In the United States, the main issuers of MBS are GNMA, FNMA and FHLMC. GNMA is a government agency, FNMA and FHLMC are government-supported entities (GSE), and their MBS is also called institutional MBS. Because of the implicit guarantee of government credit, their credit rating is second only to national debt. In addition, some ordinary commercial organizations in the United States also issue MBS, collectively referred to as agentless MBS or private label MBS. In other countries, government, semi-government or government-supported organizations, such as KoMoCo, HKMC, CMHC and McGree Securitization, are the main issuers of home mortgage securities.
Because MBS can usually get a high credit rating, the probability of default or principal loss is low, and its income is higher than that of national debt and government agency debt, it attracts all kinds of investors, among which commercial banks and various funds are dominant. Like ordinary bonds, MBS has certain credit risk and interest rate risk. The difference is that MBS also faces the risk of prepayment, that is, the change of market interest rate has a direct impact on the repayment behavior of mortgage lenders, which increases the unpredictability of asset pool cash flow. This kind of risk brings some difficulties to the market pricing of MBS and affects its liquidity. The common practice in the world is to introduce a stochastic model into option pricing, and evaluate it by combining the prepayment rate index of cardiopulmonary resuscitation (CPR) or PSA (Public Securities Association). Investors usually make bilateral quotations and agreements on MBS through platforms such as Bloomberg.