| Personal housing issues are related to the national economy and people’s livelihood.Personal housing mortgage loan is a key component of housing finance services and a high-quality asset of banks,which has an important impact on social economy.The main risks of housing mortgage loan are default risk and prepayment risk.In terms of our actual situation,the risk of default is very low,but prepayment risk is more significant.Since 2008,China has experienced four " waves of prepayment of loans",the latest of which began in 2021.Due to the impact of COVID-19,many lenders chose to pay in advance in the face of such realistic factors as low return on investment,continuous reduction of LPR,relaxation of the lower limit of the first set of interest rates,large gap between the existing mortgage interest rate and the new mortgage interest rate,and operating loan arbitrage.In view of this social hot issue,it is imperative to study the influencing factors of prepayment risk of housing mortgage loan.Because the housing mortgage loan data of a certain place or a commercial bank not only be confidential,but also have some problems such as insufficient sample representation,difficult to guarantee the objectivity and authenticity of the data,and too small sample size,it is reasonable to use the prepayment rate data of ten thousand individual housing mortgage loans in the asset pool of RMBS products."Jianyuan 2007-1RMBS" is the second RMBS product issued in China.Compared with the first product "Jianyuan 2005-1RMBS",it has more complete data.Compared with the products released after the restart of RMBS in 2014,it has a longer operation time and experienced more complete changes of social economy.Therefore,it is better to take 12,254 residential mortgage loans in the underlying asset pool as the sample.Using the underlying asset pool "Jianyuan 2007-1RMBS" as the sample,the prepayment rate is measured by Single-Monthly Mortality(SMM),and the multiple regression model,fixed effect model and tobit model are established to analyze the influencing factors of prepayment risk.The results showed that the market interest rate,accumulated prepayment and the slope of the yield curve were negatively correlated with SMM.PMI,month-on-month growth rate of per capita disposable income and new housing price index are positively correlated with SMM,and the return rate of capital market has no significant influence on SMM.In addition,the prepayment of loans has Spring Festival effect and epidemic effect.According to the empirical results,some suggestions are put forward,such as establishing prepayment risk of early warning risk,establishing effective penalty system,providing high-quality financial products and improving personal credit system. |
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