Elective Mortgage Prepayment: Termination and Curtailment
研究了抵押贷款提前还款的两种形式（终止和缩减）对现金流的影响，并提出了分离这两种成分的算法，有助于抵押贷款衍生证券的定价和风险管理。
Mortgage‐prepayment risk underlies the structuring of mortgage‐backed derivative securities, such as tranched real estate mortgage investment conduits. This prepayment comes either from mortgage termination or from curtailment, where the borrower retains the existing mortgage and prepays a portion. There are differences in cash flows from the two types of prepayment. In termination, the loan disappears from a pool, and the scheduled payment to investors in the pool is reduced. In curtailment, the loan survives, and the scheduled payment is unchanged but the term is reduced. There are implications for structuring mortgages and derivative securities. The prepayment decision is embedded in an in‐tertemporal household utility maximization framework where choices are made between refinancing, making the regular payment, default or curtailment. Empirical results are presented for Government National Mortgage Association (GNMA) pools, and an algorithm is presented that separates the termination and curtailment components, facilitating the development of derivative securities.