住房抵押贷款提前偿付率的宏观影响因素分析

本文从宏观视角,运用多元线性回归模型和半参数模型等对我国个人住房抵押贷款组合提前偿付率的影响因素及其作用机制进行了实证研究。研究发现货币市场中长期贷款利率的提高,会增加借款人再融资成本,从而降低提前偿付率;资本市场作为借款人的收入来源之一与提前偿付率之间存在正相关关系;家庭人均净收入与提前偿付率的关系是非线性的;此外,与国外研究一致,房价和累计提前偿付额也会影响提前偿付率。     

Managing the risk of loan prepayments and the optimal structure of short term lending rates

Loan pricing is an extremely important aspect of bank operations because loans are typically over two-thirds of bank assets. Many researchers have analyzed the theoretical and empirical impact of how different factors should and do affect fixed rate loan rates and loan prepayments. However, a theoretical decision making model for maximizing expected profit in a declining rate environment has not been developed. After describing the conditions for the optimal loan rate, we develop numerical solutions for it under varying conditions. The varying conditions include the trend in interest rates, volatility of interest rates, and loan maturity. We thank Yen Low and Hamed Bagherpour for their assistance.     

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

This paper considers in detail a realistic mortgage valuation model (including the potential for early prepayment and the risk of default), based on stochastic house-price and interest-rate models. As well as the development of a highly accurate numerical scheme to tackle the resulting partial differential equations, this paper also exploits singular perturbation theory (a mathematically rigorous procedure, based on the idea of the smallness of the volatilities), whereby mortgage valuation can be accurately approximated by very simple closed-form solutions. Determination of equilibrium contract rates, previously requiring many computational hours is reduced to just a few seconds, rendering this a highly useful portfolio management tool; these approximations compare favorably with the full numerical solutions. The method is of wide applicability in US or other mortgage markets and is demonstrated for UK fixed-rate mortgages, including insurance and coinsurance.     

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

In this article, we construct a general model, which considers the borrower’s financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default are reasonably expounded in our model, our formulae are more appropriate than traditional mortgage formulae. We also analyze the effects of the prepayment penalty and partial prepayment on the yield, duration and convexity of a mortgage, and provide lenders with an upper-bound for the mortgage default insurance rate. Our model provides portfolio managers a useful framework to more appropriately appraise the mortgage and more effectively hedge their mortgage holdings. From the results of sensitivity analyses, we find that higher interest-rate, prepayment and default risks will increase the mortgage yield and reduce the duration and convexity of the mortgage.     

Prepayment behaviors of Japanese residential mortgages

We investigate full prepayments of Japanese residential mortgages during a ten-year period from 1996 to 2005. This investigation is important because the amount of mortgages outstanding in Japan is huge, yet the study on their prepayments is very limited. This period from 1996 to 2005 was characterized by two distinct features of the evolution of interest rates that might have significant effects on mortgage refinancing. First, interest rate fluctuations were limited to a narrow range of a little over 1%. Surprisingly, full prepayments of Japanese mortgages were sensitive to small changes in interest rates. Second, long-term refinance rates did not fall well below the contract rates of most mortgages in our sample during the ten-year period, while short-term refinance rates did. With this interest rate relationship, if mortgagors ever refinanced, it was likely that they rolled over short-term mortgage rates several times until they repaid mortgages completely. Hence, we examine the sensitivity of full prepayments to short-term vs. long-term interest rates, mortgagors’ expectation of future course of interest rates (by the slope of yield curve), and that of interest rate volatility. Our analysis shows that short-term interest rates have a slightly greater explanatory power for full prepayments than long-term interest rates. In addition, our analysis confirms that full prepayments are sensitive to both the slope of yield curve and interest rate volatility. Other issues we look into are the patterns of full prepayments in relation to loan age and seasonality. We find that the pattern of full prepayments relative to loan age is comparable to that of mortgages in the U.S., and that the seasonal pattern of full prepayments is attributable to relevant institutional arrangements in Japan.     

An empirical analysis of home equity loan and line performance

Given the growth in home equity lending during the 1990s, it is imperative that lenders and regulators understand the risks associated with this segment of the residential mortgage market. Using a unique panel data set of over 135,000 homeowners with second mortgages, our analysis indicates that significant differences exist in the prepayment and default probabilities of home equity loans and lines, providing insights into bank minimum capital requirements. We find that households with equity loans are relatively more sensitive to changes in interest rates. By contrast, households with equity lines are more sensitive to appreciation in property value.     

新型电表在矿区的应用

随着矿区建设数字化矿井要求的提高,国内电力行业制度的改革,电费计量管理水平要求的不断提高,供用电政策越来越科学化和市场化。所以在矿区加强用电规范化管理的同时,实现用电的监控、结算自动化,成为了目前矿区用户用电计量的关键。三相智能电能表是现在国内企业研制生产的新一代智能型高科技电能计量产品,本表支持费控功能,包括IC卡预付费和密码预付费。系统通过预付费售电系统下发采集和控制指令,介质为纸质密码条,在用户输入密码后,电表接收指令,执行操作,发送负荷控制、开关控制指令和预付费指令。     

中国预付式消费法律规制问题探讨

预付式消费作为一种新型商业营销模式,与传统消费模式相比,其对消费者与经营者都更为简便、快捷.面对纷繁复杂的预付式消费市场、消费者权益受损情况不断增多以及消费者维权困境等问题,预付式消费中消费者权益的法律保护亟待强化和健全.立足完善消费者权利和经营者义务,构建相应的监管制度及多元化争议解决机制,如完善团体诉讼制度,设立小额诉讼程序等,有利于更有效保障预付式消费健康有序的良性发展.在立法模式的选择上,在时机成熟之际制定预付式消费的专门立法,以选择"条例"的形式对其加以规制为较优路径.     

A New Prepayment Model (with Default): An Occupation-time Derivative Approach

A new prepayment model is developed, which improves the modeling of the borrowers decision process by incorporating an occupation-time derivative in the valuation framework of a fixed-rate mortgage. This option-theoretic mortgage valuation model is based on stochastic house-price and interest-rate models, and requires a particularly subtle technique to incorporate a new type of occupation-time derivative, where the barrier (which activates the derivative) is in the value process and not the underlying process (as it is in standard occupation-time derivatives). This new model simulates a delay in prepayment by the borrower (beyond the time simple ruthless prepayment dictates), thus increasing the value of the mortgage to the lender, compared to the value gained using more basic models. This allows for a more advanced borrower decision process, where a rational exercise structure is retained in a modified form. Empirical evidence supports this theory, which should be beneficial for accurate mortgage-backed security pricing. The results in this paper explore thoroughly the effect on the mortgage value of a delay in prepayment by the borrower on the embedded options held and on the insurance component.

资产证券化中的CMO结构及其特性

资产证券化业务在我国刚刚拉开序幕,本文结合建元MBS和开元ABS的具体情况,介绍了在抵押过手证券基础上发展起来的CMO,分析了其结构、优势以及定价中提前偿还率模型的设定,并指出了将来发展需要注意的问题。