The Study Of China Cut Mortgage Securities（SMBS）Pricing

Mortgage-Backed Security originated in the seventies of the 20 th century in the United States is the lack of liquidity but can be produced is expected to stabilize the income for housing mortgage securitization, revitalize the huge stock of housing loans, transfer and decentralize the concentrate in a bank’s risk. The slide in the real economy, real estate to inventory pressure, at present China has passed numerous drop must cut interest rates to the release of liquidity, but in December 2015 the Fed announced interest rate hike, in China if the rate cut again will increase the pressure on the RMB devaluation, is not conducive to the internationalization of the RMB process, although the renminbi to join the Special Drawing Right SDR(Special Drawing Rights), will not be conducive to play the role of. The securitization of housing mortgage loan has provided a new way to ease the pressure of liquidity in China, and if the securitization rate of housing mortgage loan is 50%, it is expected to release five trillion to six trillion of the liquidity.At present, our country already has the conditions of asset securitization, auto loans, credit card loans, military assets are to achieve the initial small-scale securitization, mortgage loans accounted for the ratio increase, the repayment period is longer, the securities can significantly release liquidity, alleviate the downward pressure on China’s economy, at present China has many cases of housing mortgage loans to successful implementation of securitization and Study on its pricing can effectively promote the MBS a massive release.The first three chapters is mainly relevant theoretical research, mainly introduces the definition of housing mortgage loans, mainly involved in people, the issue of the method process as well as the housing mortgage loan of housing mortgage loan support the kinds of securities, MBS backed security), the main pricing methods. MBS mainly has three forms: one is through MBS(pass-through MBS), which is characterized into the pool of assets for cash flow from direct payments to investors, not any restructuring; two is the guarantee of mortgage bonds CMOS(collateralized mortgage obligations), its cash flow through the layered combination, re arrangement assigned to different needs the three is the investors; SMBS, mortgage-backed securities(stripped MBS), also known as the stripped mortgage-backed securities, which is mainly characterized in that between the different preferences of investors of the capital and interest income ratio is not the same loan portfolio, the extreme form of SMBS is only to pay the principal securities PO(Principal-only Securities) and pay interest only securities IO(Interest-only Securities), SMBS basically is based on IO, PO issue, this paper is a study of IO PO pricing, in the comparative analysis Various pricing methods and combining our country there is no SMBs issued case of the actual situation, choose the most basic static cash flow pricing method, namely the discounted future each cash flow so as to obtain the IO, the theoretical price of Po, so the focus of this paper is each cash flow calculation and discount factor determined, which relates to a prepayment rate and the research of term structure of interest rates.The fourth chapter is the empirical research part of the paper, the prepayment rate, term structure of interest rate model, pseudo maximum likelihood estimation, model Carlo simulation method and related theory and the data: bank among the seven day repurchase rate and the interest rate term structure model of parameter selection are described. The public securities association prepayment rate rule PSA(Public Security Asociation) for determination of the prepayment rate, choose the CIR model research of the term structure of interest rates, and the use of pseudo maximum likelihood estimation method, make full use of the inter-bank seven day repurchase rate data statistical characteristics to estimate the parameters of the CIR model, and ultimately determine the CIR term structure model of interest rates, by means of Monte Carlo simulation and using MATLAB software programming to get 1000 interest rate path, based on the calculation of each cash flow as well as the discount IV factor and the use of static cash flow pricing by IO and PO price theory. In the latter part of this chapter, according to the empirical study results prepayment rate of IO and PO price theory which has a specific effect, we suggest that investors, and puts forward due to interest rate and prepayment rate of intrinsic contact lead to prepayment rate of IO theory of price uncertainty, the critical point hypothesis, and gives the prepayment rate and IO price possible. At the end of this chapter, we analyze the realistic conditions and policy recommendations of the SMBS.The fifth chapter is the summary of the full text, as well as the prospects for the research of SMBS pricing.The reasonable pricing of MBS is urgent and necessary, can greatly accelerate the MBS in the wide distribution of our country, the release of the huge liquidity, alleviate the downward pressure on China’s economy, the reasonable pricing of SMBs can improve the MBS pricing system, promote its various kinds of mature development, attract large amount with different needs of investors and guarantee MBS fast large-scale implementation.