주택저당증권(Mortgage-Backed Securities, MBS)의 구조변화 분석: 30년 만기 도입 전·후의 비교

This study investigates structural changes in the coupon rate of the mortgage-backed securities (MBS) issued by the collateralized mortgage obligations (CMO) of the Korea Housing Finance Corporation before and after the introduction of the 30-year maturity tranche. We analyzed the changes in spread before and after the introduction of the 30-year maturity tranche, changes in term premiums (spread differences) between various maturities, and the relationship between investor trading behavior in the bond market and changes in term premiums. We found that the 30-year maturity tranche in the MBS has had a limited impact on spreads across other maturity tranches, with the exception of the 1-year maturity tranche. However, we found a positive change in the term premiums of the intermediate tranches (five and seven year maturity) following the issuance of the 30-year tranche. This positive impact is largely related to foreign investors’ trading behavior. Overall, our findings indicate that introducing the 30-year maturity tranche is less associated with the MBS coupon rate. However, we infer that the introduction of the 30-year maturity tranche led to structural changes in the intermediate-term tranches.