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은행권 변동금리형 주택담보대출의 가산금리 결정요인 연구

Determining Factors to Influence the Interest Spread of Banks’ Floating Rate Mortgages

김진
한국주거환경학회 (Residential Environment Institute Of Korea)|2015.06|주거환경 (Journal of The Residential Environment Institute of Korea)|제13권 제2호|pp. 183-197

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키워드

Credit Rating가산금리주택담보대출Interest Rate Spread변동금리Residential MortgageRisk Premium위험보상신용평정Floating Rate
주제분류국제/지역개발

초록

Banks’ inconsistent behavior to charge the interest rate spread in the floating-rate residential mortgages is ceaselessly controversial. Based upon 23,147 Seoul housing loans of a commercial bank originated from January 2009 to May 2013, the purpose of this study is to 1) estimate the credit score with 10 credit risk factors; 2) test the risk premium over the ten factors with base rate and liquidity; and then 3) examine the logical consistency of ‘higher risk, higher spread.’ Two dependants are loan rating score and interest rate spread. Risk factors include three numerical variables (LTV (loan-to-value) ratio, DTI (debt-to-income) ratio and borrower age) with seven dummies, i.e. newcomer borrower, senior debt, senior rent deposit, Kangnam area, condominium type, other liability (than mortgage) and gender. Three month CD (Certificate of Deposit) rate is quoted as base rate and each loan’s liquidity premium is calculated by its maturity and interest rate reset frequency. Spread seems to increase by higher liquidity premium as well as lower base rate and credit score, and vice-versa. Senior legal rights to mortgage claim, location in Kangnam, condominium type residence, other debt service and gender are strongly correlated with the mechanism of ‘higher risk, higher spread.’ In contrast, not only newcomers without credit history but higher LTV and DTI ratios look to lower the interest spread though they are significantly hurting the credit grades. Our results imply that the unequitable pricing of mortgages does not attribute to rating system but lending practices, such as cross bargain of insurance, credit card, etc. Also, we confirm the earlier studies’ findings that Korean banks raise the spreads in times of lower base rates.

Abstract

Banks’ inconsistent behavior to charge the interest rate spread in the floating-rate residential mortgages is ceaselessly controversial. Based upon 23,147 Seoul housing loans of a commercial bank originated from January 2009 to May 2013, the purpose of this study is to 1) estimate the credit score with 10 credit risk factors; 2) test the risk premium over the ten factors with base rate and liquidity; and then 3) examine the logical consistency of ‘higher risk, higher spread.’ Two dependants are loan rating score and interest rate spread. Risk factors include three numerical variables (LTV (loan-to-value) ratio, DTI (debt-to-income) ratio and borrower age) with seven dummies, i.e. newcomer borrower, senior debt, senior rent deposit, Kangnam area, condominium type, other liability (than mortgage) and gender. Three month CD (Certificate of Deposit) rate is quoted as base rate and each loan’s liquidity premium is calculated by its maturity and interest rate reset frequency. Spread seems to increase by higher liquidity premium as well as lower base rate and credit score, and vice-versa. Senior legal rights to mortgage claim, location in Kangnam, condominium type residence, other debt service and gender are strongly correlated with the mechanism of ‘higher risk, higher spread.’ In contrast, not only newcomers without credit history but higher LTV and DTI ratios look to lower the interest spread though they are significantly hurting the credit grades. Our results imply that the unequitable pricing of mortgages does not attribute to rating system but lending practices, such as cross bargain of insurance, credit card, etc. Also, we confirm the earlier studies’ findings that Korean banks raise the spreads in times of lower base rates.

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