EconPapers    
Economics at your fingertips  
 

TBA trading and liquidity in the agency MBS market

James Vickery () and Joshua Wright

Economic Policy Review, 2013, vol. 19, issue May, 18 pages

Abstract: Mortgage-backed securities in the United States are generally traded on a ?to-be-announced,? or TBA, basis. The key feature of a TBA trade is that the identity of the securities to be delivered to the buyer is not specified exactly at the time of the trade, facilitating a liquid forward market. This article describes the main features of the TBA market. It also presents evidence on the liquidity of this market during the financial crisis period. Using variation in TBA eligibility rules, the authors? estimates suggest that the liquidity benefits associated with the TBA market are of the order of 10 to 25 basis points during 2009 and 2010, and magnified during periods of market stress. The estimates further suggest that the presence of a government credit guarantee alone does not appear to be sufficient explanation for the liquidity of agency MBS.

Keywords: Liquidity (Economics); Mortgage-backed securities; Government-sponsored enterprises (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/epr/2013/1212vick.pdf (application/pdf)

Related works:
Working Paper: TBA trading and liquidity in the agency MBS market (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednep:y:2013:i:may:p:1-18:n:v.19no.1

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Economic Policy Review from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().

 
Page updated 2025-03-24
Handle: RePEc:fip:fednep:y:2013:i:may:p:1-18:n:v.19no.1