建元2007-1个人住房抵押贷款证券化提前偿付风险研究

发布时间：2018-05-27 17:12

本文选题：住房抵押贷款证券化 + 提前偿付风险　；参考：《中南财经政法大学》2017年硕士论文

【摘要】：通过将住房抵押贷款重新打包并出售给特殊目的机构(SPV),再经信用增级等结构化处理后在市场上发行证券,个人住房抵押贷款证券化(RMBS)在改善银行资本结构的同时,也提高了资本市场流动性。在利率市场化接近完成、房产市场去库存等背景下,RMBS迎来快速发展期,但同其他金融衍生工具一样,RMBS存在一定的风险。由于RMBS基础资产抵押贷款质量较高,证券又基本以浮动利率发行,相较于违约风险、利率风险等,提前偿付风险成为住房抵押贷款证券化过程中主要的风险。本文以“建元2007-1RMBS”为研究对象,重点研究了产品提前偿付风险水平及其风险影响因素,内容主要包括以下三个部分。首先,本文从理论角度探讨了提前偿付风险的形成机理。由于RMBS各参与方所承担的风险不同,加上提前偿付风险与违约风险、利率风险的含义外延存在交叉,提前偿付风险界定不明。本文先是重新定义提前偿付风险,与违约风险、利率风险相区别,指出该风险是由借款人提前偿付行为所引起的资产池现金流不稳定性,进而对交易各方造成的损失,之后从借款人再融资需求、再投资需求和住房周转需求三个方面分析提前偿付风险的形成原因。其次,本文以“建元2007-1RMBS”为研究对象,介绍本产品的交易结构、基础资产池以及收益分配信息,在资产池现金流结构分析基础上,指出本产品存在较高提前偿付风险,之后从理论角度分析宏观经济形势、抵押利差和利率路径、资本回报率以及房价等宏观风险因素,以及累计提前偿付额、借款人收入等与贷款和借款人相关的微观风险因素对“建元2007-1RMBS”的作用机理。最后,本文对“建元2007-1RMBS”提前偿付率进行度量,并对相关影响因素进行实证检验。本文在对主流提前偿付模型进行对比分析的基础上,选用SMM和CPR方法得到本产品历史提前偿付率,并采用多元回归方法对前文论述的风险因素进行检验,最后提炼出宏观经济增长率、抵押利差、资本回报率、房价、累计提前偿付额以及春节效应六种风险因素。经济增长率、资本回报率和房价对偿付率产生正向影响,抵押利差和春节效应对偿付率产生负向影响,偿付率随累计提前偿付额呈倒U形,其中对偿付率影响最大的三个因素为抵押利差、春节效应和累计提前偿付额。相应的建议有:在后续产品的基础资产筛选时,应多注意适当缩短抵押贷款剩余期限和降低抵押贷款余额;在设置抵押贷款提前偿动态违约率时,可以加入利率水平、经济增长率和房价参数;在SPV进行资产池主动管理时应提前预防春节效应造成的提前偿付额的陡减。
[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.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4;F299.23

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