Valuation And Investment Value Of The Mbs Pricing Analysis

From 1970's, Mortgage-backed securities was born and developed in America, to 2007, it did as the main player caused the global financial crisis. Mortgage-backed securities had always providing creativity and opportunities to the development of modern financial industry, and it will develop as a more important role in the future. In 2005, China Construction Bank issued the first mortgage-backed securities-Jianyuan 2005MBS, represents the development of China's financial industry has taken an important step.This article will search from the basic characteristics of mortgage-backed securities and concept, through the deepening of its pricing methods and the operation of the valuation process, and many other means of understanding, studying the pricing and valuationg issues in China. Then find out the characteristics of the current mainstream investors, and how they invest in bonds at all levels in Jianyuan 2005MBS.The specific content of the study is divided into three parts:The first part introduces a few basic forms of mortgage-backed securities, such as mortgage pass-through securities, collateralized mortgage obligation, stripped mortgage-backed securities and other style. The main styles will study in this article are mortgage pass-through securities, the most basic, most primitive species, and sequential pay tranch and accrual pay tranch. Understanding the most basic form of mortgage-backed securities can enhance the understanding of some basic concepts and help understand the structure of the continued development of more complex products; Understanding the sequential pay tranch, the most basic form of CMO, can help us to understand the structure of the future development of more complex species in CMO. Jianyuan 2005MBS has the same structure as the accrual pay CMO, which is a mortgage-backed securities in a more complex structure. Therefore, focusing on understanding the characteristics of these three parts, has important significance on following study.The second part describes some pricing model of mortgage-backed securities and valuation method. These model including, dynamic interest rates model, prepayment model, the binomial model and the Monte Carlo simulation. The main valuation methods described including cash flow yield, zero volatility spread and option-adjusted spread method.The third part, throughing the studing of characteristics of mortgage-backed securities and model, in combination with the actual charactors of jianyuan 2005MBS, we can do the valuation analysis. Using dynamic interest rate model, prepayment model and the Monte Carlo simulation, we can estimated the option-adjusted spread,then valuing jianyuan 2005MBS; Finally, summarize the characteristics of each bonds and the characteristics of different investors, to discuss which level of Jianyuan 2005MBS are suitable for different investors.