个人住房抵押贷款风险转移机制探讨——资产证券化与保险

【作者】 温涛；

【导师】 卓志； 蔡春；

【作者基本信息】 西南财经大学 ， 金融学， 2000， 硕士

【摘要】 商业银行经营风险一直是公众关注的焦点之一。众所周知，由于历史的原因，我国四大国有商业银行存在着资本金不足，流动性不好，不良资产较多的问题。为解决资产存量风险，国家特成立了四家资产管理公司以解决历史遗留问题。但随着我国经济不断地向前发展，商业银行逐步向消费信贷领域拓展业务，开展了住房、汽车、家用电器消费信贷业务。目前四大国有商业银行都面向居民开发了个人住房抵押贷款。个人住房抵押贷款是购房人以所购房产作抵押而从银行取得的贷款。银行经营此业务主要面临流动性风险、利率风险 、通货膨胀风险、信用风险、提前偿付风险、房价风险、房屋本身的风险等风险。随着个人住房信贷业务的增多，银行增量风险增加，如何化解此风险将是我们面临的重要课题之一。对于七个方面的风险可划分为可转嫁风险（非系统风险）和不可转嫁风险（系统风险）两大类。对于可转嫁风险，保险可以作为一种转嫁工具。对于不可转嫁风险，可以靠金融创新——资产证券化来解决。但要使抵押贷款证券化以后的证券能够销售出去，需要有保险公司对证券化的产品加以担保。为此保险公司在证券化过程中将发挥积极的作用。本论文可分为五章：第一章：个人住房抵押贷款市场及风险分析 。论文的核心是探讨如何化解商业银行发放个人住房抵押贷款所带来的风险。该章首先分析了个人住房抵押贷款一、二级市场及其市场各主体构成的情况，然后分析了个人住房抵押贷款所存在的七种风险，并把它们划分为系统风险和非系统风险。前者靠金融创新——资产证券化的方式加以解决，后者靠保险的方式转移。此章是本论文的起点，也是理解资产证券化的基础。第二章：资产证券化的演变及住房抵押贷款证券化的意义。要在中国发行抵押担保证券（Mortgage-backed Securities , MBS），借鉴国外住房抵押贷款与抵押担保证券的发展情况是必要的。论文中以当今<WP=3>世界上抵押担保证券最为发达的美国市场为例来阐述。资产贷款证券化成为目前流行的金融创新工具，对中国金融界有三个方面的作用：其一，现实意义：防范金融风险，优化我国证券市场结构，促进建立我国健康的银行体系；将资本市场与货币市场有机的结合起来，把房地产市场的购房主体与资本市场的投资主体，通过证券金融中介联系起来。其二，对商业银行本身的作用：提高了银行资本金充足率、获利能力，增加了银行资本的流动性。其三，对机构投资者的作用：由于资产抵押担保证券具有较高的信用等级，资产证券化为投资者提供了一种高质量的新型投资工具，投资者可以获得较高的投资回报、较大的资产流动性、降低投资风险、提高自身的资产质量等。第三章：抵押贷款资产证券化的运作。这一章是本论文的核心部分。先简要地阐明了资产证券化的涵义及理论基础，紧接着详细地论述了资产证券化的运作程序。它们是理解整个资产证券化流程、现金流量表的核心内容。资产证券化涉及到许多参与者，它们在资产证券化中起的作用各不相同，因此有必要讨论资产证券化各参与主体的情况。资产证券化是一个比较复杂的过程，对抵押担保证券的信用级别要求很高，因此信用增级就显得尤为重要，如何对抵押担保证券进行信用增级是发行抵押担保证券至关重要的一环。资产证券化的本质是对资产池产生的现金流进行分割与重组，通过发行证券和设计传递流程，将其转移给证券市场上的投资者。资产证券化的核心技术------现金流的重组就是用于解决上述问题。文中阐述了抵押担保证券所要求的现金流特征；其基础现金流的构成；如何将基础现金流重组后，能够使其满足资产证券化的要求。文章还介绍了广为流行在我国正在实施的均额偿付、固定利率分期偿还抵押贷款，并给出了此种贷款的现金流量表。此贷款介绍的目的在于与后文中的抵押过手证券的现金流量表联系起来，从中便可以看出，住房抵押贷款的现金流是如何从住房抵押贷款传递到过手证券中，再传递到投资者手中的。然后又考察了当今在国外已经运行的抵押贷款证券化运作工具：抵押过手证券（MPS）；担保抵押债务（CMO）；剥离式抵押担保证券（SMBS），并图示了其现金流转过程。<WP=4>第四章：我国住房抵押贷款证券化的设想。资产证券化是一项复杂、专业化程度高、技术性强的系统工程，它要求得到法律、信用评级、信用增级、会计制度、税收制度的全面支持。就目前而言，在我国资产证券化仍是一项金融创新工具，缺乏实践经验，因此在法律、信用评级、信用增级、会计和税收制度等方面尚难以对资产证券化进行支持，这些都是我国在开展资产证券化时所要解决的问题。我国目前发行抵押担保证券的时机并不成熟，但作为理论研究的超前性，我们根据中国的实际情况，结合美国发行抵押担保证券的成功经验，给出了未来我国发行抵押过手证券、担保抵押债务这两种证券的发行设想。文章探讨了未来我国发行抵押担保证券的五个条件、发行抵押担保证券主体的资质要求、抵押贷款质量特性要求、住房抵押贷款资产质押与信托处理方法、发行抵押担保证券实物操作等。文章还探讨了在存在提前偿付的情况下，抵押担保证券提前偿付现金流量模型如何建立，与之相关联的各数学公式更多还原

【Abstract】 The operation risk of commercial bank is always the focus of the public attention. It is known that the four state-owned commercial banks have many problems, such as: insufficient capital fund, low mobility and low quality assets. In order to solve the existing risks, the Central Government established four assets management companies. With the development of economy, commercial banks have developed their businesses in consuming areas: real estate, cars, electrical household appliances, consumer credit business, etc. At present, personal housing mortgage loan has been accepted by ordinary individual, and this kind of business bring the following risks: Fluidity risk, Interest rate risk, Inflation risk, Credit risk, Prepayment risk, Price of house , risk of house ,and so on.How to eliminate or transfer above risks is a very important question that we have to think it over. Above risks, some belong to non-transferable risks (or system risks), the others belong to transferable risks (or non-system risks). To transferable risks, we can use insurance to transfer or avoid risks. To non-transferable risks, we could use financial innovation —— assets securitization. If mortgage--backed security(MBS) wants to be sold, MBS must be guaranteed by the insurance companies. This is the important role of insurance company in the process of securitization. The core content of the dissertation is about how to solve risks when commercial banks provide personal housing mortgage loan. The dissertation is divided into five chapters:Chapter One: personal housing mortgage loan in markets and their risk analysis. Firstly it introduces briefly the housing mortgage loan in first rank and second rank markets. Then it analyses detailed the 7 risks existing in personal housing mortgage loans, and divides these risks into system risk and non-system risk. The system risk must be transferred by the financial <WP=6>creation and the non-system risk is transferred by insurance. This chapter is the beginning of the dissertation, and it is also the foundation of understanding assets securitization.Chapter Two: the evolution of assets securitization and the its significance for China. It’s very necessary for China to draw lessons from western developed countries if we want to use Mortgage-backed Securities (MBS) in China. In this dissertation the author takes America as the researching case, which has the most developed mortgage loan market in the world. Assets securitization has become the popular financial innovation tool, which has several lessons for Chinese financial circles. Firstly, it has very import practical significance for guarding against financial risks, optimizing Chinese security market structure, being improvement to establish Chinese healthily banking system, combining the capital market to monetary market and buyers in real estate market to investors in capital markets through security financial broker. Secondly, it has important significance for commercial banks themselves, such as: increasing adequate capital fund of commercial bank, improving its gain profit ability, speeding up the mobility of banks’ capital.Thirdly, it has also important significance for institute investors. Given that assets security has high credit rank, it is a new and high quality investment tool, which will provide higher investment profit rate and liquidity rate, decrease investment risk, increase assets quality, etc.Chapter Three: operation of assets securitization. This section is the core part of this dissertation. It first expounds the meaning of assets securitization and its theoretical foundation, then narrates detailed the operation procedure of assets securitization. This section is the center part for understanding the whole assets securitization and cash flow. Assets securitization relates many participators who have different function, so it is necessary to discuss every participator respectively. And assets securitization is a complicated process which has higher requirement in <WP=7>MBS credit grade, so credit grade ad更多还原