A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities
A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities
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GNMA 抵押贷款支持证券定价替代模型的比较
DOI：
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发表时间：
1981
期刊：
影响因子：
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通讯作者：
John J. Mcconnell
中科院分区：
文献类型：
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作者：
K. Dunn;John J. Mcconnell
自1970年2月发行首个政府国民抵押贷款协会（GNMA）抵押贷款支持传递证券以来，GNMA的发行总额已超过1050亿美元。就其交易量而言，GNMA证券是交易最活跃的长期固定利率工具类别。然而，这一总量统计数字掩盖了一个事实，即GNMA并非同质证券。其不同之处在于息票利率及剩余到期日。还有一个普遍的信念[12]和一些证据[7]，即GNMA根据其预期的提前还款率而不同。GNMA的大部分交易量由新发行的证券组成。新的证券通常以联邦住房管理局（FHA）的最高利率发行，期限为30年。虽然大多数GNMA交易由新发行的证券组成，但大部分未偿还证券由“旧”证券组成，其票面利率可能与目前的FHA上限不同，其剩余到期期限不到30年。这给GNMA证券交易商、投资组合经理、持有大量GNMA证券投资组合的金融机构和其他潜在的GNMA投资者带来了定价问题。新发行的债券有最新的市场报价，但“旧”债券的报价并不那么容易获得。因此，潜在的交易者面临着为这些不经常交易的证券定价的问题。GNMA证券的定价问题最初是由Curley和Guttentag [5]提出的。他们提出了一个国民生产总值平均值定价模式，这是当时广泛使用的平均寿命程序的一个富有想象力的重要延伸。他们的模型的特别创新之处在于将提前还款概率的估计纳入其中，以确定预期的未来现金流量。通过模拟和敏感性分析，Curley和Guttentag（以下简称C & G）将他们的模型产生的价格与传统的平均寿命程序产生的价格进行了比较。在对C & G论文的讨论中，布雷利鼓励作者扩展他们的模型，将不确定性纳入其中，并明确地对基础抵押贷款附带的看涨期权进行估值。在以前的论文[6]中，我们
SINCE THE ISSUANCE OF the first Government National Mortgage Association (GNMA) mortgage-backed pass-through security in February 1970, the total amount of GNMAs issued has grown to over $105 billion. In terms of their trading volume, GNMA securities are the most actively-traded class of long-term fixedrate instruments. However, this gross volume statistic masks the fact that GNMAs are not homogeneous securities. They differ by coupon interest rate and remaining term to maturity. There is also a widely-held belief [12] and some evidence [7] that GNMAs differ according to their expected prepayment rates. The bulk of the trading volume in GNMAs is comprised of newly-issued securities. New securities are generally issued at the Federal Housing Administration (FHA) maximum interest rate and have terms to maturity of 30 years. While most GNMA trading is comprised of new issues, the bulk of the outstanding securities is comprised of "old" securities whose coupon rates may differ from the current FHA ceiling and whose remaining terms to maturity are less than 30 years. This raises a pricing problem for GNMA security dealers, portfolio managers, financial institutions that hold large portfolios of GNMA securities, and other potential GNMA investors. Up-to-date market price quotes are available for new issues, but quotes for "old" ones are not so readily available. Thus, potential traders confront the problem of pricing these infrequently traded securities. The problem of pricing GNMA securities was initially addressed by Curley and Guttentag [5]. They presented a model for the pricing of GNMAs that was an imaginative and important extension of the then widely-used average life procedure. The particular innovation of their model was to incorporate estimates of the prepayment probabilities to determine expected future cash flows. Through simulation and sensitivity analysis, Curley and Guttentag (hereafter C & G) compared prices generated by their model with those generated by the traditional average life procedure. In his discussion of the C & G paper, Brealey [1] encouraged the authors to extend their model to incorporate uncertainty and to value explicitly the call options attached to the underlying mortgage loans. In a previous paper [6], we