Agency MBS as Safe Assets

• 成果类型: Article; Early Access
• 署名作者: He, Zhiguo; Song, Zhaogang
• 署名单位: Stanford University; National Bureau of Economic Research; Johns Hopkins University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf052
• 发表日期: 2025
• 关键词: mortgage-backed securities; liquidity; RISK; MODEL; DISAGREEMENT; GOVERNMENT; spreads; demand; MARKET

摘要

Measured as yield spreads against Treasury securities and AAA corporate bonds, the convenience premium of newly issued agency MBS averages more than half of the long-term Treasury convenience premium. The agency MBS convenience premium and issuance amount vary negatively with mortgage rate, consistent with a prepayment-driven channel. Placing agencies into conservatorship in 2008 and introducing liquidity regulations in 2013 significantly affected MBS convenience premium, consistent with government guarantee and regulatory treatment channels. Analyses of dispersion of dealers' prepayment forecasts, seasoned MBS, and investors' MBS holdings deliver further economic implications for agency MBS as safe assets.