Mortgage-Backed Securities

Andreas Fuster, David O. Lucca and James Vickery ()
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David O. Lucca: Federal Reserve Banks - Federal Reserve Bank of New York

No 22-13, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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: 29 pages
Date: 2022-02
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fmk and nep-ure
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Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4026234 (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2213

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