Arbeitspapier

Mortgage-backed securities

to connected objects

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.

Language
Englisch

Bibliographic citation
Series: Staff Report ; No. 1001

Classification
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Subject
mortgage finance
securitization
agency mortgage-backed securities
TBA
option-adjusted spreads
covered bonds

Event
Geistige Schöpfung
(who)
Fuster, Andreas
Lucca, David O.
Vickery, James
Event
Veröffentlichung
(who)
Federal Reserve Bank of New York
(where)
New York, NY
(when)
2022

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Fuster, Andreas
  • Lucca, David O.
  • Vickery, James
  • Federal Reserve Bank of New York

Time of origin

  • 2022

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