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二、欧洲MBS市场
根据MBS发行记录，欧盟居住性MBS市场约为1500亿欧元，占住房按揭贷款总额的3.5%（2001年底）。部分欧洲国家发行在外的RMBS显著高于欧洲平均水平。RMBS占住房按揭贷款额的比率从3.6%（英国）、7和8%（西班牙和荷兰）,到10%（爱尔兰）不等。从资产（证券化）市场来看，MBS代表着欧洲最重要的资产品种，平均水平占整个ABS市场的三分之一。2002年第二季度，MBS的发行量占欧洲证券化资产的56%。同期ABS总发行量为310亿欧元，居住性MBS总发行量超过了150亿欧元，约占48%；盈利性不动产（MBS）发行量占8%。在居住性MBS领域，欧洲市场以英国为主，荷兰、意大利、西班牙次之。
三、评估
欧洲MBS的市场表现主要受其资产质量和相应不动产市场的影响。在这种情形下，资产评估质量的高低具有举足轻重的作用。按揭贷款的不动产必须由具有资格的评估师评估，这类资产通常是按不动产价值60-80%的贷款价值比融资的。很长时间以来，与MBS相关的不动产评估透明度一直很低。由于投资者的任何决策，都基于不动产在证券到期前，长期产生收入的能力，所以高质量的不动产评估，从根本上讲非常关键。
（一）不动产风险和资产组合分类
对于以资产证券化为目的的不动产评估，评估师需要关注按揭资产市场以及按揭资产上与不动产相关的风险。这样做的目的是为了给发起人、评级机构、MBS投资者提供透明度较高的信息，具体包括单项不动产或资产组合的市场价值和可持续净资产价值、不动产风险及市场行情等，从而为按揭贷款组合的构造、资产组合评级以及投资者决策提供便利。为精确反映某项不动产长期的质量级别、资产证券化计算净资产价值时，应考量以下六类风险：市场风险、位置风险、不动产相关风险、合伙风险、财务及法律风险、金融风险。1
此外，还有必要区分三种按揭贷款组合：
· 居住性按揭担保证券（RMBS），仅由零售按揭贷款组成（面向投资不多于三个住宅的私人客户而发放的按揭贷款）；
· 盈利性的居住性按揭担保证券（面向投资4个以上住宅或公寓的盈利性投资者而发放的贷款）；
· 盈利性按揭担保证券（CMBS），包括盈利性不动产。
（二）定义
1．市场价值（见《欧洲评估准则4》/《国际评估准则1》）
2．可持续净资产价值
指某项资产在较长时期内预计能够产生或维持的可持续价值。在资产证券化业务中，发起人、评级机构、资产组合保险人、投资者都会使用这个概念。根据当时市场周期所处的阶段，以及市场波动、投机行为等潜在的不稳定因素，可持续净资产价值可参考按揭贷款价值估计得出，或通过调整市场价值得出。这些价值估计、调整应当反映出对市场波动和投机的周期性预测和预期、以及具体不动产市场的特点。在概念上，可持续净资产价值与按揭贷款价值类似，它也被称作长期可持续价值、可持续资产价值。
3．按揭贷款价值
按揭贷款价值是由评估师综合考虑不动产长期可持续性、常规市场状况、当地市场状况、不动产当前用途以及其他适宜用途等因素，对其未来的变现能力做出审慎判断后，而确定的不动产的价值。估计按揭贷款价值时不考虑投机因素，而且应以明确、透明的方式加以表述。
（三）评估程序
为了保证必要的透明度，建议评估师使用两步程序评估，即传统不动产评估和特定的不动产风险状况评价。
根据各国实际做法，有资格的评估师依据国家性评估师协会承认的、透明的评估方法首先对不动产进行传统评估，即对组成将要证券化的资产组合中的每项不动产，在其融资时确定各自的市场价值、可持续资产价值。如果一项资产在融资时没有评估可持续资产价值，该价值必须在按揭贷款出售给特殊目的载体时被评估。
除了不动产评估，必须对盈利性以及投资者相关的住房按揭贷款组合中的每项不动产，在其融资时进行系统的风险评估（市场风险和不动产风险，见上）。对零售住房贷款组合，应使用聚类分析，即将资产组合依据性质分类，采取使用价值确定参数的简化方法进行评估。如果一项资产在融资时没有评估可持续资产价值，该价值必须在按揭贷款出售给特殊目的载体时被评估。
1 限于篇幅，此处略去这六类风险所包含的具体风险种类。
European Mortgage Securitisation:A Valuer’s Guide (Continued)
II. European MBS-Market
Tracking issuances, the volume of the residential MBS market segment in the European Union may be estimated at 150 bn Euro, which represents approximately 3.5% of the total residential mortgage loan outstanding in the EU (end of 2001). In some European countries, outstanding RMBS are much more significant than the European average. RMBS volume ranges from 3.6% (UK), 7 and 8% (Spain and the Netherlands respectively) up to even 10% (Ireland) of the respective domestic residential mortgage loan outstanding. With regard to assets, MBS represent the most important asset class in Europe, holding an average 1/3 of the total ABS market. In the second quarter of 2002, MBS issues represented as much as 56% of European securitised assets. Of the 31 bn Euro total ABS issuance during this period, residential MBS totalled over 15 bn Euro, a share of 48%, whereas commercial property issuances hold an 8%market share. In the residential MBS segment, the European market is largely dominated by the UK, followed by the Netherlands, Italy and Spain.
III. Valuation
The performance of European MBS is primarily driven by the quality of the underlying properties and the respective property markets. The quality of the valuation has a strong impact in this context. Qualified valuers have to value the property assets which are generally financed at a loan-to-value ratio of 60-80% of the value of the property. There has been very low transparency about MBS related property valuations. As any investor decision is based on the property抯 ability to produce revenue over the long term up to the MBS抯 maturity, qualified property valuation is of fundamental importance.
1. Property risk and portfolio segmentation
Valuers dealing with property valuation for securitisation purposes need to focus on market and property-related risk criteria of the mortgage assets. The aim is to provide originators, rating agencies and MBS-investors with transparency regarding both market and sustainable net asset values for individual properties and/or portfolios and market and property risk details, thus facilitating the structuring of mortgage loan portfolios, portfolio ratings and investor decisions. The following 6 risk buckets are suitable to accurately reflect the long term quality grade of a property and to calculate its net asset value for securitisation purposes:
?market risks
?location risks
?property related risks
?partnership risks
?fiscal and legal risks
?financial risks
Furthermore, it is necessary to distinguish between three types of mortgage loan portfolios:
?Residential mortgage backed securities (RMBS) based exclusively on retail mortgage loans (mortgage loans to private customers investing in not more than 3 residential properties)
?Residential mortgage backed securities conceived as a commercial business (loans to commercial investors holding 4 or more residential properties, condominiums)
?Commercial mortgage backed securities (CMBS) based on commercial properties
2. Definition of Terminology
2.1. Market Value (see EVS 4 / IVS 1)
2.2. Sustainable Net Asset Value
The sustainable value that an asset may be expected to achieve or maintain over the long term. In the securitisation business; this concept is employed by originators, rating agencies, portfolio insurers and investors. Sustainable net asset value is estimated either by reference to mortgage lending value or by making variable adjustments to market value, depending on the phase in the ongoing market cycle and potentially destabilising factors such as market volatility and speculative activity. The estimate should reflect the cyclical forecast and expectations of volatility and speculation, characteristic of the specific property market. In concept, sustainable net asset value is similar to mortgage lending value. Also called Long-term Sustainable Value or Sustainable Asset Value.
2.3. Mortgage Lending Value
Mortgage Lending Value shall mean the value of the property as determined by a valuer making a prudent assessment of the future marketability of the property by taking into account long-term sustainable aspects of the property, the normal and local market conditions, the current use and alternative appropriate uses of the property. Speculative elements may not be taken into account in the assessment of the Mortgage Lending Value. The Mortgage Lending Value shall be documented in a transparent and clear manner.
3. Valuation Process
In order to provide the necessary transparency, a two-step process divided into the traditional valuation of the property and an assessment of the specific property risk profile is being recommended to valuers.
According to the national practice, qualified valuers using transparent valuation methods that are recognised by national valuers?associations have first to proceed to a traditional valuation, i.e. to determine market value and sustainable net asset value for each property in a portfolio to be securitised at the moment when the individual property is financed. If the assessment of the sustainable net asset value was not carried out at the time when the individual property was financed, this must be done at the moment when the mortgage loans are being sold to the special purpose vehicle. In addition to the property valuation, a structured risk assessment(market and property risks, see above) has then to be produced for each property of the commercial and investor related residential mortgage loan portfolios at the moment when the individual property is financed. Regarding the retail residential loan portfolio, a cluster analysis should be used to divide the entire portfolio into homogeneous clusters which should be valued by means of a simplified method taking into account value determining parameters. If this assessment was not carried out at the time when the individual property was financed, this must be done for each property at the moment when the mortgage loans are being sold to the special purpose vehicle.
根据MBS发行记录，欧盟居住性MBS市场约为1500亿欧元，占住房按揭贷款总额的3.5%（2001年底）。部分欧洲国家发行在外的RMBS显著高于欧洲平均水平。RMBS占住房按揭贷款额的比率从3.6%（英国）、7和8%（西班牙和荷兰）,到10%（爱尔兰）不等。从资产（证券化）市场来看，MBS代表着欧洲最重要的资产品种，平均水平占整个ABS市场的三分之一。2002年第二季度，MBS的发行量占欧洲证券化资产的56%。同期ABS总发行量为310亿欧元，居住性MBS总发行量超过了150亿欧元，约占48%；盈利性不动产（MBS）发行量占8%。在居住性MBS领域，欧洲市场以英国为主，荷兰、意大利、西班牙次之。
三、评估
欧洲MBS的市场表现主要受其资产质量和相应不动产市场的影响。在这种情形下，资产评估质量的高低具有举足轻重的作用。按揭贷款的不动产必须由具有资格的评估师评估，这类资产通常是按不动产价值60-80%的贷款价值比融资的。很长时间以来，与MBS相关的不动产评估透明度一直很低。由于投资者的任何决策，都基于不动产在证券到期前，长期产生收入的能力，所以高质量的不动产评估，从根本上讲非常关键。
（一）不动产风险和资产组合分类
对于以资产证券化为目的的不动产评估，评估师需要关注按揭资产市场以及按揭资产上与不动产相关的风险。这样做的目的是为了给发起人、评级机构、MBS投资者提供透明度较高的信息，具体包括单项不动产或资产组合的市场价值和可持续净资产价值、不动产风险及市场行情等，从而为按揭贷款组合的构造、资产组合评级以及投资者决策提供便利。为精确反映某项不动产长期的质量级别、资产证券化计算净资产价值时，应考量以下六类风险：市场风险、位置风险、不动产相关风险、合伙风险、财务及法律风险、金融风险。1
此外，还有必要区分三种按揭贷款组合：
· 居住性按揭担保证券（RMBS），仅由零售按揭贷款组成（面向投资不多于三个住宅的私人客户而发放的按揭贷款）；
· 盈利性的居住性按揭担保证券（面向投资4个以上住宅或公寓的盈利性投资者而发放的贷款）；
· 盈利性按揭担保证券（CMBS），包括盈利性不动产。
（二）定义
1．市场价值（见《欧洲评估准则4》/《国际评估准则1》）
2．可持续净资产价值
指某项资产在较长时期内预计能够产生或维持的可持续价值。在资产证券化业务中，发起人、评级机构、资产组合保险人、投资者都会使用这个概念。根据当时市场周期所处的阶段，以及市场波动、投机行为等潜在的不稳定因素，可持续净资产价值可参考按揭贷款价值估计得出，或通过调整市场价值得出。这些价值估计、调整应当反映出对市场波动和投机的周期性预测和预期、以及具体不动产市场的特点。在概念上，可持续净资产价值与按揭贷款价值类似，它也被称作长期可持续价值、可持续资产价值。
3．按揭贷款价值
按揭贷款价值是由评估师综合考虑不动产长期可持续性、常规市场状况、当地市场状况、不动产当前用途以及其他适宜用途等因素，对其未来的变现能力做出审慎判断后，而确定的不动产的价值。估计按揭贷款价值时不考虑投机因素，而且应以明确、透明的方式加以表述。
（三）评估程序
为了保证必要的透明度，建议评估师使用两步程序评估，即传统不动产评估和特定的不动产风险状况评价。
根据各国实际做法，有资格的评估师依据国家性评估师协会承认的、透明的评估方法首先对不动产进行传统评估，即对组成将要证券化的资产组合中的每项不动产，在其融资时确定各自的市场价值、可持续资产价值。如果一项资产在融资时没有评估可持续资产价值，该价值必须在按揭贷款出售给特殊目的载体时被评估。
除了不动产评估，必须对盈利性以及投资者相关的住房按揭贷款组合中的每项不动产，在其融资时进行系统的风险评估（市场风险和不动产风险，见上）。对零售住房贷款组合，应使用聚类分析，即将资产组合依据性质分类，采取使用价值确定参数的简化方法进行评估。如果一项资产在融资时没有评估可持续资产价值，该价值必须在按揭贷款出售给特殊目的载体时被评估。
1 限于篇幅，此处略去这六类风险所包含的具体风险种类。
European Mortgage Securitisation:A Valuer’s Guide (Continued)
II. European MBS-Market
Tracking issuances, the volume of the residential MBS market segment in the European Union may be estimated at 150 bn Euro, which represents approximately 3.5% of the total residential mortgage loan outstanding in the EU (end of 2001). In some European countries, outstanding RMBS are much more significant than the European average. RMBS volume ranges from 3.6% (UK), 7 and 8% (Spain and the Netherlands respectively) up to even 10% (Ireland) of the respective domestic residential mortgage loan outstanding. With regard to assets, MBS represent the most important asset class in Europe, holding an average 1/3 of the total ABS market. In the second quarter of 2002, MBS issues represented as much as 56% of European securitised assets. Of the 31 bn Euro total ABS issuance during this period, residential MBS totalled over 15 bn Euro, a share of 48%, whereas commercial property issuances hold an 8%market share. In the residential MBS segment, the European market is largely dominated by the UK, followed by the Netherlands, Italy and Spain.
III. Valuation
The performance of European MBS is primarily driven by the quality of the underlying properties and the respective property markets. The quality of the valuation has a strong impact in this context. Qualified valuers have to value the property assets which are generally financed at a loan-to-value ratio of 60-80% of the value of the property. There has been very low transparency about MBS related property valuations. As any investor decision is based on the property抯 ability to produce revenue over the long term up to the MBS抯 maturity, qualified property valuation is of fundamental importance.
1. Property risk and portfolio segmentation
Valuers dealing with property valuation for securitisation purposes need to focus on market and property-related risk criteria of the mortgage assets. The aim is to provide originators, rating agencies and MBS-investors with transparency regarding both market and sustainable net asset values for individual properties and/or portfolios and market and property risk details, thus facilitating the structuring of mortgage loan portfolios, portfolio ratings and investor decisions. The following 6 risk buckets are suitable to accurately reflect the long term quality grade of a property and to calculate its net asset value for securitisation purposes:
?market risks
?location risks
?property related risks
?partnership risks
?fiscal and legal risks
?financial risks
Furthermore, it is necessary to distinguish between three types of mortgage loan portfolios:
?Residential mortgage backed securities (RMBS) based exclusively on retail mortgage loans (mortgage loans to private customers investing in not more than 3 residential properties)
?Residential mortgage backed securities conceived as a commercial business (loans to commercial investors holding 4 or more residential properties, condominiums)
?Commercial mortgage backed securities (CMBS) based on commercial properties
2. Definition of Terminology
2.1. Market Value (see EVS 4 / IVS 1)
2.2. Sustainable Net Asset Value
The sustainable value that an asset may be expected to achieve or maintain over the long term. In the securitisation business; this concept is employed by originators, rating agencies, portfolio insurers and investors. Sustainable net asset value is estimated either by reference to mortgage lending value or by making variable adjustments to market value, depending on the phase in the ongoing market cycle and potentially destabilising factors such as market volatility and speculative activity. The estimate should reflect the cyclical forecast and expectations of volatility and speculation, characteristic of the specific property market. In concept, sustainable net asset value is similar to mortgage lending value. Also called Long-term Sustainable Value or Sustainable Asset Value.
2.3. Mortgage Lending Value
Mortgage Lending Value shall mean the value of the property as determined by a valuer making a prudent assessment of the future marketability of the property by taking into account long-term sustainable aspects of the property, the normal and local market conditions, the current use and alternative appropriate uses of the property. Speculative elements may not be taken into account in the assessment of the Mortgage Lending Value. The Mortgage Lending Value shall be documented in a transparent and clear manner.
3. Valuation Process
In order to provide the necessary transparency, a two-step process divided into the traditional valuation of the property and an assessment of the specific property risk profile is being recommended to valuers.
According to the national practice, qualified valuers using transparent valuation methods that are recognised by national valuers?associations have first to proceed to a traditional valuation, i.e. to determine market value and sustainable net asset value for each property in a portfolio to be securitised at the moment when the individual property is financed. If the assessment of the sustainable net asset value was not carried out at the time when the individual property was financed, this must be done at the moment when the mortgage loans are being sold to the special purpose vehicle. In addition to the property valuation, a structured risk assessment(market and property risks, see above) has then to be produced for each property of the commercial and investor related residential mortgage loan portfolios at the moment when the individual property is financed. Regarding the retail residential loan portfolio, a cluster analysis should be used to divide the entire portfolio into homogeneous clusters which should be valued by means of a simplified method taking into account value determining parameters. If this assessment was not carried out at the time when the individual property was financed, this must be done for each property at the moment when the mortgage loans are being sold to the special purpose vehicle.