DP16989 Mortgage-Backed Securities

Author(s): Andreas Fuster, David O Lucca, James Vickery
Publication Date: February 2022
Keyword(s): agency mortgage-backed securities, covered bonds, Mortgage finance, option-adjusted spreads, Securitization, TBA
JEL(s): G10, G12, G21
Programme Areas: Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=16989

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.