Mortgage-Backed Securities

Andreas Fuster, David Lucca and James Vickery ()

No 1001, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security characteristics, prepayment, and trading activity. Throughout, we highlight insights from the expanding body of academic research on the MBS market and mortgage securitization.

Keywords: mortgage finance; securitization; agency mortgage-backed securities; TBA; option-adjusted spreads; covered bonds (search for similar items in EconPapers)
JEL-codes: G10 G12 G21 (search for similar items in EconPapers)
Pages: 39
Date: 2022-02-01
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-his and nep-ure
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Related works:
Working Paper: Mortgage-Backed Securities (2025)
Chapter: Mortgage-backed securities (2023)
Working Paper: Mortgage-Backed Securities (2022)
Working Paper: Mortgage-Backed Securities (2022)
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