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Mortgage-Backed Securities

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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.

Suggested Citation

  • Andreas Fuster & David O. Lucca & James Vickery, 2025. "Mortgage-Backed Securities," Working Papers 25-10, Federal Reserve Bank of Philadelphia.
    • Handle: RePEc:fip:fedpwp:99708
    DOI: 10.21799/frbp.wp.2025.10
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    File URL: https://www.philadelphiafed.org/-/media/FRBP/Assets/working-papers/2025/wp25-10.pdf
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    More about this item

    Keywords

    mortgage finance; securitization; agency mortgage-backed securities; TBA; option-adjusted spreads; covered bonds;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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