An Analysis Of Pricing And Influencing Factors Of China's Housing Mortgage Loan Securities

Since 2000,China's real estate market has entered a period of rapid development,and real estate has also become an important pillar of China's GDP growth.Although commercial house is increasing,but with the real estate fever and the people's strong demand for personal housing,commercial housing prices have skyrocketed so that for individual buyers,full purchase of a house is very difficult,so the housing Mortgage loans have arisen in commercial banks,and in recent years,mortgage loans have also taken an increasingly larger proportion in commercial bank lending operations.The securitization of home mortgage loans in China was born under this background.Mortgage-backed securitization is one of the asset securitization products.Commercial bank securitization of housing mortgages means that financial institutions such as commercial banks sell liquidity-backed housing mortgage loans to third-party institutions for asset restructuring.Third-party institutions selling it to holders in the form of securities,it not only solves the problem of insufficient liquidity of commercial banks,but also provides investors with a more diversified approach to financial management,and is also popular with banks,nowadays it has become a common financial tool in the international market.In essence,the securitization of mortgage loans is a means of financing.Through securitization,borrowers and investors can achieve indirect financing.China's financial market started relatively late.It was not until the beginning of the 21st century that the trial of housing mortgage loan securitization started.In 2005,China's first mortgage-backed securities Jianyuan 2005-1 RMBS was born,and the securitization of China's housing mortgage loans was formally opened.the Construction Bank issued the second mortgage-backed securities in 2007-Jianyuan 2007-1 RMBS.However,due to the impact of the subprime mortgage crisis in 2008,China stopped the securitization of home mortgage loans and did not recover until 2011.The three-year vacant period did not stop the securitization.With the improvement of financial markets,securities The number of pilot sites began to increase gradually.After the central bank issued a circular to encourage commercial banks to securitize mortgage loans in 2014,the number of RMBS in China began to multiply exponentially in 2015.As of the end of 2016,commercial banks issued a total of 15 RMBS.A total of 57.0 billion yuan was spent.It can be seen that there is still a lot of room for the development of securitization of residential mortgage loans.Therefore,it is very necessary to study the pricing of China's housing mortgage loan securities.Mortgage-backed securities as a new star in China's financial market,it has always been a research hotspot for scholars.This paper aims to study the factors affecting the pricing and pricing of mortgage-backed securities.This article first introduces the concept and securitization of mortgage-backed securities.This article first introduces the concept of mortgage-backed securities,the specific flow of securitization and the classification of securitization.,and then analyzed the influencing factors of the pricing of the housing mortgage loan securities,including prepayment behavior,default behavior and discounted interest rate.After analysis,the prepayment behavior is the main influencing factor of China's housing mortgage loan pricing.The other two factors have a very limited impact on the pricing of mortgage-backed securities because of the different market conditions in our country.Therefore,this paper conducts research from two aspects:early payment behavior and pricing.Firstly,in the aspect of prepayment behavior,this paper selects Jianyuan 2005-1RMBS asset pool data to conduct an empirical analysis of the prepayment behavior of China's mortgage-backed securitization products,and obtains Some macro factorst that influence the prepayment behavior of China's housing mortgage-backed securitization products,and tried to establish a prepayment model.Secondly,in terms of pricing,this paper first compares the three methods of pricing for traditional home mortgage loan securities,and concludes that the static interest rate differential method is the most suitable RMBS pricing method for China in recent years,Then we analyze the existing varieties in the market of mortgage securities in China,and find that the existing mortgage-backed securities in China are all Collateralized Mortgage Obligation(CMO),and the issuance process of mortgage-backed securities is relatively complex.China's current securitization technology is not mature,and the issuance of pass through securities is relatively simpler in China.Under the condition that the mortgage-backed securities market is not mature,the pass through securities can also be can also be regarded as one of the reference varieties of the type of mortgage-backed securities issued by Chinese financial institutions,which can enrich the varieties of RMBS issued in China.Therefore,this paper analyzes the cash flow system of the pass through securities and CMO,and then uses the static interest rate differential method to simulate the pricing of the two securities respectively.Because the mortgage-backed securities in the Chinese market are all CMO,Therefore,in the simulated pricing of mortgage-backed securities,we selected 2007-1RMBS and we price the three priority grade securities of Jianyuan 2007-1RMBS.The cash flow system analysis and pricing process of the two securities can be used as a reference for future mortgage securities pricing.