| House mortgage loan securitization , accelerates the integration of capital market and real estate market, has great importance on America' economy, but is still unfamiliar to Chinese people. On one hand, there is great demand for house in china, on the other hand, there are 640 millions square meters of unoccupied house. House mortgage loan securitization , is the right solution to this disequilibium between supply and demand, facilitates the development of real estate industry, makes people achieve the goal of possessing house and greatly influences the finance industry. It is a new task for china to design, popularize and manipulate the mortgage-backed securities (MBS). I discuss this issue with four chapters in this paper.The first chapter focuses on the general recapitulation of house mortgage loan securitization. House mortgage loan securitization is a process in which MBS are issued to investors on basis of collateral, which was composed of one or more mortgage loans. House mortgage loan securitization origins from America in 1970's, the initiative move is to deal with the limitation of money resource and the impact on earning caused by interest fluctuation, and to attract institute investors and other investors.The necessary market condition of MBS includes: 1 Advanced first mortgage market, in which house mortgage lender (or loan-sale bank, originator), assessing institute, credit record institute, private underwriter and government mortgage insurer act different functions.2 Advanced secondary mortgage market. The mortgage loan originates from the first mortgage market and is traded in the secondary mortgage market, where MBS comes into being. Facing with various kinds of risks (such as liquidity risk, borrower's default risk), lender wants to sell the illiquid mortgage loan to acquire the maximum profit. Thus, government-feature mortgage insurance institute and private mortgage insurance institute come into being, followed by the secondary mortgage market.3 There are various kinds of mortgage loans.4 There are structure adjustments suitable to MBS.Taking government institute MBS for example, MBS' securitization process is: The essential participators include originator, server, issuer, security underwriter, credit enhance institute and trust manager.The second chapter puts emphasis on MBS' feature, structure, cash flow, return and pricing. There are three common kinds of MBS: 1 Mortgage pass-through security, 2 Collateralized Mortgage Obligations, 3 Stripped MBS.Mortgage pass-through security is one that pools the mortgage loans, then sold the cash flow proportionally to investor. There are four classes of mortgage pass-through securities: 1 Government National Mortgage Association pass-through security, 2 Federal House Loan Mortgage Corporation pass-through security, 3 Federal National Mortgage Association pass-through security, 4 private pass-through security. Since pass-through security's cash flow is determined by the prepayment ratio of the underlying mortgage loans, this paper introduces two common prepayment model: conditional (constant) prepayment ratio model and Public Security Association's prepayment model. Basing on certain prepayment supposition, this paper makes quantitative and qualitative analysis on the cash flow, return and pricing of pass-through security. On the same time, by pointing out the limitation and prepayment risks (including contraction risk and extension risk) of mortgage pass-through security, this paper further on collateralized mortgage obligations (CMOs).CMOs is a kind of derivative MBS, including several classes of bonds, each class has different final term and average maturity, thus can attracts various investors with different preference, which overcomes the disadvantage and limitation of pass-through security. The most common two securities are sequential payment CMOs and accrued CMOs. This paper expounds on the structure, cash flow and different features of these two CMOs, analyses the advantages of CMO... |
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