Chao Ma, Hao Zhang, Hongbiao Zhao: Securitization of Assets with Payment Delay Risk: A Financial Innovation in the Real Estate Market

发表期刊：Journal of Futures Markets

发表时间：First published: 25 January 2023

作者及单位：Chao Ma¹, Hao Zhang², Hongbiao Zhao^3,4,*

¹WISE and Department of Finance at School of Economics, Xiamen University, Xiamen, Fujian, China

²Guangzhou Rongshan Information Technology Co., Ltd., Foshan, Guangdong, China

³School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China

⁴Shanghai Institute of International Finance and Economics, Shanghai, China

摘要：We study a new type of securitization that deals with banks' processing time, mortgage‐receivable‐backed securities (MRBSs) issued by real estate developers. Unlike traditional mortgage‐backed securities (MBSs), the major risk of underlying assets of MRBSs is payment delay instead of default and prepayment. Using unique loan‐level data, we estimate proportional hazard models and detect factors that affect the risk of underlying assets of MRBSs, including bank characteristics, property–loan–household characteristics, local market conditions, and macroeconomic conditions. Especially, we find that the effects of house prices and loan‐to‐value ratios on MRBS risk are the opposite of those on traditional MBS risk. Based on the estimates, we simulate cash flows of an underlying‐asset pool and analyze the shortfall risk of the corresponding security tranches. We find that the securitization process imposes a natural adverse selection on the underlying assets.

关键词：adverse selection; banking; delay risk; financial innovation; mortgage receivable; real estate; securitization