建元住房抵押贷款证券化定价研究
摘要
资产证券化作为一种金融创新产品,最早起源于美国。1968年美国国民抵押协会为了摆脱储蓄存款大量提取所造成的流动性困境,首次公开发行“过手证券”,使银行具有了“资产出售者”的职能。之后几十年,资产证券化发展迅猛,在国际上已成为一种成熟的融资工具。
资产证券化作为一种解决银行资产流动性问题的金融创新工具,使银行信贷风险向资本市场转移,使直接融资向间接融资转化,促使货币市场与资本市场日益融合,从而实现风险转移与风险融资的双重目标。
2005年年底,中国建设银行股份有限公司和国家开发银行在银行间债券市场成功发行建元和开元两支资产支持证券,标志着我国资产证券化进入实施阶段。建元2005-1个人住房抵押贷款资产证券化信托在我国的发行获得成功,打破我国债券市场上国债一统天下的局面,有效改善我国债券市场品种单一的重大缺陷,拓宽企业、个人的投融资渠道,在一定程度上改善我国居民购房融资困难的局面,同时将搭建起资本市场与货币市场的桥梁,大大推动我国住房产业与金融业的发展。
随着建元2005-1的发行与流通,发行机构需要确定发行价格与票面利率,确保满足自身收益需要的同时发行成功;投资机构需要准确了解其投资收益与投资该证券后所面临的价格风险;中介机构同样需要对其价值有所掌握。因此对其价值的研究已经变得空前重要,具有现实意义。
本文通过对国外常用定价方法的比较及其影响因素的分析,提出我国目前应采用传统的定价思路。并结合建行MBS的发行状况,利用传统方法为其定价进行分析研究。
本文以建元证券化上市发行为切入点,结合中国金融市场实际,对中国第一个住房抵押贷款证券化金融产品的定价及其影响因素进行初步的探讨和分析,为机构投资者和将要展开住房抵押贷款证券化的银行或金融机构提供一个初步的理论研究和实践探索.
Asset securitization is a financial innovation product originated in the United States. In 1968, in order to break away from massive liquidity difficulties of large savings deposits, the US National Mortgage Association publicly released the IPO“handle securities”, and that makes the banks have the“asset sale”functions. After several decades, the asset securitization has made a vigorous development in the international arena and has now become a mature financing tool.
Asset Securitization as a solution to the banking liquidity is a new financial tool. It will lead the bank credit risk transfer to the capital markets, direct financing to indirect financing transformation, prompted the integration of currency market and capital market, so as to achieve the twin goals of risk transfer and risk financing.
Housing mortgage is an…process that the financial institutions assemble and reorganize their housing mortgage, which lack of liquidity but with steady future cash receipts into the collateral loan pool, purchase by financial institutions or other specialized ones, and sell to investigators after credit rising through official guarantee or other forms of it. And the housing mortgage loan securitization in China at this stage has had the both economic and social infrastructure for its implements.
Popularizing housing mortgage in China does make greater sense. For the banking industry, it can optimize asset portfolio and improve the balance structure, raise their capital adequacy ratios, decentralized management risks; For local industries, it can promote its sustainable and stable development, satisfy the demand for housing consumption; For local investors, they can enrich the type of investment, increase investment options; And for macroeconomic, it has also played a positive role in promoting.
At the end of 2005, China Construction Bank Corp. and the State Development Bank successfully issued Jianyuan and Kaiyuan these two assets supporting securities in the inter-bank bond market, which indicate the assets securitizations of our country enters the implementing stage. Jianyuan 2005-1 Assets securitization trust of the personal home mortgage was successfully issued in China. This move broke the situation that the national debt unifies the whole country on national bond market, effectively improved our bond market’s major defect of the single variety, widened the approaches of investment and financing for enterprises and the personal customers. To certain extent, it improved the situation of the residents’financing difficulty in our country. Meanwhile, it also built up a bridge between the capital market and the currency market, therefore greatly promoted the development of China's housing industry and the financial industry.
Jianyuan 2005-1 MBS’s meaning as a creature and sample has more significant meaning than direct benefits. Despite its issuance process has encountered many unexpected obstacles, even had been doubted, its status in our asset securitization milestone is beyond reproach.
With the issuance and circulation of Jianyuan 2005-1, the issuers need to determine the issue price and the nominal interest rate to ensure that it will meet their own needs while the receipts successfully issued; Investment institutions need to accurately understand their investment income and the price risk after that investment; and the intermediary institutions also need its value to be in charged of. Thus the research on its value has become unprecedentedly important, and has had realistic meanings
Based on the comparison of abroad pricing methods and analysis of influencing factors, this issue presents that, China now should use traditional pricing ideas combined with the issuance of MBS situation of CCB to analysis its pricing through traditional methods.
Combined China's financial market realities, this issue takes Jianyuan securitization listing issue as a focal point to make a preliminary discussion and analysis to the pricing and its affecting factors of China's first housing mortgage loan securitization of financial products. Thus fulfill the aim of offering a preliminary theoretical research and practical exploration to institutional investors and to those banks or financial institutions which are to start housing mortgage loan securitization.
The issue is divided into five parts. In the first chapter, brief background of the research and significance are presented. Including the housing mortgage loans and the synthesis and study of this framework, at both home and abroad, the theory cognition of asset securitization and its work flow are reached. In the second chapter, Jianyuan MBS's fundamentals are described. This chapter aims to get a whole understanding of the Jianyuan MBS and its participants, and to analysis the relationship between the participants and the proceeds and benefits, in order to get a survey of the MBS. In the third chapter, details of the major existing MBS pricing methods, and the impact of MBS pricing factors are discussed. First introduce the traditional pricing method, measurement model pricing and options pricing. Compare those pricing methodologies to understand its main influencing factors. Then make analyses on the payment risk, interest rate changing factors and early repayment. Finally, compare with the impact of domestic and international factors, make a further analysis, considering the reality of our country to lay a foundation for the pricing strategies. In chapter IV, firstly, based on the pricing in the former discussion, propose solutions and possible strategies to the current situation: promote market-oriented interest rate; construct the benchmark interest rate system; establish a personal housing mortgage loan database. Secondly, in accordance with foreign MBS previous comparative analysis, the essay offers a solution that is feasible: the government supports the establishment of a sound system; improve housing mortgage loans to infrastructure; establish a sound system of laws and regulations; promote the development of sound market environment. Then, combining bank MBS process Jianyuan 2005-1 analysis of the pricing methodology and its impact factors, the traditional method are used for pricing. The fifth chapter, a conclusion is reached. Through the analysis of previous studies, it is indicated that the accurate forecast of MBS pricing is the key to cash flow distribution, basing on the study of the borrowers’early repayment. But in China, housing mortgage loan market borrowers for early repayment of research was still blank, financial institutions are lack of a constantly long-term information study. So in the beginning of our implementation of MBS, only traditional low-pricing methods can play a part. Accompanied with rapidly and mature developing of the personal housing mortgage loan market, the personal housing mortgage loan market, secondary market has also gained a corresponding development. And now MBS should be expedited at this stage pricing environment, to create conditions for the use of high-precision pricing method, to improve the efficiency of MBS pricing in order to meet our MBS market development needs.
The purpose of this article is based on the fixed pricing research of MBS in Construction Bank, and depends on the acquired knowledge, which is to show an overall perspective on personal housing mortgage securitization in China’s present day. This article is elaborated as far as possible from the light of China’s actual situation, from the theoretical basis of analysis and the evaluation of risk factors, pricing theory methods to the pricing method. And on Construction Bank’s mature pilot program, I raise some immature suggestions and opinions of my own, in order to contribute to China’s economic and financial development in the pursuit of the same goal.
资产证券化作为一种解决银行资产流动性问题的金融创新工具,使银行信贷风险向资本市场转移,使直接融资向间接融资转化,促使货币市场与资本市场日益融合,从而实现风险转移与风险融资的双重目标。
2005年年底,中国建设银行股份有限公司和国家开发银行在银行间债券市场成功发行建元和开元两支资产支持证券,标志着我国资产证券化进入实施阶段。建元2005-1个人住房抵押贷款资产证券化信托在我国的发行获得成功,打破我国债券市场上国债一统天下的局面,有效改善我国债券市场品种单一的重大缺陷,拓宽企业、个人的投融资渠道,在一定程度上改善我国居民购房融资困难的局面,同时将搭建起资本市场与货币市场的桥梁,大大推动我国住房产业与金融业的发展。
随着建元2005-1的发行与流通,发行机构需要确定发行价格与票面利率,确保满足自身收益需要的同时发行成功;投资机构需要准确了解其投资收益与投资该证券后所面临的价格风险;中介机构同样需要对其价值有所掌握。因此对其价值的研究已经变得空前重要,具有现实意义。
本文通过对国外常用定价方法的比较及其影响因素的分析,提出我国目前应采用传统的定价思路。并结合建行MBS的发行状况,利用传统方法为其定价进行分析研究。
本文以建元证券化上市发行为切入点,结合中国金融市场实际,对中国第一个住房抵押贷款证券化金融产品的定价及其影响因素进行初步的探讨和分析,为机构投资者和将要展开住房抵押贷款证券化的银行或金融机构提供一个初步的理论研究和实践探索.
Asset securitization is a financial innovation product originated in the United States. In 1968, in order to break away from massive liquidity difficulties of large savings deposits, the US National Mortgage Association publicly released the IPO“handle securities”, and that makes the banks have the“asset sale”functions. After several decades, the asset securitization has made a vigorous development in the international arena and has now become a mature financing tool.
Asset Securitization as a solution to the banking liquidity is a new financial tool. It will lead the bank credit risk transfer to the capital markets, direct financing to indirect financing transformation, prompted the integration of currency market and capital market, so as to achieve the twin goals of risk transfer and risk financing.
Housing mortgage is an…process that the financial institutions assemble and reorganize their housing mortgage, which lack of liquidity but with steady future cash receipts into the collateral loan pool, purchase by financial institutions or other specialized ones, and sell to investigators after credit rising through official guarantee or other forms of it. And the housing mortgage loan securitization in China at this stage has had the both economic and social infrastructure for its implements.
Popularizing housing mortgage in China does make greater sense. For the banking industry, it can optimize asset portfolio and improve the balance structure, raise their capital adequacy ratios, decentralized management risks; For local industries, it can promote its sustainable and stable development, satisfy the demand for housing consumption; For local investors, they can enrich the type of investment, increase investment options; And for macroeconomic, it has also played a positive role in promoting.
At the end of 2005, China Construction Bank Corp. and the State Development Bank successfully issued Jianyuan and Kaiyuan these two assets supporting securities in the inter-bank bond market, which indicate the assets securitizations of our country enters the implementing stage. Jianyuan 2005-1 Assets securitization trust of the personal home mortgage was successfully issued in China. This move broke the situation that the national debt unifies the whole country on national bond market, effectively improved our bond market’s major defect of the single variety, widened the approaches of investment and financing for enterprises and the personal customers. To certain extent, it improved the situation of the residents’financing difficulty in our country. Meanwhile, it also built up a bridge between the capital market and the currency market, therefore greatly promoted the development of China's housing industry and the financial industry.
Jianyuan 2005-1 MBS’s meaning as a creature and sample has more significant meaning than direct benefits. Despite its issuance process has encountered many unexpected obstacles, even had been doubted, its status in our asset securitization milestone is beyond reproach.
With the issuance and circulation of Jianyuan 2005-1, the issuers need to determine the issue price and the nominal interest rate to ensure that it will meet their own needs while the receipts successfully issued; Investment institutions need to accurately understand their investment income and the price risk after that investment; and the intermediary institutions also need its value to be in charged of. Thus the research on its value has become unprecedentedly important, and has had realistic meanings
Based on the comparison of abroad pricing methods and analysis of influencing factors, this issue presents that, China now should use traditional pricing ideas combined with the issuance of MBS situation of CCB to analysis its pricing through traditional methods.
Combined China's financial market realities, this issue takes Jianyuan securitization listing issue as a focal point to make a preliminary discussion and analysis to the pricing and its affecting factors of China's first housing mortgage loan securitization of financial products. Thus fulfill the aim of offering a preliminary theoretical research and practical exploration to institutional investors and to those banks or financial institutions which are to start housing mortgage loan securitization.
The issue is divided into five parts. In the first chapter, brief background of the research and significance are presented. Including the housing mortgage loans and the synthesis and study of this framework, at both home and abroad, the theory cognition of asset securitization and its work flow are reached. In the second chapter, Jianyuan MBS's fundamentals are described. This chapter aims to get a whole understanding of the Jianyuan MBS and its participants, and to analysis the relationship between the participants and the proceeds and benefits, in order to get a survey of the MBS. In the third chapter, details of the major existing MBS pricing methods, and the impact of MBS pricing factors are discussed. First introduce the traditional pricing method, measurement model pricing and options pricing. Compare those pricing methodologies to understand its main influencing factors. Then make analyses on the payment risk, interest rate changing factors and early repayment. Finally, compare with the impact of domestic and international factors, make a further analysis, considering the reality of our country to lay a foundation for the pricing strategies. In chapter IV, firstly, based on the pricing in the former discussion, propose solutions and possible strategies to the current situation: promote market-oriented interest rate; construct the benchmark interest rate system; establish a personal housing mortgage loan database. Secondly, in accordance with foreign MBS previous comparative analysis, the essay offers a solution that is feasible: the government supports the establishment of a sound system; improve housing mortgage loans to infrastructure; establish a sound system of laws and regulations; promote the development of sound market environment. Then, combining bank MBS process Jianyuan 2005-1 analysis of the pricing methodology and its impact factors, the traditional method are used for pricing. The fifth chapter, a conclusion is reached. Through the analysis of previous studies, it is indicated that the accurate forecast of MBS pricing is the key to cash flow distribution, basing on the study of the borrowers’early repayment. But in China, housing mortgage loan market borrowers for early repayment of research was still blank, financial institutions are lack of a constantly long-term information study. So in the beginning of our implementation of MBS, only traditional low-pricing methods can play a part. Accompanied with rapidly and mature developing of the personal housing mortgage loan market, the personal housing mortgage loan market, secondary market has also gained a corresponding development. And now MBS should be expedited at this stage pricing environment, to create conditions for the use of high-precision pricing method, to improve the efficiency of MBS pricing in order to meet our MBS market development needs.
The purpose of this article is based on the fixed pricing research of MBS in Construction Bank, and depends on the acquired knowledge, which is to show an overall perspective on personal housing mortgage securitization in China’s present day. This article is elaborated as far as possible from the light of China’s actual situation, from the theoretical basis of analysis and the evaluation of risk factors, pricing theory methods to the pricing method. And on Construction Bank’s mature pilot program, I raise some immature suggestions and opinions of my own, in order to contribute to China’s economic and financial development in the pursuit of the same goal.
引文
[1] 资产证券化论,上海擦净大学出版社,1999 年 2 月,王开国等编著
[2] 戴志敏,信贷资产证券化理论及其应用研究,吉林大学硕士学位论文,2006
[3] 陆烨彬、吴应宇,“我国资产证券化的发展模式探析”,《现代管理科学》,2004 年第 12 期,第 15 页。
[4] 李树江,资产证券化定价方法分析,对外经济贸易大学,硕士学位论文,2006.4
[5] 洪艳蓉. 资产证券化法律问题研究. 上海: 上海人民出版社, 2000
[6] 于凤坤,“资产证券化:理论与实务”,《北京大学出版社》,2002 年 5 月第 1 版,第 116-131 页。
[7] 黄蒿,论广义资产证券化的理论体系.学习与探索.2004.3
[8] 陈晓东. 近年国内学术界关于资产证券化问题的研究综述[J]. 2003.12
[9] 《中国金融理论前沿》P298,社会科学文献出版社,2001.6
[10] 李传全. 资产证券化的概念与分类研究[R],中国资产证券化网
[11] 资料来源:Federal National Mortgage Association Annual Report,2003
[12] 施方,《住房抵押贷款证券化-运作和定价》,上海财经大学出版社,2005
[13] 金郁森.中国资产证券化实务解决方案与产品设计.海天出版社,2005 年版
[14] 谢清河,我国住房抵押贷款证券化问题研究.经济纵横,2005 , (1)
[15] 谢清河,我国住房抵押贷款证券化问题研究.经济纵横,2005 , (1)
[16] 刘克崮,我国开展个人住房抵押贷款证券化势在必行, 管理世界,2004 , 10 .
[17] 谈我国资产证券化的意义及运作程序。 金融经济 2006.5 吴霏雨
[18] 个案分析 MBS 第一单。新财经,2006.2.梁静。
[19] 中国建设银行股份有限公司2004 年年报
[20] 建元 2005-1 个人住房抵押贷款证券化信托发行说明书。
[21] 王芳,住房抵押贷款证券化的收益分析,武汉理工大学,硕士学位论文,2006
[22] 建元2005-1 个人住房抵押贷款证券化信托发行说明书。
[23] 陈柏东.住房抵押贷款支撑证券定价方法研究,中南财经政法大学学报,2005 (2)
[24] 姚长辉.中国住房抵押贷款证券化创新研究.北京:北京大学出版社,2001 年。
[25] 孙奉军.资产证券化效率分析.上海:上海财经大学出版社,2004 年
[26] 于晓杰,我国国债规模现状分析,2005·10,31-33
[27] 人民银行,2004 中国房地产金融报告
[28] 我国住房抵押贷款证券定价研究。2006 年 10 月特区经济,刘凤妹
[29] 资料来源:《建元2005-1 个人住房抵押贷款证券化信托发行说明书》和路演材料
[2] 戴志敏,信贷资产证券化理论及其应用研究,吉林大学硕士学位论文,2006
[3] 陆烨彬、吴应宇,“我国资产证券化的发展模式探析”,《现代管理科学》,2004 年第 12 期,第 15 页。
[4] 李树江,资产证券化定价方法分析,对外经济贸易大学,硕士学位论文,2006.4
[5] 洪艳蓉. 资产证券化法律问题研究. 上海: 上海人民出版社, 2000
[6] 于凤坤,“资产证券化:理论与实务”,《北京大学出版社》,2002 年 5 月第 1 版,第 116-131 页。
[7] 黄蒿,论广义资产证券化的理论体系.学习与探索.2004.3
[8] 陈晓东. 近年国内学术界关于资产证券化问题的研究综述[J]. 2003.12
[9] 《中国金融理论前沿》P298,社会科学文献出版社,2001.6
[10] 李传全. 资产证券化的概念与分类研究[R],中国资产证券化网
[11] 资料来源:Federal National Mortgage Association Annual Report,2003
[12] 施方,《住房抵押贷款证券化-运作和定价》,上海财经大学出版社,2005
[13] 金郁森.中国资产证券化实务解决方案与产品设计.海天出版社,2005 年版
[14] 谢清河,我国住房抵押贷款证券化问题研究.经济纵横,2005 , (1)
[15] 谢清河,我国住房抵押贷款证券化问题研究.经济纵横,2005 , (1)
[16] 刘克崮,我国开展个人住房抵押贷款证券化势在必行, 管理世界,2004 , 10 .
[17] 谈我国资产证券化的意义及运作程序。 金融经济 2006.5 吴霏雨
[18] 个案分析 MBS 第一单。新财经,2006.2.梁静。
[19] 中国建设银行股份有限公司2004 年年报
[20] 建元 2005-1 个人住房抵押贷款证券化信托发行说明书。
[21] 王芳,住房抵押贷款证券化的收益分析,武汉理工大学,硕士学位论文,2006
[22] 建元2005-1 个人住房抵押贷款证券化信托发行说明书。
[23] 陈柏东.住房抵押贷款支撑证券定价方法研究,中南财经政法大学学报,2005 (2)
[24] 姚长辉.中国住房抵押贷款证券化创新研究.北京:北京大学出版社,2001 年。
[25] 孙奉军.资产证券化效率分析.上海:上海财经大学出版社,2004 年
[26] 于晓杰,我国国债规模现状分析,2005·10,31-33
[27] 人民银行,2004 中国房地产金融报告
[28] 我国住房抵押贷款证券定价研究。2006 年 10 月特区经济,刘凤妹
[29] 资料来源:《建元2005-1 个人住房抵押贷款证券化信托发行说明书》和路演材料