A Study of Financial Econometrics for Mortgage Backed Securities

• Main Authors: Su-Min Hsu, 許素敏
• Other Authors: Neng-Jen Shih
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/92785644493677088540

碩士 === 國立彰化師範大學 === 商業教育學系在職進修專班 === 92 === In recent years, the financial institutions, in the wave of liberalization and internationalization, are with more competition and risk. Moreover, the way to respond to this trend and improve the competing ability of domestic financial institutions has been an enforcing issue. In an effort to improve the worsening operation environment in the financial industry, the advanced countries have successfully developed MBS since 1970. In view of that, it is an essential trend for our country to promote the MBS products as a response to that financial demand. However, financial products are subject to the market factors, affecting decisions of the financial institutions and investors. So that through the current study on the financial measurement on MBS, making the MBS issuing institutions and the holders consider the conclusions of this research.Those conclusions are as follows. 一、The prepayment speed by the mortgagors is an important factor in estimating the cash flow of each month. As a result, the securities value depends on the prepayment speed. Given that there would be the prepayment speed, value of the securities will slump while the prepayment speed of the mortgagor reduces as a result of the rising market interest rate. And it will lift if the prepayment speed of the mortgagor reduces as a result of the rising market interest rate. Nevertheless, the investor should invest in the MBS issued at a discount, if he/she expects that the prepayment speed will be faster in the future. If not faster, the investor should invest in the MBS issued at a premium. 二、The prepayment speed of the mortgagor determines the maturity date of MBS. If the prepayment speed of the mortgagor is fast, the maturity date of MBS will be earlier. 三、The prepayment speed of the mortgagor is relevant to the return rate of MBS. Therefore, the MBS investors should be aware of the investment return rate like general investors. And moreover, they should note how much PSA has been applied to estimate the return rate stated on the prospectus.