基于无套利理论的MBS市场价值定价方法研究

住房抵押贷款支持证券( MBS)是创新型的房地产衍生金融产品,能有效化解房地产市场的金融风险和扩大房地产融资渠道.基于无套利理论的住房抵押贷款支持证券市场价值定价法,在拟合历史提前还款率、揭示提前还款衰竭效应等方面有独特优势,但市场价值定价法在我国现阶段的应用因利率未完全市场化还存在困难.     

"住房抵押贷款支持证券"定价模型及其应用——基于最优期权赎回策略的分析

从最优期权赎回策略的角度探讨了借款人的提前清偿行为,从理论上推导了一般债券定价的偏微分方程,分析了住房抵押贷款支持证券及其它四类债券定价的边界条件,利用隐形差分法求解了在CIR模型下的偏微分方程并获得了MBS的最优赎回利率,比较分析了MBS和其它债券的价格关系.     

我国住房抵押贷款证券化风险分析

住房抵押贷款证券化产品已经开始在我国出现。从国际范围内来看,MBS发展已较为成熟,但在我国的经济、法律环境下,MBS的发展存在着一些特殊的风险。本文结合我国的实际情况,对MBS的风险进行分析。     

国外住房抵押贷款支持证券定价理论的方法研究

从介绍传统的住房抵押贷款支持证券(MBS)的定价理论出发，着重探讨了MBS定价的计量经济方法，对其在理论上、实践中，以及模型方面的发展都做了详细的介绍和阐述，目的在于对我国近期内将出现的住房抵押贷款的衍生金融产品的定价问题起到指导和借鉴作用。     

住房抵押贷款证券化存在的法律问题分析

住房抵押贷款证券化是资产证券化的一种,所谓住房抵押贷款证券化是指银行业金融机构作为发起机构,以住房抵押贷款作为担保而发行住房抵押贷款证券,并投入流通的融资活动。发展住房抵押贷款证券化对我国的商业银行的发展具备深厚的现实意义和战略意义,但是由于外部环境和前提条件的不足,使得推进住房抵押贷款证券化(MBS)存在一定的金融制度障碍,为了更加理性认识中国发展MBS可能遇到的困难,以及进一步探索适应我国国情的MBS制度设计,笔者对发展MBS存在的法律问题进行了一些分析。     

住房抵押贷款支持证券定价模型的发展与启示

住房抵押贷款证券化发行的住房抵押贷款支持证券包含提前偿还风险和违约风险两个期权,这使得其定价要比一般债券的定价复杂得多。而我国的住房抵押贷款证券化又有着不同证券化发达国家的特点,因此研究国外定价模型的适用情景和发展对我国的实践是非常必要的。本文旨在沿着住房抵押贷款支持证券定价理论结构化和简约化模型两条主要线索的发展,对该领域的最新研究成果进行介绍和评价,并得出和我国住房抵押贷款证券化实践相关的启示。     

美国次级住房抵押贷款及证券化探析

本文主要介绍了美国次级抵押贷款市场、及次级抵押贷款的证券化产品—住房抵押贷款支持证券(MBS)及担保债务权证(CDO)。美国房地产抵押贷款市场分为三类:优级贷款市场、次优级贷款市场及次级贷款市场。同时美国住房抵押贷款市场分为一级市场和二级市场。一级市场为住房抵押贷款发放市场,二级市场为住房抵押贷款证券化市场。住房抵押贷款发放机构为了回收流动性,将住房抵押贷款出售给房利美和房地美和其他一些金融机构。这些金融机构将住房抵押贷款打包发行MBS。以次级住房抵押贷款为基础发行的MBS又连同其他资产被重新打包,发行CDO。本文还就次级住房抵押贷款证券化过程中存在的问题作了分析。     

MBS提前偿付模型的现金流分析

MBS在中国刚起步,但是前景非常看好,因为中国具有庞大的住房贷款市场。模拟MBS构建的住房抵押贷款池中平均贷款期限、平均票面利率等因素,通过对MBS中不同提前偿付速度情况下的现金流和无提前偿付情况下的现金流的对比分析,可以得出提前偿付对MBS服务商和投资者两者造成的现金流损失,进而为MBS风险控制提供一定的财务基础。     

住房抵押支持证券(MBS)定价的蒙特卡罗方法研究:文献综述

对住房抵押支持证券(MBS)的定价方法有许多种,对住房抵押贷款定价的研究,基本上是从利率模型和提前偿还模型出发,再通过贴现等方法来得出价格。我国MBS市场刚刚建立,国内相关研究与理论成果并不是很成熟,文章对相关研究成果作大致的介绍,结合国内外的研究现状从跳跃扩散利率模型和提前偿还模型两个方向展开评述。     

我国住房抵押贷款证券化提前偿付风险研究——以建元2007-1为例

住房抵押贷款证券化(MBS)是金融衍生工具之一。尽管MBS改善了银行资本结构并提高了资本市场流动性,但是和其他金融衍生工具一样,它也面临一定的风险。相较于违约风险和利率风险等,提前偿付风险成为住房抵押贷款证券化过程中的主要风险。本文探讨了MBS中存在的提前偿付风险,并以建元2007-1 MBS为研究对象,重点研究了其风险水平及影响因素。通过对建元2007-1 MBS数据的分析和建模,我们发现该产品的提前偿付率较高,这主要是由于经济环境、房地产价格、季节等因素的影响。为了防范提前偿付风险,本文建议加强信息披露、完善市场公开、建立专业化评级机构、完善MBS市场监管体系及配套制度、研究设立房贷事业部和相关政策性金融机构,以促进经济增长、刺激居民消费投资等。这些建议有助于降低提前偿付风险,确保MBS的稳健发展。     

Did the Federal Reserve's MBS purchase program lower mortgage rates?

On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were important during the height of the financial crisis, but the effects of the third depended on market conditions. Overall, the program put significant downward pressure on mortgage rates.     

Semi-analytical MBS Pricing

This paper presents a multi-factor valuation model for fixed-rate callable mortgage backed securities (MBS). The model yields semi-analytic solutions for the value of MBS in the sense that the MBS value is found by solving a system of ordinary differential equations. Instead of modelling the conditional prepayment rate (CPR), as is customary, the pool size is the primary modelling object. It is shown that the value of a single MBS payment due at time t _n can be found by computing two expectations of the pool size at time t _n–1 and t _n respectively. This is a general result independent of any interest rate model. However, if the pool size is specified in a way that makes the expectations solvable using transform methods, semi-analytic pricing formulas are achieved. The affine and quadratic pricing frameworks are combined to get flexible and sophisticated prepayment functions. We show that the model has no problem of generating negative convexity as the spot rate falls, and still be close to a similar non-callable bond when the spot rate rises.     

Are covered bonds different from securitization bonds? A comparative analysis of credit spreads

This study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (MBS) investors place relatively more importance on contractual, macroeconomic and banks' characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public-covered bonds and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds.     

GSEs,Mortgage Rates,and Secondary Market Activities

Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) that securitize mortgages and issue mortgage-backed securities (MBS). In addition, the GSEs are active participants in the secondary mortgage market on behalf of their own investment portfolios. Because these portfolios have grown quite large, portfolio purchases (in addition to MBS issuance) are often thought to be an important force in the mortgage market. Using monthly data from 1993 to 2005 we estimate a VAR model of the relationship between GSE secondary market activities and mortgage interest rate spreads. We find that GSE portfolio purchases have no significant effects on either primary or secondary mortgage rate spreads. Further, we examine GSE activities and mortgage rate spreads in the wake of the 1998 debt crisis, and find that GSE portfolio purchases did little to affect mortgage rates. This empirical finding is robust to alternative identification assumptions and to alternative model and variable specifications.      

The refinancing threshold pricing model: An economic approach to valuing MBS

Investigation of MBS prepayment data indicates that mortgagors have different interest rate levels, or thresholds, at which they exercise their option to prepay their mortgage. In order to properly value an MBS with heterogeneous mortgagors, Merrill Lynch has developed the Refinancing Threshold Pricing Model (RTP). The RTP model focuses on the refinancing decision of the mortgagor when pricing the mortgage pool. The model divides each pool into groups of mortgagors who share similar refinancing costs. Using market data, the RTP model endogenously determines both the implied costs that mortgagors face, as well as the proportion of the MBS pool in each refinancing cost group. In addition to determining pool value, the RTP model also calculates MBS duration, dP/dY and convexity. Comparison between RTP model values and actual market data reveals a strong correlation. The RTP has a wide range of applications, including valuing 15-year and 30-year conventional MBS; pricing interest-only (IO)/principal-only (PO) derivative MBS; determining new versus seasoned MBS price spreads; and valuing specific MBS pools.The information set forth was obtained from sources we believe reliable, but we do not guarantee its accuracy. Neither the information, nor any opinion expressed constitutes a solicitation by us for the purchase or sale of any securities or commodities. Merrill Lynch, Pierce, Fenner & Smith, Inc. or its affiliates may have either a long or short position in, and may buy and sell for its own account or the accounts of others, these securities.     

美国次级住房抵押贷款危机的原因及影响

需求大于供给导致美国次级住房抵押贷款快速增长,"贷款—分散"模式链条上各主体的收益激励结构和次级贷款品种设计导致的次级债市场扭曲繁荣,进而导致次级债危机。次级债危机将在较长的时间里困扰美国经济,但是从次级贷款支持证券及其衍生产品的分档设计可以预测该市场的绝大部分投资者不会因次级债危机而受到损失。     

住房抵押贷款提前还贷风险管理研究

从现代金融和风险管理角度看,住房抵押贷款提前还贷对商业银行是一种期权性风险,对其收取违约金并非国际惯例,也并不是有效的风险补偿方式。商业银行应适应市场竞争需要,接受风险转嫁并提供风险管理服务,运用风险定价技术在按揭交易价格中对提前还贷风险进行补偿。对于已承担的风险,商业银行应构建抵押贷款提前还贷的数据库,通过表内对冲和市场对冲,推出多样化的住房抵押贷款方式,积极推进住房抵押贷款证券化,从而最终增强银行的盈利来源和核心竞争力。     

Pricing Mortgage-Backed Securities (MBS)

This paper presents a pricing formula for MBSs andproposes a specific model for MBS prices thatdescribes the so-called burnout phenomenon ofprepayments due to refinancing. A numerical exampleof the model is demonstrated by Monte Carlosimulation. An estimation procedure is alsodescribed.     

Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models

This paper extends the traditional hazard technique of estimating prepayment and default by allowing their baselines to be stochastic processes, rather than known paths of time, as is typically assumed. By working in the reduced form, this method offers an alternative to the empirical valuation of mortgages more easily implemented than the standard structural form approach of options pricing.     

A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance

This paper examines the pricing of structured finance (SF) – asset-backed securities (ABS), mortgage-backed securities (MBS), and collateralized debt obligations (CDO) – and straight debt finance transactions. Using a cross-section of 24,525 European bonds issued by financial and nonfinancial firms in the 2000–2016 period, we show that although ratings are the most important pricing determinant for SF and corporate bonds (CB) at issuance, investors rely on other contractual, macroeconomic, and firms’ characteristics beyond these ratings. We find that CDO tranches have, on average, higher credit spreads than similarly rated CB, while investors are not compensated for facing higher systematic risk components in relation to investment-grade ABS and MBS. Our results also support the hypothesis of SF transactions as mechanisms of reducing funding costs: SF transactions’ weighted average spread is lower than that of comparable CB and originating firms’ creditworthiness does not deteriorate when compared to a sample of matched firms.