资产证券化是 20 世纪 70 年代以来最重要的金融创新之一，它 通过巧妙的设计，将流动性差的资产转化为流动性好的债券，借以融 通资金。房地产证券化是国际金融发展的趋势,也是市场经济发展的 必然结果，但是实施资产证券化业务还面临许多障碍。2007 年 8 月， 美国次级住房抵押贷款出现还款困难，进而引发以其为基础资产的证 券化产品—次级债风波，并波及世界金融市场。这场愈益严重的美国 次级房贷危机正向全球金融市场深度蔓延，不仅包括法国、德国在内 的一些欧洲国家受到传染；亚太国家和地区包括中国大陆的一些银行 也未能幸免。 从宏观环境和微观基础我国当前实施房地产证券化具有可行性， 虽然存在一定的制约因素，美国次级房贷危机给中国带来了警示，但 如何突破房地产融资的瓶颈现状，带动整个资产证券化的良性运作， 将中国资产证券化进程稳步向前推进是值得提倡的。 本文结合具体包括以下六个部分， 第一部分是住房抵押贷款证 券化概述；第二部分我国住房抵押贷款证券化的现状及存在的问题； 第三部分我国住房抵押贷款证券化风险与收益分析；第四部分美国次 级抵押贷款危机对我国的启示；第五部分兴业银行住房抵押贷款证券 化方案设计；第六部分结束语 关键词，次贷危机，住房抵押贷款证券化，可行性研究AFTER SUBPRIME MORTGAGE CRISIS, THE FEASIBILITY STUDY OF MORTGAGE BACKED SECURITIES IN CHINA ABSTRACT Asset securitization has been one of the most important financial innovations from the 1970’s. It turns asset of low liquidity into bond of high liquidity with its skillful designing in order to balance financing. Real estate securitization is not only the trend of the international financial development but also the inevitable result of the development of the market economy. But the implement of asset securitization still faces a lot of obstacles. This August, the payment difficulty emerged from the American subprime mortgage caused the secondary debt disturbance of the securitized products with the subprime mortgage as its basic asset and spread to the world financial market. This increasingly serious American secondary mortgage loan crisis is spreading deeply to the world financial market. It affects not only the European countries such as France and Germany, but also the banks in Asia-pacific countries including mainland China. It is feasible to imply real estate securitization according to the macroscopically environment and the microcosmic foundation though it still faces some restricted factors. The American subprime mortgage crisis brings warnings to China. But how to break through the bottleneck of the housing financing, make the asset securitization operate well and advance steadily the process of the asset securitization of China are advocatable.This thesis consists of the following six parts. The first part is the summary of the mortgage backed securities. The second part is the reality and the problems of the mortgage backed securities in China. The third part is analysis of the risk and benefit of the mortgage backed securities in China. The fourth part is the revelation of the American secondary mortgage loan crisis. The fifth part is the scheme of the housing mortgage loan of Industrial Bank. The sixth part is the tag. KEY WORDS: subprime mortgage crisis, mortgage backed securities, the feasibility study目 录 前言.............................................................................................................1 第一章 住房抵押贷款证券化概述..........................................................1 1．1 住房抵押贷款证券化的概念与原理......................................1 1．2 住房抵押贷款证券化的运行机制..........................................3 第二章 我国住房抵押贷款证券化的现状及存在的问题......................9 2．1 我国住房抵押贷款证券化的现状..........................................9 2．2 我国住房抵押贷款证券化存在的问题............................... 13 2．3 解决我国住房抵押贷款证券化问题的建议 ........................ 15 2．4 我国实施住房抵押贷款证券化的必要性 ............................ 16 第三章 我国住房抵押贷款证券化风险与收益分析............................18 3．1 我国住房抵押贷款证券化的风险分析 ................................ 18 3．2 我国住房抵押贷款证券化的收益分析 ................................ 21 第四章 美国次级抵押贷款危机对我国的启示..................................23 4．1 美国次级抵押贷款危机的起因与发展 ................................ 23 4．2 中美房屋抵押贷款市场的分析比较 .................................... 28 4．3 美国次级贷款危机对我国住房抵押贷款证券化发展的重要 启示.................................................................................................... 31 第五章 兴业银行住房抵押贷款证券化方案设计................................33 5．1 交易结构设计 ........................................................................ 33 5．2 主要参与机构及其职责 ........................................................ 335．3 SPT 的破产隔离功能 ............................................................ 34 5．4 交易结构中的其他破产隔离 ................................................ 34 5．5 资产池的选择 ........................................................................ 35 5．6 资产支持证券的信用增级措施 ............................................ 35 5．7 资产支持证券的优先/次级分层设计 ................................... 36 5．8 资产支持证券的次级比例确定和评级方法 ........................ 37 5．9 清仓回购 ................................................................................ 38 5．10 现金流结构及支付顺序 ...................................................... 38 5．11 资产支持证券的发行定价 .................................................. 38 5．12 资产支持证券的二级市场定价模型 .................................. 39 第六章 结束语 ........................................................................................40