我国住房抵押贷款证券定价研究

Research of China housing mortgage loaning's security price fixing

在我国房地产业的迅猛发展下,住房抵押贷款规模不断扩大,住房抵押贷款证券化也随着“建元2005-1”的上市而破局,住房抵押贷款证券的定价问题研究也成为我国资本市场证券化领域的热点。本文在总结了国外定价方法和国内相关研究的基础上,从分析影响我国住房抵押贷款证券价格的主要因素入手,阐述了借款人可支配收入和房款这两个主要因素决定的借款人提前还款的模型,并根据我国住房抵押贷款证券的特点建立了住房抵押贷款转付证券的静态利差定价框架。采用此定价框架,本文对“建元2005-1”资产池进行了定价分析,结果显示,相对于建元发行说明书里假设的CPR,在基于收入和房款的提前还款模型下,资产池的提前还款风险更大,对利率变动更加敏感,要求的收益率也更高。

With the real estate industry＇s booming in China, the scale of mortgage backed loan is enlarged. At the end of the last year, ＂ JianYuan 2005 - 1＂ was born and this indicates the mortgage backed securitization has been started up in China. The research on pricing MBS has become the hot topic in the securitization field. This paper summarizes western pricing method and native relative studies, analyzes the main factors influencing the price of MIlS in China, and sets up a pricing frame based on the static spread pricing method. This paper computes the price of ＂JianYuan 2005 - 1＂ under tiffs pricing method, analyzes the results. The results show that. Under the prepayment model based on the borrower＇ s disposable income and the price of the house, asset pool＇ s prepayment risk is higher, asset pool is sensitive to interest fate＇s fluctuation, required yield is higher