房貸轉付證券定價與交易策略

Abstract

摘要 美國的轉付證券也就是一般所稱的不動產抵押債券，是相當重要的金融創新，從1980年代開始，就在美國資本市場與金融市場扮演相當重要的腳色，目前也佔美國整體債券市場相當大的比例，2006年六月份的最新統計資料顯示，美國的不動產抵押債券佔整體債券市場的比重大幅超越美國政府公債，儘管美國從2004年開始逐步調高聯邦基準利率，但是不動產抵押債券仍然以穩定成長•美國的轉付證券不僅提供了美國金融體系與不動產市場一個良好的結合，透過不動產證券的發行與次級市場的交易，也深化的美國債券市場的價格發現機能，而台灣自從2000年科技泡沫以來，市場投資人也開始留意固定收益的投資標的，而享有與美國政府公債相同債信評等的不動產抵押債券，更成為業者引進的熱門標投資標的•

但是由於轉付証券的收益來源，主要是來自於房貸借款者的本息攤還，而借款者的的還款行為，又會因為經濟環境與利率環境的變動而產生變化，進而產生提前還款或延遲還款的行為•還款行為的變動造成轉付證券的評價較一般債券複雜與困難，理論上的轉付證券評價方式，是要先針對利率模型採取適當的假設，進而模擬出未來的利率走勢路徑，再根據預先設定的提前還款模型，模擬出考慮提前還款後的轉付證券現金流量的現值，來訂定出理論價格•在實務操作上OAS是經常被用來評價轉付證券的重要工具，原因是提前還款行為如同房屋貸款者執行一個買方選擇權，因此OAS選擇權調整利差，可以被用來衡量不含選擇權價格的債券價格，而OAS也是交易上常用來擬定交易策略的工具，本文的目的即是在考量OAS在實務上的運用，並利用交易上最廣泛使用的Bloomberg所模擬的利率路徑與提前還款行為來計算出選擇權調整利差，並且比較常見的轉付證券的OAS，進而歸納出在市場上運用的交易策略•

ABSTRACT Mortgage-backed security (MBS) is a capital market innovation that gained popular acceptance in the 1980s and are even stronger in the 1990s in the states. In Taiwan since 2000 tech bubbles busted, stock market sunk, investors tended to invest their money into bond market that represents the features of having stable return than equity market. MBS as an instrument has the same credit rating as US treasury but get higher returns, become popular in the market. Since 2003 the US interest rate hit historical low level, said 1% through 2004 to now MBS attract lots of money to invest in. However, even in the states, MBS having longer history than in other countries, the pricing is still subject to uncertainty due to the existence of the mortgage prepayment option. This study describes the options-based model that can be used to price MBS and details possible prepayment functions that can be incorporated into the model. The Bloomberg prepayment model is suggested because the well-organized sub models are established and the data is completed to capture the prepayment behaviours. Also due to MBS is now the most common investment vehicle in the US fixed income market, trading MBS in the real world is also an important part to dig in. The Option adjusted spread method for trading MBS is selected in this study for studying the trading strategy of MBS to better understanding this blockbuster fixed income investment tool.