|
|
|
|
||||
|
||||
TBA Trading and Liquidity in the Agency MBS MarketJames I. VickeryFederal Reserve Bank of New York Joshua WrightFederal Reserve Banks - Federal Reserve Bank of New York August 1, 2010 Economic Policy Review, Forthcoming FRB of New York Staff Report No. 468 Abstract: Mortgage-backed securities in the United States are generally traded on a “to-be-announced,” or TBA, basis. The key feature of a TBA trade is that the identity of the securities to be delivered to the buyer is not specified exactly at the time of the trade, facilitating a liquid forward market. This article describes the main features of the TBA market. It also presents evidence on the liquidity of this market during the financial crisis period. Using variation in TBA eligibility rules, the authors’ estimates suggest that the liquidity benefits associated with the TBA market are of the order of 10 to 25 basis points during 2009 and 2010, and magnified during periods of market stress. The estimates further suggest that the presence of a government credit guarantee alone does not appear to be sufficient explanation for the liquidity of agency MBS.
Number of Pages in PDF File: 18 Keywords: mortgage-backed-securities, TBA trading, liquidity, adverse selection JEL Classification: G21, G12, G19 Accepted Paper SeriesDate posted: August 21, 2010 ; Last revised: January 22, 2013Suggested Citation |
|
|||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo3 in 0.390 seconds
