presentation unit 251 transmits the purchase condition data 282 to the secondary securities issue server 110. The surplus securities purchasing organization client 150 receives the optimal portfolio determined by the portfolio determination unit 274 of the secondary securities issuing server 110 from the secondary securities issuing server 110.

== Description of processing ==
Next, processing performed by the secondary securities issuing system 1 will be described with reference to the flowchart shown in FIG. In the figure, the vertical arrows indicate the processing time in each system (guarantee agency client 140, surplus securities purchasing agency client 150, bond issuer client 130, secondary securities issue server 110, investor client 120). The general flow is shown. A horizontal dotted arrow indicates that a communication message is transmitted from the system that performs the processing step at the start point of the arrow to the system that performs the processing step at the end point. An oblique arrow indicates that data is written to the data at the end point of the arrow by the processing step at the start point of the arrow.

  In the flowchart shown in the figure, the processing step “transmission of guarantee condition” 711 is performed by the guarantee condition presentation unit 241 in the guarantee period client 140. The processing step “send purchase condition” 721 and the process step “receive secondary securities issue amount” 722 are performed by the purchase condition presentation unit 251 in the surplus securities purchasing organization client 150. The processing step “send borrowing conditions” 731 and the processing step “receive matching results” 732 are performed by the borrowing condition presentation unit 231 in the bond issuer client 130. Further, the process step “send investment condition” 751 and the process step “receive matching result” 752 are performed by the investment condition presentation unit 221 in the investor client 120. Each process performed by the secondary securities issuing server 110 is performed by the function in FIG. 1 having the same name as the process.

  First, in the processing step “Guaranteed condition transmission” 711, the guarantee agency client 140 transmits the guarantee conditions to the secondary securities issuing server 110. In the processing step “guarantee condition registration” 741, the secondary securities issuing server 110 receives the guarantee condition and stores it in the storage device 11 as the guarantee condition data 281. In the processing step “transmission of purchase conditions” 721, the surplus securities purchasing agency client 150 transmits the purchase conditions to the secondary certificate issuing server 110.

In the processing step “register purchase conditions” 742, the secondary securities issuing server 110 receives the purchase conditions and stores them in the storage device 11 as purchase condition data 282. The processing step “guarantee condition registration” 741 and the processing step “purchase condition registration” 742 may be performed in the reverse order to the order shown in the figure. That is, first, after the processing step “transmission condition transmission” 721 and the processing step “purchase condition registration” 742 are performed, the processing step “guarantee condition transmission” 711 and the processing step “guarantee condition registration” 741 are performed. Also good.
In the processing step “send borrowing conditions” 731, the bond issuer client 130 sends the borrowing conditions to the secondary securities issuing server 110.

In the processing step “investment condition / borrowing condition registration” 743, the interest rate of the receivable is determined by acquiring from the rating information DB 291 the default rate of the receivable issuer to which the secondary securities issuing server 110 has transmitted the borrowing conditions. The interest rate may be determined in consideration of the default rate of the receivable, the discount rate for the repayment period of principal and interest, the liquidity risk of the receivable, etc. The interest rate may be determined.
Interest rate = (1.009 + 0.3 x default rate) / (1-default rate)

  According to the above equation, the interest rate is set such that the higher the default rate, the higher the expected return (that is, the product of the interest rate and the expected principal repayment amount). The secondary securities issuing server 110 assigns a company ID to the bond issuer, and additionally registers (stores) bond data, which is data in which the company ID, the borrowing amount, the default rate, and the interest rate are associated with each other in the bond pool data 284.

  As another embodiment of the present invention, in the processing step “registration of investment condition / borrowing condition” 743, the secondary securities issuing server 110 determines the interest rate of the receivable and immediately adds the receivable data to the receivable pool data 284. Instead of (memorizing), the determined interest rate is transmitted to the receivable issuer client 130 used by the receivable issuer, and a response to accept or reject the issue of the receivable at that interest rate is received from the receivable issuer client 130 The bond data may be additionally registered (stored) in the bond pool data 284 only when the response is received and the response of acceptance is returned.

  In the processing step “send investment condition” 751, the investor client 120 transmits the investment condition to the secondary securities issuing server 110. The investment conditions transmitted include the creditworthiness of the secondary securities and the investment amount. In the processing step “Investment condition / borrowing condition registration” 743, the secondary securities issuing server 110 that has received the investment condition assigns an ID to the investor who has transmitted the investment condition, and corresponds the investor ID, the investment amount, and the creditworthiness. The added data is additionally registered (stored) in the investment condition data 283.

  As another embodiment of the present invention, in the processing step “send investment condition” 751, the investor client 120 transmits the investment condition including the interest rate and the investment amount or the yield and the investment amount to the secondary securities issuing server 110. You may do it. In this case, in the processing step “Investment condition / borrowing condition registration” 743, the investment condition / borrowing condition registration unit 273 of the secondary securities issuing server 110 receives the investment condition, and the investment condition / borrowing condition registration unit 273 The creditworthiness is calculated backward based on the interest rate and yield so that a certain amount of profit can be expected in the SPC. Then, an ID is assigned to the investor who has transmitted the investment condition, and the investor ID, the investment amount, and the creditworthiness obtained above are additionally registered (stored) in the investment condition data 283.

The processing steps “send borrowing conditions” 731 and “send investment conditions” 751 are processes that are repeatedly performed as necessary within the recruitment period of about one week set by the SPC, and each time these processes are executed. Then, the processing step “registration of investment condition / borrowing condition” 743 is performed, and the borrowing condition and the investment condition are added to the bond pool data or the investment condition data.
In the processing step “determine portfolio” 744, the secondary securities issuing server 110 generates a combination of the optimum contract condition data 285 and the issued secondary securities data 286.

  In the following description, a combination of contract condition data and issued secondary securities data is referred to as a portfolio. In addition, damages that the guarantor may incur in a portfolio that satisfies the conditions presented by bond issuers, investors, and surplus securities purchasing institutions, and that has a specific expected value of loss and guarantee by the guarantor. The portfolio with the smallest maximum value (hereinafter referred to as maximum damage amount) is called the optimal portfolio.

  The secondary securities issuing server 110 determines that the secondary securities can be issued in the optimum portfolio if the maximum loss amount of the optimum portfolio is less than the guarantee limit amount in the guarantee condition presented by the guarantee organization. Details of the processing step “Portfolio Determination” 744 will be described later.

  If the total investment amount 520 in the investment condition data 283 is larger than the total borrowing amount 620 in the receivable pool data 284, no matter what portfolio the secondary securities are issued, the investment in terms of amount It is impossible to satisfy the condition. In such a case, the secondary securities issuing server 110 determines that the secondary securities cannot be issued without determining the portfolio. Conversely, if the total amount of borrowing amount 620 in bond pool data 284 is greater than the sum of the total amount of investment amount 520 in investment condition data 283 and the purchase amount 420 in purchase condition data 282, what Even if secondary securities are issued in the portfolio, it is impossible to satisfy the borrowing conditions in terms of value. In such a case, the secondary securities issuing server 110 determines that the secondary securities cannot be issued.

FIG. 8 shows an example of the contract condition data 285. The contract condition data 285 includes the contract condition information 800 of the secondary securities. The contract condition information 800 includes a secondary security type 820, a non-boundary boundary amount 830, and a full redemption boundary amount 840. Here, the unboundary boundary amount is the maximum value of the amount of funds collected so that the redemption amount of the secondary security is “0”. The full redemption boundary amount is the minimum value of the amount of funds collected to fully redeem the secondary securities. In other words, if the funds collected by the SPC from the bond issuer are undelivered and less than the boundary amount, the principal of the secondary security will not be redeemed, and if the amount of funds collected from the bond issuer is greater than the full redemption boundary amount The secondary securities will be fully redeemed. If the amount of funds collected is undelivered and greater than the boundary amount and less than the full redemption boundary amount, the redemption rate of the secondary security is obtained by linear interpolation.
Here, the redemption rate is a value indicating what percentage of the principal is redeemed, and is specifically calculated by the following equation.
Redemption rate = (Fund collection amount-Bound amount)

  In the example shown in FIG. 8, for example, when the amount of funds collected is 3 billion yen, the S senior bond is fully redeemed, the A bond is redeemed 50%, and other secondary securities are not redeemed. Because secondary securities have a priority subordination relationship, the full redemption boundary amount of a secondary security with higher priority will not exceed the non-transferable boundary amount of a subordinated secondary security.

  FIG. 9 shows an example of the issued secondary securities data 286. The issued secondary security data 286 includes issue information 900 for each secondary security. The issue information 900 includes a secondary security type 920, an issue amount 930, a creditworthiness 940, and an interest rate 950.

  In the processing step “matching result notification” 745, the secondary securities issuing server 110 notifies the bond issuer client 130 and the investor client 120 whether to accept or reject the borrowing conditions or the investment conditions presented by each. . That is, in the processing step “Portfolio Determination” 744, if it is determined that the secondary securities can be issued by the optimal portfolio, the acceptance notification is issued, and if it is determined that the secondary securities cannot be issued. Notify rejection. In processing step “receive matching result” 732, bond issuer client 130 receives the notification. In the processing step “receive matching result” 752, the investor client 120 receives the notification.

  In the processing step “secondary securities issue amount notification” 746, the secondary securities issue server 110 makes a purchase by the surplus securities purchasing organization if the secondary securities can be issued by the optimal portfolio to the surplus securities purchasing organization client 150. The amount of secondary securities, creditworthiness, and contract conditions are notified, and if that is not possible, it is notified. In “secondary securities issue amount reception” 722, the surplus securities purchasing organization client 150 receives the notification.

  Next, the process step “portfolio determination” 744 will be described in detail with reference to the flowcharts shown in FIGS. 10 and 11. In the processing step “determining portfolio” processing 744, the secondary securities issuing server 110 satisfies the constraint that the constraint by the investment condition, the constraint by the borrowing condition, the constraint by the purchase condition, and the expected value of the loss or gain of the guarantor is ± 0. The portfolio that minimizes the maximum loss of the guarantor is determined as the optimal portfolio.

  Before explaining the “portfolio determination” process 744, first, the loss and gain incurred by the guarantee organization will be explained with reference to FIG. 15. FIG. 15 is a graph showing the profits and losses of the guarantor when the secondary securities are issued based on the contract condition data 1700 shown in FIG. 17 and the issued secondary securities data 1800 shown in FIG. FIG. 15 illustrates an example in which five types of secondary securities for a total of ¥ 25 billion are issued. For the sake of simplicity, the total amount of receivables, the maximum amount of funds collected, the total amount of secondary securities issued, and the maximum amount of redemption are all set at 25 billion yen without considering interest on receivables and secondary securities. .

  The bands indicated by reference numerals 1510 to 1514 in FIG. 15 are visual representations of the contract condition information 1710 to 1740 and 1750 in the contract condition data 1700 shown in FIG. The position of the left end of each band indicated by reference numerals 1510 to 1514 corresponds to the unbounded boundary amount of each contract condition information, and the position of the right end of each band corresponds to the full redemption boundary amount of each contract condition information. There is a gap between the band denoted by reference numeral 1510 and the band denoted by reference numeral 1511 because the full amount redemption boundary amount of the adjacent secondary securities does not match the unbounded boundary amount. On the other hand, bands indicated by reference numerals 1520 to 1524 correspond to the issuance amounts of the issuance information 1810 to 1850 in the issuance secondary securities data 1800 shown in FIG.

  As can be understood from FIG. 15, the amount remaining in the hand of the SPC after redemption (that is, the loss or gain of the guarantee organization) varies depending on the amount of funds collected. For example, if the amount of funds collected is 4 billion yen, only S senior bonds will be fully redeemed, but since the amount issued of S senior bonds is 2.5 billion yen, the difference of 1.5 billion yen will remain after redemption. For example, if the amount of funds collected is 20 billion yen, S senior bonds, A bond, B bond, and C bond will be fully redeemed, and the sum of their issuance amount is 22 billion yen, so the difference of 20 100 million yen will be insufficient at the time of redemption. A line graph 1500 in FIG. 15 shows the profits and losses of the guarantee organization for each of these money collection amounts. From this line graph 1500, the maximum amount of damage that can be incurred by the guarantee agency in this example is 2 billion yen (amount indicated by reference numeral 1530). It is preferable that the maximum damage amount of the guarantor is as small as possible because the risk of the guarantor is reduced. Here, the expected value of the loss of the guarantee organization can be obtained, for example, by finding and adding the value obtained by multiplying the loss of the guarantee organization by the probability of the probability density curve shown in FIG. Note that adjusting the expected value of the guarantee agency's profit or loss to a positive value equivalent to the guarantee fee is indispensable as a business formation requirement, but for the sake of simplicity, the following explanation is the expected value of the guarantee agency's profit and loss. Shall be ± 0.

  The processing step “portfolio determination” 744 will be described with reference to the flowcharts shown in FIGS. 10 and 11.

  First, in the processing step “investment condition group generation” 1001 shown in FIG. 10, the secondary securities issuing server 110 reads the investment condition data 283 from the storage device 11 and classifies the investment conditions into several groups for each creditworthiness. Yes. As the method of grouping here, the highest creditworthiness among the investment conditions is set to a, the investment conditions with creditworthiness of a−0.005 to a are classified into Group A, and a−0.010 to a−0.005. A method of grouping investment conditions belonging to the same section by setting a creditworthiness section every 0.005, such as classifying investment conditions into Group B, classifying investment conditions from a-0.015 to a-0.010 into Group C, etc. There is. Here, it is assumed that an investment condition group 1210 shown in FIG. 12 is generated as a result of such grouping.

  The investment condition group 1210 shown in FIG. 12 includes data in which a group 1220, an investor ID 1230, a total amount 1240, and a representative creditworthiness 1250 are associated. Here, the investor ID 1230 is an investor ID of investment conditions belonging to each group. The total amount 1240 is the total investment amount of the investment conditions belonging to each group. The representative creditworthiness 1250 is a creditworthiness representing each group, for example, an average value of creditworthiness of investment conditions belonging to the group. The investment condition group 1210 illustrated in FIG. 12 is grouped based on the investment condition data 283 illustrated in FIG. 5, and the investment conditions 541 to 544 are grouped based on the creditworthiness 530.

  As another method of grouping, instead of providing a creditworthiness section, investment conditions having the same creditworthiness can be made the same group. For example, when there is no investment condition that presents the same creditworthiness as that of a certain investment condition, the investment condition is regarded as a group having one element. The representative creditworthiness 1250 is the same as the creditworthiness of the investment conditions belonging to the group.

  Next, in the processing step “determination of secondary securities type” 1002, the secondary securities issuing server 110 determines the type of secondary securities to be issued. If two types of secondary securities with low profitability instead of the highest creditworthiness and secondary securities with high profitability instead of the lowest creditworthiness are issued to surplus securities purchasing institutions, these two types of Since the creditworthiness and issue amount of secondary securities have a certain degree of freedom, it becomes easy to adjust the creditworthiness and profitability of the entire secondary securities, including secondary securities sold to investors. Therefore, the secondary securities issuing server 110 issues two types of secondary securities, S senior bonds and subordinated bonds, as secondary securities for surplus securities purchasing institutions, and each investment as secondary securities for investors. It shall be decided to issue secondary securities corresponding to the condition group by the number of investment condition groups.

  In processing step 1003, the secondary securities issue server 110 determines the target issue amount, the target creditworthiness, and the target interest rate of the secondary securities for investors. Here, it is assumed that secondary securities issuing server 110 uses the total amount 1240 in the investment condition group corresponding to each secondary securities for investors as the target issuance amount and representative creditworthiness 1250 as the target creditworthiness. The secondary securities issuing server 110 determines a target interest rate based on the target creditworthiness. For example, when processing step 1003 is performed using the investment condition group 1210 shown in FIG. 12, the issued secondary securities data is as shown in FIG. 13 (issued secondary securities data 1310 at the time of reflecting the investment conditions). Become.

  As described above, the target issue amount, the target creditworthiness, and the target interest rate of the bonds A to C, which are secondary securities for investors, are determined. At this stage, the issue amount, creditworthiness, and interest rate of S senior bonds and subordinated bonds, which are secondary securities for surplus securities purchasing institutions, have not been determined.

  Next, in processing step 1004, the secondary securities issuing server 110 generates a probability density curve (probability distribution) of the amount of funds collected. Here, this probability density curve represents the probability of each fund recovery amount at maturity. FIG. 14 shows an example of the probability density curve. The probability density curve is approximately calculated by a technique such as a Monte Carlo method from the borrowing amount presented by the bond issuer and the default rate of each bond issuer.

In the following explanation, S senior bonds and subordinated bonds, which are secondary securities for surplus securities purchasing institutions, are designated as S ₀ , _{Sn + 1} (n: an integer greater than 2), and secondary securities for investors. S ₁ , S ₂ ,..., S _n are written. In addition, the smaller the subscript, the higher the priority. The secondary securities S _k L _k a dishonored boundary amount of money in the terms and conditions of, it shall be referred to the full amount redemption boundary amount of money and H _k.

In the processing step 1005, the secondary securities issuing server 110, using the above probability density curve, investors secondary securities S _1, S _2, ..., the terms and conditions of the S _n center value P _1, P _2, ... , P _n . Here, the contract condition center value is the value of P when the area on the right side from a certain amount of money collection P matches the creditworthiness of the secondary securities in the probability density curve. For example, if the area of the region indicated by reference numeral 1420 in FIG. 14 is 0.995, the value indicated by reference numeral 1430 is the contract condition central value of the secondary security having a creditworthiness of 0.995.

As long as the contract conditions are set according to the creditworthiness of the secondary securities, there is always a central value of the contract condition between the unboundary boundary amount and the full redemption boundary amount. In the subsequent steps, when setting the contract terms of the secondary securities for investors, the default amount and the full redemption boundary amount shall be determined based on the central value of the contract terms. Note that P ₀ = 0 (that is, the minimum value of the funds recovery amount) and P _{n + 1} is the maximum value of the funds recovery amount.

  In processing step 1006, the secondary securities issuing server 110 sets the minimum value M of the maximum damage amount borne by the guarantor to a sufficiently large value. In the process described below, M is made as small as possible while changing the contract conditions in various ways.

The processing step 1007 is the start position of the loop processing, and the end position corresponding to this loop processing is step 1112. In this loop, the non-boundary boundary amount L ₀ of the S senior bond in the contract conditions is changed. In process step 1007, 0 is substituted into L ₀ as an initialization process first, and if the continuation condition L ₀ ≦ P ₁ is satisfied, loop processing is started, that is, the process proceeds to execution of process step 1008. In the end position processing step 1112, loop update processing, that is, L ₀ = L ₀ + δ (δ is a minute number) is executed, and the continuation condition L ₀ ≦ P ₁ is determined. If this condition is satisfied, loop processing is performed. If not satisfied, the loop process is terminated and the process proceeds to execution of process step 1113.

  Subsequent processing steps 1008 to 1011 are processing representing the start of a loop as in the case of processing step 1007, and the respective loop end positions are processing steps 1111, 1110, 1109, and 1108.

The loop end position corresponding to process step 1007 is process step 1111. This loop is a loop for the purpose of changing the full redemption boundary amount H ₀ of the S senior bond in the contract conditions. First, L ₀ is substituted for H ₀ as initialization processing, and loop processing is started if the continuation condition of H ₀ ≦ P ₁ is satisfied. In process step 111, a loop update process, that is, H ₀ = H ₀ + δ (δ is a minute number) is executed, and the continuation condition H ₀ ≦ P ₁ is determined. If this condition is satisfied, the loop process is continued. If not satisfied, the loop processing is terminated and the processing proceeds to execution of processing step 1112.

  Between process step 1008 and process step 1010, there are n loop start processes, and there are n corresponding loop end processes between 1109 and 111, respectively. In FIG. 10, n loop start processes are represented by process step 1009, and “k” in process step 1009 is replaced with integers from 1 to k−1 and k−1 to n (n− 1) The process steps are omitted. Similarly, in FIG. 11, n loop end processes are represented by process step 1110. Only representative processing steps 1009 and 1110 will be described below.

The loop having processing step 1009 as the start position and processing step 1110 as the end position is intended to change the non-boundary boundary amount L _k and the full redemption boundary amount H _k of the secondary security S _k . First, P _k is substituted into H _k and L _k as initialization processing, and loop processing is started if both of the continuation conditions of H _k−1 ≦ L _k and H _k ≦ P _{k + 1} are satisfied. In processing step 1110, a loop update process is executed to determine the continuation condition. If the continuation condition is satisfied, the loop process is continued. If not, the loop process for S _k is terminated and the process for S _{k + 1} is terminated. Move on to loop end processing. The update process, first by adding δ to H _k, then matches the credit of S _k where credit is determined by the processing step 1003 of S _k calculated from H _k · L _k · recoveries probability density curve L _k is determined as follows. This ensures that all contract terms generated in this flow meet the needs of investors regarding the creditworthiness of secondary securities.

The loop having the processing step 1010 as the start position and the processing step 1109 as the end position is a loop for changing the non-transferable boundary amount L _{n + 1} of the subordinated bonds in the contract conditions. First substituting H _n into L _{n + 1} as the initialization processing, the loop processing starts if it meets the continuation condition that _{L n + 1 ≦ P n +} 1. In process step 1109, a loop update process, that is, L _{n + 1} = L _{n + 1} + δ (δ is a minute number) is executed, and a continuation condition L _{n + 1} ≦ P _{n + 1} is determined and satisfied. continues the loop processing is Re, it does not satisfy to end the loop processing proceeds to execution of the termination process of the loop about S _n.

The loop having the processing step 1011 as the start position and the processing step 1108 as the end position is a loop for changing the full redemption boundary amount H _{n + 1} of the subordinated bonds in the contract conditions. First, L _{n + 1} is substituted for H _{n + 1} as initialization processing, and loop processing is started if the continuation condition of H _{n + 1} ≦ P _{n + 1} is satisfied. In process step 1108, the loop update process, that is, H _{n + 1} = H _{n + 1} + δ (δ is a minute number) is executed, and the continuation condition H _{n + 1} ≦ P _{n + 1} is determined and satisfied. If so, the loop processing is continued, and if not satisfied, the loop processing is terminated and the processing step 1109 is executed.

  Processing steps 1101 to 1107 are processing performed in a loop surrounded by processing step 1011 and processing step 1108 which is the innermost loop in the nested structure. At the time of executing the processing step 1011, contract conditions that satisfy the investors' needs for the creditworthiness of the secondary securities are temporarily set. In processing from processing steps 1101 to 1107, the secondary securities issue amount that is paired with the contract condition is determined, the maximum loss amount of the guarantee organization is calculated, and if the value is smaller than M, the optimum portfolio is updated. .

  First, in processing step 1101, the secondary securities issuing server 110 calculates the creditworthiness of the S senior bond and the subordinated bond. As described above, the creditworthiness of the secondary securities for investors is determined in the processing step 1003, but the creditworthiness of the S senior bond and the subordinated bond is not determined. However, at the time of execution of processing step 1101, the contract conditions for the S senior bond and the subordinated bond are provisionally set, and the credit of the S senior bond and the subordinated bond is based on these contract conditions and the probability density curve of the amount of funds collected. Force can be calculated. Further, based on the calculated creditworthiness, the interest rate of the S senior bond and the subordinated bond is further determined.

式（１）、（２）において、x_jは債権プールデータにおける債権D_jの借入金額、t_jは同じく債権D_jのデフォルト率を1から減じた数値（二次証券でいう信用力にあたる）、r_jは同じく債権D_jの利率である。また、X_kは二次証券S_kの発行額、T_kは同じく信用力、R_kは同じく利率である。 In processing step 1102, the secondary securities issue server 110 determines the issuance amounts of the S senior bond and the subordinated bond. The secondary securities issuing server 110 calculates X ₀ (S senior bond issue amount) and X _{n + 1} (subordinated bond issue) from the following two formulas in order to set the expected value of loss or loss of the guarantee organization to ± 0. Amount).

In formulas (1) and (2), x _j is the borrowing amount of receivable D _j in the receivable pool data, and t _j is also a value obtained by subtracting the default rate of receivable D _j from 1 (corresponding to the creditworthiness of secondary securities) , R _j is also the interest rate of bond D _j . X _k is the amount of secondary securities S _k issued, T _k is also creditworthiness, and R _k is interest rate.

The first term in equation (1) represents the expected return of the entire receivable, and the second term represents the expected return of the entire secondary security. When they match, the expected value of loss or loss of the guarantee agency is ± 0. The first term in equation (2) is the sum of the borrowing amount of receivables, and the second term is the sum of the secondary securities issued. Since the unknown variables are only X ₀ and X _{n + 1,} it is possible to determine the X ₀ and X _{n + 1} in the above two equations, but, T ₀ × R ₀ and _{T n + 1 × R n +} 1 is If they are equal, there are no or a myriad of solutions. This problem is avoided by adjusting R ₀ (ie the interest rate of the S senior bond) or R _{n + 1} (ie the interest rate of the subordinated bond).

上記におけるEが保証機関が得るプレミアムの期待値である。 In the present embodiment, the expected value of the loss or gain of the guarantee agency is set to ± 0. However, instead of the above formula (1), for example, the following formula (3) is used to give the guarantee agency a premium. You can have it.

E in the above is the expected value of the premium obtained by the guarantee organization.

The portfolio is determined by determining the issuance amount of S senior bonds and subordinated bonds in processing step 1102. In the following description, the determined portfolio is referred to as portfolio A.
In processing step 1103, the secondary securities issuing server 110 checks whether or not the issuance amount of the S senior bond and the subordinated bond is a realistic value, that is, a positive value. That is, if any one of the issuance amounts is a negative value, it is impossible to issue in the portfolio A. Therefore, the processing proceeds to the next loop processing and proceeds to processing step 1108.

  In processing step 1103, if both the S senior bond and the subordinated bond issuance amount are positive values, the secondary securities issuing server 110 determines in step 1104 that the S senior bond and the subordinated bond issuance amount are in the purchase conditions. We are investigating whether it is within the purchase limit. If any one of the issuance amounts exceeds the purchase limit amount (1103: NO), the issuance in the portfolio A is impossible, and the process proceeds to the processing step 1108 which is the next loop processing. If the issued amount of the S senior bond and the subordinated bond are both within the purchase limit (1103: YES), the process proceeds to processing step 1105. If the data structure of the purchase conditions does not describe the purchase limit amount of each secondary security but describes the purchase limit amount of the entire secondary security, in the processing step 1104, the S senior bond and Compare the total issue amount of subordinated bonds with the purchase limit mentioned above.

  As another embodiment, the processing of processing step 1104 when the purchase condition data has a structure as shown in FIG. 4B, that is, when a purchase limit is set for each creditworthiness range will be described. Here, the issue amount and creditworthiness of the issued secondary securities data 1800 shown in FIG. 18 are used. In processing step 1104, the secondary securities issuing server 110 first checks in which creditworthiness range in the purchase condition data 282 the creditworthiness of S senior bonds and subordinated bonds, which are secondary securities for surplus securities purchasing institutions. . If the creditworthiness of either S senior bonds or subordinated bonds is not included in the range of creditworthiness in the purchase conditions, the secondary securities will not be purchased by a surplus securities purchaser. Therefore, it is assumed that issuance in portfolio A is impossible, and the process proceeds to the next loop process. Here, since the creditworthiness of the S senior bond and the subordinated bond in the issued secondary securities data 1800 is 0.999 and 0.421, respectively, they are within the creditworthiness of the purchase conditions 461 and 464, respectively. Next, the secondary securities issuing server 110 checks whether the issued amount of the S senior bond and the subordinated bond is equal to or less than the purchase limit of the creditworthiness range to which the respective creditworthiness belongs, and either issue amount is purchased. If it exceeds the limit amount, it cannot be issued in portfolio A, and the next loop processing is started. In the above example, the issue amount of S senior bonds is 2.5 billion yen and does not exceed the purchase limit of 4 billion yen, but the issue amount of subordinated bonds of 3 billion yen exceeds the purchase limit of 2.5 billion yen, Issuing is impossible.

  In processing step 1104, when both the S senior bond and the subordinated bond aresuance amount are within the purchase limit, the secondary securities issuing server 110 obtains the maximum damage amount of the guarantee organization in processing step 1105. Hereinafter, this maximum damage amount is assumed to be Mt.

  As another embodiment, in the processing step 1105, the secondary securities issuing server 110 replaces the maximum damage amount of the guarantor with Mt, and the probability that the damage amount of the guarantor is lower than V is constant, for example, 0.99. It is also possible to obtain V that is a value and use this V as Mt. A method of obtaining V in this case will be described with reference to FIG.

  The horizontal axis in FIG. 16 is the amount of damage incurred by the guarantee organization, and the vertical axis is the probability of suffering each amount of damage. If the amount of damage is negative, it means that the guarantor will make a profit. Assuming that the probability density curve of the loss amount of the guarantor when the secondary security is issued in a portfolio having a curve 1610, the area of the region 1620 represents the probability that the loss amount of the guarantor will be smaller than the value V indicated by reference numeral 1630. . Therefore, if the constant A is determined in advance and the value of V1630 is calculated so that the area of the region 1620 is A, the loss amount is less than V with the probability of the constant A. This V is set as Mt. If the constant A is set to 1, V matches the maximum damage amount 1640.

  Next, in processing step 1106, the secondary securities issuing server 110 compares Mt and M in magnitude. If Mt ≧ M, the process proceeds to processing step 1108. In the case of Mt <M, since the portfolio A is the current optimal portfolio, the secondary securities issuing server 110 replaces the contract condition data 285 and the issued secondary securities data 286 with those of the portfolio A in the processing step 1107. Further, the value of M is replaced with the value of Mt. Then, the process proceeds to execution of processing step 1108.

  When the continuation condition of the outermost loop among the nested loops, that is, the loop surrounded by the processing step 1007 and the processing step 1112 is not satisfied, the processing proceeds to the execution of the processing step 1113. At this time, the contract condition data 285 and the issued secondary securities data 286 and M are the contract conditions of the optimal portfolio, the secondary securities data, and the maximum loss amount. The secondary securities issuing server 110 checks whether M is smaller than the guarantee limit amount in the guarantee condition, and if it is small, determines that the secondary securities can be issued by the optimum portfolio. Is determined to be impossible.

  As described in detail above, the secondary securities issuing server 110 of this embodiment includes the borrowing amount from the credit issuer client 130 used by the bond issuer, rather than determining the portfolio of the secondary securities in advance. In addition to accepting borrowing conditions, an investment condition including an investment amount and a yield is received from an investor client 120 used by an investor, and a portfolio that meets both conditions is constructed. For this reason, it is possible to present the investment conditions from the investor when issuing the secondary securities backed by the receivable transferred from the receivable issuer. The secondary securities issuing server 110 eliminates the assumption that a certain amount will remain in the SPC after maturity, and eliminates the connection between the contract terms and the issue amount and determines the contract terms and issue amount of each secondary security as the investment terms. It is made to match what is derived from the set. In addition, in order to match the expected return of the entire portfolio with the expected return of the entire receivable, one or more secondary securities are issued in addition to the secondary securities sold to investors, and the securities are purchased by a surplus securities purchasing organization. It is possible to adjust.

  In addition, by eliminating the connection between the contract terms and the issuance amount, depending on the amount collected, the total amount of redemption to investors may exceed or fall below the amount collected. Since the issuing server 110 causes the guarantee organization to absorb excess or deficiency of funds at the time of redemption, the above problem is solved. In addition, the secondary securities issuing server 110 pays attention to the expected value of the loss or gain of the guarantor, the maximum damage amount of the guarantor, and the total amount of the securities purchased by the surplus securities purchasing organization among all the candidate portfolios that satisfy the conditions. The optimal portfolio can be selected.

  In addition, the description of the above embodiment is for facilitating understanding of the present invention, and does not limit the present invention. It goes without saying that the present invention can be changed and improved without departing from the gist thereof, and that the present invention includes equivalents thereof.

It is a figure which shows the hardware constitutions of the secondary securities issuing system 1 demonstrated as one Embodiment of this invention. The figure which shows an example of the hardware constitutions of the computer used as the secondary securities issue server 110, the investor client 120, the bond issuer client 130, the guarantee organization client 140, and the surplus securities purchase organization client 150 according to an embodiment of the present invention. It is. It is a figure which shows the software structure of the secondary securities issuing system 1 by one Embodiment of this invention. It is a figure which shows an example of the guarantee condition data 281 by one Embodiment of this invention. It is a figure which shows an example of the purchase condition data 282 by one Embodiment of this invention. It is a figure which shows an example of the purchase condition data 282 by one Embodiment of this invention. It is a figure which shows an example of the investment condition data 283 by one Embodiment of this invention. It is a figure which shows an example of the bond pool data 284 by one Embodiment of this invention. It is a flowchart explaining the process of the secondary securities issuing system 1 by one Embodiment of this invention. It is a figure which shows an example of the contract condition data 285 by one Embodiment of this invention. It is a figure which shows an example of the issue secondary security data 286 by one Embodiment of this invention. It is a flowchart explaining the process of the process step "Portfolio determination" 744 by one Embodiment of this invention. It is a flowchart explaining the process of the process step "Portfolio determination" 744 by one Embodiment of this invention. The figure which showed an example of the investment condition group 1210 by one Embodiment of this invention. It is a figure which shows an example of the issue secondary securities data at the time of investment condition reflection by one Embodiment of this invention. It is a figure which shows an example of the probability density curve of the money collection amount by one Embodiment of this invention. It is a figure explaining the profit and loss which arise in a guarantee organization. It is a figure which shows the probability density curve of the damage amount which the guarantee organization by one Embodiment of this invention suffers. It is a figure which shows an example of the contract condition data 1700 by one Embodiment of this invention. It is a figure which shows an example of the issue secondary security data 1800 by one Embodiment of this invention.

Explanation of symbols

110 Secondary Securities Issuing Server 120 Investor Client 130 Bond Issuer Client 140 Guarantor Institution Client 141 Guarantee Condition Presentation Unit 150 Surplus Securities Purchasing Institution Client 151 Purchase Condition Presentation Unit 221 Investment Condition Presentation Unit 231 Borrowing Condition Presentation Unit 271 Guarantee Condition Registration Unit 272 Purchase condition registration unit 273 Investment condition / borrowing condition registration unit 274 Portfolio determination unit 275 Matching result notification unit 276 Secondary securities issue amount notification unit 281 Guarantee condition data 282 Purchase condition data 283 Investment condition data 284 Bond pool data 285 Contract condition data 286 Issued Secondary Securities Data 291 Rating Information DB

Claims (31)

A secondary securities issuing server that issues secondary securities backed by receivables transferred from multiple issuers,
A bond issuer client used by the bond issuer,
An investor client used by an investor purchasing the secondary securities;
And communicatively connecting to a surplus securities purchase institution client used by a surplus securities purchase institution that purchases secondary securities that have not been sold to the investors among the issued secondary securities,
A borrowing condition registration unit that receives a plurality of borrowing conditions including a borrowing amount desired by a bond issuer from the bond issuer client and stores the same as bond pool data;
An investment condition registration unit that receives and stores a plurality of investment conditions including creditworthiness and investment amount, which are expected principal redemption values per unit face value of the secondary securities desired by the investor, from the investor client; ,
A purchase condition registration unit that receives and stores purchase conditions including a purchase limit for the secondary securities from the surplus securities purchasing agency client; and
The investment conditions are classified into a plurality of groups to obtain creditworthiness for each group,
Determining the target creditworthiness of the secondary securities for investors to be sold to the investors based on the creditworthiness of each group;
Set the amount of secondary securities issued for each investor based on the total amount of the investment amount in the investment conditions classified into each group,
Based on the borrowing amount and a predetermined default rate, obtain a probability distribution that is the probability of occurrence for each money collection amount,
The non-transaction boundary amount that is the maximum value of the amount of funds collected so that the redemption amount of the secondary securities becomes 0 and the full amount boundary amount that is the minimum value of the amount of funds that the secondary securities are fully redeemed Multiple contract terms and conditions set for secondary securities for secondary securities and secondary securities for surplus securities purchasing institutions that are secondary securities issued to surplus securities purchasing institutions,
Among the contract terms, the full redemption boundary amount of the secondary securities with high priority is not higher than the non-transaction boundary amount of the secondary securities with lower priority, and the amount of each fund recovery Selected as a contract condition candidate that satisfies the condition that the creditworthiness of the secondary securities for investors determined by the principal redemption rate and the probability distribution of the secondary securities in accords with the target creditworthiness,
Obtaining the creditworthiness of the secondary securities for the surplus securities purchasing institution for each of the contract condition candidates based on the principal redemption rate and the probability distribution of the secondary securities at each amount of funds collected,
Based on the creditworthiness, a security interest rate of the secondary securities in each contract condition candidate is obtained,
The amount of secondary securities issued to the surplus securities purchasing organization in each contract condition candidate is set so that the expected value of the difference between the amount of money collected and the redemption amount at maturity is a predetermined value,
Of the combinations of the contract terms candidate and the secondary securities issue amount, the secondary securities issue amount is smaller than the sum of the purchase limit and the amount of sale of the secondary securities to the investors A secondary securities issuing server, comprising: a portfolio determination unit that selects as a portfolio candidate. The secondary securities issuing server according to claim 1,
The portfolio determination unit obtains a maximum value of a difference between the redemption amount and the cash collection amount for each of the fund collection amounts when the secondary securities are issued by the selected portfolio candidates, and the maximum value is the smallest A secondary securities issuing server, wherein the portfolio candidate is selected as an optimal portfolio. The secondary securities issuing server according to claim 1,
The portfolio determination unit, when the secondary securities are issued by the selected portfolio candidate, the amount by which the probability that the amount obtained by subtracting the amount of money collection from the redemption amount does not exceed a predetermined amount is a predetermined value And selecting the portfolio candidate that minimizes the amount as the optimal portfolio. The secondary securities issuing server according to claim 1,
The classification of the investment conditions into a plurality of groups includes the investment conditions including the creditworthiness belonging to the same section by dividing the creditworthiness value from the lowest value to the highest value in the investment conditions into a plurality of sections. The secondary securities issuing server is characterized in that they are performed in the same group. The secondary securities issuing server according to claim 1,
The secondary securities issuing server, wherein the classification of the investment conditions into a plurality of groups is performed such that the investment conditions including the same creditworthiness belong to the same group. The secondary securities issuing server according to claim 1,
The portfolio deciding unit uses the representative creditworthiness as an average value of the creditworthiness in the investment condition within the group. The secondary securities issuing server according to claim 1,
The portfolio deciding unit sets the number of groups as the number of types of secondary securities for investors whose sale is made by the investors. The secondary securities issuing server according to claim 2 or 3,
Communicatively connect with a guarantor client used by a guarantor that pays the difference between the amount of money collected and the redemption amount at maturity,
Including a guarantee condition registration unit for receiving and storing guarantee conditions including a guarantee limit amount from the guarantee agency client;
The portfolio determination unit may issue the secondary securities by the optimal portfolio when a maximum value obtained by subtracting the money collection amount from the redemption amount in the case of the selected optimal portfolio is equal to or less than the guarantee limit amount. Determining that it is possible, determining that the secondary portfolio cannot be issued by the optimal portfolio if the maximum value is greater than the guarantee limit;
A secondary securities issuing server, comprising: a matching result notifying unit that transmits a result of the determination to the bond issuer client or the investor client. The secondary securities issuing server according to claim 1,
The borrowing condition registration unit
Send the bond interest rate of the bond to the bond issuer client,
Receiving from the bond issuer client data set with information indicating whether the bond issuer accepts the issuance of bonds at the bond interest rate;
The borrowing conditions received from the bond issuer client are stored as the bond pool data only when information indicating acceptance of issuance of bonds at the bond interest rate is set in the data. Secondary securities issue server. The secondary securities issuing server according to claim 1,
The investment condition registration unit replaces the creditworthiness that is an expected principal redemption value per unit face value of the secondary security with a yield that is a ratio of profit to the principal desired by the investor. The secondary securities issuing server is characterized in that the creditworthiness received by the client and obtained based on the yield is stored as the creditworthiness desired by the investor. The secondary securities issuing server according to claim 1,
The investment condition registration unit replaces the creditworthiness, which is an expected value of principal redemption per unit face value of the secondary securities, with an interest rate that is a ratio of the redemption amount with respect to the principal desired by the investor. A secondary securities issuing server, characterized by storing the creditworthiness received from a client and obtained based on the interest rate as the creditworthiness desired by an investor. The secondary securities issuing server according to claim 1,
A matching result notifying unit for transmitting to the bond issuer client and the investor client that the optimal portfolio does not exist when the total investment amount in the investment condition exceeds the total borrowing amount in the bond pool data. A secondary securities issuing server characterized by including: The secondary securities issuing server according to claim 1,
If the sum of the investment amount in the investment condition data and the purchase limit in the purchase condition is less than the total borrowing amount in the receivable pool data, it is indicated that the optimal portfolio does not exist And a matching result notifying unit to be transmitted to the investor client. The secondary securities issuing server according to claim 1,
The purchase limit in the purchase conditions received by the purchase condition registration unit from the surplus securities purchasing agency client is either the purchase limit of each secondary security or the purchase limit of the entire secondary security. A secondary securities issuing server characterized by being. The secondary securities issuing server according to claim 1,
The purchase condition storage unit receives and stores purchase conditions including purchase limits for each creditworthiness range of the secondary securities from the surplus securities purchasing agency client instead of the purchase limits for the secondary securities. ,
The portfolio determination unit, instead of the selection of the portfolio candidates, out of a combination of the contract condition candidates and the secondary securities issue amount, the issue amount of the secondary securities is a range of the creditworthiness in the purchase conditions A secondary securities issuing server that selects a candidate that is equal to or less than the purchase limit amount corresponding to the portfolio as the portfolio candidate. Issued secondary securities backed by claims transferred from multiple issuers,
A bond issuer client used by the bond issuer,
An investor client used by an investor purchasing the secondary securities;
And a secondary securities issuing server that is communicatively connected to a surplus securities purchasing organization client used by a surplus securities purchasing organization that purchases secondary securities that have not been sold to the investor among the issued secondary securities,
A function of receiving a plurality of borrowing conditions including a borrowing amount desired by a bond issuer from the bond issuer client, and storing it as bond pool data;
A function for receiving and storing a plurality of investment conditions including creditworthiness and investment amount, which are expected principal redemption per unit face value of the secondary securities desired by the investor, from the investor client;
A function for receiving and storing purchase conditions including a purchase limit for the secondary securities from the surplus securities purchasing agency client;
A function for classifying the investment conditions into a plurality of groups to obtain creditworthiness for each group;
A function for determining the target creditworthiness of the secondary securities for investors to be sold to the investors based on the creditworthiness of each group;
A function of setting the issue amount of the secondary securities for each investor based on the total amount of the investment amount in the investment conditions classified into each group;
A function for obtaining a probability distribution which is an occurrence probability for each fund collection amount based on the borrowing amount and a predetermined default rate;
A function for obtaining a probability distribution which is an occurrence probability for each fund collection amount based on the borrowing amount and a stored default rate;
The non-transaction boundary amount that is the maximum value of the amount of funds collected so that the redemption amount of the secondary security becomes 0, and the full amount boundary amount of money that is the minimum value of the amount of funds that the secondary security is fully redeemed A function for generating a plurality of contract terms set for secondary securities for surplus securities purchasing institutions that are secondary securities issued to surplus securities purchasing institutions and secondary securities for
Among the contract terms, the full redemption boundary amount of the secondary securities with high priority is not higher than the non-transaction boundary amount of the secondary securities with lower priority, and the amount of each fund recovery A function for selecting a contract condition candidate that satisfies the condition that the creditworthiness of the secondary securities for investors determined by the principal redemption rate and the probability distribution of the secondary securities in the case matches the target creditworthiness ,
A function for obtaining the creditworthiness of the secondary securities for the surplus securities purchasing organization with respect to each contract condition candidate, based on the principal redemption rate and the probability distribution of the secondary securities at each amount of funds collected;
A function for obtaining a securities interest rate of the secondary securities in each contract condition candidate based on the creditworthiness;
A function of setting the issue amount of the secondary securities for the surplus securities purchasing organization in each contract condition candidate such that an expected value of a difference between the amount of the collected funds and the redemption amount at a maturity is a predetermined value;
Of the combinations of the contract terms candidate and the secondary securities issue amount, the secondary securities issue amount is smaller than the sum of the purchase limit and the amount of sale of the secondary securities to the investors The ability to select as a portfolio candidate,
Program to realize. The program according to claim 16, wherein
When the secondary securities are issued by the selected portfolio candidate, the maximum value of the difference between the redemption amount and the fund collection amount for each fund collection amount is obtained, and the portfolio candidate having the smallest maximum value is optimized. A program characterized by the ability to be selected as a portfolio. The program according to claim 16, wherein
In the case where the secondary securities are issued by the selected portfolio candidate, the amount is calculated such that the probability that the amount obtained by subtracting the money collection amount from the redemption amount does not exceed a predetermined amount is a predetermined value. A program comprising a function of selecting the minimum portfolio candidate as an optimal portfolio. The program according to claim 16, wherein
The investment conditions including the creditworthiness belonging to the same section, wherein the classification into a plurality of groups of the investment conditions is divided into a plurality of sections between the lowest value and the highest value of the creditworthiness in the investment conditions A program characterized by including a function to perform the same group. The program according to claim 16, wherein
A program comprising a function of classifying the investment conditions into a plurality of groups so that the investment conditions including the same creditworthiness belong to the same group. The program according to claim 16, wherein
A program comprising a function of setting the representative creditworthiness to an average value of the creditworthiness within the group under the investment conditions. The program according to claim 16, wherein
A program comprising a function of setting the number of groups to the number of types of secondary securities for investors whose sale is made by the investors. The program according to claim 17 or 18,
A function for receiving and storing a guarantee condition including a guarantee limit amount from a guarantee agency client used by a guarantee agency that receives and pays a difference between the money collection amount and the redemption amount at maturity;
When the maximum value obtained by subtracting the amount of money collection from the redemption amount in the case of the selected optimal portfolio is equal to or less than the guarantee limit amount, it is determined that the secondary securities can be issued by the optimal portfolio. A function of determining that the secondary portfolio cannot be issued by the optimal portfolio when the maximum value is larger than the guaranteed limit;
And a function of transmitting a result of the determination to the bond issuer client or the investor client. The program according to claim 16, wherein
A function of transmitting a bond interest rate of the bond to the bond issuer client;
A function of receiving from the bond issuer client data in which information indicating whether the bond issuer accepts the issue of the bond at the bond interest rate;
A function for storing the borrowing conditions received from the bond issuer client as the bond pool data only when information indicating acceptance of issuance of bonds at the bond interest rate is set in the data. A program characterized by The program according to claim 16, wherein
Instead of the creditworthiness, which is the expected principal redemption value per unit face value of the secondary security, the yield, which is the ratio of profit to the principal desired by the investor, is received from the investor client, and the yield is A program characterized by including a function to memorize the creditworthiness obtained based on the creditworthiness desired by the investor. The program according to claim 16, wherein
In place of the creditworthiness that is the expected redemption value per unit face value of the secondary security, the interest rate is a ratio of the redemption amount to the principal desired by the investor from the investor client, and the interest rate A function to memorize the creditworthiness obtained based on
A program characterized by The program according to claim 16, wherein
A function of transmitting to the bond issuer client and the investor client that the optimal portfolio does not exist when the total investment amount in the investment condition exceeds the total borrowing amount in the bond pool data. A program characterized by The program according to claim 16, wherein
If the sum of the investment amount in the investment condition data and the purchase limit in the purchase condition is less than the total borrowing amount in the receivable pool data, it is indicated that the optimal portfolio does not exist And a function of transmitting to the investor client. The program according to claim 16, wherein
The purchase limit in the purchase conditions received by the purchase condition registration unit from the surplus securities purchasing agency client is either the purchase limit of each secondary security or the purchase limit of the entire secondary security. A program characterized by being. The program according to claim 16, wherein
A function for receiving and storing a purchase condition including a purchase limit for each creditworthiness range of the secondary security instead of the purchase limit for the secondary security from the surplus securities purchasing agency client;
Instead of the selection of the portfolio candidates, among the combinations of the contract condition candidates and the secondary securities issue amount, the issue amount of the secondary securities corresponds to the purchase limit corresponding to the creditworthiness range in the purchase conditions. And a function of selecting a portfolio that is less than the amount as the portfolio candidate. Issued secondary securities backed by claims transferred from multiple issuers,
A bond issuer client used by the bond issuer,
An investor client used by an investor purchasing the secondary securities;
And a control method for a secondary securities issuing server that is communicably connected to a surplus securities purchasing organization client used by a surplus securities purchasing organization that purchases secondary securities that have not been sold to the investors among the issued secondary securities. Because
The secondary securities issuing server is
A plurality of borrowing conditions including the borrowing amount desired by the bond issuer are received from the bond issuer client, stored as bond pool data,
Receiving and storing a plurality of investment conditions from the investor client including a creditworthiness and an investment amount, which are expected redemption principal amounts per unit face value of the secondary securities desired by the investor;
Receiving and storing purchase conditions including purchase limits for the secondary securities from the surplus securities purchasing agency client;
The investment conditions are classified into a plurality of groups to obtain creditworthiness for each group,
Determining the target creditworthiness of the secondary securities for investors to be sold to the investors based on the creditworthiness of each group;
Set the amount of secondary securities issued for each investor based on the total amount of the investment amount in the investment conditions classified into each group,
Based on the borrowing amount and a predetermined default rate, obtain a probability distribution that is the probability of occurrence for each money collection amount,
The non-transaction boundary amount that is the maximum value of the amount of funds collected so that the redemption amount of the secondary securities becomes 0 and the full amount boundary amount that is the minimum value of the amount of funds that the secondary securities are fully redeemed Multiple contract terms and conditions set for secondary securities for secondary securities and secondary securities for surplus securities purchasing institutions that are secondary securities issued to surplus securities purchasing institutions,
Among the contract terms, the full redemption boundary amount of the secondary securities with high priority is not higher than the non-transaction boundary amount of the secondary securities with lower priority, and the amount of each fund recovery And selecting a candidate contract condition that satisfies the condition that the creditworthiness of the secondary securities for investors determined by the principal redemption rate and the probability distribution of the secondary securities in the above matches the target creditworthiness,
Obtaining the creditworthiness of the secondary securities for the surplus securities purchasing institution for each of the contract condition candidates based on the principal redemption rate and the probability distribution of the secondary securities at each amount of funds collected,
Based on the creditworthiness, a security interest rate of the secondary securities in each contract condition candidate is obtained,
The amount of secondary securities issued to the surplus securities purchasing organization in each contract condition candidate is set so that the expected value of the difference between the amount of money collected and the redemption amount at maturity is a predetermined value,
Of the combinations of the contract terms candidate and the secondary securities issue amount, the secondary securities issue amount is smaller than the sum of the purchase limit and the amount of sale of the secondary securities to the investors A secondary securities issue server control method characterized by selecting a candidate as a portfolio candidate.

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