商业银行住房抵押贷款证券化的效应分析
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摘要
住房抵押贷款证券化是指发起人将满足一定标准的多笔住房抵押贷款汇集重组为住房抵押贷款资产池,并将资产池的现金流转让给特殊目的中介,特殊目的中介再以此作为支撑,对风险与收益要素进行分离与重组,在市场上发行可流通的证券。住房抵押贷款证券化包括破产隔离、重新捆绑和信用增级、证券发行三个环节。
从微观层面来看,住房抵押贷款证券化具有提高银行资本充足率、分散和转移信用风险、增强资产流动性和提高中间业务比例等效应。从宏观层面来看,住房抵押贷款证券化可以在不同银行和地区重新配置信贷资金,改变金融风险集中于商业银行的状况,还可以提高政府的宏观调控能力。然而,商业银行住房抵押贷款证券化的效应还受到相关法律金融制度、监管框架以及市场发展程度的制约。本文分析了我国住房抵押贷款证券化的现状与问题,并以国内首单住房抵押贷款支持证券“建元2005-1”为例,探讨贷款证券化对商业银行资本充足率的影响。当前我国的住房抵押贷款证券化面临投资主体单一、商业银行实施住房抵押贷款证券化的意愿不强以及制度风险大等问题。
我国应该加大假按揭行为的违法成本,制定《个人破产法》,加强房贷险的相关立法工作,完善相关的法律金融制度,保护MBS投资者的利益;实行更加宽松的资本监管政策,促进MBS市场的发展,逐步向中小投资者开放MBS市场,放松对机构投资者的限制;同时,加快利率市场化的进程,积极培育二级市场。
Mortgage securitization involves the process of pooling multiple mortgage loans, and repacking and restructuring them. The mortgage loan in the underlying pool must satisfy certain standards. The cash flows generated from the underlying pool is transferred to a Special Purpose Vehicle who issues negotiable securities backed by the pool. The procedure of mortgage securitization includes bankrupt isolation and asset restructure, and credit enhancement, and security issuance. The framework of China mortgage securitization is characterized by: a. the mortgage loans are put in a trust company in the process of securitization; b. the investors of mortgage-backed securities are limited to investment institutions; c. the methods of credit enhancement vary broadly.
From the view of microeconomics, mortgage securitization enables the issuing banks to enhance capital sufficiency and transfer credit risks, and liquidity asset. At the macro level, mortgage securitization can not only balance the credit supply and demand between different regions, but also translate credit risks from banking system. Further, mortgage securitization provides more flexibilities and options for the government to influence economy. But the potential gains from mortgage securitization are subjected to the supervision framework imposed by the authority.
The securitization framework of Basel II is analyzed in the paper with a comparison with that of China, "The rules of supervision on asset securitization of financial institutions". A case study is done to illustrate the effects of mortgage securitization on capital sufficiency of banks. Our analysis indicates that the current securitization framework excludes the possible opportunity of capital arbitrage by mortgage securitization. The charge of supervision capital on issuing bank is the same of that before securitization if no risk and asset is transferred from the issuing bank. But we do find that the capital charge under the internal approach is much less than that under standard approach. Therefore, the adoption of internal approach for capital calculation advantages over standard approach. Furthermore, mortgage securitization benefits banks for liquidity asset and increasing income from intermediate business. Assuming risk exposures and assets are transferred through securitization, the requirement of supervision capital will drop subsequently.
从微观层面来看,住房抵押贷款证券化具有提高银行资本充足率、分散和转移信用风险、增强资产流动性和提高中间业务比例等效应。从宏观层面来看,住房抵押贷款证券化可以在不同银行和地区重新配置信贷资金,改变金融风险集中于商业银行的状况,还可以提高政府的宏观调控能力。然而,商业银行住房抵押贷款证券化的效应还受到相关法律金融制度、监管框架以及市场发展程度的制约。本文分析了我国住房抵押贷款证券化的现状与问题,并以国内首单住房抵押贷款支持证券“建元2005-1”为例,探讨贷款证券化对商业银行资本充足率的影响。当前我国的住房抵押贷款证券化面临投资主体单一、商业银行实施住房抵押贷款证券化的意愿不强以及制度风险大等问题。
我国应该加大假按揭行为的违法成本,制定《个人破产法》,加强房贷险的相关立法工作,完善相关的法律金融制度,保护MBS投资者的利益;实行更加宽松的资本监管政策,促进MBS市场的发展,逐步向中小投资者开放MBS市场,放松对机构投资者的限制;同时,加快利率市场化的进程,积极培育二级市场。
Mortgage securitization involves the process of pooling multiple mortgage loans, and repacking and restructuring them. The mortgage loan in the underlying pool must satisfy certain standards. The cash flows generated from the underlying pool is transferred to a Special Purpose Vehicle who issues negotiable securities backed by the pool. The procedure of mortgage securitization includes bankrupt isolation and asset restructure, and credit enhancement, and security issuance. The framework of China mortgage securitization is characterized by: a. the mortgage loans are put in a trust company in the process of securitization; b. the investors of mortgage-backed securities are limited to investment institutions; c. the methods of credit enhancement vary broadly.
From the view of microeconomics, mortgage securitization enables the issuing banks to enhance capital sufficiency and transfer credit risks, and liquidity asset. At the macro level, mortgage securitization can not only balance the credit supply and demand between different regions, but also translate credit risks from banking system. Further, mortgage securitization provides more flexibilities and options for the government to influence economy. But the potential gains from mortgage securitization are subjected to the supervision framework imposed by the authority.
The securitization framework of Basel II is analyzed in the paper with a comparison with that of China, "The rules of supervision on asset securitization of financial institutions". A case study is done to illustrate the effects of mortgage securitization on capital sufficiency of banks. Our analysis indicates that the current securitization framework excludes the possible opportunity of capital arbitrage by mortgage securitization. The charge of supervision capital on issuing bank is the same of that before securitization if no risk and asset is transferred from the issuing bank. But we do find that the capital charge under the internal approach is much less than that under standard approach. Therefore, the adoption of internal approach for capital calculation advantages over standard approach. Furthermore, mortgage securitization benefits banks for liquidity asset and increasing income from intermediate business. Assuming risk exposures and assets are transferred through securitization, the requirement of supervision capital will drop subsequently.
引文
[1]巴塞尔银行监管委员会,中国银行业监督管理委员会译.巴塞尔新资本协议(征求意见稿),http://www.cbrc.gov.cn,2003-05-15
[2]巴塞尔银行监管委员会,中国人民银行译.巴塞尔银行监管委员会文献汇编.北京:中国金融出版社,2002年9月
[3]巴曙松.巴塞尔新资本协议研究.北京:中国金融出版社,2003年6月
[4]北京大学法学院房地产研究中心.“中国住房抵押贷款证券化的法律和金融制度:国际经验及其对中国的启示”国际研讨会综述.金融研究,2004,9
[5]蔡德容,潘军.住房金融创新研究.大连:东北财经大学出版社,2002
[6]陈勇,王晔.住房抵押贷款支持证券的法律风险.海南金融,2006,10
[7]程宗璋.我国住房抵抵押贷款证券化的法律研究.山西财经大学学报,2001,8
[8]弗兰克·T法博齐.住房抵押贷款证券手册.上海:上海人民出版社,2004
[9]郝俊波.试论我国住房抵押证券化的相关法律问题.律师世界,2000,9
[10]何小锋.资产证券化:中国的模式.北京:北京大学出版社,2002
[11]华金秋.中国金融资产管理公司与不良资产新视点.北京:中国市场出版社,2004年4月
[12]黄毅.资产证券化:银行监管者的视角.http://finance.sina.com.cn/stoek/stockptd,2006-02-13
[13]姜建清.商业银行资产证券化:从货币市场走向资本市场.北京:中国金融出版社,2004
[14]金郁森.中国资产证券化实务解决方案与产品设计.北京:海天出版社,2005
[15]李文泓.资产证券化的资本充足率框架及其对我国的启示.金融研究,2005,8
[16]李小友,陈晖.论资产证券化的会计确认方法.商业现代化,2006,3期
[17]刘德福.不良资产管理处置研究.北京:中国金融出版社,2004,6
[18]沈炳珍,杨凤清,楼爱眉.住房抵押贷款证券化国际模式比较.经济论坛2004,10
[19]沈继奔,张岩.国外住房抵押贷款证券化模式及其启示.中国投资,2005,6
[20]王秀芳.新巴塞尔资本协议下资产证券化风险转移的确认.外国经济与管理,2006,4
[21]文宗渝.产权证券化与创业板融资.北京:中国金融出版社,2000
[22]吴让军.贵阳市个人住房抵押贷款保险调查报告.保险研究,2003,4
[23]杨坤,李睿.关于特别目的公司的几个法律问题.财经问题研究,2002,7
[24]张辉,王冀宁,许茂伟.国外住房抵押贷款证券化模式及我国的选择现代.管理科学,2006,5
[25]赵联盟,李志刚.创新商业银行不良资产处置方式.金融时报,2004-04-20第9版
[26]中国人民银行上海分行课题组.中国住房抵押贷款证券化的实施步骤.金融研究,2000,5
[27]Australian Prudential Regulatory Agency(APRA).Prudential standards on funds management & securitization.www.apra.gov.au,2005-01-01
[28]Basel Committee on banking supervision.International convergence of capital measurement and capital standards:A revised framework.www.bis.org,2006-06-01
[29]Dwight M.Jaffee,and Bertrand Renaud.Securitization in European mortgage markets.The First International Real Estate Conference,1995,July
[30]Dwight M.Jaffee,and Bertrand Renaud.Strategies to develop mortgage markets in transition economies.World Bank Policy,1997,7
[31]Estrella Arturo.Securitization and the efficiency of monetary policy.Economic Policy Review,2002,8(1):153-65
[32]Elizabeth S.Laderman.Subprime mortgage lending and the capital markets,FRBSF Economic Letter,2001,11(28)
[33]Fabozzi,F.J.The handbook of mortgage-backed securities(5th editon).New York:McGraw-Hill,2001
[34]Heuson,Andrea,Wayne Passmore,and Roger Sparks.Credit Scoring and Mortgage Securitization:Implications for Mortgage Rates and Credit Availability.Board of Governors of the Federal Reserve System Finance and Economics Discussion Series no.2000-44.
[35]Jeffrey P.The first pillar-credit risk:Asset securitization in A practitioner'S guide to the Basel Accord(Tattersall J.and Smith R.eds).New York:City & Financial Publishing,Mar 2005
[36]Kolari,James W.,Donald R.Fraser,and Ali Anari.The Effects of Securitization on Mortgage Market Yields:A Cointegration Analysis.”Real Estate Economics,1998,26(4).
[37]Michael Pryke,and Tim Freeman.Mortgage-backed securitization in the United.Kingdom:The background.Housing Policy Debate,5(3)
[38]Monetary Authority of Singapore(MAS).Securitisation rules in Singapore.www.mas.gov.sg,2000-01-01
[39]Nothaft Frank,and Freund James.The evolution of securitization in multifamily mortgage markets and its effect on lending rates.Journal of Real Estate Research,2003,25(2).
[40]Office of the Comptroller of the Currency(OCC),Federal Reserve System(FRS),and Federal Deposit Insurance Corporation(FDIC).Risk-based capital guidelines,capital adequacy guidelines,capital maintenance:Capital treatment of recourse,direct credit substitutes and residual interests.www.federalreserve,gov,2001-01-01
[41]Office of the Superintendent of Financial Institutions Canada(OSFI).Guidelines on asset securitization.www.osfi-bsif.gc.ca,2004-01-01
[2]巴塞尔银行监管委员会,中国人民银行译.巴塞尔银行监管委员会文献汇编.北京:中国金融出版社,2002年9月
[3]巴曙松.巴塞尔新资本协议研究.北京:中国金融出版社,2003年6月
[4]北京大学法学院房地产研究中心.“中国住房抵押贷款证券化的法律和金融制度:国际经验及其对中国的启示”国际研讨会综述.金融研究,2004,9
[5]蔡德容,潘军.住房金融创新研究.大连:东北财经大学出版社,2002
[6]陈勇,王晔.住房抵押贷款支持证券的法律风险.海南金融,2006,10
[7]程宗璋.我国住房抵抵押贷款证券化的法律研究.山西财经大学学报,2001,8
[8]弗兰克·T法博齐.住房抵押贷款证券手册.上海:上海人民出版社,2004
[9]郝俊波.试论我国住房抵押证券化的相关法律问题.律师世界,2000,9
[10]何小锋.资产证券化:中国的模式.北京:北京大学出版社,2002
[11]华金秋.中国金融资产管理公司与不良资产新视点.北京:中国市场出版社,2004年4月
[12]黄毅.资产证券化:银行监管者的视角.http://finance.sina.com.cn/stoek/stockptd,2006-02-13
[13]姜建清.商业银行资产证券化:从货币市场走向资本市场.北京:中国金融出版社,2004
[14]金郁森.中国资产证券化实务解决方案与产品设计.北京:海天出版社,2005
[15]李文泓.资产证券化的资本充足率框架及其对我国的启示.金融研究,2005,8
[16]李小友,陈晖.论资产证券化的会计确认方法.商业现代化,2006,3期
[17]刘德福.不良资产管理处置研究.北京:中国金融出版社,2004,6
[18]沈炳珍,杨凤清,楼爱眉.住房抵押贷款证券化国际模式比较.经济论坛2004,10
[19]沈继奔,张岩.国外住房抵押贷款证券化模式及其启示.中国投资,2005,6
[20]王秀芳.新巴塞尔资本协议下资产证券化风险转移的确认.外国经济与管理,2006,4
[21]文宗渝.产权证券化与创业板融资.北京:中国金融出版社,2000
[22]吴让军.贵阳市个人住房抵押贷款保险调查报告.保险研究,2003,4
[23]杨坤,李睿.关于特别目的公司的几个法律问题.财经问题研究,2002,7
[24]张辉,王冀宁,许茂伟.国外住房抵押贷款证券化模式及我国的选择现代.管理科学,2006,5
[25]赵联盟,李志刚.创新商业银行不良资产处置方式.金融时报,2004-04-20第9版
[26]中国人民银行上海分行课题组.中国住房抵押贷款证券化的实施步骤.金融研究,2000,5
[27]Australian Prudential Regulatory Agency(APRA).Prudential standards on funds management & securitization.www.apra.gov.au,2005-01-01
[28]Basel Committee on banking supervision.International convergence of capital measurement and capital standards:A revised framework.www.bis.org,2006-06-01
[29]Dwight M.Jaffee,and Bertrand Renaud.Securitization in European mortgage markets.The First International Real Estate Conference,1995,July
[30]Dwight M.Jaffee,and Bertrand Renaud.Strategies to develop mortgage markets in transition economies.World Bank Policy,1997,7
[31]Estrella Arturo.Securitization and the efficiency of monetary policy.Economic Policy Review,2002,8(1):153-65
[32]Elizabeth S.Laderman.Subprime mortgage lending and the capital markets,FRBSF Economic Letter,2001,11(28)
[33]Fabozzi,F.J.The handbook of mortgage-backed securities(5th editon).New York:McGraw-Hill,2001
[34]Heuson,Andrea,Wayne Passmore,and Roger Sparks.Credit Scoring and Mortgage Securitization:Implications for Mortgage Rates and Credit Availability.Board of Governors of the Federal Reserve System Finance and Economics Discussion Series no.2000-44.
[35]Jeffrey P.The first pillar-credit risk:Asset securitization in A practitioner'S guide to the Basel Accord(Tattersall J.and Smith R.eds).New York:City & Financial Publishing,Mar 2005
[36]Kolari,James W.,Donald R.Fraser,and Ali Anari.The Effects of Securitization on Mortgage Market Yields:A Cointegration Analysis.”Real Estate Economics,1998,26(4).
[37]Michael Pryke,and Tim Freeman.Mortgage-backed securitization in the United.Kingdom:The background.Housing Policy Debate,5(3)
[38]Monetary Authority of Singapore(MAS).Securitisation rules in Singapore.www.mas.gov.sg,2000-01-01
[39]Nothaft Frank,and Freund James.The evolution of securitization in multifamily mortgage markets and its effect on lending rates.Journal of Real Estate Research,2003,25(2).
[40]Office of the Comptroller of the Currency(OCC),Federal Reserve System(FRS),and Federal Deposit Insurance Corporation(FDIC).Risk-based capital guidelines,capital adequacy guidelines,capital maintenance:Capital treatment of recourse,direct credit substitutes and residual interests.www.federalreserve,gov,2001-01-01
[41]Office of the Superintendent of Financial Institutions Canada(OSFI).Guidelines on asset securitization.www.osfi-bsif.gc.ca,2004-01-01