Study On Operation And Pricing In Mortgage-backed Securitization

Mortgage-Backed Securitization is an important form of the Property Securitization. It is a bright point of the international finance innovation. The MBS is a product resulted from the development of the social politics, economy, science and so on. In the U.S.A. the MBC market exceeded the national debt market to be the biggest financial market in the country. With the reformation of the housing policy in our country, the house is commercialized and the needs of the housing mortgage are increased. Our country should have put the MBC into practice to solve the problems brought by the housing mortgage, for example to solve housing mortgage fund resources and avoid the banks risks. However, there are many problems need to solve in the process of carrying on the MBS in our country, such as: choose which modes to operate the MBC; how to price; how to avoid the coming risks etc. This paper did a lot of research on the MBS in order to solve those problems.This paper used the system viewpoint, and based on the qualitative analysis it used quantitative analysis to it's best. Started with the basic conception of MBS, the paper introduced the variety, procedure and the participant body of MBS. Then studied the necessity and feasibility of MBS for our Country. Around how to set up suitable MBS mode in China, it analyze the pros and cons of two modes, present a suitable transition mode at present and propose several policy advice for the execution of China's MBS such as building up the SPV with governmental background, taking two procedure and carrying out the multinational operation of MBS. With this ,the paper put emphasis on the key point of MBS---pricing. Firstly ,it analyzed the prepayment behavior of MBS, and proposed three traditional criteria of prepayment rate for MBS:FHA standard, CPR standard and PSA standard. Secondly, it used survivable analysis to describe the prepayment behavior, and introduced proportional perilous model to quantify the prepayment rate. Thirdly, it discussed the pricing method of MBS. The paper introduced the interest rate balance method and differential equation method. Among them ,the main point is the static profit interest rate balance method. In the differential equation method, the paper introduced the limited distribute principle. At last, it pointed out the risk that will be meet in operation course of MBS and analyze how to circumvent them.