MBS提前偿付风险分析

The Analysis of Prepayment Risk in Mortgage-backed Securities(MBS)

2005年12月15日,中国建设银行推出国内首单个人住房抵押贷款证券化产品“建元2005-1个人住房抵押贷款支持证券”,标志着我国在资产证券化的实践与探索中又迈出了新的一步。提前偿付风险在住房抵押贷款证券化过程中是不可回避的。因此,对提前偿付风险的管理就显得更加重要。贷款层面的收益率维持模型及结构层面的CMO都能够作为很好的风险管理手段应用于住房抵押贷款证券化。同时,我国在MBS提前偿付风险防范工作中还存在诸多问题,需要进一步地研究和完善。

China Construction Bank （CCB） issued the first national mortgage-backed securities （MBS） product ＂CCB 2005-1 residual mortgage-backed security＂ on 15th December, 2005. It symbolized a new step we had walked out in the research and practice in asset-backed securities （ABS） in national wide. Prepayment risk is one of the most important risks during MBS process, so it is worth sparing no words on analyzing the prepayment risk in the following areas gradually： the factors leading the prepayment, the effects on the related parts and the management on prepayment risk. Bated on the above analysis, it is pointed out that the current problems in the management of MBS prepayment risk and some policy suggestiom on it in the end.