Research On The Factors Affecting The Prepayment Behavior Of Mortgage Loan Securitization

Mortgage-backed mortgage securitization is an innovative financial instrument that develops rapidly and matures abroad.China issued the first mortgage-backed securities in 2005,but due to the impact of the financial crisis in 2008,MBS was suspended.It did not begin to develop rapidly until 2015.As of the end of 2019,its issuance has exceeded 2,349,755 million yuan.The development of MBS is of great significance in China.Similarly,its risks cannot be ignored.Studying its prepayment behavior can provide a reference for the pricing and risk control of future asset-backed securities products.This paper is divided into six parts,the first part of the introduction describes the research background and significance,summarizes the previous research and puts forward the research ideas and methods of this paper;the second part introduces the concept,development status and risk of MBS,and explains the influence mechanism of prepayment on all participants;The third part introduces the internationally recognized research model of prepayment behavior and its improvement in recent years in China,and analyzes the applicability of the model in China one by one,which provides a theoretical basis for the determination of multiple regression model.The fourth part is the core part of the paper.Firstly,according to the national conditions,the paper puts forward the factors that may affect the MBS prepayment behavior in China.Then,it makes a logical analysis of the factors combined with the characteristics of China's market,and predicts the possible influence direction of each factor.After that,the paper use the index multiple regression model to make an empirical study on the prepayment data of Zhongying's second phase mortgage-backed securities products in 2015,and get the significant influencing factors and directions of the prepayment behavior of the MBS products,and make an in-depth discussion on the influencing mechanism and directions of each factor based on the market reality and national conditions.In the fifth part,based on the empirical research results and the actual situation of this paper,from the two perspectives of securitization process and commercial banks,the paper put forward management suggestions that may control the risk caused by MBS prepayment behavior.the last part is the summary and Prospect of this paper,the analysis shows that monthly factors,consumer price index,purchasing manager index and total household savings all have a significant impact on the prepayment behavior of the product,among which the impact of total household savings on prepayment behavior is inconsistent with expectations,which can be better explained from the change of traditional concepts and the popularity of financial products.Although this paper draws a conclusion through logical analysis and empirical research,it still has some limitations.The conclusion of this paper can only be fully applied to the study of prepayment behavior of Zhongying's second phase of 2015 housing mortgage-backed securities.On this basis,the possible impact mechanism and management suggestions can only provide reference for the study of prepayment behavior of other MBS products,and the specific impact needs data test of specific cases.