The Research about Mortgage-backed-securitization
|School||Southwestern University of Finance and Economics|
|Keywords||Housing mortgage loan securitization Mortgage securitization -sheet mode Mortgage pass - Static discounted cash flow model|
Into the 21st century, the degree of economic and financial is rising, increasingly competitive, various financial innovations continue to emerge, including Asset Securitization (abs) its subtlety idea, unique features to become a remarkable financial innovation tools. Since the 1970s, it revolutionized the traditional mode of financing so that the allocation of resources more efficient, and ultimately enable the development of capital markets to a new level. In the early nineties began on asset securitization theory and practical work. Domestic housing mortgage loan securitization (mbs) has reached a certain level, but with foreign, especially compared to the developed capitalist countries also vary greatly from. Pressure of our current housing loan market there is a commercial bank loans, while accompanied by high risk characteristics, then we need to be applied to the mortgage securitization tools to resolve these contradictions. China's capital market is in its infancy, or need to refer to the international development of mature systems, analyze their characteristics, so as to find a suitable choice. Before writing this thesis, the author access to a large number of papers and books. Found the domestic academic field of research, mostly on foreign experience. One for the establishment of special purpose entities (spv), as well as the possible risks in the credit enhancement, rating, and late loans recovered for analysis, and proposed solutions. Including Europe and the United States and Hong Kong markets, asset securitization mode analysis and historical overview. Secondly, about the possible risks of the domestic asset securitization process research and related countermeasures. Papers on China the asset securitization feasibility study. There are also papers from the legal environment and accounting system innovation angle analysis of asset securitization in our application. Reference to the research results and research directions, the author of this article focus on up less asset securitization products related to tool selection and pricing model selection, asset securitization of housing loans to China is beginning to emerge of the actual operation to provide technical support. This article writing ideas: first analysis of the experience of other countries in the international community in the securitization of housing mortgage loans, and then find suitable as a capital market is in the early stages of development, China should choose the mode and securitization vehicles. Meanwhile, in theory, a large number of analysis on asset securitization product pricing model, selected pricing model suited to China's market conditions. Text of more detailed analysis of the the Jianyuan Securities ---- Construction Bank of China in recent years, the more successful examples of housing loan asset-backed securities. Finally, to further the theory with practice, the author has also used the pricing model suitable for our use in the process of asset securitization to a specific example, the quantitative calculation. The logical structure of this paper is as follows: This article first introduces the background knowledge and basic theoretical concepts of housing mortgage loan securitization, and then into the mortgage securitization operation mode of analysis. The so-called run mode is used by a country in the process of mortgage-backed securities in a series of arrangements and measures in the securitization process should be developed according to their economic background and economic system mode. Throughout a country or region of the housing mortgage loan securitization, mortgage securitization process and the background of the economic and financial development of the country or region in which there is close contact. Although differences exist due to the regional financial system, the different modes of housing mortgage loan securitization dependence of government there is a greater difference, thus forming the different operational characteristics. This paper analyzes the role of government is divided into three modes. : Government-led model - the United States, for example; mixed mode - in Canada, for example; market-based approach - to Australia. Then analyzed according to the special purpose vehicle role while divided into three modes. Are: Table the outer mode - the United States, for example; operating table - For example in Germany; quasi-sheet mode - Australia. One of the conclusions of this came to the conclusion: the operating mode of the mortgage-backed securities how to choose. The authors believe that the present, China's housing mortgage loan securitization suitable for use \Because only this mode is the safest, most effective, is suitable in the initial stages of development of the financial market, be conducive to risk control. The article authors also combined with theoretical analysis of housing mortgage loan securitization Success Stories - \Then the paper into the analysis of the tools of the mortgage-backed securities. Housing mortgage loan securitization the tool basically be divided into two categories. Basically wrong cash flow processing, the cash flow generated by the underlying assets handed investors of securities on behalf of the tool is secured by transmitting a Securities. The other is the cash flow, restructuring, reorganization divided by maturity, on behalf of the tool is the mortgage-backed securities (cmo); if the restructuring is by reallocation of principal and interest, on behalf of the tool is a stripped-mortgage-backed securities ( smbs). The transmitted on mortgage securities (mpt), mortgage-backed securities (cmo) and stripped mortgage-backed securities (smbs) cash flow analysis, of the second conclusion: because mortgage pass - (mpt) has a simple, operational characteristics, carried out in our early securitized first mortgage pass - easier to accept because it is more in line with investors' habits. Finally, part of the mortgage-backed securities pricing model. The first is the core principle of the mortgage-backed securities pricing. After inspection related materials and articles, the author summed up the future of housing mortgage loan securitization of loans generated cash flow to support the process of the issuance of securities, and its essence is the segmentation and reassembly of the future cash flows generated by the securitized assets. Therefore, the cash flow generated by the loan to become a core part of the mortgage-backed securities. This article comes to a total of three pricing models are adjusted spread pricing method (Option-Adjusted Spread): static discounted cash flow method (Static Cash Flow Yield), pricing and options based on the yield to maturity. For each pricing model, the paper analyzes pricing principles and pricing formulas. Various mortgage-backed securities pricing method with the development of the secondary market for home mortgages was able evolution and continuous improvement the foreign experience played a good reference for our country, but our pricing methodology must be based on China's national conditions . Through a combination of the current situation of China's financial market, the authors obtained the third conclusion: China should use pricing model recommended. Our current suitable for relatively simple static discounted cash flow method based on the yield to maturity \The prepayment of the mortgage market because of the relative lack of interest rate market is slow, considering each factor built model and based on the theory of the term structure of interest rates derived model and difficult direct reference to the experience of other countries, too complex model Obviously in our country does not have the maneuverability. In order to better achieve actual interoperability, the last of the part also provides a \Its assumptions: 1, Securities period of 3 years, the face value of 100 yuan, the coupon interest rate of 11%; 100% PSA indicators to determine prepayment speed; 3, assuming no early repayment behavior repayment pay interest, principal the end of time. The specific method of calculation is: first, to determine the monthly settlement of rate SMM indicators. In this case the \\Maintained at 0.5% per month, a level of 6% per annum thereafter until the loan expires. Then determine net cash flows of each month. View from the assumptions of the securities, the securities is the final time the principal to pay interest each month. Therefore, except for the last one month, the net cash flows of each month for the month due to the sum of the amount of interest with the same month in advance repayments. Last month's net cash flow for the month, the amount of interest payable shall be the sum of the principal repayments and month in advance. The third step is to determine the cash flow discount rate (yield to maturity). Financial Theoretically speaking, the level of zero-coupon government bonds yield to maturity is the spot should duration of the level of interest rates. Therefore, the author put monthly yield to maturity of each year zero-coupon Treasury bonds as the discount rate of the cash flow. Finally, the pricing of mortgage-backed securities (mbs). Monthly yield to maturity of the net cash flow for each month and each year interest-bearing government bonds below formula to calculate the final price of the mortgage-backed securities (mbs) of product substitution. Where: P represents the price of mortgage-backed securities (mbs) of; NCFt of t represents the future net cash flows (including interest income, principal repayment and prepayment amount); internal rate of return on investment ry tm investors demand risk-free rate (ie, zero-coupon Treasury bonds, in this case, is the month maturity yield rn m); the s service rates (the service rate of 1.5% in this case); n behalf of the issuer should receive cash flow maximum number of times (in this case, 36 times). The novelty of this paper is to do some exploratory research, technology application level of housing mortgage loan securitization of housing mortgage loan securitization has been recognized in theory, in actual applications in also have some choice. This article is the final conclusion is: from the point of view of the actual situation in China and the development needs of the selected housing mortgage securitization model for our current applications, tools and pricing models.