本文選題：住房抵押貸款證券化 + 提前償付風(fēng)險�。� 參考：《中南財經(jīng)政法大學(xué)》2017年碩士論文

【摘要】：通過將住房抵押貸款重新打包并出售給特殊目的機構(gòu)(SPV),再經(jīng)信用增級等結(jié)構(gòu)化處理后在市場上發(fā)行證券,個人住房抵押貸款證券化(RMBS)在改善銀行資本結(jié)構(gòu)的同時,也提高了資本市場流動性。在利率市場化接近完成、房產(chǎn)市場去庫存等背景下,RMBS迎來快速發(fā)展期,但同其他金融衍生工具一樣,RMBS存在一定的風(fēng)險。由于RMBS基礎(chǔ)資產(chǎn)抵押貸款質(zhì)量較高,證券又基本以浮動利率發(fā)行,相較于違約風(fēng)險、利率風(fēng)險等,提前償付風(fēng)險成為住房抵押貸款證券化過程中主要的風(fēng)險。本文以“建元2007-1RMBS”為研究對象,重點研究了產(chǎn)品提前償付風(fēng)險水平及其風(fēng)險影響因素,內(nèi)容主要包括以下三個部分。首先,本文從理論角度探討了提前償付風(fēng)險的形成機理。由于RMBS各參與方所承擔(dān)的風(fēng)險不同,加上提前償付風(fēng)險與違約風(fēng)險、利率風(fēng)險的含義外延存在交叉,提前償付風(fēng)險界定不明。本文先是重新定義提前償付風(fēng)險,與違約風(fēng)險、利率風(fēng)險相區(qū)別,指出該風(fēng)險是由借款人提前償付行為所引起的資產(chǎn)池現(xiàn)金流不穩(wěn)定性,進(jìn)而對交易各方造成的損失,之后從借款人再融資需求、再投資需求和住房周轉(zhuǎn)需求三個方面分析提前償付風(fēng)險的形成原因。其次,本文以“建元2007-1RMBS”為研究對象,介紹本產(chǎn)品的交易結(jié)構(gòu)、基礎(chǔ)資產(chǎn)池以及收益分配信息,在資產(chǎn)池現(xiàn)金流結(jié)構(gòu)分析基礎(chǔ)上,指出本產(chǎn)品存在較高提前償付風(fēng)險,之后從理論角度分析宏觀經(jīng)濟(jì)形勢、抵押利差和利率路徑、資本回報率以及房價等宏觀風(fēng)險因素,以及累計提前償付額、借款人收入等與貸款和借款人相關(guān)的微觀風(fēng)險因素對“建元2007-1RMBS”的作用機理。最后,本文對“建元2007-1RMBS”提前償付率進(jìn)行度量,并對相關(guān)影響因素進(jìn)行實證檢驗。本文在對主流提前償付模型進(jìn)行對比分析的基礎(chǔ)上,選用SMM和CPR方法得到本產(chǎn)品歷史提前償付率,并采用多元回歸方法對前文論述的風(fēng)險因素進(jìn)行檢驗,最后提煉出宏觀經(jīng)濟(jì)增長率、抵押利差、資本回報率、房價、累計提前償付額以及春節(jié)效應(yīng)六種風(fēng)險因素。經(jīng)濟(jì)增長率、資本回報率和房價對償付率產(chǎn)生正向影響,抵押利差和春節(jié)效應(yīng)對償付率產(chǎn)生負(fù)向影響,償付率隨累計提前償付額呈倒U形,其中對償付率影響最大的三個因素為抵押利差、春節(jié)效應(yīng)和累計提前償付額。相應(yīng)的建議有:在后續(xù)產(chǎn)品的基礎(chǔ)資產(chǎn)篩選時,應(yīng)多注意適當(dāng)縮短抵押貸款剩余期限和降低抵押貸款余額;在設(shè)置抵押貸款提前償動態(tài)違約率時,可以加入利率水平、經(jīng)濟(jì)增長率和房價參數(shù);在SPV進(jìn)行資產(chǎn)池主動管理時應(yīng)提前預(yù)防春節(jié)效應(yīng)造成的提前償付額的陡減。
[Abstract]:By repackaging housing mortgages and selling them to special purpose agencies (SPVs) and issuing securities on the market after structured processing such as credit enhancement, personal mortgage securitisation (RMBS) improves the capital structure of banks at the same time. It also increased the liquidity of capital markets. Under the background of near completion of interest rate marketization and destocking of real estate market, RMBS is facing a period of rapid development, but RMBS has some risks like other financial derivatives. Because of the high quality of RMBS basic asset mortgage loan and the issuance of securities with floating interest rate, compared with default risk and interest rate risk, the risk of early repayment becomes the main risk in the process of mortgage securitization. In this paper, "Jianyuan 2007-1RMBS" is taken as the research object, focusing on the risk level of early repayment of products and its risk influencing factors, which mainly include the following three parts. First of all, this paper discusses the formation mechanism of prepayment risk from a theoretical point of view. Due to the different risks borne by the participants of RMBS, plus the risk of early payment and default risk, the implication of interest rate risk is crossed, and the definition of early payment risk is unclear. This paper first redefines the prepayment risk, which is different from the default risk and the interest rate risk, and points out that the risk is the instability of the cash flow of the asset pool caused by the borrower's prepayment behavior, and then the loss to the parties to the transaction. After that, the paper analyzes the causes of prepayment risk from the three aspects of borrower's refinancing demand, reinvestment demand and housing turnover demand. Secondly, this paper takes "Jianyuan 2007-1RMBS" as the research object, introduces the trading structure, the basic asset pool and the income distribution information of the product, and points out that the product has higher risk of early repayment on the basis of the cash flow structure analysis of the asset pool. Then, from a theoretical point of view, we analyze the macroeconomic situation, mortgage spreads and interest rate paths, the return on capital and housing prices, and the accumulated amount of prepayment. The microcosmic risk factors related to loan and borrower, such as borrower's income, play an important role in "Jianyuan 2007-1RMBS". Finally, this paper measures the early repayment rate of Jianyuan 2007-1RMBS, and makes an empirical test on the related factors. Based on the comparative analysis of the mainstream prepayment model, this paper selects SMM and CPR methods to obtain the historical prepayment rate of this product, and uses the multivariate regression method to test the risk factors discussed above. Finally, six risk factors, such as macroeconomic growth rate, mortgage spread, return on capital, house price, accumulated advance payment amount and Spring Festival effect, are extracted. Economic growth rate, rate of return on capital and house price have a positive effect on repayment rate, mortgage spread and Spring Festival effect have negative effect on repayment rate. The three most influential factors are mortgage spread, Spring Festival effect and accumulative advance payment. The corresponding suggestions are as follows: in the screening of basic assets of subsequent products, more attention should be paid to shortening the remaining term of mortgage loan and reducing the balance of mortgage loan; when setting the dynamic default rate of mortgage repayment in advance, the interest rate level may be added. The parameters of economic growth rate and house price should be prevented in advance when SPV is in charge of active management of asset pool.
【學(xué)位授予單位】：中南財經(jīng)政法大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.4;F299.23

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