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TBA trading and liquidity in the agency MBS market

Author Info

  • James Vickery
  • Joshua Wright

Abstract

Most mortgages in the United States are securitized through the agency mortgage-backed-securities (MBS) market. These securities are generally traded on a “to-be-announced,” or TBA, basis. This trading convention significantly improves agency MBS liquidity, leading to lower borrowing costs for households. Evaluation of potential reforms to the U.S. housing finance system should take into account the effects of those reforms on the operation of the TBA market.

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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 468.

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Date of creation: 2010
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Handle: RePEc:fip:fednsr:468
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Keywords: Mortgages ; Mortgage-backed securities ; Liquidity (Economics) ; Housing - Finance ; Financial market regulatory reform;

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  4. Andreas Fuster & James Vickery, 2013. "Securitization and the fixed-rate mortgage," Staff Reports 594, Federal Reserve Bank of New York.
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  9. Chris Downing & Dwight Jaffee, 2009. "Is the Market for Mortgage-Backed Securities a Market for Lemons?," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2257-2294, July.
  10. Toni Dechario & Patricia Mosser & Joseph Tracy & James Vickery & Joshua Wright, 2010. "A private lender cooperative model for residential mortgage finance," Staff Reports 466, Federal Reserve Bank of New York.
  11. McKenzie, Joseph A, 2002. "A Reconsideration of the Jumbo/Non-jumbo Mortgage Rate Differential," The Journal of Real Estate Finance and Economics, Springer, vol. 25(2-3), pages 197-213, Sept.-Dec.
  12. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
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Cited by:

  1. Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity and the Threat of Fraudulent Assets," NBER Working Papers 17500, National Bureau of Economic Research, Inc.
  2. Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle, 2014. "Disagreement and asset prices," Journal of Financial Economics, Elsevier, vol. 114(2), pages 226-238.
  3. Fuster, Andreas & Goodman, Laurie & Lucca, David O. & Madar, Laurel & Molloy, Linsey & Willen, Paul S., 2013. "The rising gap between primary and secondary mortgage rates," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 17-39.
  4. W. Scott Frame & Larry D. Wall & Lawrence J. White, 2012. "The devil's in the tail: residential mortgage finance and the U.S. Treasury," Working Paper 2012-12, Federal Reserve Bank of Atlanta.
  5. Andreas Fuster & James Vickery, 2013. "Securitization and the fixed-rate mortgage," Staff Reports 594, Federal Reserve Bank of New York.

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