【作者】 王建红；

【导师】 陈松； 颜哲；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2003， 硕士

【摘要】 完善我国住房抵押贷款一级市场的同时，建立和发展住房抵押贷款二级市场，即住房抵押贷款证券化（MBS）市场是推动我国住宅业的健康发展，促进广大居民自置住房的重要途径之一。目前，学术界和本行业实践者们对我国发展MBS市场这一课题进行了广泛的研究，其中，很大一部分研究是围绕住房抵押贷款支持证券的品种设计展开的，这些品种包括过手证券、转付证券、抵押贷款支持债券以及抵押担保证券（CMOs）等。不过，遗憾的是，目前我们还没有看到对上述各抵押贷款支持证券品种特别是CMO证券进行系统研究的相关论述。基于此，本文选择了CMO证券作为分析对象，对其进行了完整的剖析。本文将固定收益证券理论以及结构化金融的基本原理作为分析的指导理论，揭示了CMO证券的一些内含特征，这些特征是我们进行MBS证券创新的重要内容。本文首先介绍了美国MBS市场的发展史，对过手证券、转付证券以及抵押贷款支持债券作了简单的论述，并同CMO证券一起进行了定性比较。并且，通过一个案例分析，揭示了CMO证券的创新机理，其中涉及到对抵押贷款组合如何进行分层、现金流的分割以及CMO证券各类别的创造等内容。其次，文章对CMO证券的各种结构现金流特性进行了定量分析，这些结构包括按顺序支付结构（SPC）、按计划支付（PAC）/支持类、付本证券（POs）、付息证券（IOs）以及浮动与逆浮动证券（IFs）。并且对按顺序支付结构的各类别证券：A类、B类、C类、Z类以及剩余类的现金流特点进行了着重探讨。在现金流分析的基础上，本文探讨了CMO证券的定价方法，如现金流折现法、选择权调整利差法（OAS分析），另外，本章对CMO证券的持续期和凸性也进行了深入分析，给出了它们存在提前还款条件下的求解方法。最后，本文还提到了提前还款的风险管理，首先分析了影响借款人提前还款的众多因素，如利率水平、住房转手率等；其次，介绍了各种用于计算CMO证券收益率的提前还款假设的种类，如，“FHA经验法”、CPR、PSA基准。最后本章对如何建立提前还款预测的经济计量模型提出了一些见解。更多还原

【Abstract】 With the development of perfect primary mortgage market, to establish the Chian’s secondary mortgage market is one of the most important ways to promote the healthy growth of domestic housing industry and speed the pace of residents’ homeownership as well. Now there is a large body of academic and industry research on the establishment of mortgage-backed securities (MBS) market, much of which involves introduction of various types of MBS such as mortgage pass-through securities (MPTs), mortgage pay-through bonds (MPTBs), mortgage-backed bonds (MBBs), collateralized mortgage obligations (CMOs) and so on. But we can’t see any book or paper providing a systematic analysis of these types of mortgage -backed securities, especially CMOs. Thus, this dissertation is devoted to presenting complete coverage of the collateralized mortgage obligations so as to fill in some blank of this field.This dissertation takes fixed-income securities theory and economic principle of structured finance as guiding theories, and reveals the characteristics inherent in CMOs, which is very important for us to develop innovative types of MBS in China.Firstly, this dessertation introduces the history of MBS market in U.S.A and its other three types of MBS: MPTs, MPTBs and MBBs. Meanwhile, it also puts forward a qualitative comparison among these four different MBS. Through a case study , this dissertation explores the principle of CMOs innovation, which include how to stratify the mortgage pools according to the characteristics of individual mortgage and to tailor the cash flows from the pools. In addition, the steps of creation of CMO tranches (or pieces) is also discussed.Secondary, this dissertation quantitatively analyzes the cash flows of various CMO structures such as sequential-pay CMOs (SPC), planned amortization class (PAC)/supports, principle-only securities (POs), interest-only securities (IOs), floarters and inverse floarters (IFs). Moreover, this chapter focuses the analysis on cash flows of different thanches of PAC such as tranche A, tranche B, tranche C, tranche Z and residual tranche.On the basis of cash flow analysis, this dissertation offers the key methods of CMO pricing, for example, discounting cash flow method and option-adjusted spread (OAS) analysis. Additionally, ir also contains a deep analysis of CMO duration and<WP=6>convexity, and how to calculate these two price sensitivity indicators when allowing for the prepayment embedded in CMOs.Finally, this dissertation presents the prepayment risk management. It firstly lists and analyzes many kinds of drivers，for example, interest level and housing turnover rate which cause borrowers to prepay their mortgages. Then, various prepayment assumptions to compute CMOs yield, for example, "FHA experience", CPR and PSA model are presented. It also provides an analysis framework of how to execute the prepayment risk management.更多还原