抵押担保证券（CMOs）研究
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摘要
完善我国住房抵押贷款一级市场的同时，建立和发展住房抵押贷款二级市场，即住房抵押贷款证券化（MBS）市场是推动我国住宅业的健康发展，促进广大居民自置住房的重要途径之一。目前，学术界和本行业实践者们对我国发展MBS市场这一课题进行了广泛的研究，其中，很大一部分研究是围绕住房抵押贷款支持证券的品种设计展开的，这些品种包括过手证券、转付证券、抵押贷款支持债券以及抵押担保证券（CMOs）等。不过，遗憾的是，目前我们还没有看到对上述各抵押贷款支持证券品种特别是CMO证券进行系统研究的相关论述。基于此，本文选择了CMO证券作为分析对象，对其进行了完整的剖析。
本文将固定收益证券理论以及结构化金融的基本原理作为分析的指导理论，揭示了CMO证券的一些内含特征，这些特征是我们进行MBS证券创新的重要内容。
本文首先介绍了美国MBS市场的发展史，对过手证券、转付证券以及抵押贷款支持债券作了简单的论述，并同CMO证券一起进行了定性比较。并且，通过一个案例分析，揭示了CMO证券的创新机理，其中涉及到对抵押贷款组合如何进行分层、现金流的分割以及CMO证券各类别的创造等内容。
其次，文章对CMO证券的各种结构现金流特性进行了定量分析，这些结构包括按顺序支付结构（SPC）、按计划支付（PAC）/支持类、付本证券（POs）、付息证券（IOs）以及浮动与逆浮动证券（IFs）。并且对按顺序支付结构的各类别证券：A类、B类、C类、Z类以及剩余类的现金流特点进行了着重探讨。
在现金流分析的基础上，本文探讨了CMO证券的定价方法，如现金流折现法、选择权调整利差法（OAS分析），另外，本章对CMO证券的持续期和凸性也进行了深入分析，给出了它们存在提前还款条件下的求解方法。
最后，本文还提到了提前还款的风险管理，首先分析了影响借款人提前还款的众多因素，如利率水平、住房转手率等；其次，介绍了各种用于计算CMO证券收益率的提前还款假设的种类，如，“FHA经验法”、CPR、PSA基准。最后本章对如何建立提前还款预测的经济计量模型提出了一些见解。
With the development of perfect primary mortgage market, to establish the Chian's secondary mortgage market is one of the most important ways to promote the healthy growth of domestic housing industry and speed the pace of residents' homeownership as well. Now there is a large body of academic and industry research on the establishment of mortgage-backed securities (MBS) market, much of which involves introduction of various types of MBS such as mortgage pass-through securities (MPTs), mortgage pay-through bonds (MPTBs), mortgage-backed bonds (MBBs), collateralized mortgage obligations (CMOs) and so on. But we can't see any book or paper providing a systematic analysis of these types of mortgage -backed securities, especially CMOs. Thus, this dissertation is devoted to presenting complete coverage of the collateralized mortgage obligations so as to fill in some blank of this field.
This dissertation takes fixed-income securities theory and economic principle of structured finance as guiding theories, and reveals the characteristics inherent in CMOs, which is very important for us to develop innovative types of MBS in China.
Firstly, this dessertation introduces the history of MBS market in U.S.A and its other three types of MBS: MPTs, MPTBs and MBBs. Meanwhile, it also puts forward a qualitative comparison among these four different MBS. Through a case study , this dissertation explores the principle of CMOs innovation, which include how to stratify the mortgage pools according to the characteristics of individual mortgage and to tailor the cash flows from the pools. In addition, the steps of creation of CMO tranches (or pieces) is also discussed.
Secondary, this dissertation quantitatively analyzes the cash flows of various CMO structures such as sequential-pay CMOs (SPC), planned amortization class (PAC)/supports, principle-only securities (POs), interest-only securities (IOs), floarters and inverse floarters (IFs). Moreover, this chapter focuses the analysis on cash flows of different thanches of PAC such as tranche A, tranche B, tranche C, tranche Z and residual tranche.
On the basis of cash flow analysis, this dissertation offers the key methods of CMO pricing, for example, discounting cash flow method and option-adjusted spread (OAS) analysis. Additionally, ir also contains a deep analysis of CMO duration and
convexity, and how to calculate these two price sensitivity indicators when allowing for the prepayment embedded in CMOs.
Finally, this dissertation presents the prepayment risk management. It firstly lists and analyzes many kinds of drivers，for example, interest level and housing turnover rate which cause borrowers to prepay their mortgages. Then, various prepayment assumptions to compute CMOs yield, for example, "FHA experience", CPR and PSA model are presented. It also provides an analysis framework of how to execute the prepayment risk management.
本文将固定收益证券理论以及结构化金融的基本原理作为分析的指导理论，揭示了CMO证券的一些内含特征，这些特征是我们进行MBS证券创新的重要内容。
本文首先介绍了美国MBS市场的发展史，对过手证券、转付证券以及抵押贷款支持债券作了简单的论述，并同CMO证券一起进行了定性比较。并且，通过一个案例分析，揭示了CMO证券的创新机理，其中涉及到对抵押贷款组合如何进行分层、现金流的分割以及CMO证券各类别的创造等内容。
其次，文章对CMO证券的各种结构现金流特性进行了定量分析，这些结构包括按顺序支付结构（SPC）、按计划支付（PAC）/支持类、付本证券（POs）、付息证券（IOs）以及浮动与逆浮动证券（IFs）。并且对按顺序支付结构的各类别证券：A类、B类、C类、Z类以及剩余类的现金流特点进行了着重探讨。
在现金流分析的基础上，本文探讨了CMO证券的定价方法，如现金流折现法、选择权调整利差法（OAS分析），另外，本章对CMO证券的持续期和凸性也进行了深入分析，给出了它们存在提前还款条件下的求解方法。
最后，本文还提到了提前还款的风险管理，首先分析了影响借款人提前还款的众多因素，如利率水平、住房转手率等；其次，介绍了各种用于计算CMO证券收益率的提前还款假设的种类，如，“FHA经验法”、CPR、PSA基准。最后本章对如何建立提前还款预测的经济计量模型提出了一些见解。
With the development of perfect primary mortgage market, to establish the Chian's secondary mortgage market is one of the most important ways to promote the healthy growth of domestic housing industry and speed the pace of residents' homeownership as well. Now there is a large body of academic and industry research on the establishment of mortgage-backed securities (MBS) market, much of which involves introduction of various types of MBS such as mortgage pass-through securities (MPTs), mortgage pay-through bonds (MPTBs), mortgage-backed bonds (MBBs), collateralized mortgage obligations (CMOs) and so on. But we can't see any book or paper providing a systematic analysis of these types of mortgage -backed securities, especially CMOs. Thus, this dissertation is devoted to presenting complete coverage of the collateralized mortgage obligations so as to fill in some blank of this field.
This dissertation takes fixed-income securities theory and economic principle of structured finance as guiding theories, and reveals the characteristics inherent in CMOs, which is very important for us to develop innovative types of MBS in China.
Firstly, this dessertation introduces the history of MBS market in U.S.A and its other three types of MBS: MPTs, MPTBs and MBBs. Meanwhile, it also puts forward a qualitative comparison among these four different MBS. Through a case study , this dissertation explores the principle of CMOs innovation, which include how to stratify the mortgage pools according to the characteristics of individual mortgage and to tailor the cash flows from the pools. In addition, the steps of creation of CMO tranches (or pieces) is also discussed.
Secondary, this dissertation quantitatively analyzes the cash flows of various CMO structures such as sequential-pay CMOs (SPC), planned amortization class (PAC)/supports, principle-only securities (POs), interest-only securities (IOs), floarters and inverse floarters (IFs). Moreover, this chapter focuses the analysis on cash flows of different thanches of PAC such as tranche A, tranche B, tranche C, tranche Z and residual tranche.
On the basis of cash flow analysis, this dissertation offers the key methods of CMO pricing, for example, discounting cash flow method and option-adjusted spread (OAS) analysis. Additionally, ir also contains a deep analysis of CMO duration and
convexity, and how to calculate these two price sensitivity indicators when allowing for the prepayment embedded in CMOs.
Finally, this dissertation presents the prepayment risk management. It firstly lists and analyzes many kinds of drivers，for example, interest level and housing turnover rate which cause borrowers to prepay their mortgages. Then, various prepayment assumptions to compute CMOs yield, for example, "FHA experience", CPR and PSA model are presented. It also provides an analysis framework of how to execute the prepayment risk management.
引文
[1] Jones, Oliver. "The Development of an Effective Secondary Mortgage Market." Journal of Finance, 1996, 358-346.
[2] Black, Deborah G., Kenneth D. Garbade, and William L. Silber(1981). "The Impact of the GNMA Pass-through Program on FHA Mortgage Costs." Journal of Finance 36, May 1981, 457-469.
[3] Greenbaum, Stuart I. and Anjan V. Thakor. "Bank Funding Modes: Securitization versus Deposits." Journal of Banking Finance 11, September 1987, 379-402.
[4] Hess, Alan C. and Clifford W. Smith. "Elements of Mortgage Securitization." Journal of Real Estate Finance and Economics 1, 1988, 331-346.
[5] Donahoo and Shaffer. "Capital Requirements and the Securitization Decision." Quarterly Review of Economics and Business 4, 1991, 12-23.
[6] Pennacchi, George G. "Loan Sales and the Cost of Bank Capital." The Journal of Finance 43 , June 1988, 375-396.
[7] Passmore, Wayne and Roger Sparks. "Puttig the Squeeze on a Market for Lemons: Government-Sponsored Mortgage Securitization." Journal of Real Estate Finance and Economics 13, 1996, 27-43.
[8] William B. Brueggeman and Jeffrey D. Fisher, "Real Estate Finance and Investments", Tenth Edition, McGraw-Hill Companies, Inc., 1997.
[9] Terrence M. Clauretie and G. Stacy Sirmans, "Real Estate Finance : Theory and Practice", Second Edition, Prentice-Hall, Inc., 1996.
[10] Frederic S. Mishkin, "The Economics of Money, Banking and Financial Markets", Fifth Edition, Addison-Wesley Longman, Inc., 1997.
[11] Robert A. Haugen, "Modern Investment Theory", Fourth Edition, Prentice-Hall, Inc., 1997.
[12] Alexander, Sharpe and Bailey, "Fundamentals of Investments", Second Edition, Prentice-Hall, Inc., 1993.
[13] James B. Kau and Thomas M. Springer, "An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model", The Journal of Real Estate Research, volume 8, 1993, Number 1, 69-86.
[14] Sam R, Hakim, "Autonomous and Financial Mortgage Prepayment", The Journal of Real Estate Research, volume 13, number 1, 1997, 1-16.
[15] Charles Huang, Susan Hallman and Don Tang, "A Primer for Hong Kong Mortgage-Backee Securities", The Journal of Fixed Income, June 1998, 33-46.
[16] Charles Huang, Sharon Wong, Don Tang and Ming Liu, "Hong Kong Residential Mortgage Prepayment Analysis and Modeling", The Journal of Fixed Income, March 1999, 55-65.
[17] James B, Kau and Donald C. Keenan, "An Overview of the Option-Theoretic Pricing of Mortgages", The Journal of Housing Research, Volume 6, Issue 2, 1995.
[18] Takeaki KARIYA and Masaaki KOBAYASHI, "Pricing Mortgage-Backed Securities(MBS): A Model of Describing the Burnout Effect", Asia-Pacific Financial Markets, 7, 2000, 189-204.
[19] Stephen F. Thode, "CMOs, Duration Risk and A New Mortgage", The Journal of Real Estate Research, volume 19, Number 1/2, 2000, 73-103.
[20] Thomas S. Y. Ho, "CMO Yield Attribution and Option Spread", The Journal of Portfolio Management, Spring 1993, 57-68.
[21] Paul Kupiec and Adama Kah, "On the Origin and Interpretation of OAS", The Journal of Fixed Income, December 1999, 82-92.
[22] Oren Cheyette, "OAS Analysis for CMOs", The Journal of Portfolio Management, Summer 1994, 53-66.
[23] Stephen D. Smith, "Analyzing Risk and Return for Mortgage-Backed Securities", Economic Review, January/February ,1991, 2-11.
[24] Lakhbir S. Hayre, "Understanding Option-adjusted Spreads and Their Use", The Journal of Portfolio Management, Summer 1990.
[25] Cliff Asness, "OAS Models, Expected Returns, and a Steep Yield Curve", The Journal of Portfolio Management, Summer 1993, 85-93.
[26] George S. Oldfield, "The Economics of Structured Finance", The Journal of Fixed Income, September 1997, 92-99.
[27] "An Investor's Guide to CMOs", The Bond Market Association, 2000.
[28] "An investor's Guide to Pass-Through and Collateralized Mortgage Securities", The Bond Market Association, 2000.
[29] Joseph Hu, " The Evolution of Mortgage Research", Mortgage Banking, January 1990, 35-49.
[30] Michael LaCour-Little and Gregory H. Chun, "Third Party Originators and Mortgage Prepayment Risk: An Agency Problem?", The Journal of Real Estate Research, Volume 17, Number 1/2, 1999, 55-70.
[31] Nelson J. Lacey and Nikolaos T. Milonas, " The Determinants of GNMA Prepayments: a Pool-by-pool Analysis", The Journal of Real Estate Research, Vulome 4, Number2, 1989, 21-32.
[32] James D. Shilling, "Rates of Return on Mortgage-Backed Securities and Option-Theoretic Models of Mortgage Pricing", Journal of Housing Research, Volume 6, Issue 2, 1995,
265-284.
[33] Michael LaCour-Little, "Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayment", Journal of Housing Research, Volume 10, Issue 1, 1999, 45-60.
[34] Randall S. Guttery and Ed Mc Carthy, "Real Estate Derivative Assets: CMOs, IOs, POs, and Inverse Floaters", Real Estate Finance, 1995, 18-29.
[35] Paul DeRosa, Laurie Goodman, and Mike Zazzarino, "Duration Estimates on Mortgage-Backed Securities", The Journal of Portfolio Management, Winter 1993, 32-38.
[36] Peter Ove Christensen and Bjarne G. Sorensen, "Duration, Convexity, and Time Value", he Journal of Portfolio Management, Winter 1994, 51-60.
[37] 姚长辉：《中国住房抵押贷款证券创新研究》，北京大学出版社2001年版。
[38] 涂永红、刘柏荣：《银行信贷资产证券化》，中国金融出版社2000年版。
[39] 陈 钊：《住房抵押贷款理论与实践》，复旦大学出版社2000年版。
[40] 李 曜：《资产证券化——基本理论与案例分析》，上海财经大学出版社2001年版。
[41] 殷 红、张卫东：《房地产金融》，首都经济贸易大学出版社2002年版。
[42] 尹伯成、边华才：《房地产投资学》，复旦大学出版社2002年版。
[43] 张亦春：《货币银行学》，厦门大学出版社1999年版。
[44] （美） 滋维·博迪、 亚历克斯·凯恩与艾伦J. 马库斯著，朱保宪、吴洪、赵冬青等译：《投资学》（第四版），机械工业出版社2000年版。
[45] （美）威廉姆森·B. 布鲁斯曼、杰夫瑞·D. 费雪著，李秉祥、孙鸿飞 钱勇译：《房地
产金融与投资》（第十版），东北财经大学出版社2000年版。
[46] （美） 约翰·B·考埃特、爱德华·I·爱特曼、保罗·纳拉亚南著， 石晓军、张振霞译：《演进着的信用风险管理》，机械工业出版社2001年版。
[47] （加）约翰·C·赫尔著，张陶伟译：《期货期权入门》（第三版），中国人民大学出版社2001年版。
[48] 何小锋等著：《资产证券化：中国的模式》，北京大学出版社2002年版。
[49] 叶永刚、郑康彬：《金融工程概论》，武汉大学出版社2000年版。
[50] 陆 瑾：“资产证券化运作的效率分析”，《财经研究》，2001年第4期。
[51] 98`中国住宅产业化与抵押贷款证券化国际研讨会，背景资料二，中国房地产金融网。
[52] 施 方：“住房抵押贷款中提前偿付行为的研究”，《国际金融研究》，2001年第9期。
[53] 孙奉军：“提前偿付风险生成机理分析”，《国际金融研究》，2001年第7期。
[54] 戴建国、黄培清：“住房抵押贷款定价研究进展”，《管理工程学报》，2001年第1期。
[55] 王建红：“提前还款对抵押贷款及其支持证券定价的影响”，《中国房地产金融》，2002年第9期。
[2] Black, Deborah G., Kenneth D. Garbade, and William L. Silber(1981). "The Impact of the GNMA Pass-through Program on FHA Mortgage Costs." Journal of Finance 36, May 1981, 457-469.
[3] Greenbaum, Stuart I. and Anjan V. Thakor. "Bank Funding Modes: Securitization versus Deposits." Journal of Banking Finance 11, September 1987, 379-402.
[4] Hess, Alan C. and Clifford W. Smith. "Elements of Mortgage Securitization." Journal of Real Estate Finance and Economics 1, 1988, 331-346.
[5] Donahoo and Shaffer. "Capital Requirements and the Securitization Decision." Quarterly Review of Economics and Business 4, 1991, 12-23.
[6] Pennacchi, George G. "Loan Sales and the Cost of Bank Capital." The Journal of Finance 43 , June 1988, 375-396.
[7] Passmore, Wayne and Roger Sparks. "Puttig the Squeeze on a Market for Lemons: Government-Sponsored Mortgage Securitization." Journal of Real Estate Finance and Economics 13, 1996, 27-43.
[8] William B. Brueggeman and Jeffrey D. Fisher, "Real Estate Finance and Investments", Tenth Edition, McGraw-Hill Companies, Inc., 1997.
[9] Terrence M. Clauretie and G. Stacy Sirmans, "Real Estate Finance : Theory and Practice", Second Edition, Prentice-Hall, Inc., 1996.
[10] Frederic S. Mishkin, "The Economics of Money, Banking and Financial Markets", Fifth Edition, Addison-Wesley Longman, Inc., 1997.
[11] Robert A. Haugen, "Modern Investment Theory", Fourth Edition, Prentice-Hall, Inc., 1997.
[12] Alexander, Sharpe and Bailey, "Fundamentals of Investments", Second Edition, Prentice-Hall, Inc., 1993.
[13] James B. Kau and Thomas M. Springer, "An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model", The Journal of Real Estate Research, volume 8, 1993, Number 1, 69-86.
[14] Sam R, Hakim, "Autonomous and Financial Mortgage Prepayment", The Journal of Real Estate Research, volume 13, number 1, 1997, 1-16.
[15] Charles Huang, Susan Hallman and Don Tang, "A Primer for Hong Kong Mortgage-Backee Securities", The Journal of Fixed Income, June 1998, 33-46.
[16] Charles Huang, Sharon Wong, Don Tang and Ming Liu, "Hong Kong Residential Mortgage Prepayment Analysis and Modeling", The Journal of Fixed Income, March 1999, 55-65.
[17] James B, Kau and Donald C. Keenan, "An Overview of the Option-Theoretic Pricing of Mortgages", The Journal of Housing Research, Volume 6, Issue 2, 1995.
[18] Takeaki KARIYA and Masaaki KOBAYASHI, "Pricing Mortgage-Backed Securities(MBS): A Model of Describing the Burnout Effect", Asia-Pacific Financial Markets, 7, 2000, 189-204.
[19] Stephen F. Thode, "CMOs, Duration Risk and A New Mortgage", The Journal of Real Estate Research, volume 19, Number 1/2, 2000, 73-103.
[20] Thomas S. Y. Ho, "CMO Yield Attribution and Option Spread", The Journal of Portfolio Management, Spring 1993, 57-68.
[21] Paul Kupiec and Adama Kah, "On the Origin and Interpretation of OAS", The Journal of Fixed Income, December 1999, 82-92.
[22] Oren Cheyette, "OAS Analysis for CMOs", The Journal of Portfolio Management, Summer 1994, 53-66.
[23] Stephen D. Smith, "Analyzing Risk and Return for Mortgage-Backed Securities", Economic Review, January/February ,1991, 2-11.
[24] Lakhbir S. Hayre, "Understanding Option-adjusted Spreads and Their Use", The Journal of Portfolio Management, Summer 1990.
[25] Cliff Asness, "OAS Models, Expected Returns, and a Steep Yield Curve", The Journal of Portfolio Management, Summer 1993, 85-93.
[26] George S. Oldfield, "The Economics of Structured Finance", The Journal of Fixed Income, September 1997, 92-99.
[27] "An Investor's Guide to CMOs", The Bond Market Association, 2000.
[28] "An investor's Guide to Pass-Through and Collateralized Mortgage Securities", The Bond Market Association, 2000.
[29] Joseph Hu, " The Evolution of Mortgage Research", Mortgage Banking, January 1990, 35-49.
[30] Michael LaCour-Little and Gregory H. Chun, "Third Party Originators and Mortgage Prepayment Risk: An Agency Problem?", The Journal of Real Estate Research, Volume 17, Number 1/2, 1999, 55-70.
[31] Nelson J. Lacey and Nikolaos T. Milonas, " The Determinants of GNMA Prepayments: a Pool-by-pool Analysis", The Journal of Real Estate Research, Vulome 4, Number2, 1989, 21-32.
[32] James D. Shilling, "Rates of Return on Mortgage-Backed Securities and Option-Theoretic Models of Mortgage Pricing", Journal of Housing Research, Volume 6, Issue 2, 1995,
265-284.
[33] Michael LaCour-Little, "Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayment", Journal of Housing Research, Volume 10, Issue 1, 1999, 45-60.
[34] Randall S. Guttery and Ed Mc Carthy, "Real Estate Derivative Assets: CMOs, IOs, POs, and Inverse Floaters", Real Estate Finance, 1995, 18-29.
[35] Paul DeRosa, Laurie Goodman, and Mike Zazzarino, "Duration Estimates on Mortgage-Backed Securities", The Journal of Portfolio Management, Winter 1993, 32-38.
[36] Peter Ove Christensen and Bjarne G. Sorensen, "Duration, Convexity, and Time Value", he Journal of Portfolio Management, Winter 1994, 51-60.
[37] 姚长辉：《中国住房抵押贷款证券创新研究》，北京大学出版社2001年版。
[38] 涂永红、刘柏荣：《银行信贷资产证券化》，中国金融出版社2000年版。
[39] 陈 钊：《住房抵押贷款理论与实践》，复旦大学出版社2000年版。
[40] 李 曜：《资产证券化——基本理论与案例分析》，上海财经大学出版社2001年版。
[41] 殷 红、张卫东：《房地产金融》，首都经济贸易大学出版社2002年版。
[42] 尹伯成、边华才：《房地产投资学》，复旦大学出版社2002年版。
[43] 张亦春：《货币银行学》，厦门大学出版社1999年版。
[44] （美） 滋维·博迪、 亚历克斯·凯恩与艾伦J. 马库斯著，朱保宪、吴洪、赵冬青等译：《投资学》（第四版），机械工业出版社2000年版。
[45] （美）威廉姆森·B. 布鲁斯曼、杰夫瑞·D. 费雪著，李秉祥、孙鸿飞 钱勇译：《房地
产金融与投资》（第十版），东北财经大学出版社2000年版。
[46] （美） 约翰·B·考埃特、爱德华·I·爱特曼、保罗·纳拉亚南著， 石晓军、张振霞译：《演进着的信用风险管理》，机械工业出版社2001年版。
[47] （加）约翰·C·赫尔著，张陶伟译：《期货期权入门》（第三版），中国人民大学出版社2001年版。
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