Research On Credit Risk Of Commercial Real Estate Mortgage-backed Securities

After the 2016 Central Economic Work Conference proposed “The house is for living,not for speculation”,relevant departments have successively introduced supporting policies for the real estate industry,and the supervision of real estate company financing has continued to tighten.As financial deleveraging continues to intensify and the overall funding end tightens,traditional financing channels for housing companies such as bank credit,bonds,fixed shares,non-standard housing,etc.have shrunk sharply,and real estate companies are under tremendous financing pressure.In this context,the asset securitization business,as a financial innovation tool,has been rapidly promoted in real estate financing.Commercial real estate mortgage-backed securities(CMBS),as an important part of ABS,has been in the country for more than two years since its first single issuance in 2016.As an innovative financial tool,CMBS has proven through practice that it has advantages such as large scale of financing,low financing costs,less restrictions on the use of funds,and maintaining the future growth potential of assets.However,the innovation of any financial instrument will inevitably bring risks,especially the transaction structure of commercial real estate securitization is more complicated,and the credit risk it faces will be more complicated.Therefore,it is of great significance to study the credit risk of commercial real estate mortgage-backed securities.This thesis studies the basic principles of commercial real estate mortgage-backed securities and credit risk,and finds that its credit risk is affected by various factors such as the underlying asset pool,credit enhancement measures,and third-party service agencies.Among them,the operating income of the underlying asset pool is the most important.Influencing factor.Based on the current development situation of China's commercial real estate mortgage-backed securities,credit risk measurement status and its shortcomings,this paper selects a typical product "Ping An Jinjian Jianda Building Trust Beneficiary Asset Support Special Plan",introduce the setting of basic property assets,product transactions Structure,credit enhancement measures,and cash flow distribution of Ping An Jinyi 2018-1 securities products,analyses their credit risks.On this basis,considering the applicability of the credit risk measurement model in China,a swap spread model was used to measure the credit risk of the “Ping An Jinyi 2018-1” securities product based on Monte Carlo simulation.It was found that the credit risk situation of "Ping An Jinyi 2018-1" is closely related to two variables,risk-free rate of return and rent rate.Under normal circumstances,product credit risk is rather low.But when there are large fluctuations in the rental rate and risk-free rate of return,the swap value of the product is negative.At this time,the operating income of the underlying assets cannot guarantee the repayment of the principal and interest of the bond,and the bond has a high credit risk.At this time,the balance replenisher needs to perform the liquidity support obligation,otherwise the bond investors will suffer losses.Finally,based on the above conclusions,this thesis puts forward suggestions from the aspects of optimization of credit risk measurement and establishment of a supervision system during the existence period,hoping to provide some help for the research of China's commercial real estate mortgage backed securities credit risk.