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Federal Reserve Bank of New York
Staff Reports
TBA trading and liquidity in the agency MBS market
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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James Vickery & Joshua Wright, TBA trading and liquidity in the agency MBS market, Federal Reserve Bank of New York, Staff Reports 468, 2010.
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Subject headings:
Keywords: Mortgages ; Mortgage-backed securities ; Liquidity (Economics) ; Housing - Finance ; Financial market regulatory reform
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