The Research On Prepayment Risk In Jianyuan 2005-1 Residential Mortgage-backed Securities

In the 1990s,China opened up the housing market.Although it promoted the development of real estate market and economy,it also brought huge risks.That is,because the proportion of housing mortgage loan to commercial bank loan is too large,leading to a huge risk exposure of "short deposit and long loan".Because the quality of basic assets in RMB S market is relatively excellent,and it is also issued at floating rate in securities interest rate determination,the risk of prepayment is more prominent in China than interest rate risk and credit risk.Prepayment risk will not only affect the stability and accuracy of cash flow in asset pool of RMBS products,but also make investors and issuers of products.Loss of interest will even affect the securities market and real estate market.Therefore,in order to avoid the risk of prepayment,it is of great significance to study the prepayment behavior of RMBS market.This paper first elaborates the definition of prepayment risk,and further combs the composition of the factors causing prepayment risk.Then it introduces various methods of prepayment measurement:based on empirical data,measurement model and option theory,it analyses the applicability of three measurement models in "Jianyuan 2005-1RMBS",and concludes that SMM and CPR are used as prepayment rate to measure risk water.Secondly,a specific case is introduced,which reveals the high risk of prepayment from four aspects:basic elements of "Jianyuan 2005-1RMBS","transaction structure","product asset pool"and product income distribution,and describes its risk characteristics and focuses on the analysis of the influencing factors of prepayment risk.Finally,from the housing mortgage securitization product "Jianyuan 2005-1".The influencing factors of RMBS's prepayment risk start with collecting and sorting out the reimbursement data of trustee's entrusted reports of Jianyuan 2005-1 RMB S.The prepayment rate of products is obtained by using one-month reimbursement rate and conditional prepayment rate.The empirical test of influencing factors of prepayment risk is carried out by using multiple regression model,and the direction and degree of influencing factors are obtained.The conclusion of this paper shows that the interest rate of housing mortgage loan is negatively correlated with the risk of early repayment,and the return on capital is positively correlated with the risk of early repayment,but both of them have deferred effect;the results of housing price and disposable income of residents are different from the level of risk of early repayment,the former is negative,the latter is positive;for the aggregate amount of early repayment in loan characteristics,the former is negative.The influence of factors is not linear;in the quarterly effect,the Spring Festival effect in February or so reduces the level of advance payment.Based on the empirical results of this paper,this paper puts forward some pertinent suggestions,such as adjusting clause setting,product structure innovation,effective selection and collocation of asset pools,formulating investment plans,and appropriately shortening the remaining term and balance of mortgage loans.