Valuation of GNMA Mortgage-Backed Securities
Valuation of GNMA Mortgage-Backed Securities
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DOI：
10.1111/j.1540-6261.1981.tb00647.x
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发表时间：
1981-06
影响因子：
8
通讯作者：
K. Dunn;John J. Mcconnell
中科院分区：
文献类型：
--
作者：
K. Dunn;John J. Mcconnell
GNMA抵押贷款支持的传递证券由摊销的可赎回贷款池支持。此外，当市场利率高于其贷款的票面利率时，抵押人通常提前偿还其贷款。本文建立了GNMA证券的定价模型，并利用该模型研究了GNMA证券的摊销、赎回和提前还款特征对价格、风险和预期收益的影响。摊销和提前还款功能都对价格有积极的影响，而看涨功能则有负面影响。所有这三个特征都降低了GNMA证券的利率风险，从而降低了其预期回报。
GNMA mortgage-backed pass-through securities are supported by pools of amortizing, callable loans. Additionally, mortgagors often prepay their loans when the market interest rate is above the coupon rate of their loans. This paper develops a model for pricing GNMA securities and uses it to examine the impact of the amortization, call, and prepayment features on the prices, risks and expected returns of GNMA's. The amortization and prepayment features each have a positive effect on price, while the call feature has a negative impact. All three features reduce a GNMA security's interest rate risk and, consequently, its expected return.