Case Analysis Of “Estate Yuan-1-1” Housing Mortgage Loan Securitization Underlying Asset Risk Prevention

When the economic level is rising,so that residents living environment requirements increased.China’s personal housing mortgage balance for eight consecutive years to maintain more than eleven percent.Interest rate marketization allows commercial banks to draw deposits into the bottleneck period,while the national two-child policy making commercial banks housing mortgages surge.Commercial banks need to find new business models.After 2012 China government restart the credit asset securitization pilot,the commercial banks can sufficient translate mortgage loans into securities However,the US subprime mortgage crisis in advance remind us to prevent the risk of housing mortgage securitization.This article chooses the first case of mortgage asset securitization products after the restart of credit asset securitization in 2012-"Post 2014-1",which is designed to analyze the factors that cause the risk of the product,and which tools can be used to measure.In order to guard against these risk.Hoping to put forward the corresponding countermeasures and apply this proposal to the subsequent mortgage securitization.This paper makes a qualitative analysis from the point of view of the risk of default risk,advanced payment risk,interest rate risk and legal risk.And then use the postal 2014-1personal housing mortgage securitization trust trustee reports and databases and other data,combined with the risk of qualitative analysis to do quantitative analysis.First,the multiple regression model of default risk is constructed by using the loan rate of five years or more,the national housing climate index,the consumer price index and the industrial added value growth rate.Followed by the postal currency 2014-1 personal housing mortgage securitization announcement and the National Bureau of Statistics and other data,the use of debt income than the index analysis and mortgage rate analysis of default risk.Finally,select the two variables,the benchmark interest rate and the housing price,which are the largest in the qualitative analysis and the early payment risk relationship.Using the two variables and postal 2014-1 personal housing mortgage securitization of the early reimbursement risk to do Granger causality test,the first to do the smoothness test,found that the benchmark interest rate,housing prices and early repayment rate are first order smooth.Followed by a two-step co-integration test on Engle-Granger,respectively,for the benchmark interest rate and the prepayment rate,the housing price and the early repayment rate.And then through the VAR estimates,compare the value of AIC and SIC to determinethe Granger causality test after the best delay period,they Granger causality test.The results show that the four variables over the five-year lending rate,the national housing climate index,the consumer price index and the industrial added value growth rate of these four variables at the 5% significance level on the postal 2014-1 personal housing mortgage securitization default rate Have a significant impact,and have a negative correlation with the default rate.But the degree of impact varies with the growth rate of industrial added value as the representative of the macroeconomic state of the greatest impact on the default rate.Followed by more than five years loan interest rates and the national housing climate index on the impact of the default rate tied for second.The inflation rate,represented by the consumer price index,has the least impact on default rates.In the analysis of indicators,it is confirmed that when the debt income ratio is less than30%,the default rate is very low.From the mortgage rate analysis can be drawn in the mortgage rate to reduce the default rate of reduction.In analyzing the early payment risk,the Granger causality test results show that the five-year period above the loan interest rate and house price changes are the reasons for the continuous advance repayment rate of Granger reasons.And then combined with the research results,to prevent the risk of housing mortgage securitization put forward their own recommendations.