Understanding Mortgage Spreads

• 成果类型: Article
• 署名作者: Boyarchenko, Nina; Fuster, Andreas; Lucca, David O.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Swiss National Bank (SNB)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz004
• 发表日期: 2019
• 页码: 3799
• 关键词: BACKED SECURITIES; PREPAYMENT RISK; term structure; valuation; MARKET; liquidity; LIMITS

摘要

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding costs. We study variation in MBS spreads in the time series and across securities and document that MBS spreads show a pronounced cross-sectional smile with respect to the securities' coupon rates. We present a new pricing model that uses stripped MBS prices to identify the contribution of non-interest-rate prepayment risk to spreads and find that this risk explains the smile, whereas the time-series spread variation is mostly accounted for by nonprepayment risk factors.