中国住房抵押贷款证券化的发展对策研究
摘要
抵押资产证券化代表着对金融理论的一种新的诠释,在能够产生稳定现金流的基础资产支持下,抵押资产证券化产品已经成为证券市场上的重头戏,尤其是本文将要分析的住房抵押贷款证券在美国证券市场上的发行规模已经超过了美国国债。
本文首先从资产证券化的原理入手,分析了它的运作流程,参与主体,并对其风险的测度作了重点的分析,然后联系我国实情,论证住房抵押贷款证券化的发行带来的益处,最后探讨了在我国发行时会遇到的障碍并提出了对应的具体对策。
我国住房抵押贷款转化刚刚起步,具有良好的发展前景。研究资产证券化发展的理论以及在西方国家的实践,探讨我国开展住房抵押贷款证券化的优势、存在的障碍和发展对策,对于推进我国住房抵押贷款证券化的发展具有非常重要的意义。
There is a widespread saying in Wall Street:“as we have the stable current, we can make it securitization.”This is the function of capital securitization in financial field. Securitization is an amazing financial innovation in internationally financial realm during recent decades. It shows enormously developmental predominance by its unique function. It provides new capital sources, and enhances the capital indebted fluidity of commercial banks and other financial organizations.
Compared with traditional financing, securitization is a kind of structural financing oriented by capital incomes. It based on capital, and offers credit through two levels, capital credits and derivative credits. It involves initiators, publishers, investment banks, credit rating agency and credit enhancement agency. By insolvent quarantine, credit enhancement and other techniques, securitization transforms capital into liquid securities. So it can satisfy participators’different needs and enhance the efficiency of financial system.
There are two kinds of security productions, one is mortgage-backed securities(MBS), the other one is asset-backed securities(ABS). The different between them is the foundational asset of the first one based on mortgage, and the second one’s based on asset that can engender current. And the analysis of this dissertation exactly starts from securitization. There are several reasons for that. First, securitization stemmed from mortgage securities, therefore the statistical data is so plenty that easy to analyse. Second, the marketable scale of MBS is very colossal, has a lot of derivative products. And the theories of risky measure and security rated mechanism is quite mature. Last, the process of our country’s MBS is already begin, under this circumstances, it is quite an emergence to research how to run it smoothly, how to keep risks away from security products, how to set up the mechanism of price and so on. According to the idiographic situation of our country, this article systemically analyses the practice of MBS in our country.
There are four chapters in this article. The first chapter minutely analyses principles of securities, systemically expatiates definitions of large-scale securities and MBS. And the article also enumerates categories of products of MBS, studies on the specific participant main bodies and operational courses. The second chapter interprets the risks of MBS, contains the risk of basal asset and the risk of securities. As the basal asset of the current sources, before the mortgage securitized, it implicates prepayment risk and credit risk. After its securitization, the risk switched to credit enhancement agencies and investors became more complicated. The article analyses the measure of two kinds of risk by the method of demonstration, and proposes plans to transfer or dismiss the risk of basal asset. The third chapter based on the factual situation, interprets how does the MBS effect the finance of our country, especially as a new kind of innovative instrument, the effects on realty is undeniable. The last chapter discusses the impediment factors about practicing MBS in China. One is obstacles from the inside of the financial system, including the low-level of the interest rate market and the lack of financial supervision. The other is obstacles of credit system. Although reform about our credit system is stable, there are still a lot of shortages. For example, the proportion that covered with the system is quite low, the data base is not complete, etc. This article minutely analyses the effect of proceeding MBS and the engenderer of the two kinds of obstacles, and provides some advices to solve them. According to the analysis of the four chapters, I conclude that put MBS in practice is absolutely a way to solve a series of problems produced by mortgage in our country. The courses, outcomes and influences of the securities impel the theories and practices of our finance. However this is just a beginning of our MBS, we still need to wait to see the results. How to avoid shortages and dwell on advantages is a major task for the commercial banks and other main bodies to do in the future.
本文首先从资产证券化的原理入手,分析了它的运作流程,参与主体,并对其风险的测度作了重点的分析,然后联系我国实情,论证住房抵押贷款证券化的发行带来的益处,最后探讨了在我国发行时会遇到的障碍并提出了对应的具体对策。
我国住房抵押贷款转化刚刚起步,具有良好的发展前景。研究资产证券化发展的理论以及在西方国家的实践,探讨我国开展住房抵押贷款证券化的优势、存在的障碍和发展对策,对于推进我国住房抵押贷款证券化的发展具有非常重要的意义。
There is a widespread saying in Wall Street:“as we have the stable current, we can make it securitization.”This is the function of capital securitization in financial field. Securitization is an amazing financial innovation in internationally financial realm during recent decades. It shows enormously developmental predominance by its unique function. It provides new capital sources, and enhances the capital indebted fluidity of commercial banks and other financial organizations.
Compared with traditional financing, securitization is a kind of structural financing oriented by capital incomes. It based on capital, and offers credit through two levels, capital credits and derivative credits. It involves initiators, publishers, investment banks, credit rating agency and credit enhancement agency. By insolvent quarantine, credit enhancement and other techniques, securitization transforms capital into liquid securities. So it can satisfy participators’different needs and enhance the efficiency of financial system.
There are two kinds of security productions, one is mortgage-backed securities(MBS), the other one is asset-backed securities(ABS). The different between them is the foundational asset of the first one based on mortgage, and the second one’s based on asset that can engender current. And the analysis of this dissertation exactly starts from securitization. There are several reasons for that. First, securitization stemmed from mortgage securities, therefore the statistical data is so plenty that easy to analyse. Second, the marketable scale of MBS is very colossal, has a lot of derivative products. And the theories of risky measure and security rated mechanism is quite mature. Last, the process of our country’s MBS is already begin, under this circumstances, it is quite an emergence to research how to run it smoothly, how to keep risks away from security products, how to set up the mechanism of price and so on. According to the idiographic situation of our country, this article systemically analyses the practice of MBS in our country.
There are four chapters in this article. The first chapter minutely analyses principles of securities, systemically expatiates definitions of large-scale securities and MBS. And the article also enumerates categories of products of MBS, studies on the specific participant main bodies and operational courses. The second chapter interprets the risks of MBS, contains the risk of basal asset and the risk of securities. As the basal asset of the current sources, before the mortgage securitized, it implicates prepayment risk and credit risk. After its securitization, the risk switched to credit enhancement agencies and investors became more complicated. The article analyses the measure of two kinds of risk by the method of demonstration, and proposes plans to transfer or dismiss the risk of basal asset. The third chapter based on the factual situation, interprets how does the MBS effect the finance of our country, especially as a new kind of innovative instrument, the effects on realty is undeniable. The last chapter discusses the impediment factors about practicing MBS in China. One is obstacles from the inside of the financial system, including the low-level of the interest rate market and the lack of financial supervision. The other is obstacles of credit system. Although reform about our credit system is stable, there are still a lot of shortages. For example, the proportion that covered with the system is quite low, the data base is not complete, etc. This article minutely analyses the effect of proceeding MBS and the engenderer of the two kinds of obstacles, and provides some advices to solve them. According to the analysis of the four chapters, I conclude that put MBS in practice is absolutely a way to solve a series of problems produced by mortgage in our country. The courses, outcomes and influences of the securities impel the theories and practices of our finance. However this is just a beginning of our MBS, we still need to wait to see the results. How to avoid shortages and dwell on advantages is a major task for the commercial banks and other main bodies to do in the future.
引文
[1] 数据来源:中国国家统计局公开网站(www.stats.gov.cn)
[2] 数据来源:中国国家统计局公开网站(www.stats.gov.cn)
[3] [美国]Lone T. Gardene 著,《A Primer on Securitization》,Cambridge,MA,MIT press,1986,p189
[4] 数据来源:美国证券交易委员会(http://www.sec.gov/)
[5] 王国开. 资产证券化论[M].上海:上海财经大学出版社,1999 年,第 21 页.
[6] 何小峰. 资产证券化:中国的模式[M].北京:北京大学出版社,2002年,第 117 页.
[7] 对于基础资产的要求,存在许多不同的观点。这些观点的基本标准是:有明确可预见的未来现金流、违约率低、多样化的借款人、平均偿付期至少为一年。
[8] 还有一种理论是把住房抵押贷款证券化的风险分为系统风险(systematic risk)与非系统风险(unsystematic risk)。系统风险是指又共同的或普遍性的因素造成的资产波动性;非系统风险是通过分散化可以消除的资产波动性。其中本文分析的提前支付风险和信用风险均为系统风险。
[9] [美]Andrew Davidson,Anthony Sanders,Lan-ling Wolff,ANNE Ching,王小芳译. 资产证券化:构建和投资分析[M].北京:中国人民大学出版社,2006年,第106页.
[10] 目前比较权威的风险量化管理模型是J.P.摩根推出的以VaR为基础的 市 场 风 险 计 量 Riskmetrick 和 信 用 风 险 管 理 模 型 信 用 计 量Creditmetrics,KMV公司得以EDF为核心手段的KMV模型,McKingsey公司的McKingsey模型
[11] 数据来源:中国资产证券化(http://www.chinasecuritization.cn/Index.asp)
[12] 数据来源:中国国家统计局公开网站(http://www.stats.gov.cn)
[13] 近年来西方金融业混业经营突破的主要是分业经营,而不是分业管理。如美国,商业银行仍然是由联邦储备系统监管;投资银行还是由证券委员会监管;金融控股公司的具体金融机构都是有自己特定范围的商业银行或银行金融机构,能够满足分业监管的要求。
[1] 宾融.住房抵押贷款证券化[M].北京:中国金融出版社,2002 年.
[2] 邓伟利.资产证券化:国际经验与中国实践[M].上海:上海人民出版社,2003年.
[3] 张超英.资产证券化的本质和效应[M].北京:经济科学出版社,2004年.
[4] 姜建清.商业银行资产证券化——从货币市场走向资本市场[M].北京:中国金融出版社,2004 年.
[5] 叶永刚.固定收入证券概论[M].武汉:武汉大学出版社、2001 年.
[6] 潘英丽.中国证券化市场规范发展问题研究[M].上海:上海财经大学出版社,2000 年.
[7] 洪艳蓉.资产证券化法律问题研究[M].北京:北京大学出版社,2004年.
[8] 成之德等.资产证券化理论与实务全书[M].北京:中国言实出版社,2000 年版.
[9] 何小峰等.资产证券化:中国的模式[M].北京:北京大学出版社,2002年.
[10] [美]Andrew Davidson,Anthony Sanders,Lan-ling Wolff,ANNE Ching.资产证券化:构建和投资分析[M].北京:中国人民大学出版社出版,2006 年.
[11] [美]詹姆斯·托宾.货币、信贷与资本[M].大连:东北财经大学出版社,2000年.
[12] [美]菲利普·乔瑞.风险价值——金融风险管理新标准[M].北京:
中信出版社,2000 年版.
[13] [美]斯蒂文·L.西瓦兹.结构金融——资产证券化原理指南[M].北京:清华大学出版社,2003 年.
[14] Bill Burns and Ying shen . Duration Bands: A new Approach to Measuring Mortgage Risks[M].Capital Management Sciences ,1999.
[15]Daniel R.Amerman. Collateralized , Mortgage Obligations[M].Mcgraw-Hill,1996.
[1] 宾融.论抵押支持证券的基本品种及我国的对策[J].新金融,2001(12).
[2] 汪丽娜.中国推行抵押贷款证券化的理性思考及制度安排[J].中国房地产金融,2002(09).
[3] 宋芳秀、何小峰.我国开展资产证券化的税收问题分析[J].中国城市金融,1999(08).
[4] 李扬、殷剑锋.理顺利率体系健全利率形成机制[J].中国证券报,2004(06).
[5] 张超英.美、日金融资产证券化:比较分析[J].国际金融研究,2002(11).
[6] 张超英.证券化的一种理论探析[J].数量经济技术经济研究,2001(12).
[7] 卢静妍.我国住房抵押贷款证券化的障碍及其解决措施[J].上海投资,2000(02).
[8] 潘耀明.上海房地产证券化发展突破口何在[J].解放日报,2000(01).
[9] 包宗华.未来 50 年我国住房建设与改革展望[J].中国房地产金融,2000(01).
[10] 秦慈.我国住房抵押贷款证券化思路[J].上海投资,1999(01).
[11] 葛开明.中外住房金融制度的比较研究[J].上海工程技术大学学报,2001(08).
[12] 傅十和.中国房地产市场程度研究[J].中国房地产金融,1998(07).
1、美国政府全国抵押协会(www.ginniemae.gov)
2、美国联邦国民抵押协会(www.fanniemae.com)
3、美国联邦住宅抵押贷款(www.freddiemac.com)
4、中国证券监督管理委员会(www.csrc.gov.cn)
5、中国人民银行(www.pbc.gov.cn)
6、中国资产证券化网(www.chinasecuritization.cn/Index.asp)
[2] 数据来源:中国国家统计局公开网站(www.stats.gov.cn)
[3] [美国]Lone T. Gardene 著,《A Primer on Securitization》,Cambridge,MA,MIT press,1986,p189
[4] 数据来源:美国证券交易委员会(http://www.sec.gov/)
[5] 王国开. 资产证券化论[M].上海:上海财经大学出版社,1999 年,第 21 页.
[6] 何小峰. 资产证券化:中国的模式[M].北京:北京大学出版社,2002年,第 117 页.
[7] 对于基础资产的要求,存在许多不同的观点。这些观点的基本标准是:有明确可预见的未来现金流、违约率低、多样化的借款人、平均偿付期至少为一年。
[8] 还有一种理论是把住房抵押贷款证券化的风险分为系统风险(systematic risk)与非系统风险(unsystematic risk)。系统风险是指又共同的或普遍性的因素造成的资产波动性;非系统风险是通过分散化可以消除的资产波动性。其中本文分析的提前支付风险和信用风险均为系统风险。
[9] [美]Andrew Davidson,Anthony Sanders,Lan-ling Wolff,ANNE Ching,王小芳译. 资产证券化:构建和投资分析[M].北京:中国人民大学出版社,2006年,第106页.
[10] 目前比较权威的风险量化管理模型是J.P.摩根推出的以VaR为基础的 市 场 风 险 计 量 Riskmetrick 和 信 用 风 险 管 理 模 型 信 用 计 量Creditmetrics,KMV公司得以EDF为核心手段的KMV模型,McKingsey公司的McKingsey模型
[11] 数据来源:中国资产证券化(http://www.chinasecuritization.cn/Index.asp)
[12] 数据来源:中国国家统计局公开网站(http://www.stats.gov.cn)
[13] 近年来西方金融业混业经营突破的主要是分业经营,而不是分业管理。如美国,商业银行仍然是由联邦储备系统监管;投资银行还是由证券委员会监管;金融控股公司的具体金融机构都是有自己特定范围的商业银行或银行金融机构,能够满足分业监管的要求。
[1] 宾融.住房抵押贷款证券化[M].北京:中国金融出版社,2002 年.
[2] 邓伟利.资产证券化:国际经验与中国实践[M].上海:上海人民出版社,2003年.
[3] 张超英.资产证券化的本质和效应[M].北京:经济科学出版社,2004年.
[4] 姜建清.商业银行资产证券化——从货币市场走向资本市场[M].北京:中国金融出版社,2004 年.
[5] 叶永刚.固定收入证券概论[M].武汉:武汉大学出版社、2001 年.
[6] 潘英丽.中国证券化市场规范发展问题研究[M].上海:上海财经大学出版社,2000 年.
[7] 洪艳蓉.资产证券化法律问题研究[M].北京:北京大学出版社,2004年.
[8] 成之德等.资产证券化理论与实务全书[M].北京:中国言实出版社,2000 年版.
[9] 何小峰等.资产证券化:中国的模式[M].北京:北京大学出版社,2002年.
[10] [美]Andrew Davidson,Anthony Sanders,Lan-ling Wolff,ANNE Ching.资产证券化:构建和投资分析[M].北京:中国人民大学出版社出版,2006 年.
[11] [美]詹姆斯·托宾.货币、信贷与资本[M].大连:东北财经大学出版社,2000年.
[12] [美]菲利普·乔瑞.风险价值——金融风险管理新标准[M].北京:
中信出版社,2000 年版.
[13] [美]斯蒂文·L.西瓦兹.结构金融——资产证券化原理指南[M].北京:清华大学出版社,2003 年.
[14] Bill Burns and Ying shen . Duration Bands: A new Approach to Measuring Mortgage Risks[M].Capital Management Sciences ,1999.
[15]Daniel R.Amerman. Collateralized , Mortgage Obligations[M].Mcgraw-Hill,1996.
[1] 宾融.论抵押支持证券的基本品种及我国的对策[J].新金融,2001(12).
[2] 汪丽娜.中国推行抵押贷款证券化的理性思考及制度安排[J].中国房地产金融,2002(09).
[3] 宋芳秀、何小峰.我国开展资产证券化的税收问题分析[J].中国城市金融,1999(08).
[4] 李扬、殷剑锋.理顺利率体系健全利率形成机制[J].中国证券报,2004(06).
[5] 张超英.美、日金融资产证券化:比较分析[J].国际金融研究,2002(11).
[6] 张超英.证券化的一种理论探析[J].数量经济技术经济研究,2001(12).
[7] 卢静妍.我国住房抵押贷款证券化的障碍及其解决措施[J].上海投资,2000(02).
[8] 潘耀明.上海房地产证券化发展突破口何在[J].解放日报,2000(01).
[9] 包宗华.未来 50 年我国住房建设与改革展望[J].中国房地产金融,2000(01).
[10] 秦慈.我国住房抵押贷款证券化思路[J].上海投资,1999(01).
[11] 葛开明.中外住房金融制度的比较研究[J].上海工程技术大学学报,2001(08).
[12] 傅十和.中国房地产市场程度研究[J].中国房地产金融,1998(07).
1、美国政府全国抵押协会(www.ginniemae.gov)
2、美国联邦国民抵押协会(www.fanniemae.com)
3、美国联邦住宅抵押贷款(www.freddiemac.com)
4、中国证券监督管理委员会(www.csrc.gov.cn)
5、中国人民银行(www.pbc.gov.cn)
6、中国资产证券化网(www.chinasecuritization.cn/Index.asp)