Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications *

• 成果类型: Article
• 署名作者: Huh, Yesol; Kim, You Suk
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.07.001
• 发表日期: 2023
• 页码: 68-93
• 关键词: Agency mortgage-backed securities; TBA trades; securitization; liquidity

摘要

We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broader pooling increases liquidity and average welfare, but results in a larger cross-subsidy from smaller loans to larger loans. Minimizing costs or limiting strategic pooling results in a more regressive redistribution. Published by Elsevier B.V.