"Youyuan 2014-1" Residential Mortgage-backed Securities Basic Asset Credit Risk Analysis

Mortgage backed securities have not only promoted the prosperity and development of the real estate market and the financial industry,but also buried deep risks and hidden dangers for the financial system.Affected by factors such as the macroeconomic cycle,the real estate market continues to experience "loan suspension" and "limited prepayment" behaviors,which seriously affect the smooth operation of mortgage backed securities and even have a negative impact on the safety and stability of the entire financial system."Youyuan 2014-1",as the first product after the restart of China’s housing mortgage securitization pilot project,has adopted risk management strategies such as asset pool diversification and lender credit rating.In order to study the credit situation and credit risk management methods of the underlying asset pool of residential mortgage backed securities,this article selects "Youyuan 2014-1" RMB as the research object of the case study.Starting from the overview of the securities,we will measure the credit risk of the securities qualitatively and quantitatively,and divide the credit risk faced by "Youyuan 2014-1" RMBS into two parts,namely,the outage risk and the prepayment risk.We will study both the respective influencing factors and the dialectical relationship between the two.The study found that the factors affecting the rate of supply interruption include the price of residential commercial housing,inflation,macroeconomic expectations,etc.The factors affecting the prepayment rate include the price of residential commercial housing,macroeconomic status quo,seasonal effects,etc.In order to explain the impact of prepayment behavior on the security of securities,this article creatively proposes the concept of natural prepayment rate,which refers to a rational,bona fide,and compliant borrower who has planned an prepayment plan before applying for a mortgage loan.In this context,the prepayment rate generated is the natural prepayment rate.After a series of indicator analysis and comparative analysis,the article believes that the "Youyuan 2014-1" underlying asset pool has a significant risk of supply failure and certain prepayment risks,and puts forward targeted suggestions:(1)improve the access standards for the underlying asset pool;(2)combine the natural prepayment rate,and securities management agencies develop a more robust prepayment emergency mechanism,Prepare for the possibility of seasonal repayment shocks(3)Promote the construction of personal credit system(4)Improve the housing mortgage loan cut-off insurance mechanism,and reasonably disperse credit risks.