Mortgage-backed Securities Research

Mortgage-backed securitization is one of the hot topics in real estate finance in recent years, it's field covers the real estate market, the credit market and the capital market. Up to now, it is still at the beginning stage in China. With the developing of real estate finance, the amount of mortgage consume loan increase greatly, which forces the banks to face flowing risk. The main measure is to implement MBS, which can change the balance structure of the banks fundamentally. At the meantime, it is also helpful to dredge the canal of housing finance, to improve liquidity and fill lending gaps for provident fund, which can cultivate the demand of purchasing power. On the other hand, as a novelty of finance tools, mortgage-backed securitization opens a new investment way for investors, deepen financial market and activate financial innovation. So it is of great importance both in theoretical and in practical to do the research of Mortgage-backed securitization in China now.Firstly, according to input-output analyse and demanding-income flexibility of housing, this thesis discusses the Chinese real estate market and Chinese resident's housing demand. Secondly, by taking overseas advanced experiences in developing MBS into account, this thesis analyzes the necessity and feasibility for China to establish MBS market. In regard to Chinese national situation, we analyze the fundamental conditions and obstacles to establish the MBS market. Thirdly, The thesis uses the matured technology of MBS in America for reference. We start on the analysis of cash flow, in turn they are: the cash flow of mortgage, the cash flow of no prepayment MBS, the cash flow of MBS with the introduction of prepayment. On these foundations, the thesis applies the theory of cash flow and option valuation to valuate the MBS. We introduce the Option-Adjusted Spreaded(OAS) method and Binomial Trees method. How to evaluate the MBS is the main clue of this thesis. In the end, this thesis carries out the computer programming about valuation.