| Asset securitization is the most important innovation in the international financial field since the1960s, originated in the United States. Now it has become the main trend of financial business with the greatest potential. Asset securities provide commercial banks with a new sophisticated type of financing instruments, which can maintain and enhance their ability to borrow and lend, improve the bank’s capital adequacy ratio, optimize the capital structure and reduce the financing cost. What’s more, it can control risk, maintain the stability of the banking system, and obtain higher returns. Further, it will attract more investors.A residential mortgage-backed security is a bond backed by a pool of residential mortgage loans. Principal and interest payments received from the underlying amortization loan are passed through to the investors. Owing to the stable cash flow, easy operation and low risk, residential mortgage-backed securities were created as the breakthrough of the asset backed securitization in a list of countries. With the acceleration of urbanization, increase of residents’ income, improvement of housing structure and environment and rising house prices, real estate industry in China has entered a rapid development period, which will maintain for a long while. So the demand of residential mortgage loan is in a sharp increase and residential mortgage-backed securitization is an inevitable trend. However, in China this financing mode, asset securitization, is now still in the stage of small experiment and lack of data to test some models.To establish a complete and reasonable mortgage-backed securitization structuring model, this paper firstly introduced a method to estimate the repayment default rate based on distributionally robust optimization. Then it improved a credit rating system by embedding a put option on the mortgage market value because of the prepayment. Using this system the coupon rate can be priced. Finally it proposed to use the dynamic programming model to structure a collateralized mortgage obligation with different tranches. From the perspective of SPV, the tranches’ scale and maturity structure were designed to maximize its net cash flow. This technology is expected to make a contribution to China financial innovation and put forward fresh ideals. |
