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Korean J Financ Stud > Volume 47(2); 2018 > Article
Korean Journal of Financial Studies 2018;47(2):327-347.
DOI: https://doi.org/10.26845/KJFS.2018.04.47.2.327    Published online April 30, 2018.
A Study on Reverse Mortgage-Backed Securities with a Focus on Structural Design and Estimated Cash Flow Analysis
Hyeongjun Kim, Doojin Ryu, Hoon Cho
주택연금 유동화증권에 관한 연구
김형준, 류두진, 조훈
1한국자산관리공사
2성균관대학교
3KAIST
Abstract
JooTaekYeonKeum, the reverse mortgage in Korea, was launched in July 2007 and has grown significantly over the past decade. It has attracted attention as a measure for solving the problem of aging in Korea and the imbalance in the asset structure, which is concentrated in real estate. However, financial institutions face liquidity problems as the supply of JooTaekYeonKeum increases due to these institutions’ cash flow characteristics. This study analyzes the case of the liquidity supply of home equity conversion mortgages, which are public guaranteed mortgage products in the United States. Based on this analysis, we propose the issuance of JooTaekYeonKeum-backed securities and their cash flow structures. In addition, based on JooTaekYeonKeum supply data, we calculate the expected cash flow when the JooTaekYeonKeum-backed securities are issued and analyze the characteristics of the securities. The results lead to the following four policy proposals. First, it is necessary to guarantee the right of each participating institution to collateral security. Second, the issuers need to specify the maturities of the securities. Third, the prepayment model of JooTaekYeonKeum is required to estimate cash flows more precisely. Fourth, there should be a clear understanding of the related risks, such as interest rate, housing price, and life expectancy risks.
Key Words: 구조화금융,역모기지,유동화,주택연금,주택연금 유동화증권,JooTaekYeonKeum,Reverse Mortgage,Reverse Mortgage-Backed Securities,Securitization,Structured Finance
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