| Mortgage-backed Securitization(MBS) was one of the most significant financial innovations in the world's financial sector during 70s of the 20th century.On the one hand,It improves the mobility of the house buyers and real estate enterprises,and promotes the overall development of the real estate market.On the other hand,it improves the operation of commercial banks and the third-party agencies,broadens investing channels,and promotes the overall development of financial markets. Nowadays,MBS has been widely implemented in countries and regions where the real estate markets and financial markets were highly developed,such as the United States,Europe,Japan,Hong Kong,and China has also begun the pilot work of MBS in 2005.However,with the large-scale outbreak of sub-prime mortgage loan crisis in the United States,the problem of analyzing and controlling the risks of mortgage-backed securities wins the public attention once again.The topics that how to recognize,assess and control risk correctly,how to standardize the operation,and how to formulate and carry out reasonable policies effectively have become the main consideration of the domestic and foreign financial scholars.The paper,in such a global context,based on Chinese financial practice,referring sub-prime mortgage loan crisis fully,starts the analysis and control of MBS risk.The paper could be divided into five parts:PartⅠ:Background knowledge,research significance and theory.First of all,this part introduces background of the real estate market,mortgage loan market,and macro-policy environment in China.On this basis,the part analyzes the theoretical and practical significance of research.Secondly,this part refers research findings about the risks of mortgage securitization by domestic and foreign scholars,mainly including credit risk,prepayment risk and pricing risk,in order to provide a theoretical basis for the paper.PartⅡ:the basic knowledge of Mortgage-backed Securitization.The second section of this paper systematically analyzes the basic knowledge of MBS,including the meaning of mortgage-backed securities,its important role,as well as the specific operation and feasibility of MBS in our country.PartⅢ:the domestic and foreign developments of mortgage-backed securitization.First of all,this part briefly introduces two modes of mortgage-backed securitization which operate successfully,including the mode operating out of balance-sheet in USA and the opposite mode in Europe.The analysis is about the main features,the advantages and weaknesses,and market development of each one. Secondly,this part introduces the sub-prime mortgage loan crisis,including its direct losses,adverse effects and reasons which include the expansion of real estate credit irrationally,over-securitization and lack of supervision.Finally,the part analyzes Chinese first product of mortgage securitization - "2005-1 Jianyuan personal housing mortgage-backed security",mainly including the operational mode,the existing problems,the causes and follow-up developments.PartⅣ:the risk analysis of Chinese MBS.This part carries out a detailed inspection of the mortgage securitization risk in three directions-the participating party,the relevant market and the macro-environment.First of all,the participators in the main include borrowers,commercial banks,special purpose vehicles and third-party institutions.The borrowers have default risk and market risk;the commercial banks have operation risk and the risk of true sale of assets;the special purpose vehicle have the establishment risk and designing and pricing risk;finally the paper has a brief statement about the risk of third-party agencies(institutions of credit enhancement,credit rating agencies,management bodies and service providers). Secondly,the market risks mainly include pricing risk,the risk of property rights barriers,liquidity risk and the risk of interest rate.Finally,the macro-environmental risks include the risks of laws and regulations,the risks of related policies and risks of supervision environment.This part,mainly based on the actual situation in China, considering the crisis in the United States,analyzes the operation mechanism, influencing factors and the specific reasons of the mortgage securitization risks more deeply.PartⅤ:the prevention and control measures of Chinese MBS risks.On the structure,this part is also divided into three parts-participators,the relevant markets and the macroeconomic environment.As to the risks of the borrows,the author raises separately improvement of personal credit system,establishment of mortgage insurance,enhancement of credit system,prepayment penalties and yield-keeping system and so on.As to the risks of commercial banks,the author suggests that we should enhance the awareness of prudent operation,strengthen internal control mechanism and define true sale rationally.As to the SPV,the author puts forward that we should determine the actual needs of the establishment of a SPV mode,scientific portfolio design and reasonable pricing.As to the third-party agencies,the author suggests that we should improve the level of the operation.In the relevant market,the author suggests we should establish a real estate information management system, reduce restrictions on investors,as well as sophisticate institutional investors and introduce strategic investors.Considering the macro-environment,the author analyzes how to improve our accounting standards,taxation system and the relevant laws and regulations.This part tries to introduce the actual situation to prevention and control of MBS risks on the basis of the actual needs of our microenvironment and macro-environment.As a whole,following Chinese financial practice,the article analyzes the risks of our mortgage-backed securitization based on the warnings of sub-prime mortgage loan crisis in the United States.The analysis covers the risks of participators,the relevant market and macro-policy environment in the MBS.And then the paper tries to put forward practical measures and recommendations.Of course,because mortgage-backed securitization in China has just started,so it's hard to avoid the lack of the data and examples to support risk analysis effectively,which requires that we should improve the analysis and control of the MBS risks step-by-step. |
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