我国房地产抵押贷款证券设计问题研究

【作者】 潘越；

【导师】 戴亦一；

【作者基本信息】 厦门大学 ， 国民经济学， 2002， 硕士

【摘要】 二十世纪70年代以来，金融创新浪潮席卷全球，加速了世界经济发展和全球化的进程。由金融创新引发的金融衍生工具数量及交易额呈爆发性增长，成为西方发达国家金融市场发展的新动向。在诸多金融衍生工具中，房地产抵押贷款证券是最抢眼的一个亮点。 房地产抵押贷款证券市场的发展，不仅扩大了住宅信贷的资金来源，降低居民购房的借贷成本，也改善了金融机构的资产结构，增强了抗风险能力，促进了西方发达国家住宅业与金融业的共同发展与繁荣。因此，抵押贷款证券是近30年来世界金融市场上最重要的金融工具创新，在西方发达国家已经得到广泛的运用和发展。具体到我国，随着经济体制改革的深化，如何促进我国房地产业和金融业的有机结合，使土地和资金得到优化配置和有效利用已显得越来越迫切了。但从目前来看，我国尚处于经济体制转轨、经济结构调整和经济增长方式转变阶段，在发展抵押贷款证券市场方面尚属空白，更没有现成经验可循。为此，我们应当借鉴发达国家金融创新的成功经验，积极创造条件，逐步实行房地产抵押贷款证券化，发展房地产抵押贷款市场，以促进住房消费，搞活资本市场，带动经济增长。 由于房地产抵押贷款证券的发行是一项非常复杂的金融创新工程，本文将在吸纳国外房地产抵押贷款证券创新成果的基础上，着重研究现阶段我国发行房地产抵押贷款证券在结构设计和定价上的技术问题，提出发展我国房地产抵押贷款证券市场的思路和完善相关市场环境的政策建议。 全文在结构安排的逻辑上，分为四个部分： 第一部分首先对房地产抵押贷款证券进行了概念界定，接着简要回顾了房地产抵押贷款证券市场的发展历史，并对美国房地产抵押贷款证券市场现状和各种最新的衍生抵押证券品种作了分析和介绍。发展房地产抵押贷款证券市场在我国已是一个不可逆转的趋势，但是，在当前的经济环境下抵押证券市场到底具有多大的可行性，文章对此进行了探讨和评论，认为发行抵押贷款证券在我国已经具备实施的可能性，值得引起有关方面的重视并加以深入的研究。 第二部分研究房地产抵押贷款证券主要品种的运行机制问题。本章首先通过对两种最基本的抵押证券——抵押贷款传递证券（MPT）和抵押担保证券（CMO）现金流量变化的分析，研究其运行机制和防御风险的功能差异，接着在以上分析的基础上，文章尝试提出了一种能够有效化解利率上升环境中延期风险的新型证券品种——可调整分期付款额的抵押担保证券（AdjustableAmortizationMOrtgage，简称为AAM）的设想，但同时也指出了这种抵押担保证券在实际应用中应该特别注意之处，并提出了相应的市场推广策略。最后，文章就现阶段我国发行房地产抵押贷款证券的总体结构设计问题进行了较为系统的探讨。 第三部分研究房地产抵押贷款证券的定价方法。本章对有关抵押贷款证券的定价方法进行了系统的归纳与整理，认为主要存在三种定价方法，分别为传统定价方法、二项树定价模型和期权调整价差定价模型，并按照定价方法的发展顺序分别予以介绍，同时指出了不同阶段定价方法的改进之处和各自的适用条件。文章最后就我国现阶段抵押贷款证券定价方法的选择问题进行了探讨，并认为，我国在抵押贷款证券化推行之初应以结合了再投资收益分析和持有期收益分析的现值定价法对抵押贷款证券初步定价，并进行价格和收益率分析，而二项树定价模型和期权调整价差定价模型的运用在短期内尚不具备条件，只能在市场发展到一定阶段后才能够派上用场。 第四部分探讨有关我国房地产抵押贷款证券市场发展的市场环境问题。本章首先剖析了我国现阶段发展抵押贷款证券市场存在的几个主要问题，接着就如何解决这些问题阐述了作者自己的见解，并提出了相应的政策建议，指出当务之急是进行发展抵押贷款证券化所必需的制度建设，在抵押贷款证券市场交易环境完善之后，各种衍生抵押贷款证券的上市发行，基本上就只是一个技术问题了。 本文的创新之处主要有以下几个方面： 1、尝试构建一种新型的抵押贷款证券——以可调整分期付款额抵押贷款支持的抵押担保证券，并运用模拟数据进行试算分析，以说明其抵御延期风险的运行机理。 2、就我国现阶段发行房地产抵押贷款证券的结构设计问题，如证券的信用增强、证券品种的选择等提出一些个人的思考。 3、在探讨我国房地产抵押贷款证券市场相关环境建设问题时，围绕如何完善我国房地产抵押贷款一级市场，以及建立一个适合我国国情的抵押贷款证券化过渡模式提出了个人见解。更多还原

【Abstract】 Financial innovation has accelerated the process of the development of world economy and the globalization since 1970s.The number of financial derivative instruments creating from financial innovation and of financial trade, has been increasing very rapidly. And it has become the new way of the development of financial market in the western developed country. Among so many financial derivative instruments, Mortgage-Backed Securities (MBS) in Real Estate is the most important one.The development of the market of MBS has not only enlarged the capital resource of housing credit, and reduced the purchasing cost of housing, but also improved the capital structure of the financial institution ,build up the capability of resisting the financial risk and promoted the co-prosperity of housing and financing industry in the western developed country. Therefore, MBS is the most important financial instrument innovation in world financial market over 30 years and has been broadly applied in security market.In China, with the deepening of economy system renovation, it is very imperative to accelerate the combination of housing and financing industry which will make full use of land and capital. However, by far, our nation has not the least experience of developing MBS market and also can not follow the ready-made experience. Consequently, we should use the succeeding experience of. developed country for reference and create the condition of realizing the securitization of housing mortgage loan to improve the housing consumption and drive the economy going up.Considering that the issue of MBS is a very complicated financial innovation project, this article mainly focuses on the study of structure design and valuation technology in MBS based on absorbing the innovation product of MBS and then comes up with the ideas of developing MBS market in our country and some policy suggestion with regard to the perfection of market surroundings.The detailed arrangement of the major content of various sections in thisarticle is as follows:Section I, General Introduction. This section begins with the definition of MBS in Real Estate, then briefly reviews the history of MBS and analyses the MBS market status quo and introduce various latest MBS derivative products. After that, this article makes an necessity and feasibility study on our country’s real estate mortgage loan securitization. This article point out that the issue of MBS in our country has been provided with practice conditions and worth with more study.Section II, Study on the Function Mechanism of the Primary Products of MBS. This section begins with the analysis of the cash flow of the two mostelementary products-Mortgage Pass Through Securities (MPT) andCollateralized Mortgage Obligations (CMO) , and describes the difference between the function mechanism and the ability of resisting risk. Then, based on the above analysis, this article tries to invent an new CMO product which goes by the name of Adjustable Amortization Mortgage (AAM) and can effectively counteract the extension risk when interest rate goes up. At the same time, this article also indicate some problem which should pay special attention to in practical application and put forward some corresponding market promotion strategy. Finally, this article makes comparatively systematic analysis of the overall structure design of Real Estate MBS in our country at present.Section III, Study on the valuation model of MBS. First, this section resorts various valuation model and hold that it would be better to classify the valuation into traditional method, binominal tree method and Option-adjusted Spread method. According to the sequence, this article introduce three valuation model respectively and point out which aspect these method improves on in different phases and their applicable conditions. Finally, this article discusses the selection of valuation of MBS in our country at present and concludes that under our country’s current economical environment, we should take traditional present更多还原