Government National Mortgage Association (GNMA) Securities and the Portfolio Behavior of Mutual Savings Banks

摘要

This paper describes patterns of ownership of Government National Mortgage Association securities (GNMA's), the impact of GNMA's on savings bank portfolios, and a model of the mutual savings banks' (MSB) demand for GNMA's. Registration data are the only sources of information on GNMA ownership, but are problematic because many outstanding securities are registered to nominees who are not the actual owners. Financial intermediaries, particularly MSB's and savings and loans associations, have been the most active purchasers of GNMA's since their inception, although ownership gradually has spread to other sectors. The MSB's have increased their holdings of GNMA's very rapidly since 1971 and by the end of 1979 held 7.2 percent of total assets in GNMA's. The proportion of assets held in mortgages declined from almost 70 percent to about 60 percent over the 1970's, and half of that decline was offset by GNMA's and half by increased cash holdings and nonmortgage loans. This process is best viewed as the diffusion of a new innovation rather than the response to changing yield differentials between GNMA's and other long - term assets. Experiments with models of the demand for GNMA's by MSB's give little indication of substitutability regarding long - term assets. However, substitution between GNMA's and short - term assets, such as Treasury bills, is strongly indicated. The models show that MSB's speed up or slow down their accumulation of GNMA's in response to the spread between short - term and long - term yields. Tables and references are supplied. (Author abstract modified).