摘要
资产证券化源于上世纪70年代的美国,但其广为人知却是在30多年后的2008
年。经历了次贷危机后,资产证券化天然地与金融市场风险和金融危机联系在一起
我国在10多年前就有过资产证券化的实践。但因次贷危机的发生,到2008年逐
渐停滞。2008年后,随着经济、金融形势不断变化,利率市场化不断推进,银行负债
的稳定性趋于下降,资产负债期限错配问题显现,银行面临资本金充足率约束、平台
贷进入密集还款时期、城镇化需要大量资金以及中小企业融资难等问题的集中出现
资产证券化作为一种盘活存量,释放资本占用的重要手段之一,重新受到高度关注
今年,央行和银监部门多次在官方场合表明,资产证券化将逐步走向常态化,这意味
着中国将踏上资产证券化的新的征程
我国有多种资产证券化的动力,但从目前的条件来看,住房抵押贷款资产是目
前最有安全保障的资产之一,无论从实施环境,还是从资产管理角度,住房抵押贷款
证券化必将成为我国推行资产证券化的切入点。住房抵押贷款证券化的顺利开展对整
个房地产业和证券市场的发展都将产生积极的影响
本文主要通过对国际通行的几种住房抵押贷款证券化模式、证券化工具品种及证
券化产品的定价方法的研究,结合我国现有宏观与微观环境对推厅住房抵押贷款证券
化进程的必要性与可行性分析,根据我国实际,提出了对我国实施住房抵押贷款证券
化的模式选择与建议,认为在我国现有阶段适宜采用表外证券化模式,因为我国在实
施住房抵押贷款证券化时,虽然表内模式将证券化的一般结构和过程进行了简化,有
利于迅速积累证券化的经验,在我国现实情况下具有一定的有利之处,但是其固有的
一些弊端有悖于证券化的初衷。在证券化运作工具的选择上,文章分析了几种常见的
证券化工具,基于分析与我国客观金融环境的结合,得出了抵押转付债券是我国住房
抵押贷款证券化的理想运作工具。文中还对证券产品的定价问题进行了研究,对几种
具有代表性的证券化产品定价模型分析为基础,为我国的住房抵押贷款证券化运作流
程中的关键环节提供了理论支持。最后结合建行发行建元1号住房抵押贷款支持证券
的案例分析,对发行中存在的问题与障碍进行了梳理分析,基于对住房抵押贷款证券
化的理论与实证分析,对我国实施住房抵押贷款证券化的实践,主要包括对市场参与
主体、证券化运作流程、证券产品设计等几个方面提出了构思与设想,希望通过这些
研究,能够对我国推进住房抵押证券化研究与实践提供一定的帮助
关键词:资产证券化、住房抵钾贷款证券化、模式、证券化工具、定价模型
Abstract
Asset securitization was born in 1970's in America. But it was in fact popularly known
after 30 years. From subprime crisis in 2008,Asset securitization has been thought
naturally that it is connected with the risk of financial market and financial crisis.
In china the practice of Asset securitization has exist 10 years ago. But because of
subprime crisis, it stopped in 2008. Affer 2008, with the economic and interest rate
liberalization developing, the liability of bank decreases, the problems of maturity
mismatch between asset and liability coming up. As one method to make room for capital,
the Asset securitization has ever been noticed o In this year, China Banking Regulatory
Commission stated that, the Asset securitization will step to normalization, which means
that china will be on the new journey.
In our country there are many motive powers for the securitization .from the present
circumstance, the asset of mortgage-backed loan, as one kind of the safest asset, should be
the entrance of asset securitization, no matter on the circumstance or on the point of view
of asset management. The development of Mortgage-Backed Securitization, as a key link,
produces the positive reactions to the whole housing industry and securities trade, if it can
develop smoothly.
The article bases the Mortgage-Backed Securitization and studies the market of asset
securitization, analyzes the models and tools of Mortgage-Backed Securitization outside
our country, especially introduces the models from America and Germany. At the same
time, the article discusses about the models of mortgage-backed securitization that suits for
the timely situations in our country, uniting with the market situations. It thinks that in our
country no-spv model make it easy to accumulate the experience because of simply process.
But this model runs counter on the truly intention of asset securitization .Then it should
adopt the outside-form model. The article analyzes some kinds of implement tools, and
draw a conclusion that the Mortgage-transfer securities is the best choice .Three kinds
of price-fixing models are discussed about in the article. Based on the models, the discuss
help to establish the theory base of our country's mortgage-backed securitization. In the
in
subjects to the work procedure and tools chosen,the article put forward the tentative plan
about our country's mortgage-backed securitization. May the study be helpful to put
forward the mortgage-backed securitization in our country.
Key words: Asset securitization Mortgage-backed securitization Model Securitization
tools Model of price fixing