【作者】 贺定球；

【导师】 张强；

【作者基本信息】 湖南大学 ， 金融MBA， 2007， 硕士

【摘要】 住房抵押贷款证券化是指发起人将满足一定标准的多笔住房抵押贷款汇集重组为住房抵押贷款资产池,并将资产池的现金流转让给特殊目的中介,特殊目的中介再以此作为支撑,对风险与收益要素进行分离与重组,在市场上发行可流通的证券。住房抵押贷款证券化包括破产隔离、重新捆绑和信用增级、证券发行三个环节。从微观层面来看,住房抵押贷款证券化具有提高银行资本充足率、分散和转移信用风险、增强资产流动性和提高中间业务比例等效应。从宏观层面来看,住房抵押贷款证券化可以在不同银行和地区重新配置信贷资金,改变金融风险集中于商业银行的状况,还可以提高政府的宏观调控能力。然而,商业银行住房抵押贷款证券化的效应还受到相关法律金融制度、监管框架以及市场发展程度的制约。本文分析了我国住房抵押贷款证券化的现状与问题,并以国内首单住房抵押贷款支持证券“建元2005-1”为例,探讨贷款证券化对商业银行资本充足率的影响。当前我国的住房抵押贷款证券化面临投资主体单一、商业银行实施住房抵押贷款证券化的意愿不强以及制度风险大等问题。我国应该加大假按揭行为的违法成本,制定《个人破产法》,加强房贷险的相关立法工作,完善相关的法律金融制度,保护MBS投资者的利益;实行更加宽松的资本监管政策,促进MBS市场的发展,逐步向中小投资者开放MBS市场,放松对机构投资者的限制;同时,加快利率市场化的进程,积极培育二级市场。更多还原

【Abstract】 Mortgage securitization involves the process of pooling multiple mortgage loans, and repacking and restructuring them. The mortgage loan in the underlying pool must satisfy certain standards. The cash flows generated from the underlying pool is transferred to a Special Purpose Vehicle who issues negotiable securities backed by the pool. The procedure of mortgage securitization includes bankrupt isolation and asset restructure, and credit enhancement, and security issuance. The framework of China mortgage securitization is characterized by: a. the mortgage loans are put in a trust company in the process of securitization; b. the investors of mortgage-backed securities are limited to investment institutions; c. the methods of credit enhancement vary broadly.From the view of microeconomics, mortgage securitization enables the issuing banks to enhance capital sufficiency and transfer credit risks, and liquidity asset. At the macro level, mortgage securitization can not only balance the credit supply and demand between different regions, but also translate credit risks from banking system. Further, mortgage securitization provides more flexibilities and options for the government to influence economy. But the potential gains from mortgage securitization are subjected to the supervision framework imposed by the authority.The securitization framework of Basel II is analyzed in the paper with a comparison with that of China, "The rules of supervision on asset securitization of financial institutions". A case study is done to illustrate the effects of mortgage securitization on capital sufficiency of banks. Our analysis indicates that the current securitization framework excludes the possible opportunity of capital arbitrage by mortgage securitization. The charge of supervision capital on issuing bank is the same of that before securitization if no risk and asset is transferred from the issuing bank. But we do find that the capital charge under the internal approach is much less than that under standard approach. Therefore, the adoption of internal approach for capital calculation advantages over standard approach. Furthermore, mortgage securitization benefits banks for liquidity asset and increasing income from intermediate business. Assuming risk exposures and assets are transferred through securitization, the requirement of supervision capital will drop subsequently.更多还原